UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-06110
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: December 31
Date of reporting period: June 30, 2020
ITEM 1. | REPORT TO STOCKHOLDERS. |
The Semi-Annual Report to Stockholders is filed herewith.
Semi-Annual Report | June 30, 2020 |
WESTERN ASSET
CORE PLUS BOND FUND
Beginning in January 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 elected e-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 calling 1-877-721-1926.
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 at 1-877-721-1926, 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, consistent with prudent investment management and liquidity needs, by investing to obtain an average effective duration which is expected to range within 30% of the average duration of the domestic bond market as a whole as estimated by the Fund’s subadviser.
Dear Shareholder,
We are pleased to provide the semi-annual report of Western Asset Core Plus Bond Fund for the six-month reporting period ended June 30, 2020. Please read on for Fund performance information during the Fund’s reporting period.
Special shareholder notice
On July 31, 2020, Franklin Resources, Inc. (“Franklin Resources”) acquired Legg Mason, Inc. (“Legg Mason”) in an all-cash transaction. As a result of the transaction, Legg Mason Partners Fund Advisor, LLC (“LMPFA”) and the subadviser(s) became indirect, wholly-owned subsidiaries of Franklin Resources. Under the Investment Company Act of 1940, as amended, consummation of the transaction automatically terminated the management and subadvisory agreements that were in place for the Fund prior to the transaction. The Fund’s manager and subadviser(s) continue to provide uninterrupted services with respect to the Fund pursuant to either new management and subadvisory agreements that were approved by Fund shareholders or interim management and subadvisory agreements that were approved by the Fund’s board for use while the Fund continues to seek shareholder approval of the new agreements.
Franklin Resources, whose principal executive offices are at One Franklin Parkway, San Mateo, California 94403, is a global investment management organization operating, together with its subsidiaries, as Franklin Templeton. As of June 30, 2020, after giving effect to the transaction described above, Franklin Templeton’s asset management operations had aggregate assets under management of approximately $1.4 trillion.
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II | Western Asset Core Plus Bond Fund |
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
July 31, 2020
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Western Asset Core Plus Bond Fund | III |
For the six months ended June 30, 2020, Class I shares of Western Asset Core Plus Bond Fund returned 4.20%. The Fund’s unmanaged benchmark, the Bloomberg Barclays U.S. Aggregate Indexi, returned 6.14% for the same period. The Lipper Core Plus Bond Funds Category Averageii returned 5.14% over the same time frame.
Performance Snapshot as of June 30, 2020 (unaudited) | ||||
(excluding sales charges) | 6 months | |||
Western Asset Core Plus Bond Fund: | ||||
Class A | 3.93 | % | ||
Class C | 3.65 | % | ||
Class C1 | 3.76 | % | ||
Class FI | 4.00 | % | ||
Class R | 3.85 | % | ||
Class I | 4.20 | % | ||
Class IS | 4.21 | % | ||
Bloomberg Barclays U.S. Aggregate Index | 6.14 | % | ||
Lipper Core Plus Bond Funds Category Average | 5.14 | % |
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 recent month-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.
The 30-Day SEC Yields for the period ended June 30, 2020 for Class A, Class C, Class C1, Class FI, Class R, Class I and Class IS shares were 1.46%, 0.83%, 1.01%, 1.52%, 1.21%, 1.89% and 1.91%, respectively. Absent fee waivers and/or expense reimbursements, the 30-Day SEC Yields for Class A shares and Class I shares would have been 1.44% and 1.81%, respectively. The 30-Day SEC Yield, calculated pursuant to the standard SEC formula, is based on the Fund’s investments over an annualized trailing 30-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 May 1, 2020, the gross total annual fund operating expense ratios for Class A, Class C, Class C1, Class FI, Class R, Class I and Class IS shares were 0.83%, 1.52%, 1.20%, 0.82%, 1.12%, 0.52% and 0.42%, respectively.
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IV | Western Asset Core Plus Bond Fund |
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 a result of expense limitation arrangements, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, deferred organizational expenses and acquired fund fees and expenses, to average net assets will not exceed 0.82% for Class A shares, 1.65% for Class C shares, 1.51% for Class C1 shares, 0.85% for Class FI shares, 1.15% for Class R shares, 0.45% for Class I shares and 0.45% for Class IS shares. In addition, the ratio of total annual fund operating expenses for Class IS shares will 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, 2021 without the Board of Directors’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. This management fee waiver is not subject to the recapture provision discussed below.
The manager is permitted to recapture amounts waived and/or reimbursed to a class within two years after the fiscal year in which the manager 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 the manager 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.
As always, thank you for your confidence in our stewardship of your assets.
Sincerely,
Jane Trust, CFA
President and Chief Executive Officer
July 31, 2020
RISKS: Bonds are subject to a variety of risks, including interest rate, credit and inflation risks. As interest rates rise, bond prices fall, reducing the value of the Fund’s share price. The Fund may invest in high-yield bonds (commonly known as “junk bonds”), which are rated below investment grade and carry more risk than higher rated securities. Investments in asset-backed and mortgage-backed securities involve additional risks, including prepayment and extension risks. Non-U.S. investments are subject to currency fluctuations and social, economic and political uncertainties, which could increase volatility. These risks are magnified in emerging markets. Emerging market countries tend to have economic, political and legal systems that are less developed and are less stable than those of more developed countries. The Fund may use derivatives, such as options, futures and swaps, which can be illiquid, may disproportionately
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Western Asset Core Plus Bond Fund | V |
Performance review (cont’d)
increase losses, and have a potentially large impact on Fund performance. 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.
i | 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. |
ii | Lipper, Inc., a wholly-owned subsidiary of Reuters, provides independent insight on global collective investments. Returns are based on the six-month period ended June 30, 2020, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 309 funds in the Fund’s Lipper category, and excluding sales charges, if any. |
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VI | Western Asset Core Plus Bond Fund |
Investment breakdown (%) as a percent of total investments
† | The bar graph above represents the composition of the Fund’s investments as of June 30, 2020 and December 31, 2019 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. |
‡ | Amount represents less than 0.1%. |
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 1 |
Example
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including front-end and back-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 January 1, 2020 and held for the six months ended June 30, 2020.
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 as front-end or back-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 | 3.93 | % | $ | 1,000.00 | $ | 1,039.30 | 0.82 | % | $ | 4.16 | Class A | 5.00 | % | $ | 1,000.00 | $ | 1,020.79 | 0.82 | % | $ | 4.12 | |||||||||||||||||||||||||
Class C | 3.65 | 1,000.00 | 1,036.50 | 1.51 | 7.65 | Class C | 5.00 | 1,000.00 | 1,017.35 | 1.51 | 7.57 | |||||||||||||||||||||||||||||||||||
Class C1 | 3.76 | 1,000.00 | 1,037.60 | 1.29 | 6.54 | Class C1 | 5.00 | 1,000.00 | 1,018.45 | 1.29 | 6.47 | |||||||||||||||||||||||||||||||||||
Class FI | 4.00 | 1,000.00 | 1,040.00 | 0.82 | 4.16 | Class FI | 5.00 | 1,000.00 | 1,020.79 | 0.82 | 4.12 | |||||||||||||||||||||||||||||||||||
Class R | 3.85 | 1,000.00 | 1,038.50 | 1.12 | 5.68 | Class R | 5.00 | 1,000.00 | 1,019.29 | 1.12 | 5.62 | |||||||||||||||||||||||||||||||||||
Class I | 4.20 | 1,000.00 | 1,042.00 | 0.45 | 2.28 | Class I | 5.00 | 1,000.00 | 1,022.63 | 0.45 | 2.26 | |||||||||||||||||||||||||||||||||||
Class IS | 4.21 | 1,000.00 | 1,042.10 | 0.42 | 2.13 | Class IS | 5.00 | 1,000.00 | 1,022.77 | 0.42 | 2.11 |
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2 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
1 | For the six months ended June 30, 2020. |
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 shares or the applicable contingent deferred sales charge (“CDSC”) with respect to Class C shares and Class C1 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, 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. |
3 | Expenses (net of compensating balance arrangements, fee waivers 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 (182), then divided by 366. |
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 3 |
Schedule of investments (unaudited)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Corporate Bonds & Notes — 36.9% |
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Communication Services — 3.1% |
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Diversified Telecommunication Services — 1.1% |
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Altice France SA, Senior Secured Notes | 7.375 | % | 5/1/26 | 34,775,000 | $ | 36,299,884 | (a) | |||||||||
AT&T Inc., Senior Notes | 3.000 | % | 2/15/22 | 2,516,000 | 2,620,245 | |||||||||||
AT&T Inc., Senior Notes | 3.400 | % | 5/15/25 | 31,645,000 | 34,799,026 | |||||||||||
AT&T Inc., Senior Notes | 3.800 | % | 2/15/27 | 1,250,000 | 1,409,046 | |||||||||||
AT&T Inc., Senior Notes | 2.300 | % | 6/1/27 | 25,680,000 | 26,627,279 | |||||||||||
AT&T Inc., Senior Notes | 6.250 | % | 3/29/41 | 970,000 | 1,334,362 | |||||||||||
AT&T Inc., Senior Notes | 4.350 | % | 6/15/45 | 25,026,000 | 28,206,632 | |||||||||||
Telecom Italia SpA, Senior Notes | 5.303 | % | 5/30/24 | 5,794,000 | 6,064,493 | (a) | ||||||||||
Telefonica Emisiones SA, Senior Notes | 5.213 | % | 3/8/47 | 6,160,000 | 7,684,492 | |||||||||||
Telefonica Emisiones SA, Senior Notes | 4.895 | % | 3/6/48 | 11,960,000 | 14,473,091 | |||||||||||
Verizon Communications Inc., Senior Notes | 3.500 | % | 11/1/24 | 6,660,000 | 7,375,864 | |||||||||||
Verizon Communications Inc., Senior Notes | 3.376 | % | 2/15/25 | 36,618,000 | 40,769,122 | |||||||||||
Verizon Communications Inc., Senior Notes | 2.625 | % | 8/15/26 | 5,622,000 | 6,122,226 | |||||||||||
Verizon Communications Inc., Senior Notes | 4.125 | % | 3/16/27 | 5,755,000 | 6,792,219 | |||||||||||
Verizon Communications Inc., Senior Notes | 3.000 | % | 3/22/27 | 4,820,000 | 5,355,037 | |||||||||||
Verizon Communications Inc., Senior Notes | 4.329 | % | 9/21/28 | 27,937,000 | 33,646,603 | |||||||||||
Verizon Communications Inc., Senior Notes | 3.875 | % | 2/8/29 | 4,900,000 | 5,799,722 | |||||||||||
Verizon Communications Inc., Senior Notes | 3.150 | % | 3/22/30 | 10,510,000 | 11,813,697 | |||||||||||
Verizon Communications Inc., Senior Notes | 4.500 | % | 8/10/33 | 18,345,000 | 22,875,000 | |||||||||||
Verizon Communications Inc., Senior Notes | 4.400 | % | 11/1/34 | 2,200,000 | 2,742,215 | |||||||||||
Verizon Communications Inc., Senior Notes | 4.272 | % | 1/15/36 | 1,140,000 | 1,411,495 | |||||||||||
Verizon Communications Inc., Senior Notes | 5.250 | % | 3/16/37 | 11,010,000 | 14,757,424 |
See Notes to Financial Statements.
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4 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Diversified Telecommunication Services — continued |
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Verizon Communications Inc., Senior Notes | 3.850 | % | 11/1/42 | 4,840,000 | $ | 5,910,876 | ||||||||||
Verizon Communications Inc., Senior Notes | 4.125 | % | 8/15/46 | 9,310,000 | 11,675,705 | |||||||||||
Verizon Communications Inc., Senior Notes | 4.862 | % | 8/21/46 | 12,748,000 | 17,339,773 | |||||||||||
Verizon Communications Inc., Senior Notes | 5.500 | % | 3/16/47 | 1,455,000 | 2,160,331 | |||||||||||
Verizon Communications Inc., Senior Notes | 4.522 | % | 9/15/48 | 5,339,000 | 7,074,925 | |||||||||||
Verizon Communications Inc., Senior Notes | 4.000 | % | 3/22/50 | 14,170,000 | 18,209,192 | |||||||||||
Total Diversified Telecommunication Services |
| 381,349,976 | ||||||||||||||
Entertainment — 0.0%†† | ||||||||||||||||
Netflix Inc., Senior Notes | 5.375 | % | 2/1/21 | 2,675,000 | 2,742,704 | |||||||||||
ViacomCBS Inc., Senior Notes | 3.875 | % | 4/1/24 | 1,720,000 | 1,852,893 | |||||||||||
Walt Disney Co., Senior Notes | 4.500 | % | 2/15/21 | 8,000 | 8,203 | |||||||||||
Walt Disney Co., Senior Notes | 6.200 | % | 12/15/34 | 260,000 | 376,090 | |||||||||||
Walt Disney Co., Senior Notes | 6.650 | % | 11/15/37 | 5,240,000 | 7,864,673 | |||||||||||
Total Entertainment | 12,844,563 | |||||||||||||||
Media — 1.5% | ||||||||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 5.125 | % | 5/1/27 | 7,837,000 | 8,119,524 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 5.000 | % | 2/1/28 | 5,450,000 | 5,632,575 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500 | % | 8/15/30 | 1,460,000 | 1,494,536 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500 | % | 5/1/32 | 15,743,000 | 15,959,466 | (a) | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.908 | % | 7/23/25 | 29,327,000 | 33,633,070 |
See Notes to Financial Statements.
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 5 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Media — continued | ||||||||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.200 | % | 3/15/28 | 55,869,000 | $ | 62,707,794 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.050 | % | 3/30/29 | 19,860,000 | 23,459,445 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 2.800 | % | 4/1/31 | 5,060,000 | 5,139,839 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.375 | % | 4/1/38 | 15,910,000 | 19,183,472 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 6.484 | % | 10/23/45 | 6,620,000 | 8,783,799 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.750 | % | 4/1/48 | 450,000 | 561,029 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.800 | % | 3/1/50 | 6,040,000 | 6,712,542 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 6.834 | % | 10/23/55 | 2,608,000 | 3,522,405 |
See Notes to Financial Statements.
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6 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Media — continued | ||||||||||||||||
Comcast Cable Communications Holdings Inc., Senior Notes | 9.455 | % | 11/15/22 | 3,150,000 | $ | 3,826,309 | ||||||||||
Comcast Corp., Senior Notes | 3.100 | % | 4/1/25 | 949,000 | 1,047,316 | |||||||||||
Comcast Corp., Senior Notes | 3.375 | % | 8/15/25 | 3,940,000 | 4,391,965 | |||||||||||
Comcast Corp., Senior Notes | 3.950 | % | 10/15/25 | 26,460,000 | 30,343,145 | |||||||||||
Comcast Corp., Senior Notes | 3.150 | % | 3/1/26 | 9,960,000 | 11,136,054 | |||||||||||
Comcast Corp., Senior Notes | 3.300 | % | 4/1/27 | 12,400,000 | 13,935,317 | |||||||||||
Comcast Corp., Senior Notes | 4.150 | % | 10/15/28 | 55,830,000 | 66,974,456 | |||||||||||
Comcast Corp., Senior Notes | 3.400 | % | 4/1/30 | 7,960,000 | 9,109,074 | |||||||||||
Comcast Corp., Senior Notes | 4.250 | % | 10/15/30 | 14,475,000 | 17,752,612 | |||||||||||
Comcast Corp., Senior Notes | 4.250 | % | 1/15/33 | 1,710,000 | 2,101,042 | |||||||||||
Comcast Corp., Senior Notes | 4.200 | % | 8/15/34 | 244,000 | 297,255 | |||||||||||
Comcast Corp., Senior Notes | 5.650 | % | 6/15/35 | 60,000 | 84,916 | |||||||||||
Comcast Corp., Senior Notes | 6.500 | % | 11/15/35 | 2,250,000 | 3,426,064 | |||||||||||
Comcast Corp., Senior Notes | 3.900 | % | 3/1/38 | 8,310,000 | 9,880,242 | |||||||||||
Comcast Corp., Senior Notes | 3.250 | % | 11/1/39 | 1,580,000 | 1,755,195 | |||||||||||
Comcast Corp., Senior Notes | 3.750 | % | 4/1/40 | 2,020,000 | 2,373,589 | |||||||||||
Comcast Corp., Senior Notes | 3.400 | % | 7/15/46 | 1,550,000 | 1,724,962 | |||||||||||
Comcast Corp., Senior Notes | 3.969 | % | 11/1/47 | 221,000 | 262,490 | |||||||||||
Comcast Corp., Senior Notes | 4.000 | % | 3/1/48 | 2,230,000 | 2,716,399 | |||||||||||
Comcast Corp., Senior Notes | 4.700 | % | 10/15/48 | 3,560,000 | 4,796,194 | |||||||||||
Comcast Corp., Senior Notes | 3.999 | % | 11/1/49 | 2,626,000 | 3,177,036 | |||||||||||
Comcast Corp., Senior Notes | 3.450 | % | 2/1/50 | 11,030,000 | 12,677,298 | |||||||||||
DISH DBS Corp., Senior Notes | 5.875 | % | 11/15/24 | 17,424,000 | 17,366,762 | |||||||||||
DISH DBS Corp., Senior Notes | 7.750 | % | 7/1/26 | 3,240,000 | 3,440,459 | |||||||||||
Fox Corp., Senior Notes | 4.709 | % | 1/25/29 | 2,110,000 | 2,538,227 | |||||||||||
Fox Corp., Senior Notes | 5.476 | % | 1/25/39 | 13,410,000 | 17,951,888 | |||||||||||
Fox Corp., Senior Notes | 5.576 | % | 1/25/49 | 430,000 | 599,795 | |||||||||||
Prosus NV, Senior Notes | 4.850 | % | 7/6/27 | 18,070,000 | 20,301,826 | (a) | ||||||||||
Time Warner Cable LLC, Senior Secured Notes | 4.125 | % | 2/15/21 | 8,351,000 | 8,447,046 | |||||||||||
Time Warner Cable LLC, Senior Secured Notes | 7.300 | % | 7/1/38 | 8,925,000 | 12,312,385 | |||||||||||
Time Warner Cable LLC, Senior Secured Notes | 6.750 | % | 6/15/39 | 3,295,000 | 4,388,774 | |||||||||||
Time Warner Cable LLC, Senior Secured Notes | 5.875 | % | 11/15/40 | 8,447,000 | 10,456,177 | |||||||||||
Time Warner Entertainment Co. LP, Senior Secured Notes | 8.375 | % | 7/15/33 | 2,060,000 | 3,106,482 |
See Notes to Financial Statements.
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 7 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Media — continued | ||||||||||||||||
Virgin Media Secured Finance PLC, Senior Secured Notes | 5.500 | % | 8/15/26 | 200,000 | $ | 205,169 | (a) | |||||||||
Virgin Media Secured Finance PLC, Senior Secured Notes | 5.500 | % | 5/15/29 | 2,820,000 | 2,951,990 | (a) | ||||||||||
Total Media | 502,765,406 | |||||||||||||||
Wireless Telecommunication Services — 0.5% |
| |||||||||||||||
CSC Holdings LLC, Secured Notes | 5.375 | % | 7/15/23 | 400,000 | 406,080 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes | 5.375 | % | 2/1/28 | 760,000 | 796,408 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes | 4.125 | % | 12/1/30 | 450,000 | 446,625 | (a) | ||||||||||
Sprint Capital Corp., Senior Notes | 6.875 | % | 11/15/28 | 635,000 | 774,859 | |||||||||||
Sprint Capital Corp., Senior Notes | 8.750 | % | 3/15/32 | 10,530,000 | 15,081,593 | |||||||||||
Sprint Corp., Senior Notes | 7.875 | % | 9/15/23 | 930,000 | 1,048,570 | |||||||||||
Sprint Corp., Senior Notes | 7.625 | % | 2/15/25 | 5,365,000 | 6,201,457 | |||||||||||
Sprint Spectrum Co. LLC/ Sprint Spectrum Co. II LLC/ Sprint Spectrum Co. III LLC, Senior Secured Notes | 3.360 | % | 9/20/21 | 1,437,500 | 1,457,258 | (a) | ||||||||||
Sprint Spectrum Co. LLC/ Sprint Spectrum Co. II LLC/ Sprint Spectrum Co. III LLC, Senior Secured Notes | 4.738 | % | 3/20/25 | 1,690,000 | 1,840,182 | (a) | ||||||||||
T-Mobile USA Inc., Senior Notes | 6.000 | % | 3/1/23 | 500,000 | 502,935 | |||||||||||
T-Mobile USA Inc., Senior Notes | 6.000 | % | 4/15/24 | 320,000 | 327,941 | |||||||||||
T-Mobile USA Inc., Senior Secured Notes | 3.500 | % | 4/15/25 | 57,300,000 | 62,472,184 | (a) | ||||||||||
T-Mobile USA Inc., Senior Secured Notes | 3.750 | % | 4/15/27 | 2,920,000 | 3,239,506 | (a) | ||||||||||
T-Mobile USA Inc., Senior Secured Notes | 3.875 | % | 4/15/30 | 32,290,000 | 35,998,022 | (a) |
See Notes to Financial Statements.
| ||
8 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Wireless Telecommunication Services — continued |
| |||||||||||||||
T-Mobile USA Inc., Senior Secured Notes | 4.375 | % | 4/15/40 | 4,880,000 | $ | 5,666,144 | (a) | |||||||||
Vodafone Group PLC, Senior Notes | 4.375 | % | 5/30/28 | 23,910,000 | 28,455,700 | |||||||||||
Total Wireless Telecommunication Services |
| 164,715,464 | ||||||||||||||
Total Communication Services | 1,061,675,409 | |||||||||||||||
Consumer Discretionary — 2.1% | ||||||||||||||||
Auto Components — 0.0%†† | ||||||||||||||||
American Axle & Manufacturing Inc., Senior Notes | 6.625 | % | 10/15/22 | 245,000 | 248,752 | |||||||||||
Automobiles — 0.3% | ||||||||||||||||
BMW US Capital LLC, Senior Notes | 1.850 | % | 9/15/21 | 1,590,000 | 1,604,993 | (a) | ||||||||||
Ford Motor Co., Senior Notes | 8.500 | % | 4/21/23 | 4,890,000 | 5,180,344 | |||||||||||
Ford Motor Co., Senior Notes | 9.000 | % | 4/22/25 | 3,850,000 | 4,173,689 | |||||||||||
Ford Motor Co., Senior Notes | 4.750 | % | 1/15/43 | 2,720,000 | 2,154,906 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 5.750 | % | 2/1/21 | 2,940,000 | 2,962,197 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 3.336 | % | 3/18/21 | 900,000 | 893,552 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 5.875 | % | 8/2/21 | 21,080,000 | 21,327,058 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 3.664 | % | 9/8/24 | 1,190,000 | 1,126,287 | |||||||||||
Ford Motor Credit Co. LLC, Senior Notes | 5.125 | % | 6/16/25 | 290,000 | 290,841 | |||||||||||
General Motors Co., Senior Notes | 5.400 | % | 10/2/23 | 5,770,000 | 6,243,506 | |||||||||||
General Motors Co., Senior Notes | 6.125 | % | 10/1/25 | 10,170,000 | 11,440,652 | |||||||||||
General Motors Co., Senior Notes | 5.150 | % | 4/1/38 | 2,050,000 | 1,967,113 | |||||||||||
General Motors Co., Senior Notes | 6.250 | % | 10/2/43 | 3,640,000 | 3,872,976 | |||||||||||
General Motors Co., Senior Notes | 5.950 | % | 4/1/49 | 8,120,000 | 8,548,131 | |||||||||||
General Motors Financial Co. Inc., Senior Notes | 2.450 | % | 11/6/20 | 3,110,000 | 3,115,050 | |||||||||||
General Motors Financial Co. Inc., Senior Notes | 4.375 | % | 9/25/21 | 3,650,000 | 3,749,559 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 9 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Automobiles — continued | ||||||||||||||||
General Motors Financial Co. Inc., Senior Notes | 3.450 | % | 4/10/22 | 7,930,000 | $ | 8,087,781 | ||||||||||
General Motors Financial Co. Inc., Senior Notes | 4.250 | % | 5/15/23 | 920,000 | 961,447 | |||||||||||
General Motors Financial Co. Inc., Senior Notes | 4.350 | % | 1/17/27 | 2,340,000 | 2,424,528 | |||||||||||
Total Automobiles | 90,124,610 | |||||||||||||||
Diversified Consumer Services — 0.0%†† |
| |||||||||||||||
Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes | 5.750 | % | 4/15/26 | 8,450,000 | 8,782,423 | (a) | ||||||||||
Service Corp. International, Senior Notes | 7.500 | % | 4/1/27 | 3,592,000 | 4,089,708 | |||||||||||
Total Diversified Consumer Services |
| 12,872,131 | ||||||||||||||
Hotels, Restaurants & Leisure — 0.6% |
| |||||||||||||||
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes | 4.250 | % | 5/15/24 | 6,388,000 | 6,405,695 | (a) | ||||||||||
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes | 5.750 | % | 4/15/25 | 1,225,000 | 1,288,547 | (a) | ||||||||||
GLP Capital LP/GLP Financing II Inc., Senior Notes | 5.250 | % | 6/1/25 | 320,000 | 348,963 | |||||||||||
GLP Capital LP/GLP Financing II Inc., Senior Notes | 5.375 | % | 4/15/26 | 1,996,000 | 2,185,430 | |||||||||||
Hilton Domestic Operating Co. Inc., Senior Notes | 5.375 | % | 5/1/25 | 10,770,000 | 10,817,119 | (a) | ||||||||||
Hilton Domestic Operating Co. Inc., Senior Notes | 5.125 | % | 5/1/26 | 3,130,000 | 3,127,465 | |||||||||||
Hilton Domestic Operating Co. Inc., Senior Notes | 5.750 | % | 5/1/28 | 4,400,000 | 4,463,250 | (a) | ||||||||||
Hilton Worldwide Finance LLC/ Hilton Worldwide Finance Corp., Senior Notes | 4.625 | % | 4/1/25 | 605,000 | 593,720 | |||||||||||
Hilton Worldwide Finance LLC/ Hilton Worldwide Finance Corp., Senior Notes | 4.875 | % | 4/1/27 | 4,930,000 | 4,824,325 | |||||||||||
Las Vegas Sands Corp., Senior Notes | 3.200 | % | 8/8/24 | 27,970,000 | 27,889,430 |
See Notes to Financial Statements.
| ||
10 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
��
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Hotels, Restaurants & Leisure — continued |
| |||||||||||||||
Las Vegas Sands Corp., Senior Notes | 2.900 | % | 6/25/25 | 2,130,000 | $ | 2,071,235 | ||||||||||
McDonald’s Corp., Senior Notes | 3.375 | % | 5/26/25 | 1,719,000 | 1,908,540 | |||||||||||
McDonald’s Corp., Senior Notes | 3.300 | % | 7/1/25 | 9,140,000 | 10,165,578 | |||||||||||
McDonald’s Corp., Senior Notes | 1.450 | % | 9/1/25 | 2,140,000 | 2,196,619 | |||||||||||
McDonald’s Corp., Senior Notes | 3.700 | % | 1/30/26 | 16,745,000 | 18,997,496 | |||||||||||
McDonald’s Corp., Senior Notes | 3.500 | % | 3/1/27 | 12,680,000 | 14,369,480 | |||||||||||
McDonald’s Corp., Senior Notes | 3.500 | % | 7/1/27 | 3,360,000 | 3,821,105 | |||||||||||
McDonald’s Corp., Senior Notes | 3.800 | % | 4/1/28 | 4,300,000 | 5,030,655 | |||||||||||
McDonald’s Corp., Senior Notes | 3.600 | % | 7/1/30 | 9,300,000 | 10,721,433 | |||||||||||
McDonald’s Corp., Senior Notes | 3.625 | % | 9/1/49 | 1,610,000 | 1,774,654 | |||||||||||
McDonald’s Corp., Senior Notes | 4.200 | % | 4/1/50 | 17,130,000 | 20,862,670 | |||||||||||
Sands China Ltd., Senior Notes | 4.600 | % | 8/8/23 | 18,048,000 | 19,046,054 | |||||||||||
Sands China Ltd., Senior Notes | 5.125 | % | 8/8/25 | 17,040,000 | 18,521,713 | |||||||||||
Sands China Ltd., Senior Notes | 3.800 | % | 1/8/26 | 12,530,000 | 12,927,201 | (a) | ||||||||||
Sands China Ltd., Senior Notes | 5.400 | % | 8/8/28 | 6,900,000 | 7,640,646 | |||||||||||
VOC Escrow Ltd., Senior Secured Notes | 5.000 | % | 2/15/28 | 9,225,000 | 6,870,918 | (a) | ||||||||||
Total Hotels, Restaurants & Leisure |
| 218,869,941 | ||||||||||||||
Household Durables — 0.1% | ||||||||||||||||
Lennar Corp., Senior Notes | 4.500 | % | 4/30/24 | 5,640,000 | 5,879,108 | |||||||||||
Lennar Corp., Senior Notes | 4.750 | % | 5/30/25 | 1,350,000 | 1,444,642 | |||||||||||
Lennar Corp., Senior Notes | 5.000 | % | 6/15/27 | 420,000 | 455,095 | |||||||||||
Lennar Corp., Senior Notes | 4.750 | % | 11/29/27 | 8,000,000 | 8,697,600 | |||||||||||
Newell Brands Inc., Senior Notes | 4.350 | % | 4/1/23 | 2,188,000 | 2,264,142 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 11 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Household Durables — continued | ||||||||||||||||
Newell Brands Inc., Senior Notes | 4.700 | % | 4/1/26 | 150,000 | $ | 157,857 | ||||||||||
Toll Brothers Finance Corp., Senior Notes | 4.375 | % | 4/15/23 | 4,740,000 | 4,935,027 | |||||||||||
Total Household Durables | 23,833,471 | |||||||||||||||
Internet & Direct Marketing Retail — 0.4% |
| |||||||||||||||
Amazon.com Inc., Senior Notes | 0.800 | % | 6/3/25 | 17,270,000 | 17,441,724 | |||||||||||
Amazon.com Inc., Senior Notes | 1.200 | % | 6/3/27 | 21,140,000 | 21,479,915 | |||||||||||
Amazon.com Inc., Senior Notes | 3.150 | % | 8/22/27 | 15,280,000 | 17,498,645 | |||||||||||
Amazon.com Inc., Senior Notes | 1.500 | % | 6/3/30 | 19,890,000 | 20,175,953 | |||||||||||
Amazon.com Inc., Senior Notes | 3.875 | % | 8/22/37 | 6,800,000 | 8,430,563 | |||||||||||
Amazon.com Inc., Senior Notes | 4.950 | % | 12/5/44 | 10,095,000 | 14,439,374 | |||||||||||
Amazon.com Inc., Senior Notes | 4.050 | % | 8/22/47 | 8,290,000 | 10,803,426 | |||||||||||
Amazon.com Inc., Senior Notes | 2.500 | % | 6/3/50 | 16,950,000 | 17,492,339 | |||||||||||
Amazon.com Inc., Senior Notes | 4.250 | % | 8/22/57 | 3,240,000 | 4,333,673 | |||||||||||
Total Internet & Direct Marketing Retail |
| 132,095,612 | ||||||||||||||
Multiline Retail — 0.0%†† | ||||||||||||||||
Dollar General Corp., Senior Notes | 3.250 | % | 4/15/23 | 1,380,000 | 1,474,021 | |||||||||||
Specialty Retail — 0.4% | ||||||||||||||||
Home Depot Inc., Senior Notes | 2.500 | % | 4/15/27 | 8,648,000 | 9,489,242 | |||||||||||
Home Depot Inc., Senior Notes | 3.900 | % | 12/6/28 | 1,590,000 | 1,903,181 | |||||||||||
Home Depot Inc., Senior Notes | 2.700 | % | 4/15/30 | 9,310,000 | 10,244,934 | |||||||||||
Home Depot Inc., Senior Notes | 3.300 | % | 4/15/40 | 10,560,000 | 11,897,761 | |||||||||||
Home Depot Inc., Senior Notes | 3.900 | % | 6/15/47 | 1,736,000 | 2,114,075 | |||||||||||
Home Depot Inc., Senior Notes | 3.350 | % | 4/15/50 | 28,325,000 | 32,519,509 | |||||||||||
Lowe’s Cos. Inc., Senior Notes | 4.500 | % | 4/15/30 | 5,940,000 | 7,301,699 | |||||||||||
Lowe’s Cos. Inc., Senior Notes | 5.000 | % | 4/15/40 | 4,140,000 | 5,415,979 | |||||||||||
Lowe’s Cos. Inc., Senior Notes | 5.125 | % | 4/15/50 | 18,690,000 | 25,617,338 | |||||||||||
Target Corp., Senior Notes | 2.250 | % | 4/15/25 | 13,960,000 | 14,947,096 |
See Notes to Financial Statements.
| ||
12 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Specialty Retail — continued | ||||||||||||||||
TJX Cos. Inc., Senior Notes | 3.500 | % | 4/15/25 | 9,200,000 | $ | 10,252,205 | ||||||||||
TJX Cos. Inc., Senior Notes | 3.750 | % | 4/15/27 | 2,780,000 | 3,179,733 | |||||||||||
Total Specialty Retail | 134,882,752 | |||||||||||||||
Textiles, Apparel & Luxury Goods — 0.3% |
| |||||||||||||||
Hanesbrands Inc., Senior Notes | 4.625 | % | 5/15/24 | 1,177,000 | 1,174,181 | (a) | ||||||||||
Hanesbrands Inc., Senior Notes | 5.375 | % | 5/15/25 | 9,300,000 | 9,422,063 | (a) | ||||||||||
Hanesbrands Inc., Senior Notes | 4.875 | % | 5/15/26 | 4,810,000 | 4,857,210 | (a) | ||||||||||
Levi Strauss & Co., Senior Notes | 5.000 | % | 5/1/25 | 8,420,000 | 8,482,350 | (a) | ||||||||||
NIKE Inc., Senior Notes | 2.400 | % | 3/27/25 | 7,830,000 | 8,426,361 | |||||||||||
NIKE Inc., Senior Notes | 2.750 | % | 3/27/27 | 12,570,000 | 13,859,217 | |||||||||||
NIKE Inc., Senior Notes | 2.850 | % | 3/27/30 | 12,240,000 | 13,628,816 | |||||||||||
NIKE Inc., Senior Notes | 3.250 | % | 3/27/40 | 8,570,000 | 9,612,781 | |||||||||||
NIKE Inc., Senior Notes | 3.375 | % | 3/27/50 | 25,832,000 | 29,946,918 | |||||||||||
Total Textiles, Apparel & Luxury Goods |
| 99,409,897 | ||||||||||||||
Total Consumer Discretionary | 713,811,187 | |||||||||||||||
Consumer Staples — 3.0% | ||||||||||||||||
Beverages — 1.3% | ||||||||||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide Inc., Senior Notes | 3.650 | % | 2/1/26 | 37,240,000 | 41,843,249 | |||||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.900 | % | 2/1/46 | 22,020,000 | 27,029,113 | |||||||||||
Anheuser-Busch InBev Finance Inc., Senior Notes | 3.300 | % | 2/1/23 | 17,698,000 | 18,751,804 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 2.500 | % | 7/15/22 | 5,049,000 | 5,246,091 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 3.500 | % | 1/12/24 | 15,450,000 | 16,845,176 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.150 | % | 1/23/25 | 13,410,000 | 15,226,464 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.000 | % | 4/13/28 | 9,240,000 | 10,670,978 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.750 | % | 1/23/29 | 30,630,000 | 37,036,086 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 13 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Beverages — continued | ||||||||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 3.500 | % | 6/1/30 | 7,380,000 | $ | 8,315,536 | ||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.350 | % | 6/1/40 | 17,580,000 | 20,093,937 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 5.550 | % | 1/23/49 | 1,500,000 | 2,002,996 | |||||||||||
Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.500 | % | 6/1/50 | 33,120,000 | 39,435,435 | |||||||||||
Coca-Cola Co., Senior Notes | 2.950 | % | 3/25/25 | 8,260,000 | 9,096,408 | |||||||||||
Coca-Cola Co., Senior Notes | 3.375 | % | 3/25/27 | 7,590,000 | 8,712,138 | |||||||||||
Coca-Cola Co., Senior Notes | 1.450 | % | 6/1/27 | 15,310,000 | 15,767,659 | |||||||||||
Coca-Cola Co., Senior Notes | 4.125 | % | 3/25/40 | 12,925,000 | 16,445,786 | |||||||||||
Coca-Cola Co., Senior Notes | 2.500 | % | 6/1/40 | 3,050,000 | 3,161,154 | |||||||||||
Coca-Cola Co., Senior Notes | 4.200 | % | 3/25/50 | 29,450,000 | 38,565,820 | |||||||||||
Coca-Cola Co., Senior Notes | 2.600 | % | 6/1/50 | 6,290,000 | 6,367,305 | |||||||||||
Constellation Brands Inc., Senior Notes | 4.250 | % | 5/1/23 | 1,395,000 | 1,529,799 | |||||||||||
Cott Holdings Inc., Senior Notes | 5.500 | % | 4/1/25 | 6,830,000 | 6,882,557 | (a) | ||||||||||
Diageo Capital PLC, Senior Notes | 4.828 | % | 7/15/20 | 620,000 | 620,996 | |||||||||||
Diageo Investment Corp., Senior Notes | 2.875 | % | 5/11/22 | 15,570,000 | 16,253,987 | |||||||||||
Molson Coors Beverage Co., Senior Notes | 3.500 | % | 5/1/22 | 1,370,000 | 1,429,867 | |||||||||||
Molson Coors Beverage Co., Senior Notes | 3.000 | % | 7/15/26 | 3,245,000 | 3,378,678 | |||||||||||
Molson Coors Beverage Co., Senior Notes | 4.200 | % | 7/15/46 | 3,390,000 | 3,304,052 | |||||||||||
PepsiCo Inc., Senior Notes | 0.750 | % | 5/1/23 | 16,050,000 | 16,202,818 | |||||||||||
PepsiCo Inc., Senior Notes | 2.250 | % | 3/19/25 | 1,580,000 | 1,689,704 | |||||||||||
PepsiCo Inc., Senior Notes | 2.625 | % | 3/19/27 | 1,617,000 | 1,769,257 | |||||||||||
PepsiCo Inc., Senior Notes | 1.625 | % | 5/1/30 | 13,210,000 | 13,470,301 | |||||||||||
PepsiCo Inc., Senior Notes | 4.000 | % | 3/5/42 | 4,980,000 | 6,241,628 | |||||||||||
PepsiCo Inc., Senior Notes | 2.875 | % | 10/15/49 | 4,750,000 | 5,153,230 | |||||||||||
PepsiCo Inc., Senior Notes | 3.625 | % | 3/19/50 | 2,220,000 | 2,679,659 | |||||||||||
PepsiCo Inc., Senior Notes | 3.875 | % | 3/19/60 | 2,900,000 | 3,689,316 | |||||||||||
Pernod Ricard SA, Senior Notes | 4.450 | % | 1/15/22 | 10,485,000 | 11,073,858 | (a) | ||||||||||
Total Beverages | 435,982,842 |
See Notes to Financial Statements.
| ||
14 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Food & Staples Retailing — 0.3% | ||||||||||||||||
Costco Wholesale Corp., Senior Notes | 1.375 | % | 6/20/27 | 24,175,000 | $ | 24,743,537 | ||||||||||
Costco Wholesale Corp., Senior Notes | 1.600 | % | 4/20/30 | 13,630,000 | 13,794,348 | |||||||||||
CVS Pass-Through Trust, Secured Trust | 5.880 | % | 1/10/28 | 3,021,691 | 3,409,005 | |||||||||||
CVS Pass-Through Trust, Secured Trust | 6.943 | % | 1/10/30 | 2,002,715 | 2,294,298 | |||||||||||
CVS Pass-Through Trust, Senior Secured Trust | 5.298 | % | 1/11/27 | 241,710 | 259,980 | (a) | ||||||||||
CVS Pass-Through Trust, Senior Secured Trust | 6.036 | % | 12/10/28 | 8,244,383 | 9,322,448 | |||||||||||
Walmart Inc., Senior Notes | 3.400 | % | 6/26/23 | 5,060,000 | 5,515,270 | |||||||||||
Walmart Inc., Senior Notes | 3.550 | % | 6/26/25 | 4,320,000 | 4,902,024 | |||||||||||
Walmart Inc., Senior Notes | 3.700 | % | 6/26/28 | 25,130,000 | 29,778,223 | |||||||||||
Total Food & Staples Retailing |
| 94,019,133 | ||||||||||||||
Food Products — 0.5% | ||||||||||||||||
Danone SA, Senior Notes | 2.077 | % | 11/2/21 | 15,860,000 | 16,122,628 | (a) | ||||||||||
Danone SA, Senior Notes | 2.589 | % | 11/2/23 | 20,650,000 | 21,751,379 | (a) | ||||||||||
Danone SA, Senior Notes | 2.947 | % | 11/2/26 | 6,540,000 | 7,175,751 | (a) | ||||||||||
Hershey Co., Senior Notes | 0.900 | % | 6/1/25 | 4,030,000 | 4,056,008 | |||||||||||
Kraft Heinz Foods Co., Senior Notes | 3.950 | % | 7/15/25 | 5,262,000 | 5,586,805 | |||||||||||
Kraft Heinz Foods Co., Senior Notes | 3.000 | % | 6/1/26 | 4,593,000 | 4,632,784 | |||||||||||
Kraft Heinz Foods Co., Senior Notes | 4.250 | % | 3/1/31 | 3,350,000 | 3,559,483 | (a) | ||||||||||
Kraft Heinz Foods Co., Senior Notes | 6.750 | % | 3/15/32 | 410,000 | 512,267 | |||||||||||
Kraft Heinz Foods Co., Senior Notes | 5.000 | % | 7/15/35 | 1,661,000 | 1,829,493 | |||||||||||
Kraft Heinz Foods Co., Senior Notes | 6.875 | % | 1/26/39 | 1,150,000 | 1,424,880 | |||||||||||
Kraft Heinz Foods Co., Senior Notes | 7.125 | % | 8/1/39 | 290,000 | 366,043 | (a) | ||||||||||
Kraft Heinz Foods Co., Senior Notes | 4.625 | % | 10/1/39 | 290,000 | 292,115 | (a) | ||||||||||
Kraft Heinz Foods Co., Senior Notes | 5.000 | % | 6/4/42 | 4,160,000 | 4,388,914 | |||||||||||
Kraft Heinz Foods Co., Senior Notes | 5.200 | % | 7/15/45 | 10,420,000 | 11,316,273 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 15 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Food Products — continued | ||||||||||||||||
Kraft Heinz Foods Co., Senior Notes | 4.375 | % | 6/1/46 | 5,420,000 | $ | 5,336,529 | ||||||||||
Kraft Heinz Foods Co., Senior Notes | 4.875 | % | 10/1/49 | 8,180,000 | 8,342,749 | (a) | ||||||||||
Kraft Heinz Foods Co., Senior Notes | 5.500 | % | 6/1/50 | 8,460,000 | 9,051,842 | (a) | ||||||||||
Lamb Weston Holdings Inc., Senior Notes | 4.625 | % | 11/1/24 | 30,000 | 31,203 | (a) | ||||||||||
Lamb Weston Holdings Inc., Senior Notes | 4.875 | % | 11/1/26 | 6,470,000 | 6,711,428 | (a) | ||||||||||
Lamb Weston Holdings Inc., Senior Notes | 4.875 | % | 5/15/28 | 1,870,000 | 1,984,790 | (a) | ||||||||||
Mars Inc., Senior Notes | 2.700 | % | 4/1/25 | 9,380,000 | 10,053,194 | (a) | ||||||||||
Mars Inc., Senior Notes | 3.200 | % | 4/1/30 | 4,880,000 | 5,560,965 | (a) | ||||||||||
Mondelez International Holdings Netherlands BV, Senior Notes | 2.125 | % | 9/19/22 | 7,900,000 | 8,144,219 | (a) | ||||||||||
Mondelez International Inc., Senior Notes | 2.125 | % | 4/13/23 | 4,500,000 | 4,663,858 | |||||||||||
Mondelez International Inc., Senior Notes | 1.500 | % | 5/4/25 | 22,350,000 | 22,824,079 | |||||||||||
WM Wrigley Jr. Co., Senior Notes | 3.375 | % | 10/21/20 | 690,000 | 694,618 | (a) | ||||||||||
Total Food Products | 166,414,297 | |||||||||||||||
Household Products — 0.1% | ||||||||||||||||
Procter & Gamble Co., Senior Notes | 2.450 | % | 3/25/25 | 6,120,000 | 6,646,487 | |||||||||||
Procter & Gamble Co., Senior Notes | 2.800 | % | 3/25/27 | 2,490,000 | 2,771,599 | |||||||||||
Procter & Gamble Co., Senior Notes | 3.000 | % | 3/25/30 | 6,070,000 | 6,958,350 | |||||||||||
Procter & Gamble Co., Senior Notes | 3.550 | % | 3/25/40 | 10,270,000 | 12,374,844 | |||||||||||
Procter & Gamble Co., Senior Notes | 3.600 | % | 3/25/50 | 12,170,000 | 15,337,420 | |||||||||||
Spectrum Brands Inc., Senior Notes | 5.750 | % | 7/15/25 | 6,450,000 | 6,639,533 | |||||||||||
Spectrum Brands Inc., Senior Notes | 5.000 | % | 10/1/29 | 950,000 | 941,507 | (a) | ||||||||||
Total Household Products | 51,669,740 |
See Notes to Financial Statements.
| ||
16 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Tobacco — 0.8% | ||||||||||||||||
Altria Group Inc., Senior Notes | 4.750 | % | 5/5/21 | 11,110,000 | $ | 11,518,880 | ||||||||||
Altria Group Inc., Senior Notes | 3.490 | % | 2/14/22 | 5,980,000 | 6,241,516 | |||||||||||
Altria Group Inc., Senior Notes | 2.850 | % | 8/9/22 | 5,100,000 | 5,315,604 | |||||||||||
Altria Group Inc., Senior Notes | 3.800 | % | 2/14/24 | 6,610,000 | 7,232,055 | |||||||||||
Altria Group Inc., Senior Notes | 2.350 | % | 5/6/25 | 3,770,000 | 3,966,040 | |||||||||||
Altria Group Inc., Senior Notes | 4.400 | % | 2/14/26 | 32,230,000 | 37,138,685 | |||||||||||
Altria Group Inc., Senior Notes | 4.800 | % | 2/14/29 | 29,040,000 | 33,929,159 | |||||||||||
Altria Group Inc., Senior Notes | 5.800 | % | 2/14/39 | 15,190,000 | 18,807,411 | |||||||||||
Altria Group Inc., Senior Notes | 3.875 | % | 9/16/46 | 6,950,000 | 6,952,495 | |||||||||||
Altria Group Inc., Senior Notes | 5.950 | % | 2/14/49 | 12,010,000 | 15,776,534 | |||||||||||
Altria Group Inc., Senior Notes | 6.200 | % | 2/14/59 | 4,650,000 | 6,223,670 | |||||||||||
BAT Capital Corp., Senior Notes | 3.557 | % | 8/15/27 | 15,851,000 | 17,095,292 | |||||||||||
BAT Capital Corp., Senior Notes | 4.540 | % | 8/15/47 | 43,950,000 | 47,795,856 | |||||||||||
Cargill Inc., Senior Notes | 1.375 | % | 7/23/23 | 13,510,000 | 13,748,809 | (a) | ||||||||||
Philip Morris International Inc., Senior Notes | 2.900 | % | 11/15/21 | 12,470,000 | 12,913,274 | |||||||||||
Philip Morris International Inc., Senior Notes | 2.500 | % | 8/22/22 | 4,200,000 | 4,373,604 | |||||||||||
Philip Morris International Inc., Senior Notes | 2.500 | % | 11/2/22 | 14,810,000 | 15,439,748 | |||||||||||
Philip Morris International Inc., Senior Notes | 1.125 | % | 5/1/23 | 8,220,000 | 8,362,455 | |||||||||||
Philip Morris International Inc., Senior Notes | 2.100 | % | 5/1/30 | 9,050,000 | 9,337,202 | |||||||||||
Philip Morris International Inc., Senior Notes | 4.500 | % | 3/20/42 | 3,085,000 | 3,748,417 | |||||||||||
Reynolds American Inc., Senior Notes | 5.850 | % | 8/15/45 | 7,579,000 | 9,342,196 | |||||||||||
Total Tobacco | 295,258,902 | |||||||||||||||
Total Consumer Staples | 1,043,344,914 | |||||||||||||||
Energy — 5.1% | ||||||||||||||||
Energy Equipment & Services — 0.1% |
| |||||||||||||||
Halliburton Co., Senior Notes | 3.800 | % | 11/15/25 | 818,000 | 884,159 | |||||||||||
Halliburton Co., Senior Notes | 4.850 | % | 11/15/35 | 5,090,000 | 5,360,681 | |||||||||||
Halliburton Co., Senior Notes | 5.000 | % | 11/15/45 | 8,510,000 | 8,748,204 | |||||||||||
Total Energy Equipment & Services |
| 14,993,044 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 17 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — 5.0% |
| |||||||||||||||
Apache Corp., Senior Notes | 3.250 | % | 4/15/22 | 2,526,000 | $ | 2,444,923 | ||||||||||
Apache Corp., Senior Notes | 4.375 | % | 10/15/28 | 9,630,000 | 8,509,603 | |||||||||||
Apache Corp., Senior Notes | 4.250 | % | 1/15/30 | 3,200,000 | 2,771,503 | |||||||||||
Apache Corp., Senior Notes | 6.000 | % | 1/15/37 | 1,006,000 | 905,953 | |||||||||||
Apache Corp., Senior Notes | 5.100 | % | 9/1/40 | 15,199,000 | 12,508,545 | |||||||||||
Apache Corp., Senior Notes | 4.750 | % | 4/15/43 | 12,060,000 | 9,727,870 | |||||||||||
Apache Corp., Senior Notes | 4.250 | % | 1/15/44 | 18,548,000 | 14,130,767 | |||||||||||
Blue Racer Midstream LLC/ Blue Racer Finance Corp., Senior Notes | 6.125 | % | 11/15/22 | 4,490,000 | 4,477,540 | (a) | ||||||||||
BP Capital Markets America Inc., Senior Notes | 2.937 | % | 4/6/23 | 1,300,000 | 1,375,434 | |||||||||||
BP Capital Markets America Inc., Senior Notes | 3.216 | % | 11/28/23 | 14,330,000 | 15,400,038 | |||||||||||
BP Capital Markets America Inc., Senior Notes | 3.790 | % | 2/6/24 | 2,930,000 | 3,201,321 | |||||||||||
BP Capital Markets America Inc., Senior Notes | 3.410 | % | 2/11/26 | 17,380,000 | 19,250,755 | |||||||||||
BP Capital Markets America Inc., Senior Notes | 3.119 | % | 5/4/26 | 4,790,000 | 5,239,458 | |||||||||||
BP Capital Markets America Inc., Senior Notes | 3.588 | % | 4/14/27 | 7,160,000 | 7,916,662 | |||||||||||
BP Capital Markets America Inc., Senior Notes | 3.633 | % | 4/6/30 | 9,240,000 | 10,506,154 | |||||||||||
BP Capital Markets America Inc., Senior Notes | 3.000 | % | 2/24/50 | 36,530,000 | 36,001,581 | |||||||||||
BP Capital Markets PLC, Senior Notes | 3.561 | % | 11/1/21 | 510,000 | 530,461 | |||||||||||
BP Capital Markets PLC, Senior Notes | 3.245 | % | 5/6/22 | 1,650,000 | 1,731,390 | |||||||||||
BP Capital Markets PLC, Senior Notes | 3.535 | % | 11/4/24 | 2,390,000 | 2,635,837 | |||||||||||
BP Capital Markets PLC, Senior Notes | 3.506 | % | 3/17/25 | 21,110,000 | 23,364,399 | |||||||||||
Cameron LNG LLC, Senior Secured Notes | 2.902 | % | 7/15/31 | 9,050,000 | 9,702,986 | (a) | ||||||||||
Cameron LNG LLC, Senior Secured Notes | 3.302 | % | 1/15/35 | 22,494,000 | 24,871,648 | (a) | ||||||||||
Chevron Corp., Senior Notes | 1.554 | % | 5/11/25 | 15,860,000 | 16,320,847 | |||||||||||
Chevron Corp., Senior Notes | 2.954 | % | 5/16/26 | 4,000 | 4,434 | |||||||||||
Chevron Corp., Senior Notes | 1.995 | % | 5/11/27 | 5,740,000 | 6,016,068 | |||||||||||
Chevron Corp., Senior Notes | 2.236 | % | 5/11/30 | 2,360,000 | 2,474,740 |
See Notes to Financial Statements.
| ||
18 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||||||||||
Chevron Corp., Senior Notes | 2.978 | % | 5/11/40 | 1,870,000 | $ | 2,006,586 | ||||||||||
Chevron Corp., Senior Notes | 3.078 | % | 5/11/50 | 1,780,000 | 1,895,433 | |||||||||||
Cimarex Energy Co., Senior Notes | 3.900 | % | 5/15/27 | 26,499,000 | 26,834,115 | |||||||||||
Cimarex Energy Co., Senior Notes | 4.375 | % | 3/15/29 | 21,819,000 | 22,441,614 | |||||||||||
CNOOC Finance 2015 USA LLC, Senior Notes | 3.500 | % | 5/5/25 | 35,600,000 | 38,872,895 | |||||||||||
Concho Resources Inc., Senior Notes | 4.375 | % | 1/15/25 | 6,173,000 | 6,372,102 | |||||||||||
Concho Resources Inc., Senior Notes | 3.750 | % | 10/1/27 | 14,799,000 | 15,775,241 | |||||||||||
Concho Resources Inc., Senior Notes | 4.300 | % | 8/15/28 | 16,008,000 | 17,581,304 | |||||||||||
Conoco Funding Co., Senior Notes | 7.250 | % | 10/15/31 | 810,000 | 1,173,429 | |||||||||||
ConocoPhillips, Senior Notes | 5.900 | % | 10/15/32 | 10,000 | 13,503 | |||||||||||
ConocoPhillips, Senior Notes | 6.500 | % | 2/1/39 | 40,000 | 58,312 | |||||||||||
ConocoPhillips Co., Senior Notes | 6.950 | % | 4/15/29 | 693,000 | 966,481 | |||||||||||
Continental Resources Inc., Senior Notes | 4.500 | % | 4/15/23 | 15,130,000 | 14,510,124 | |||||||||||
Continental Resources Inc., Senior Notes | 3.800 | % | 6/1/24 | 8,741,000 | 8,196,348 | |||||||||||
Continental Resources Inc., Senior Notes | 4.375 | % | 1/15/28 | 21,189,000 | 18,688,910 | |||||||||||
Continental Resources Inc., Senior Notes | 4.900 | % | 6/1/44 | 2,570,000 | 2,051,927 | |||||||||||
Devon Energy Corp., Senior Notes | 5.850 | % | 12/15/25 | 12,076,000 | 13,340,401 | |||||||||||
Devon Energy Corp., Senior Notes | 5.600 | % | 7/15/41 | 9,920,000 | 9,696,042 | |||||||||||
Devon Energy Corp., Senior Notes | 4.750 | % | 5/15/42 | 3,537,000 | 3,109,448 | |||||||||||
Devon Energy Corp., Senior Notes | 5.000 | % | 6/15/45 | 38,990,000 | 34,717,623 | |||||||||||
Diamondback Energy Inc., Senior Notes | 5.375 | % | 5/31/25 | 8,210,000 | 8,456,817 | |||||||||||
Diamondback Energy Inc., Senior Notes | 3.250 | % | 12/1/26 | 430,000 | 432,946 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 19 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||||||||||
Diamondback Energy Inc., Senior Notes | 3.500 | % | 12/1/29 | 7,622,000 | $ | 7,397,077 | ||||||||||
Ecopetrol SA, Senior Notes | 5.875 | % | 5/28/45 | 27,530,000 | 29,052,271 | |||||||||||
Energy Transfer Operating LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%) | 6.750 | % | 5/15/25 | 10,138,000 | 8,533,560 | (b)(c) | ||||||||||
Energy Transfer Operating LP, Senior Notes | 2.900 | % | 5/15/25 | 11,430,000 | 11,690,289 | |||||||||||
Energy Transfer Operating LP, Senior Notes | 4.950 | % | 6/15/28 | 4,888,000 | 5,252,570 | |||||||||||
Energy Transfer Operating LP, Senior Notes | 5.250 | % | 4/15/29 | 4,100,000 | 4,495,682 | |||||||||||
Energy Transfer Operating LP, Senior Notes | 3.750 | % | 5/15/30 | 39,330,000 | 39,144,605 | |||||||||||
Energy Transfer Operating LP, Senior Notes | 6.250 | % | 4/15/49 | 3,890,000 | 4,129,455 | |||||||||||
Energy Transfer Partners LP/ Regency Energy Finance Corp., Senior Notes | 5.875 | % | 3/1/22 | 5,781,000 | 6,102,458 | |||||||||||
Energy Transfer Partners LP/ Regency Energy Finance Corp., Senior Notes | 4.500 | % | 11/1/23 | 510,000 | 548,071 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 4.150 | % | 10/16/28 | 26,093,000 | 29,783,298 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 3.125 | % | 7/31/29 | 8,650,000 | 9,276,916 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 2.800 | % | 1/31/30 | 32,967,000 | 34,403,484 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 7.550 | % | 4/15/38 | 1,030,000 | 1,430,512 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 4.850 | % | 3/15/44 | 970,000 | 1,126,996 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 4.800 | % | 2/1/49 | 1,680,000 | 2,010,503 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 4.200 | % | 1/31/50 | 3,370,000 | 3,776,522 | |||||||||||
Enterprise Products Operating LLC, Senior Notes | 3.700 | % | 1/31/51 | 8,477,000 | 8,919,391 |
See Notes to Financial Statements.
| ||
20 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||||||||||
Enterprise Products Operating LLC, Senior Notes | 3.950 | % | 1/31/60 | 6,940,000 | $ | 7,224,150 | ||||||||||
EOG Resources Inc., Senior Notes | 4.150 | % | 1/15/26 | 6,442,000 | 7,420,047 | |||||||||||
EOG Resources Inc., Senior Notes | 4.375 | % | 4/15/30 | 3,690,000 | 4,411,104 | |||||||||||
EOG Resources Inc., Senior Notes | 3.900 | % | 4/1/35 | 12,960,000 | 15,150,199 | |||||||||||
EOG Resources Inc., Senior Notes | 4.950 | % | 4/15/50 | 4,310,000 | 5,521,197 | |||||||||||
Exxon Mobil Corp., Senior Notes | 1.571 | % | 4/15/23 | 2,460,000 | 2,526,461 | |||||||||||
Exxon Mobil Corp., Senior Notes | 2.992 | % | 3/19/25 | 37,170,000 | 40,402,527 | |||||||||||
Exxon Mobil Corp., Senior Notes | 3.043 | % | 3/1/26 | 11,540,000 | 12,691,584 | |||||||||||
Exxon Mobil Corp., Senior Notes | 3.482 | % | 3/19/30 | 13,120,000 | 14,961,888 | |||||||||||
Exxon Mobil Corp., Senior Notes | 4.114 | % | 3/1/46 | 22,720,000 | 27,381,036 | |||||||||||
Exxon Mobil Corp., Senior Notes | 4.327 | % | 3/19/50 | 1,800,000 | 2,255,145 | |||||||||||
KazMunayGas National Co. JSC, Senior Notes | 5.375 | % | 4/24/30 | 2,050,000 | 2,327,006 | (a) | ||||||||||
KazMunayGas National Co. JSC, Senior Notes | 6.375 | % | 10/24/48 | 7,310,000 | 9,243,422 | (a) | ||||||||||
Kinder Morgan Energy Partners LP, Senior Notes | 3.500 | % | 3/1/21 | 4,510,000 | 4,566,748 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes | 7.300 | % | 8/15/33 | 1,497,000 | 1,977,594 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes | 6.550 | % | 9/15/40 | 1,450,000 | 1,844,203 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes | 6.375 | % | 3/1/41 | 1,720,000 | 2,118,891 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes | 5.500 | % | 3/1/44 | 1,260,000 | 1,494,896 | |||||||||||
Kinder Morgan Energy Partners LP, Senior Notes | 5.400 | % | 9/1/44 | 680,000 | 817,446 | |||||||||||
Kinder Morgan Inc., Senior Notes | 4.300 | % | 6/1/25 | 2,820,000 | 3,165,903 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 21 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||||||||||
Kinder Morgan Inc., Senior Notes | 7.800 | % | 8/1/31 | 3,276,000 | $ | 4,451,547 | ||||||||||
Kinder Morgan Inc., Senior Notes | 5.550 | % | 6/1/45 | 7,860,000 | 9,608,514 | |||||||||||
Kinder Morgan Inc., Senior Notes | 5.050 | % | 2/15/46 | 4,650,000 | 5,358,494 | |||||||||||
Kinder Morgan Inc., Senior Notes | 5.200 | % | 3/1/48 | 8,770,000 | 10,580,103 | |||||||||||
MPLX LP, Senior Notes | 4.875 | % | 12/1/24 | 9,800,000 | 10,890,722 | |||||||||||
MPLX LP, Senior Notes | 4.875 | % | 6/1/25 | 7,870,000 | 8,794,370 | |||||||||||
MPLX LP, Senior Notes | 4.800 | % | 2/15/29 | 8,850,000 | 9,852,241 | |||||||||||
MPLX LP, Senior Notes | 4.500 | % | 4/15/38 | 11,800,000 | 11,816,312 | |||||||||||
MPLX LP, Senior Notes | 4.700 | % | 4/15/48 | 11,880,000 | 12,010,644 | |||||||||||
MPLX LP, Senior Notes | 5.500 | % | 2/15/49 | 9,296,000 | 10,317,468 | |||||||||||
Noble Energy Inc., Senior Notes | 3.850 | % | 1/15/28 | 19,795,000 | 19,137,343 | |||||||||||
Noble Energy Inc., Senior Notes | 5.250 | % | 11/15/43 | 6,205,000 | 5,786,853 | |||||||||||
Noble Energy Inc., Senior Notes | 5.050 | % | 11/15/44 | 1,741,000 | 1,587,196 | |||||||||||
Noble Energy Inc., Senior Notes | 4.950 | % | 8/15/47 | 2,370,000 | 2,121,048 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 4.850 | % | 3/15/21 | 12,852,000 | 12,811,838 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 2.600 | % | 8/13/21 | 20,250,000 | 19,844,494 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 3.125 | % | 2/15/22 | 5,230,000 | 5,034,921 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 2.700 | % | 8/15/22 | 13,090,000 | 12,210,287 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 6.950 | % | 7/1/24 | 3,107,000 | 3,060,395 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 2.900 | % | 8/15/24 | 21,930,000 | 18,782,387 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 5.550 | % | 3/15/26 | 1,180,000 | 1,079,399 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 3.400 | % | 4/15/26 | 9,455,000 | 7,729,463 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 3.200 | % | 8/15/26 | 19,417,000 | 15,861,262 |
See Notes to Financial Statements.
| ||
22 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||||||||||
Occidental Petroleum Corp., Senior Notes | 3.000 | % | 2/15/27 | 6,400,000 | $ | 4,993,280 | ||||||||||
Occidental Petroleum Corp., Senior Notes | 3.500 | % | 8/15/29 | 60,000 | 43,992 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 7.500 | % | 5/1/31 | 6,470,000 | 6,043,530 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 7.875 | % | 9/15/31 | 4,792,000 | 4,558,414 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 6.450 | % | 9/15/36 | 23,185,000 | 19,711,191 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 4.500 | % | 7/15/44 | 1,880,000 | 1,305,425 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 4.625 | % | 6/15/45 | 5,705,000 | 4,022,025 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 6.600 | % | 3/15/46 | 13,540,000 | 11,845,401 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 4.400 | % | 4/15/46 | 2,710,000 | 1,894,900 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 4.100 | % | 2/15/47 | 16,045,000 | 10,890,544 | |||||||||||
Occidental Petroleum Corp., Senior Notes | 4.200 | % | 3/15/48 | 7,630,000 | 5,176,574 | |||||||||||
Occidental Petroleum Corp., Senior Notes (3 mo. USD LIBOR + 0.950%) | 1.398 | % | 2/8/21 | 21,390,000 | 21,074,588 | (c) | ||||||||||
Petrobras Global Finance BV, Senior Notes | 6.125 | % | 1/17/22 | 3,125,000 | 3,284,422 | |||||||||||
Petrobras Global Finance BV, Senior Notes | 6.250 | % | 3/17/24 | 14,259,000 | 15,274,954 | |||||||||||
Petrobras Global Finance BV, Senior Notes | 5.299 | % | 1/27/25 | 92,550,000 | 96,322,338 | |||||||||||
Petrobras Global Finance BV, Senior Notes | 7.375 | % | 1/17/27 | 7,710,000 | 8,605,092 | |||||||||||
Petrobras Global Finance BV, Senior Notes | 5.750 | % | 2/1/29 | 16,560,000 | 17,030,056 | |||||||||||
Petrobras Global Finance BV, Senior Notes | 7.250 | % | 3/17/44 | 23,200,000 | 25,259,000 | |||||||||||
Petroleos Mexicanos, Senior Notes | 6.875 | % | 8/4/26 | 4,350,000 | 4,111,163 | |||||||||||
Petroleos Mexicanos, Senior Notes | 6.625 | % | 6/15/35 | 14,490,000 | 11,832,027 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 23 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||||||||||
Petroleos Mexicanos, Senior Notes | 5.500 | % | 6/27/44 | 3,860,000 | $ | 2,740,002 | ||||||||||
Petroleos Mexicanos, Senior Notes | 6.375 | % | 1/23/45 | 14,210,000 | 10,626,949 | |||||||||||
QEP Resources Inc., Senior Notes | 6.875 | % | 3/1/21 | 2,920,000 | 2,799,185 | |||||||||||
Range Resources Corp., Senior Notes | 5.875 | % | 7/1/22 | 542,000 | 500,545 | |||||||||||
Range Resources Corp., Senior Notes | 5.000 | % | 3/15/23 | 9,630,000 | 8,311,797 | |||||||||||
Range Resources Corp., Senior Notes | 4.875 | % | 5/15/25 | 5,160,000 | 3,911,925 | |||||||||||
Sabine Pass Liquefaction LLC, Senior Secured Notes | 5.750 | % | 5/15/24 | 2,870,000 | 3,233,652 | |||||||||||
Schlumberger Holdings Corp., Senior Notes | 3.900 | % | 5/17/28 | 5,110,000 | 5,518,537 | (a) | ||||||||||
Shell International Finance BV, Senior Notes | 2.875 | % | 5/10/26 | 5,450,000 | 5,988,025 | |||||||||||
Shell International Finance BV, Senior Notes | 2.750 | % | 4/6/30 | 14,090,000 | 15,308,374 | |||||||||||
Shell International Finance BV, Senior Notes | 6.375 | % | 12/15/38 | 4,655,000 | 6,992,312 | |||||||||||
Shell International Finance BV, Senior Notes | 4.550 | % | 8/12/43 | 6,360,000 | 7,930,215 | |||||||||||
Shell International Finance BV, Senior Notes | 4.375 | % | 5/11/45 | 13,770,000 | 16,969,023 | |||||||||||
Shell International Finance BV, Senior Notes | 4.000 | % | 5/10/46 | 8,940,000 | 10,469,522 | |||||||||||
Shell International Finance BV, Senior Notes | 3.750 | % | 9/12/46 | 690,000 | 779,437 | |||||||||||
Shell International Finance BV, Senior Notes | 3.250 | % | 4/6/50 | 22,710,000 | 24,263,191 | |||||||||||
Sinopec Group Overseas Development 2014 Ltd., Senior Notes | 4.375 | % | 4/10/24 | 17,660,000 | 19,498,838 | (a) | ||||||||||
Southern Natural Gas Co. LLC, Senior Notes | 8.000 | % | 3/1/32 | 9,413,000 | 13,673,416 | |||||||||||
Sunoco Logistics Partners Operations LP, Senior Notes | 5.300 | % | 4/1/44 | 1,170,000 | 1,122,788 |
See Notes to Financial Statements.
| ||
24 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||||||||||
Targa Resources Partners LP/ Targa Resources Partners Finance Corp., Senior Notes | 4.250 | % | 11/15/23 | 3,510,000 | $ | 3,361,194 | ||||||||||
Targa Resources Partners LP/ Targa Resources Partners Finance Corp., Senior Notes | 5.875 | % | 4/15/26 | 1,845,000 | 1,830,867 | |||||||||||
Targa Resources Partners LP/ Targa Resources Partners Finance Corp., Senior Notes | 5.375 | % | 2/1/27 | 1,300,000 | 1,257,510 | |||||||||||
Targa Resources Partners LP/ Targa Resources Partners Finance Corp., Senior Notes | 6.500 | % | 7/15/27 | 4,230,000 | 4,251,150 | |||||||||||
Targa Resources Partners LP/ Targa Resources Partners Finance Corp., Senior Notes | 6.875 | % | 1/15/29 | 2,120,000 | 2,227,325 | |||||||||||
Tennessee Gas Pipeline Co. LLC, Senior Notes | 2.900 | % | 3/1/30 | 18,290,000 | 18,782,932 | (a) | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 7.850 | % | 2/1/26 | 34,600,000 | 45,088,389 | |||||||||||
Western Midstream Operating LP, Senior Notes | 3.100 | % | 2/1/25 | 9,840,000 | 9,358,430 | |||||||||||
Western Midstream Operating LP, Senior Notes | 4.500 | % | 3/1/28 | 2,363,000 | 2,221,220 | |||||||||||
Western Midstream Operating LP, Senior Notes | 4.050 | % | 2/1/30 | 49,825,000 | 48,149,634 | |||||||||||
Western Midstream Operating LP, Senior Notes | 5.500 | % | 8/15/48 | 1,170,000 | 953,550 | |||||||||||
Western Midstream Operating LP, Senior Notes | 5.250 | % | 2/1/50 | 6,340,000 | 5,517,353 | |||||||||||
Western Midstream Operating LP, Senior Notes (3 mo. USD LIBOR + 0.850%) | 2.161 | % | 1/13/23 | 3,870,000 | 3,553,012 | (c) | ||||||||||
Williams Cos. Inc., Senior Notes | 7.875 | % | 9/1/21 | 7,903,000 | 8,498,859 | |||||||||||
Williams Cos. Inc., Senior Notes | 3.700 | % | 1/15/23 | 3,960,000 | 4,189,980 | |||||||||||
Williams Cos. Inc., Senior Notes | 4.550 | % | 6/24/24 | 1,790,000 | 1,986,941 | |||||||||||
Williams Cos. Inc., Senior Notes | 3.750 | % | 6/15/27 | 5,450,000 | 5,838,312 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 25 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||||||||||
Williams Cos. Inc., Senior Notes | 7.500 | % | 1/15/31 | 4,249,000 | $ | 5,447,422 | ||||||||||
Williams Cos. Inc., Senior Notes | 7.750 | % | 6/15/31 | 6,418,000 | 8,308,676 | |||||||||||
Williams Cos. Inc., Senior Notes | 8.750 | % | 3/15/32 | 3,035,000 | 4,505,985 | |||||||||||
Williams Cos. Inc., Senior Notes | 5.750 | % | 6/24/44 | 900,000 | 1,043,733 | |||||||||||
Williams Cos. Inc., Senior Notes | 4.850 | % | 3/1/48 | 8,529,000 | 9,344,031 | |||||||||||
WPX Energy Inc., Senior Notes | 6.000 | % | 1/15/22 | 270,000 | 272,299 | |||||||||||
WPX Energy Inc., Senior Notes | 8.250 | % | 8/1/23 | 1,440,000 | 1,603,649 | |||||||||||
WPX Energy Inc., Senior Notes | 5.250 | % | 10/15/27 | 1,920,000 | 1,796,885 | |||||||||||
WPX Energy Inc., Senior Notes | 4.500 | % | 1/15/30 | 1,728,000 | 1,524,001 | |||||||||||
Total Oil, Gas & Consumable Fuels |
| 1,717,344,914 | ||||||||||||||
Total Energy | 1,732,337,958 | |||||||||||||||
Financials — 12.3% | ||||||||||||||||
Banks — 9.4% | ||||||||||||||||
ABN AMRO Bank NV, Subordinated Notes | 4.750 | % | 7/28/25 | 8,210,000 | 9,078,602 | (a) | ||||||||||
BAC Capital Trust XIV, Junior Subordinated Notes (the greater of 3 mo. USD LIBOR + 0.400% or 4.000%) | 4.000 | % | 7/16/20 | 14,210,000 | 12,725,836 | (b)(c) | ||||||||||
Banco Santander SA, Senior Notes | 3.848 | % | 4/12/23 | 8,600,000 | 9,163,520 | |||||||||||
Banco Santander SA, Senior Notes | 2.746 | % | 5/28/25 | 43,500,000 | 45,131,407 | |||||||||||
Banco Santander SA, Senior Notes | 4.379 | % | 4/12/28 | 28,000,000 | 31,304,809 | |||||||||||
Banco Santander SA, Senior Notes (3 mo. USD LIBOR + 1.120%) | 2.431 | % | 4/12/23 | 6,200,000 | 6,109,882 | (c) | ||||||||||
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 | 910,000 | 960,682 | (b)(c) | ||||||||||
Bank of America Corp., Senior Notes | 3.300 | % | 1/11/23 | 28,960,000 | 30,919,643 | |||||||||||
Bank of America Corp., Senior Notes | 4.125 | % | 1/22/24 | 230,000 | 255,585 |
See Notes to Financial Statements.
| ||
26 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
Bank of America Corp., Senior Notes | 4.000 | % | 4/1/24 | 13,890,000 | $ | 15,426,115 | ||||||||||
Bank of America Corp., Senior Notes | 3.500 | % | 4/19/26 | 16,160,000 | 18,204,896 | |||||||||||
Bank of America Corp., Senior Notes | 5.000 | % | 1/21/44 | 33,160,000 | 45,787,889 | |||||||||||
Bank of America Corp., Senior Notes (1.319% to 6/19/25 then SOFR + 1.150%) | 1.319 | % | 6/19/26 | 33,540,000 | 33,667,581 | (c) | ||||||||||
Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%) | 2.592 | % | 4/29/31 | 16,180,000 | 17,158,039 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.004% to 12/20/22 then 3 mo. USD LIBOR + 0.790%) | 3.004 | % | 12/20/23 | 39,972,000 | 42,007,038 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.419% to 12/20/27 then 3 mo. USD LIBOR + 1.040%) | 3.419 | % | 12/20/28 | 27,181,000 | 30,295,740 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.550% to 3/5/23 then 3 mo. USD LIBOR + 0.780%) | 3.550 | % | 3/5/24 | 20,980,000 | 22,435,468 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.593% to 7/21/27 then 3 mo. USD LIBOR + 1.370%) | 3.593 | % | 7/21/28 | 7,230,000 | 8,108,705 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.970% to 3/5/28 then 3 mo. USD LIBOR + 1.070%) | 3.970 | % | 3/5/29 | 85,750,000 | 98,373,466 | (c) | ||||||||||
Bank of America Corp., Senior Notes (3.974% to 2/7/29 then 3 mo. USD LIBOR + 1.210%) | 3.974 | % | 2/7/30 | 8,130,000 | 9,473,044 | (c) | ||||||||||
Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. USD LIBOR + 3.150%) | 4.083 | % | 3/20/51 | 52,790,000 | 66,457,521 | (c) | ||||||||||
Bank of America Corp., Senior Notes (4.330% to 3/15/49 then 3 mo. USD LIBOR + 1.520%) | 4.330 | % | 3/15/50 | 7,370,000 | 9,541,400 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 27 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
Bank of America Corp., Subordinated Notes | 4.200 | % | 8/26/24 | 14,080,000 | $ | 15,640,607 | ||||||||||
Bank of America Corp., Subordinated Notes | 4.000 | % | 1/22/25 | 4,300,000 | 4,751,717 | |||||||||||
Bank of America Corp., Subordinated Notes | 4.450 | % | 3/3/26 | 3,050,000 | 3,513,973 | |||||||||||
Bank of America Corp., Subordinated Notes | 4.250 | % | 10/22/26 | 14,500,000 | 16,646,305 | |||||||||||
Bank of Montreal, Senior Notes | 1.850 | % | 5/1/25 | 26,710,000 | 27,671,979 | |||||||||||
Bank of Montreal, Subordinated Notes (3.803% to 12/15/27 then USD 5 year ICE Swap Rate + 1.432%) | 3.803 | % | 12/15/32 | 3,780,000 | 4,071,532 | (c) | ||||||||||
Bank of Nova Scotia, Senior Notes | 1.300 | % | 6/11/25 | 14,860,000 | 14,970,257 | |||||||||||
Banque Federative du Credit Mutuel SA, Senior Notes | 2.200 | % | 7/20/20 | 5,000,000 | 5,004,338 | (a) | ||||||||||
Barclays Bank PLC, Senior Notes | 1.700 | % | 5/12/22 | 11,260,000 | 11,465,238 | |||||||||||
Barclays PLC, Senior Notes (4.972% to 5/16/28 then 3 mo. USD LIBOR + 1.902%) | 4.972 | % | 5/16/29 | 10,900,000 | 12,779,374 | (c) | ||||||||||
Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + 3.054%) | 5.088 | % | 6/20/30 | 65,350,000 | 74,240,492 | (c) | ||||||||||
BNP Paribas SA, Senior Notes | 3.375 | % | 1/9/25 | 6,895,000 | 7,461,808 | (a) | ||||||||||
BNP Paribas SA, Senior Notes | 4.400 | % | 8/14/28 | 46,530,000 | 53,709,507 | (a) | ||||||||||
BNP Paribas SA, Senior Notes (2.219% to 6/9/25 then SOFR + 2.074%) | 2.219 | % | 6/9/26 | 17,970,000 | 18,423,052 | (a)(c) | ||||||||||
BNP Paribas SA, Senior Notes (4.705% to 1/10/24 then 3 mo. USD LIBOR + 2.235%) | 4.705 | % | 1/10/25 | 51,040,000 | 56,546,987 | (a)(c) | ||||||||||
BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. USD LIBOR + 2.567%) | 5.198 | % | 1/10/30 | 16,350,000 | 20,035,881 | (a)(c) | ||||||||||
BNP Paribas SA, Subordinated Notes | 4.625 | % | 3/13/27 | 9,790,000 | 10,986,615 | (a) |
See Notes to Financial Statements.
| ||
28 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
BNP Paribas SA, Subordinated Notes (4.375% to 3/1/28 then USD 5 year ICE Swap Rate + 1.483%) | 4.375 | % | 3/1/33 | 6,530,000 | $ | 7,284,609 | (a)(c) | |||||||||
BPCE SA, Subordinated Notes | 5.150 | % | 7/21/24 | 3,300,000 | 3,686,891 | (a) | ||||||||||
Canadian Imperial Bank of Commerce, Senior Notes | 0.950 | % | 6/23/23 | 15,070,000 | 15,127,401 | |||||||||||
CIT Group Inc., Senior Notes | 4.750 | % | 2/16/24 | 7,040,000 | 7,151,478 | |||||||||||
CIT Group Inc., Senior Notes | 5.250 | % | 3/7/25 | 5,730,000 | 5,951,436 | |||||||||||
Citigroup Inc., Junior Subordinated Notes (5.950% to 1/30/23 then 3 mo. USD LIBOR + 4.068%) | 5.950 | % | 1/30/23 | 6,050,000 | 6,057,057 | (b)(c) | ||||||||||
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%) | 5.950 | % | 5/15/25 | 26,100,000 | 25,965,170 | (b)(c) | ||||||||||
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%) | 6.300 | % | 5/15/24 | 3,700,000 | 3,709,009 | (b)(c) | ||||||||||
Citigroup Inc., Senior Notes | 8.125 | % | 7/15/39 | 2,195,000 | 3,805,901 | |||||||||||
Citigroup Inc., Senior Notes | 4.650 | % | 7/30/45 | 24,812,000 | 32,041,359 | |||||||||||
Citigroup Inc., Senior Notes | 4.650 | % | 7/23/48 | 3,000,000 | 3,933,474 | |||||||||||
Citigroup Inc., Senior Notes (1.678% to 5/15/23 then SOFR + 1.667%) | 1.678 | % | 5/15/24 | 15,430,000 | 15,748,424 | (c) | ||||||||||
Citigroup Inc., Senior Notes (2.572% to 6/3/30 then SOFR + 2.107%) | 2.572 | % | 6/3/31 | 27,480,000 | 28,458,788 | (c) | ||||||||||
Citigroup Inc., Senior Notes (2.666% to 1/29/30 then SOFR + 1.146%) | 2.666 | % | 1/29/31 | 20,000,000 | 20,791,331 | (c) | ||||||||||
Citigroup Inc., Senior Notes (3.106% to 4/8/25 then SOFR + 2.750%) | 3.106 | % | 4/8/26 | 10,730,000 | 11,561,480 | (c) | ||||||||||
Citigroup Inc., Senior Notes (3.520% to 10/27/27 then 3 mo. USD LIBOR + 1.151%) | 3.520 | % | 10/27/28 | 65,050,000 | 71,734,892 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 29 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
Citigroup Inc., Senior Notes (3.980% to 3/20/29 then 3 mo. USD LIBOR + 1.338%) | 3.980 | % | 3/20/30 | 7,640,000 | $ | 8,786,244 | (c) | |||||||||
Citigroup Inc., Senior Notes (4.075% to 4/23/28 then 3 mo. USD LIBOR + 1.192%) | 4.075 | % | 4/23/29 | 16,280,000 | 18,586,016 | (c) | ||||||||||
Citigroup Inc., Senior Notes (4.412% to 3/31/30 then SOFR + 3.914%) | 4.412 | % | 3/31/31 | 18,680,000 | 22,191,139 | (c) | ||||||||||
Citigroup Inc., Subordinated Notes | 4.050 | % | 7/30/22 | 704,000 | 746,866 | |||||||||||
Citigroup Inc., Subordinated Notes | 4.400 | % | 6/10/25 | 19,090,000 | 21,391,455 | |||||||||||
Citigroup Inc., Subordinated Notes | 5.500 | % | 9/13/25 | 25,260,000 | 29,988,330 | |||||||||||
Citigroup Inc., Subordinated Notes | 4.300 | % | 11/20/26 | 11,500,000 | 13,079,585 | |||||||||||
Citigroup Inc., Subordinated Notes | 4.450 | % | 9/29/27 | 36,920,000 | 42,176,807 | |||||||||||
Citigroup Inc., Subordinated Notes | 6.625 | % | 6/15/32 | 1,660,000 | 2,278,105 | |||||||||||
Citigroup Inc., Subordinated Notes | 6.125 | % | 8/25/36 | 133,000 | 177,332 | |||||||||||
Citigroup Inc., Subordinated Notes | 6.675 | % | 9/13/43 | 2,824,000 | 4,365,289 | |||||||||||
Citigroup Inc., Subordinated Notes | 5.300 | % | 5/6/44 | 1,789,000 | 2,376,801 | |||||||||||
Citigroup Inc., Subordinated Notes | 4.750 | % | 5/18/46 | 2,080,000 | 2,650,059 | |||||||||||
Cooperatieve Rabobank UA, Senior Notes | 4.625 | % | 12/1/23 | 24,060,000 | 26,561,529 | |||||||||||
Cooperatieve Rabobank UA, Senior Notes | 4.375 | % | 8/4/25 | 32,450,000 | 36,547,655 | |||||||||||
Cooperatieve Rabobank UA, Senior Notes | 5.250 | % | 8/4/45 | 8,420,000 | 11,545,120 | |||||||||||
Cooperatieve Rabobank UA, Senior Notes (1.339% to 6/24/25 then 1 year Treasury Constant Maturity Rate + 1.000%) | 1.339 | % | 6/24/26 | 33,050,000 | 33,155,388 | (a)(c) |
See Notes to Financial Statements.
| ||
30 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
Credit Agricole SA, Senior Notes (1.907% to 6/16/25 then SOFR + 1.676%) | 1.907 | % | 6/16/26 | 11,750,000 | $ | 11,935,566 | (a)(c) | |||||||||
Credit Agricole SA, Subordinated Notes (4.000% to 1/10/28 then USD 5 year ICE Swap Rate + 1.644%) | 4.000 | % | 1/10/33 | 10,180,000 | 11,219,266 | (a)(c) | ||||||||||
Danske Bank A/S, Senior Notes | 5.000 | % | 1/12/22 | 31,300,000 | 32,898,686 | (a) | ||||||||||
Danske Bank A/S, Senior Notes | 3.875 | % | 9/12/23 | 3,510,000 | 3,725,099 | (a) | ||||||||||
Danske Bank A/S, Senior Notes | 5.375 | % | 1/12/24 | 18,650,000 | 20,777,720 | (a) | ||||||||||
Danske Bank A/S, Senior Notes | 1.226 | % | 6/22/24 | 18,620,000 | 18,684,270 | (a) | ||||||||||
Danske Bank A/S, Senior Notes (3.001% to 9/20/21 then 3 mo. USD LIBOR + 1.249%) | 3.001 | % | 9/20/22 | 11,830,000 | 12,019,680 | (a)(c) | ||||||||||
Danske Bank A/S, Senior Notes (3.244% to 12/20/24 then 3 mo. USD LIBOR + 1.591%) | 3.244 | % | 12/20/25 | 5,370,000 | 5,589,763 | (a)(c) | ||||||||||
HSBC Bank USA NA, Subordinated Notes | 4.875 | % | 8/24/20 | 17,967,000 | 18,081,309 | |||||||||||
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 | 11,830,000 | 11,747,072 | (b)(c) | ||||||||||
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 | 24,390,000 | 25,050,115 | (b)(c) | ||||||||||
HSBC Holdings PLC, Senior Notes | 4.300 | % | 3/8/26 | 1,750,000 | 1,976,917 | |||||||||||
HSBC Holdings PLC, Senior Notes | 3.900 | % | 5/25/26 | 13,485,000 | 14,983,183 | |||||||||||
HSBC Holdings PLC, Senior Notes | 4.950 | % | 3/31/30 | 4,880,000 | 5,877,621 | |||||||||||
HSBC Holdings PLC, Senior Notes (2.099% to 6/4/25 then SOFR + 1.929%) | 2.099 | % | 6/4/26 | 30,080,000 | 30,425,943 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 31 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
HSBC Holdings PLC, Senior Notes (2.848% to 6/4/30 then SOFR + 2.387%) | 2.848 | % | 6/4/31 | 26,490,000 | $ | 27,109,552 | (c) | |||||||||
HSBC Holdings PLC, Senior Notes (3.973% to 5/22/29 then 3 mo. USD LIBOR + 1.610%) | 3.973 | % | 5/22/30 | 28,460,000 | 31,617,165 | (c) | ||||||||||
HSBC Holdings PLC, Senior Notes (4.583% to 6/19/28 then 3 mo. USD LIBOR + 1.535%) | 4.583 | % | 6/19/29 | 47,560,000 | 54,984,335 | (c) | ||||||||||
HSBC Holdings PLC, Subordinated Notes | 4.250 | % | 3/14/24 | 8,270,000 | 8,927,424 | |||||||||||
HSBC Holdings PLC, Subordinated Notes | 4.250 | % | 8/18/25 | 17,750,000 | 19,387,974 | |||||||||||
Intesa Sanpaolo SpA, Senior Notes | 3.125 | % | 7/14/22 | 13,100,000 | 13,354,043 | (a) | ||||||||||
Intesa Sanpaolo SpA, Senior Notes | 3.375 | % | 1/12/23 | 17,880,000 | 18,403,186 | (a) | ||||||||||
Intesa Sanpaolo SpA, Subordinated Notes | 5.017 | % | 6/26/24 | 39,180,000 | 40,167,872 | (a) | ||||||||||
Intesa Sanpaolo SpA, Subordinated Notes | 5.710 | % | 1/15/26 | 10,920,000 | 11,515,200 | (a) | ||||||||||
JPMorgan Chase & Co., Senior Notes | 4.400 | % | 7/22/20 | 10,770,000 | 10,792,942 | |||||||||||
JPMorgan Chase & Co., Senior Notes | 2.550 | % | 3/1/21 | 4,220,000 | 4,272,942 | |||||||||||
JPMorgan Chase & Co., Senior Notes | 4.350 | % | 8/15/21 | 1,780,000 | 1,858,006 | |||||||||||
JPMorgan Chase & Co., Senior Notes | 4.500 | % | 1/24/22 | 9,480,000 | 10,063,257 | |||||||||||
JPMorgan Chase & Co., Senior Notes | 3.625 | % | 5/13/24 | 20,000 | 22,099 | |||||||||||
JPMorgan Chase & Co., Senior Notes (1.514% to 6/1/23 then SOFR + 1.455%) | 1.514 | % | 6/1/24 | 41,130,000 | 41,834,335 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%) | 2.083 | % | 4/22/26 | 24,800,000 | 25,787,217 | (c) |
See Notes to Financial Statements.
| ||
32 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%) | 2.522 | % | 4/22/31 | 13,760,000 | $ | 14,563,662 | (c) | |||||||||
JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%) | 3.109 | % | 4/22/51 | 6,560,000 | 7,098,424 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (3.509% to 1/23/28 then 3 mo. USD LIBOR + 0.945%) | 3.509 | % | 1/23/29 | 29,830,000 | 33,354,242 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (4.023% to 12/5/23 then 3 mo. USD LIBOR + 1.000%) | 4.023 | % | 12/5/24 | 35,640,000 | 39,290,503 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (4.203% to 7/23/28 then 3 mo. USD LIBOR + 1.260%) | 4.203 | % | 7/23/29 | 18,900,000 | 22,182,727 | (c) | ||||||||||
JPMorgan Chase & Co., Senior Notes (4.452% to 12/5/28 then 3 mo. USD LIBOR + 1.330%) | 4.452 | % | 12/5/29 | 7,130,000 | 8,545,066 | (c) | ||||||||||
JPMorgan Chase & Co., Subordinated Notes | 3.875 | % | 9/10/24 | 3,195,000 | 3,544,601 | |||||||||||
JPMorgan Chase & Co., Subordinated Notes | 4.125 | % | 12/15/26 | 14,330,000 | 16,702,247 | |||||||||||
JPMorgan Chase & Co., Subordinated Notes | 4.250 | % | 10/1/27 | 4,050,000 | 4,719,367 | |||||||||||
JPMorgan Chase & Co., Subordinated Notes | 4.950 | % | 6/1/45 | 20,670,000 | 27,851,745 | |||||||||||
Lloyds Bank PLC, Senior Notes | 6.500 | % | 9/14/20 | 100,000 | 100,988 | (a) | ||||||||||
Lloyds Banking Group PLC, Junior Subordinated Notes (7.500% to 9/27/25 then USD 5 year ICE Swap Rate + 4.496%) | 7.500 | % | 9/27/25 | 1,000,000 | 1,038,149 | (b)(c) | ||||||||||
Lloyds Banking Group PLC, Senior Notes | 3.900 | % | 3/12/24 | 10,560,000 | 11,572,176 | |||||||||||
Lloyds Banking Group PLC, Senior Notes | 4.375 | % | 3/22/28 | 14,100,000 | 16,371,640 | |||||||||||
Lloyds Banking Group PLC, Senior Notes | 4.550 | % | 8/16/28 | 200,000 | 234,704 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 33 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
Lloyds Banking Group PLC, Senior Notes (3.574% to 11/7/27 then 3 mo. USD LIBOR + 1.205%) | 3.574 | % | 11/7/28 | 2,261,000 | $ | 2,458,991 | (c) | |||||||||
Lloyds Banking Group PLC, Subordinated Notes | 4.500 | % | 11/4/24 | 15,350,000 | 16,802,614 | |||||||||||
Mitsubishi UFJ Financial Group Inc., Senior Notes | 2.998 | % | 2/22/22 | 7,240,000 | 7,503,421 | |||||||||||
Nordea Bank Abp, Subordinated Notes | 4.875 | % | 5/13/21 | 14,640,000 | 15,135,833 | (a) | ||||||||||
Royal Bank of Canada, Senior Notes | 2.150 | % | 10/26/20 | 9,960,000 | 10,018,226 | |||||||||||
Royal Bank of Canada, Senior Notes | 3.200 | % | 4/30/21 | 11,940,000 | 12,227,209 | |||||||||||
Royal Bank of Canada, Senior Notes | 1.600 | % | 4/17/23 | 20,990,000 | 21,541,295 | |||||||||||
Royal Bank of Canada, Senior Notes | 1.150 | % | 6/10/25 | 14,190,000 | 14,224,587 | |||||||||||
Royal Bank of Scotland Group PLC, Senior Notes (4.269% to 3/22/24 then 3 mo. USD LIBOR + 1.762%) | 4.269 | % | 3/22/25 | 10,710,000 | 11,655,354 | (c) | ||||||||||
Royal Bank of Scotland Group PLC, Senior Notes (4.519% to 6/25/23 then 3 mo. USD LIBOR + 1.550%) | 4.519 | % | 6/25/24 | 10,000,000 | 10,868,341 | (c) | ||||||||||
Royal Bank of Scotland Group PLC, Senior Notes (4.892% to 5/18/28 then 3 mo. USD LIBOR + 1.754%) | 4.892 | % | 5/18/29 | 5,450,000 | 6,425,944 | (c) | ||||||||||
Royal Bank of Scotland Group PLC, Senior Notes (5.076% to 1/27/29 then 3 mo. USD LIBOR + 1.905%) | 5.076 | % | 1/27/30 | 3,000,000 | 3,607,297 | (c) | ||||||||||
Royal Bank of Scotland Group PLC, Subordinated Notes | 6.125 | % | 12/15/22 | 6,229,000 | 6,801,438 | |||||||||||
Royal Bank of Scotland Group PLC, Subordinated Notes | 6.100 | % | 6/10/23 | 12,920,000 | 14,309,034 | |||||||||||
Royal Bank of Scotland Group PLC, Subordinated Notes | 6.000 | % | 12/19/23 | 15,075,000 | 16,896,873 |
See Notes to Financial Statements.
| ||
34 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
Royal Bank of Scotland Group PLC, Subordinated Notes | 5.125 | % | 5/28/24 | 24,180,000 | $ | 26,478,457 | ||||||||||
Santander UK Group Holdings PLC, Subordinated Notes | 5.625 | % | 9/15/45 | 3,560,000 | 4,380,069 | (a) | ||||||||||
Santander UK PLC, Subordinated Notes | 5.000 | % | 11/7/23 | 264,000 | 288,470 | (a) | ||||||||||
Standard Chartered PLC, Subordinated Notes | 5.700 | % | 3/26/44 | 715,000 | 878,925 | (a) | ||||||||||
Sumitomo Mitsui Financial Group Inc., Senior Notes | 2.058 | % | 7/14/21 | 10,680,000 | 10,864,222 | |||||||||||
Svenska Handelsbanken AB, Senior Notes | 3.350 | % | 5/24/21 | 13,040,000 | 13,372,316 | |||||||||||
Swedbank AB, Senior Notes | 1.300 | % | 6/2/23 | 17,500,000 | 17,722,954 | (a) | ||||||||||
Toronto-Dominion Bank, Senior Notes | 3.250 | % | 6/11/21 | 14,710,000 | 15,114,825 | |||||||||||
Toronto-Dominion Bank, Senior Notes | 0.750 | % | 6/12/23 | 27,800,000 | 27,971,952 | |||||||||||
Toronto-Dominion Bank, Senior Notes | 1.150 | % | 6/12/25 | 14,120,000 | 14,299,544 | |||||||||||
UniCredit SpA, Senior Notes | 6.572 | % | 1/14/22 | 30,090,000 | 31,799,037 | (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 | 1,450,000 | 1,648,396 | (a)(c) | ||||||||||
US Bancorp, Senior Notes | 1.450 | % | 5/12/25 | 30,910,000 | 31,873,667 | |||||||||||
US Bank NA, Senior Notes | 3.150 | % | 4/26/21 | 11,950,000 | 12,198,441 | |||||||||||
Wachovia Capital Trust III Ltd., Junior Subordinated Bonds (the greater of 3 mo. USD LIBOR + 0.930% or 5.570%) | 5.570 | % | 7/31/20 | 38,861,000 | 38,640,269 | (b)(c) | ||||||||||
Wells Fargo & Co., Junior Subordinated Notes | 5.950 | % | 12/15/36 | 5,612,000 | 6,761,142 | |||||||||||
Wells Fargo & Co., Senior Notes | 4.600 | % | 4/1/21 | 13,950,000 | 14,382,685 | |||||||||||
Wells Fargo & Co., Senior Notes | 3.750 | % | 1/24/24 | 11,840,000 | 12,945,447 | |||||||||||
Wells Fargo & Co., Senior Notes | 3.000 | % | 10/23/26 | 29,510,000 | 32,186,936 | |||||||||||
Wells Fargo & Co., Senior Notes | 4.150 | % | 1/24/29 | 23,420,000 | 27,582,991 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 35 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
Wells Fargo & Co., Senior Notes (1.654% to 6/2/23 then SOFR + 1.600%) | 1.654 | % | 6/2/24 | 18,940,000 | $ | 19,247,671 | (c) | |||||||||
Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%) | 2.188 | % | 4/30/26 | 25,380,000 | 26,272,155 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (2.393% to 6/2/27 then SOFR + 2.100%) | 2.393 | % | 6/2/28 | 27,690,000 | 28,637,039 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (2.879% to 10/30/29 then 3 mo. USD LIBOR + 1.170%) | 2.879 | % | 10/30/30 | 5,770,000 | 6,177,775 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (3.584% to 5/22/27 then 3 mo. USD LIBOR + 1.310%) | 3.584 | % | 5/22/28 | 23,440,000 | 26,031,473 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (4.478% to 4/4/30 then 3 mo. USD LIBOR + 3.770%) | 4.478 | % | 4/4/31 | 10,920,000 | 13,227,187 | (c) | ||||||||||
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. USD LIBOR + 4.240%) | 5.013 | % | 4/4/51 | 159,160,000 | 221,888,048 | (c) | ||||||||||
Wells Fargo & Co., Subordinated Notes | 3.450 | % | 2/13/23 | 6,860,000 | 7,287,298 | |||||||||||
Wells Fargo & Co., Subordinated Notes | 4.480 | % | 1/16/24 | 1,802,000 | 2,001,777 | |||||||||||
Wells Fargo & Co., Subordinated Notes | 4.300 | % | 7/22/27 | 29,690,000 | 34,104,549 | |||||||||||
Wells Fargo & Co., Subordinated Notes | 5.375 | % | 11/2/43 | 8,140,000 | 11,062,497 | |||||||||||
Wells Fargo & Co., Subordinated Notes | 5.606 | % | 1/15/44 | 1,840,000 | 2,541,609 | |||||||||||
Wells Fargo & Co., Subordinated Notes | 4.650 | % | 11/4/44 | 20,450,000 | 25,366,696 | |||||||||||
Wells Fargo & Co., Subordinated Notes | 4.900 | % | 11/17/45 | 16,404,000 | 21,095,519 | |||||||||||
Wells Fargo & Co., Subordinated Notes | 4.400 | % | 6/14/46 | 3,070,000 | 3,666,649 |
See Notes to Financial Statements.
| ||
36 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Banks — continued | ||||||||||||||||
Wells Fargo & Co., Subordinated Notes | 4.750 | % | 12/7/46 | 22,515,000 | $ | 28,903,022 | ||||||||||
Westpac Banking Corp., Senior Notes | 2.600 | % | 11/23/20 | 12,004,000 | 12,106,639 | |||||||||||
Total Banks | 3,213,863,755 | |||||||||||||||
Capital Markets — 2.3% | ||||||||||||||||
Bank of New York Mellon Corp., Senior Notes | 1.600 | % | 4/24/25 | 8,130,000 | 8,428,465 | |||||||||||
CME Group Inc., Senior Notes | 5.300 | % | 9/15/43 | 4,500,000 | 6,607,852 | |||||||||||
Credit Suisse AG, Senior Notes | 2.950 | % | 4/9/25 | 13,780,000 | 14,971,897 | |||||||||||
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 | 2,000,000 | 2,079,210 | (a)(b)(c) | ||||||||||
Credit Suisse Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%) | 2.193 | % | 6/5/26 | 42,045,000 | 42,632,657 | (a)(c) | ||||||||||
Credit Suisse Group AG, Senior Notes (2.593% to 9/11/24 then SOFR + 1.560%) | 2.593 | % | 9/11/25 | 6,450,000 | 6,674,423 | (a)(c) | ||||||||||
Credit Suisse Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%) | 4.194 | % | 4/1/31 | 13,870,000 | 15,854,804 | (a)(c) | ||||||||||
Credit Suisse Group Funding Guernsey Ltd., Senior Notes | 4.550 | % | 4/17/26 | 3,720,000 | 4,280,791 | |||||||||||
Credit Suisse Group Funding Guernsey Ltd., Senior Notes | 4.875 | % | 5/15/45 | 3,285,000 | 4,394,012 | |||||||||||
Goldman Sachs Capital II, Junior Subordinated Notes (3 mo. USD LIBOR + 0.768%, 4.000% floor) | 4.000 | % | 7/31/20 | 413,000 | 348,264 | (b)(c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes | 5.250 | % | 7/27/21 | 5,320,000 | 5,587,211 | |||||||||||
Goldman Sachs Group Inc., Senior Notes | 3.200 | % | 2/23/23 | 12,610,000 | 13,384,848 | |||||||||||
Goldman Sachs Group Inc., Senior Notes | 4.000 | % | 3/3/24 | 5,100,000 | 5,641,456 | |||||||||||
Goldman Sachs Group Inc., Senior Notes | 3.850 | % | 7/8/24 | 5,410,000 | 5,968,106 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 37 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Capital Markets — continued | ||||||||||||||||
Goldman Sachs Group Inc., Senior Notes | 3.500 | % | 1/23/25 | 10,000,000 | $ | 10,899,708 | ||||||||||
Goldman Sachs Group Inc., Senior Notes | 3.500 | % | 4/1/25 | 16,970,000 | 18,627,900 | |||||||||||
Goldman Sachs Group Inc., Senior Notes | 3.500 | % | 11/16/26 | 10,633,000 | 11,702,390 | |||||||||||
Goldman Sachs Group Inc., Senior Notes | 6.250 | % | 2/1/41 | 29,580,000 | 44,408,836 | |||||||||||
Goldman Sachs Group Inc., Senior Notes | 4.750 | % | 10/21/45 | 20,030,000 | 26,203,746 | |||||||||||
Goldman Sachs Group Inc., Senior Notes (2.876% to 10/31/21 then 3 mo. USD LIBOR + 0.821%) | 2.876 | % | 10/31/22 | 34,600,000 | 35,481,826 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (3.691% to 6/5/27 then 3 mo. USD LIBOR + 1.510%) | 3.691 | % | 6/5/28 | 5,760,000 | 6,456,398 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (3.814% to 4/23/28 then 3 mo. USD LIBOR + 1.158%) | 3.814 | % | 4/23/29 | 68,385,000 | 77,358,856 | (c) | ||||||||||
Goldman Sachs Group Inc., Senior Notes (4.223% to 5/1/28 then 3 mo. USD LIBOR + 1.301%) | 4.223 | % | 5/1/29 | 21,650,000 | 25,206,573 | (c) | ||||||||||
Goldman Sachs Group Inc., Subordinated Notes | 4.250 | % | 10/21/25 | 24,160,000 | 27,216,283 | |||||||||||
Goldman Sachs Group Inc., Subordinated Notes | 6.750 | % | 10/1/37 | 8,640,000 | 12,593,117 | |||||||||||
Goldman Sachs Group Inc., Subordinated Notes | 5.150 | % | 5/22/45 | 21,841,000 | 28,843,055 | |||||||||||
KKR Group Finance Co. II LLC, Senior Notes | 5.500 | % | 2/1/43 | 1,398,000 | 1,724,455 | (a) | ||||||||||
Lehman Brothers Holdings Capital Trust VII, Junior Subordinated Notes | 5.857 | % | 7/31/20 | 5,550,000 | 0 | *(b)(d)(e)(f)(g) | ||||||||||
Lehman Brothers Holdings E-Capital Trust I, Junior Subordinated Notes | 1.082 | % | 8/19/65 | 190,000 | 0 | *(d)(e)(f)(g) |
See Notes to Financial Statements.
| ||
38 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Capital Markets — continued | ||||||||||||||||
Lehman Brothers Holdings Inc., Junior Subordinated Notes | 6.500 | % | 7/19/17 | 5,280,000 | $ | 0 | *(e)(f)(g)(h) | |||||||||
Lehman Brothers Holdings Inc., Subordinated Notes | 6.750 | % | 12/28/17 | 1,070,000 | 0 | *(e)(f)(g)(h) | ||||||||||
Morgan Stanley, Senior Notes | 5.500 | % | 7/24/20 | 1,710,000 | 1,715,251 | |||||||||||
Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) | 2.188 | % | 4/28/26 | 39,580,000 | 41,258,266 | (c) | ||||||||||
Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%) | 2.699 | % | 1/22/31 | 26,340,000 | 27,936,938 | (c) | ||||||||||
Morgan Stanley, Senior Notes (3.622% to 4/1/30 then SOFR + 3.120%) | 3.622 | % | 4/1/31 | 42,910,000 | 49,121,454 | (c) | ||||||||||
Morgan Stanley, Senior Notes (3.772% to 1/24/28 then 3 mo. USD LIBOR + 1.140%) | 3.772 | % | 1/24/29 | 35,353,000 | 40,276,111 | (c) | ||||||||||
Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. USD LIBOR + 1.628%) | 4.431 | % | 1/23/30 | 1,160,000 | 1,383,062 | (c) | ||||||||||
Morgan Stanley, Senior Notes (5.597% to 3/24/50 then SOFR + 4.840%) | 5.597 | % | 3/24/51 | 4,380,000 | 6,692,595 | (c) | ||||||||||
UBS AG, Senior Notes | 1.750 | % | 4/21/22 | 20,050,000 | 20,438,569 | (a) | ||||||||||
UBS AG, Senior Notes | 4.500 | % | 6/26/48 | 3,490,000 | 4,877,622 | (a) | ||||||||||
UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%) | 7.000 | % | 1/31/24 | 40,850,000 | 42,461,328 | (a)(b)(c) | ||||||||||
UBS Group AG, Senior Notes | 3.491 | % | 5/23/23 | 32,680,000 | 34,200,093 | (a) | ||||||||||
UBS Group AG, Senior Notes | 4.125 | % | 9/24/25 | 4,880,000 | 5,537,841 | (a) | ||||||||||
UBS Group AG, Senior Notes | 4.253 | % | 3/23/28 | 24,590,000 | 27,922,281 | (a) | ||||||||||
UBS Group AG, Senior Notes (2.859% to 8/15/22 then 3 mo. USD LIBOR + 0.954%) | 2.859 | % | 8/15/23 | 2,300,000 | 2,384,213 | (a)(c) | ||||||||||
Total Capital Markets | 769,782,763 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 39 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Diversified Financial Services — 0.3% |
| |||||||||||||||
AerCap Ireland Capital DAC/ AerCap Global Aviation Trust, Senior Notes | 4.500 | % | 5/15/21 | 2,590,000 | $ | 2,606,439 | ||||||||||
AerCap Ireland Capital DAC/ AerCap Global Aviation Trust, Senior Notes | 5.000 | % | 10/1/21 | 1,180,000 | 1,193,818 | |||||||||||
Ahold Lease USA Inc. Pass- Through-Trust, Senior Secured Notes | 8.620 | % | 1/2/25 | 3,270,635 | 3,613,036 | |||||||||||
DAE Funding LLC, Senior Notes | 5.750 | % | 11/15/23 | 2,500,000 | 2,390,362 | (a) | ||||||||||
GE Capital International Funding Co. Unlimited Co., Senior Notes | 4.418 | % | 11/15/35 | 20,571,000 | 20,938,904 | |||||||||||
ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate or 30 year Treasury Constant Maturity Rate) + 1.800%) | 3.270 | % | 12/21/65 | 2,870,000 | 1,519,077 | (a)(c) | ||||||||||
International Lease Finance Corp., Senior Notes | 8.625 | % | 1/15/22 | 8,880,000 | 9,544,079 | |||||||||||
International Lease Finance Corp., Senior Notes | 5.875 | % | 8/15/22 | 3,540,000 | 3,726,057 | |||||||||||
National Securities Clearing Corp., Senior Notes | 1.200 | % | 4/23/23 | 10,000,000 | 10,148,879 | (a) | ||||||||||
National Securities Clearing Corp., Senior Notes | 1.500 | % | 4/23/25 | 9,000,000 | 9,211,187 | (a) | ||||||||||
Park Aerospace Holdings Ltd., Senior Notes | 5.250 | % | 8/15/22 | 9,280,000 | 8,715,132 | (a) | ||||||||||
Park Aerospace Holdings Ltd., Senior Notes | 4.500 | % | 3/15/23 | 1,170,000 | 1,068,043 | (a) | ||||||||||
Park Aerospace Holdings Ltd., Senior Notes | 5.500 | % | 2/15/24 | 2,790,000 | 2,554,435 | (a) | ||||||||||
Syngenta Finance NV, Senior Notes | 3.933 | % | 4/23/21 | 22,950,000 | 23,177,099 | (a) | ||||||||||
USAA Capital Corp., Senior Notes | 1.500 | % | 5/1/23 | 600,000 | 615,844 | (a) | ||||||||||
USAA Capital Corp., Senior Notes | 2.125 | % | 5/1/30 | 1,100,000 | 1,134,277 | (a) | ||||||||||
Total Diversified Financial Services |
| 102,156,668 |
See Notes to Financial Statements.
| ||
40 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Insurance — 0.3% | ||||||||||||||||
Ambac Assurance Corp., Subordinated Notes | 5.100 | % | 6/7/21 | 298,643 | $ | 400,929 | (a)(b) | |||||||||
Ambac LSNI LLC, Senior Secured Notes (3 mo. USD LIBOR + 5.000%) | 6.000 | % | 2/12/23 | 1,123,032 | 1,112,492 | (a)(c) | ||||||||||
American International Group Inc., Junior Subordinated Notes | 6.250 | % | 3/15/37 | 446,000 | 433,501 | |||||||||||
American International Group Inc., Senior Notes | 2.500 | % | 6/30/25 | 7,979,000 | 8,456,294 | |||||||||||
American International Group Inc., Senior Notes | 3.750 | % | 7/10/25 | 12,460,000 | 13,803,934 | |||||||||||
Berkshire Hathaway Finance Corp., Senior Notes | 4.250 | % | 1/15/49 | 19,600,000 | 25,165,626 | |||||||||||
Brighthouse Financial Inc., Senior Notes | 4.700 | % | 6/22/47 | 1,150,000 | 1,047,600 | |||||||||||
Chubb INA Holdings Inc., Senior Notes | 2.300 | % | 11/3/20 | 4,100,000 | 4,119,910 | |||||||||||
Chubb INA Holdings Inc., Senior Notes | 3.350 | % | 5/3/26 | 5,420,000 | 6,181,753 | |||||||||||
Guardian Life Global Funding, Secured Notes | 1.100 | % | 6/23/25 | 5,940,000 | 5,965,968 | (a) | ||||||||||
MetLife Capital Trust IV, Junior Subordinated Notes | 7.875 | % | 12/15/37 | 8,900,000 | 11,290,228 | (a) | ||||||||||
MetLife Inc., Junior Subordinated Notes (6.400% to 12/15/36 then 3 mo. USD LIBOR + 2.205%) | 6.400 | % | 12/15/36 | 5,493,000 | 6,497,407 | |||||||||||
New York Life Global Funding, Senior Secured Notes | 0.950 | % | 6/24/25 | 10,670,000 | 10,703,752 | (a) | ||||||||||
Principal Life Global Funding II, Secured Notes | 1.250 | % | 6/23/25 | 5,400,000 | 5,421,980 | (a) | ||||||||||
Prudential Financial Inc., Senior Notes | 4.500 | % | 11/16/21 | 300,000 | 316,244 | |||||||||||
Teachers Insurance & Annuity Association of America, Subordinated Notes | 4.900 | % | 9/15/44 | 7,755,000 | 9,994,649 | (a) | ||||||||||
Total Insurance | 110,912,267 | |||||||||||||||
Total Financials | 4,196,715,453 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 41 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Health Care — 3.9% | ||||||||||||||||
Biotechnology — 0.7% | ||||||||||||||||
AbbVie Inc., Senior Notes | 3.450 | % | 3/15/22 | 7,230,000 | $ | 7,522,462 | (a) | |||||||||
AbbVie Inc., Senior Notes | 2.300 | % | 11/21/22 | 52,120,000 | 53,936,936 | (a) | ||||||||||
AbbVie Inc., Senior Notes | 3.750 | % | 11/14/23 | 3,210,000 | 3,491,195 | |||||||||||
AbbVie Inc., Senior Notes | 2.600 | % | 11/21/24 | 47,110,000 | 50,043,168 | (a) | ||||||||||
AbbVie Inc., Senior Notes | 3.800 | % | 3/15/25 | 10,140,000 | 11,262,112 | (a) | ||||||||||
AbbVie Inc., Senior Notes | 3.600 | % | 5/14/25 | 9,430,000 | 10,434,142 | |||||||||||
AbbVie Inc., Senior Notes | 2.950 | % | 11/21/26 | 10,890,000 | 11,854,640 | (a) | ||||||||||
AbbVie Inc., Senior Notes | 3.200 | % | 11/21/29 | 61,260,000 | 67,679,521 | (a) | ||||||||||
AbbVie Inc., Senior Notes | 4.550 | % | 3/15/35 | 140,000 | 170,240 | (a) | ||||||||||
AbbVie Inc., Senior Notes | 4.750 | % | 3/15/45 | 472,000 | 588,847 | (a) | ||||||||||
AbbVie Inc., Senior Notes | 4.250 | % | 11/21/49 | 980,000 | 1,193,222 | (a) | ||||||||||
Amgen Inc., Senior Notes | 3.625 | % | 5/22/24 | 1,480,000 | 1,623,847 | |||||||||||
Amgen Inc., Senior Notes | 4.663 | % | 6/15/51 | 1,933,000 | 2,581,682 | |||||||||||
Gilead Sciences Inc., Senior Notes | 2.550 | % | 9/1/20 | 2,500,000 | 2,509,088 | |||||||||||
Gilead Sciences Inc., Senior Notes | 3.700 | % | 4/1/24 | 399,000 | 441,612 | |||||||||||
Gilead Sciences Inc., Senior Notes | 3.500 | % | 2/1/25 | 5,000,000 | 5,568,875 | |||||||||||
Gilead Sciences Inc., Senior Notes | 3.650 | % | 3/1/26 | 1,560,000 | 1,787,025 | |||||||||||
Gilead Sciences Inc., Senior Notes | 4.750 | % | 3/1/46 | 6,165,000 | 8,345,502 | |||||||||||
Total Biotechnology | 241,034,116 | |||||||||||||||
Health Care Equipment & Supplies — 0.2% |
| |||||||||||||||
Abbott Laboratories, Senior Notes | 3.750 | % | 11/30/26 | 17,140,000 | 19,958,650 | |||||||||||
Abbott Laboratories, Senior Notes | 4.750 | % | 11/30/36 | 6,660,000 | 9,032,762 | |||||||||||
Abbott Laboratories, Senior Notes | 4.900 | % | 11/30/46 | 10,150,000 | 14,596,244 | |||||||||||
Becton Dickinson and Co., Senior Notes | 3.363 | % | 6/6/24 | 19,160,000 | 20,689,903 | |||||||||||
Becton Dickinson and Co., Senior Notes | 3.734 | % | 12/15/24 | 3,922,000 | 4,329,074 | |||||||||||
Becton Dickinson and Co., Senior Notes | 4.685 | % | 12/15/44 | 2,251,000 | 2,778,326 | |||||||||||
Medtronic Inc., Senior Notes | 3.500 | % | 3/15/25 | 9,418,000 | 10,634,751 | |||||||||||
Total Health Care Equipment & Supplies |
| 82,019,710 |
See Notes to Financial Statements.
| ||
42 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Health Care Providers & Services — 1.8% |
| |||||||||||||||
Aetna Inc., Senior Notes | 2.800 | % | 6/15/23 | 2,610,000 | $ | 2,753,767 | ||||||||||
Anthem Inc., Senior Notes | 3.700 | % | 8/15/21 | 2,130,000 | 2,187,324 | |||||||||||
Anthem Inc., Senior Notes | 3.125 | % | 5/15/22 | 5,280,000 | 5,532,464 | |||||||||||
Anthem Inc., Senior Notes | 2.950 | % | 12/1/22 | 9,320,000 | 9,829,756 | |||||||||||
Anthem Inc., Senior Notes | 3.350 | % | 12/1/24 | 4,140,000 | 4,548,433 | |||||||||||
Anthem Inc., Senior Notes | 3.650 | % | 12/1/27 | 5,815,000 | 6,629,605 | |||||||||||
Anthem Inc., Senior Notes | 4.375 | % | 12/1/47 | 4,000,000 | 4,985,621 | |||||||||||
Centene Corp., Senior Notes | 4.750 | % | 5/15/22 | 5,122,000 | 5,191,019 | |||||||||||
Centene Corp., Senior Notes | 4.750 | % | 1/15/25 | 790,000 | 809,797 | |||||||||||
Centene Corp., Senior Notes | 5.375 | % | 6/1/26 | 2,940,000 | 3,059,732 | (a) | ||||||||||
Centene Corp., Senior Notes | 4.625 | % | 12/15/29 | 3,120,000 | 3,299,400 | |||||||||||
Centene Corp., Senior Notes | 3.375 | % | 2/15/30 | 3,060,000 | 3,094,501 | |||||||||||
Cigna Corp., Senior Notes | 3.400 | % | 9/17/21 | 9,330,000 | 9,642,202 | |||||||||||
Cigna Corp., Senior Notes | 3.750 | % | 7/15/23 | 22,489,000 | 24,425,253 | |||||||||||
Cigna Corp., Senior Notes | 4.125 | % | 11/15/25 | 8,050,000 | 9,258,083 | |||||||||||
Cigna Corp., Senior Notes | 4.375 | % | 10/15/28 | 22,000,000 | 26,054,754 | |||||||||||
Cigna Corp., Senior Notes | 4.800 | % | 8/15/38 | 17,450,000 | 22,152,838 | |||||||||||
Cigna Corp., Senior Notes | 4.900 | % | 12/15/48 | 6,510,000 | 8,595,429 | |||||||||||
CommonSpirit Health, Secured Notes | 4.350 | % | 11/1/42 | 1,410,000 | 1,470,529 | |||||||||||
CVS Health Corp., Senior Notes | 3.350 | % | 3/9/21 | 4,402,000 | 4,489,643 | |||||||||||
CVS Health Corp., Senior Notes | 2.750 | % | 12/1/22 | 16,440,000 | 17,161,111 | |||||||||||
CVS Health Corp., Senior Notes | 3.700 | % | 3/9/23 | 28,650,000 | 30,779,758 | |||||||||||
CVS Health Corp., Senior Notes | 4.100 | % | 3/25/25 | 13,250,000 | 14,994,451 | |||||||||||
CVS Health Corp., Senior Notes | 3.875 | % | 7/20/25 | 4,447,000 | 5,001,055 | |||||||||||
CVS Health Corp., Senior Notes | 3.625 | % | 4/1/27 | 5,590,000 | 6,286,787 | |||||||||||
CVS Health Corp., Senior Notes | 4.300 | % | 3/25/28 | 89,790,000 | 105,083,915 | |||||||||||
CVS Health Corp., Senior Notes | 3.750 | % | 4/1/30 | 11,210,000 | 12,941,340 | |||||||||||
CVS Health Corp., Senior Notes | 4.125 | % | 4/1/40 | 4,720,000 | 5,590,875 | |||||||||||
CVS Health Corp., Senior Notes | 5.125 | % | 7/20/45 | 12,410,000 | 16,014,704 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 43 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Health Care Providers & Services — continued |
| |||||||||||||||
CVS Health Corp., Senior Notes | 5.050 | % | 3/25/48 | 22,693,000 | $ | 29,774,159 | ||||||||||
CVS Health Corp., Senior Notes | 4.250 | % | 4/1/50 | 6,275,000 | 7,531,787 | |||||||||||
Fresenius Medical Care U.S. Finance II Inc., Senior Notes | 5.875 | % | 1/31/22 | 5,140,000 | 5,457,968 | (a) | ||||||||||
Fresenius Medical Care U.S. Finance II Inc., Senior Notes | 4.750 | % | 10/15/24 | 780,000 | 845,355 | (a) | ||||||||||
Fresenius Medical Care U.S. Finance Inc., Senior Notes | 5.750 | % | 2/15/21 | 2,045,000 | 2,103,207 | (a) | ||||||||||
HCA Inc., Senior Notes | 5.375 | % | 2/1/25 | 3,542,000 | 3,804,303 | |||||||||||
HCA Inc., Senior Notes | 7.690 | % | 6/15/25 | 723,000 | 826,855 | |||||||||||
HCA Inc., Senior Notes | 5.375 | % | 9/1/26 | 738,000 | 805,306 | |||||||||||
HCA Inc., Senior Notes | 5.625 | % | 9/1/28 | 700,000 | 782,992 | |||||||||||
HCA Inc., Senior Notes | 5.875 | % | 2/1/29 | 4,060,000 | 4,601,178 | |||||||||||
HCA Inc., Senior Notes | 3.500 | % | 9/1/30 | 5,720,000 | 5,516,323 | |||||||||||
HCA Inc., Senior Notes | 7.500 | % | 11/15/95 | 15,410,000 | 18,172,936 | |||||||||||
HCA Inc., Senior Secured Notes | 4.750 | % | 5/1/23 | 4,150,000 | 4,504,585 | |||||||||||
HCA Inc., Senior Secured Notes | 5.000 | % | 3/15/24 | 330,000 | 366,983 | |||||||||||
HCA Inc., Senior Secured Notes | 5.250 | % | 6/15/26 | 2,960,000 | 3,423,872 | |||||||||||
HCA Inc., Senior Secured Notes | 4.500 | % | 2/15/27 | 1,780,000 | 1,986,255 | |||||||||||
HCA Inc., Senior Secured Notes | 5.500 | % | 6/15/47 | 5,920,000 | 7,225,662 | |||||||||||
Humana Inc., Senior Notes | 3.150 | % | 12/1/22 | 2,470,000 | 2,590,397 | |||||||||||
Humana Inc., Senior Notes | 4.500 | % | 4/1/25 | 2,460,000 | 2,802,591 | |||||||||||
Humana Inc., Senior Notes | 3.950 | % | 3/15/27 | 8,340,000 | 9,469,570 | |||||||||||
Humana Inc., Senior Notes | 4.625 | % | 12/1/42 | 3,460,000 | 4,207,698 | |||||||||||
Humana Inc., Senior Notes | 4.950 | % | 10/1/44 | 2,476,000 | 3,259,463 | |||||||||||
Humana Inc., Senior Notes | 4.800 | % | 3/15/47 | 600,000 | 784,666 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 2.700 | % | 7/15/20 | 10,392,000 | 10,401,088 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 3.875 | % | 10/15/20 | 3,000,000 | 3,008,027 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 2.875 | % | 12/15/21 | 6,088,000 | 6,314,032 |
See Notes to Financial Statements.
| ||
44 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Health Care Providers & Services — continued |
| |||||||||||||||
UnitedHealth Group Inc., Senior Notes | 2.375 | % | 10/15/22 | 1,990,000 | $ | 2,082,839 | ||||||||||
UnitedHealth Group Inc., Senior Notes | 3.500 | % | 6/15/23 | 4,480,000 | 4,883,164 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 3.750 | % | 7/15/25 | 6,210,000 | 7,080,149 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 1.250 | % | 1/15/26 | 4,790,000 | 4,882,156 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 3.875 | % | 12/15/28 | 2,622,000 | 3,143,274 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 2.000 | % | 5/15/30 | 11,310,000 | 11,856,693 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 5.700 | % | 10/15/40 | 10,000,000 | 14,669,856 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 4.250 | % | 6/15/48 | 3,420,000 | 4,379,320 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 4.450 | % | 12/15/48 | 10,480,000 | 13,757,638 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 3.700 | % | 8/15/49 | 6,465,000 | 7,662,730 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 3.875 | % | 8/15/59 | 10,385,000 | 12,750,412 | |||||||||||
UnitedHealth Group Inc., Senior Notes | 3.125 | % | 5/15/60 | 4,450,000 | 4,774,744 | |||||||||||
Total Health Care Providers & Services |
| 604,354,379 | ||||||||||||||
Pharmaceuticals — 1.2% | ||||||||||||||||
Bausch Health Americas Inc., Senior Notes | 9.250 | % | 4/1/26 | 4,681,000 | 5,084,502 | (a) | ||||||||||
Bausch Health Americas Inc., Senior Notes | 8.500 | % | 1/31/27 | 36,000 | 38,276 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes | 9.000 | % | 12/15/25 | 5,050,000 | 5,445,971 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes | 6.250 | % | 2/15/29 | 12,420,000 | 12,505,388 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes | 7.250 | % | 5/30/29 | 460,000 | 483,775 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Secured Notes | 5.500 | % | 11/1/25 | 590,000 | 605,340 | (a) | ||||||||||
Bristol-Myers Squibb Co., Senior Notes | 2.250 | % | 8/15/21 | 10,330,000 | 10,528,337 | (a) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 45 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Pharmaceuticals — continued | ||||||||||||||||
Bristol-Myers Squibb Co., Senior Notes | 2.600 | % | 5/16/22 | 14,560,000 | $ | 15,142,088 | (a) | |||||||||
Bristol-Myers Squibb Co., Senior Notes | 3.550 | % | 8/15/22 | 4,650,000 | 4,941,549 | (a) | ||||||||||
Bristol-Myers Squibb Co., Senior Notes | 3.625 | % | 5/15/24 | 2,200,000 | 2,424,039 | (a) | ||||||||||
Bristol-Myers Squibb Co., Senior Notes | 2.900 | % | 7/26/24 | 39,239,000 | 42,494,687 | (a) | ||||||||||
Bristol-Myers Squibb Co., Senior Notes | 3.875 | % | 8/15/25 | 12,755,000 | 14,519,753 | (a) | ||||||||||
Bristol-Myers Squibb Co., Senior Notes | 3.200 | % | 6/15/26 | 18,350,000 | 20,608,789 | (a) | ||||||||||
Bristol-Myers Squibb Co., Senior Notes | 3.400 | % | 7/26/29 | 8,710,000 | 10,155,244 | (a) | ||||||||||
Bristol-Myers Squibb Co., Senior Notes | 5.250 | % | 8/15/43 | 3,712,000 | 5,478,888 | (a) | ||||||||||
Bristol-Myers Squibb Co., Senior Notes | 5.000 | % | 8/15/45 | 15,520,000 | 21,698,893 | (a) | ||||||||||
GlaxoSmithKline Capital PLC, Senior Notes | 2.850 | % | 5/8/22 | 1,000,000 | 1,043,639 | |||||||||||
Johnson & Johnson, Senior Notes | 3.625 | % | 3/3/37 | 29,750,000 | 35,589,636 | |||||||||||
Merck & Co. Inc., Senior Notes | 0.750 | % | 2/24/26 | 17,050,000 | 17,029,498 | |||||||||||
Merck & Co. Inc., Senior Notes | 1.450 | % | 6/24/30 | 9,130,000 | 9,132,224 | |||||||||||
Pfizer Inc., Senior Notes | 0.800 | % | 5/28/25 | 20,340,000 | 20,346,269 | |||||||||||
Pfizer Inc., Senior Notes | 2.625 | % | 4/1/30 | 14,195,000 | 15,657,363 | |||||||||||
Pfizer Inc., Senior Notes | 1.700 | % | 5/28/30 | 13,010,000 | 13,242,700 | |||||||||||
Pfizer Inc., Senior Notes | 7.200 | % | 3/15/39 | 5,000 | 8,465 | |||||||||||
Teva Pharmaceutical Finance Co. BV, Senior Notes | 3.650 | % | 11/10/21 | 2,140,000 | 2,131,472 | |||||||||||
Teva Pharmaceutical Finance Co. BV, Senior Notes | 2.950 | % | 12/18/22 | 7,388,000 | 7,145,858 | |||||||||||
Teva Pharmaceutical Finance IV BV, Senior Notes | 3.650 | % | 11/10/21 | 3,879,000 | 3,883,752 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 2.200 | % | 7/21/21 | 23,348,000 | 22,925,751 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 2.800 | % | 7/21/23 | 25,567,000 | 24,223,774 |
See Notes to Financial Statements.
| ||
46 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Pharmaceuticals — continued | ||||||||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 6.000 | % | 4/15/24 | 2,985,000 | $ | 3,074,028 | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 7.125 | % | 1/31/25 | 16,780,000 | 17,895,367 | (a) | ||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 3.150 | % | 10/1/26 | 20,950,000 | 18,784,398 | |||||||||||
Wyeth LLC, Senior Notes | 5.950 | % | 4/1/37 | 5,098,000 | 7,451,663 | |||||||||||
Total Pharmaceuticals | 391,721,376 | |||||||||||||||
Total Health Care | 1,319,129,581 | |||||||||||||||
Industrials — 3.2% | ||||||||||||||||
Aerospace & Defense — 1.2% | ||||||||||||||||
Boeing Co., Senior Notes | 4.875 | % | 5/1/25 | 45,320,000 | 49,442,508 | |||||||||||
Boeing Co., Senior Notes | 3.100 | % | 5/1/26 | 3,720,000 | 3,793,559 | |||||||||||
Boeing Co., Senior Notes | 2.700 | % | 2/1/27 | 5,050,000 | 4,937,101 | |||||||||||
Boeing Co., Senior Notes | 2.800 | % | 3/1/27 | 4,740,000 | 4,579,550 | |||||||||||
Boeing Co., Senior Notes | 3.200 | % | 3/1/29 | 16,620,000 | 16,466,969 | |||||||||||
Boeing Co., Senior Notes | 5.150 | % | 5/1/30 | 23,970,000 | 26,778,494 | |||||||||||
Boeing Co., Senior Notes | 3.250 | % | 2/1/35 | 32,524,000 | 29,689,058 | |||||||||||
Boeing Co., Senior Notes | 3.550 | % | 3/1/38 | 3,780,000 | 3,451,236 | |||||||||||
Boeing Co., Senior Notes | 5.705 | % | 5/1/40 | 18,190,000 | 20,770,871 | |||||||||||
Boeing Co., Senior Notes | 3.750 | % | 2/1/50 | 9,510,000 | 8,553,670 | |||||||||||
Boeing Co., Senior Notes | 5.805 | % | 5/1/50 | 42,300,000 | 50,069,868 | |||||||||||
Boeing Co., Senior Notes | 5.930 | % | 5/1/60 | 13,600,000 | 16,196,378 | |||||||||||
General Dynamics Corp., Senior Notes | 3.250 | % | 4/1/25 | 1,740,000 | 1,930,963 | |||||||||||
General Dynamics Corp., Senior Notes | 3.500 | % | 5/15/25 | 1,990,000 | 2,227,702 | |||||||||||
General Dynamics Corp., Senior Notes | 4.250 | % | 4/1/40 | 1,535,000 | 1,916,427 | |||||||||||
General Dynamics Corp., Senior Notes | 4.250 | % | 4/1/50 | 9,321,000 | 12,118,454 | |||||||||||
Lockheed Martin Corp., Senior Notes | 3.100 | % | 1/15/23 | 2,269,000 | 2,413,854 | |||||||||||
Lockheed Martin Corp., Senior Notes | 3.550 | % | 1/15/26 | 13,115,000 | 15,088,627 | |||||||||||
Lockheed Martin Corp., Senior Notes | 4.500 | % | 5/15/36 | 2,420,000 | 3,150,087 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 47 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Aerospace & Defense — continued |
| |||||||||||||||
Northrop Grumman Corp., Senior Notes | 2.930 | % | 1/15/25 | 16,925,000 | $ | 18,317,412 | ||||||||||
Northrop Grumman Corp., Senior Notes | 3.250 | % | 1/15/28 | 29,720,000 | 33,259,260 | |||||||||||
Northrop Grumman Corp., Senior Notes | 5.250 | % | 5/1/50 | 10,320,000 | 14,868,004 | |||||||||||
Raytheon Co., Senior Notes | 3.125 | % | 10/15/20 | 4,520,000 | 4,556,509 | |||||||||||
Raytheon Technologies Corp., Senior Notes | 3.150 | % | 12/15/24 | 6,150,000 | 6,649,626 | (a) | ||||||||||
Raytheon Technologies Corp., Senior Notes | 3.950 | % | 8/16/25 | 14,150,000 | 16,111,434 | |||||||||||
Raytheon Technologies Corp., Senior Notes | 4.125 | % | 11/16/28 | 7,780,000 | 9,170,379 | |||||||||||
Raytheon Technologies Corp., Senior Notes | 2.250 | % | 7/1/30 | 13,000,000 | 13,569,176 | |||||||||||
Raytheon Technologies Corp., Senior Notes | 4.500 | % | 6/1/42 | 4,109,000 | 5,128,694 | |||||||||||
TransDigm Inc., Senior Secured Notes | 8.000 | % | 12/15/25 | 3,710,000 | 3,915,404 | (a) | ||||||||||
TransDigm Inc., Senior Secured Notes | 6.250 | % | 3/15/26 | 8,370,000 | 8,363,681 | (a) | ||||||||||
Total Aerospace & Defense | 407,484,955 | |||||||||||||||
Air Freight & Logistics — 0.0%†† | ||||||||||||||||
XPO Logistics Inc., Senior Notes | 6.500 | % | 6/15/22 | 4,080,000 | 4,094,178 | (a) | ||||||||||
Airlines — 0.5% | ||||||||||||||||
Continental Airlines Pass-Through Trust | 5.983 | % | 4/19/22 | 7,109,594 | 6,739,290 | |||||||||||
Continental Airlines Pass-Through Trust, Senior Secured Trust | 6.703 | % | 6/15/21 | 19,016 | 18,755 | |||||||||||
Delta Air Lines Inc., Senior Notes | 2.600 | % | 12/4/20 | 5,530,000 | 5,439,689 | |||||||||||
Delta Air Lines Inc., Senior Notes | 3.400 | % | 4/19/21 | 24,310,000 | 23,645,767 | |||||||||||
Delta Air Lines Inc., Senior Notes | 3.625 | % | 3/15/22 | 10,830,000 | 10,261,984 | |||||||||||
Delta Air Lines Inc., Senior Notes | 3.800 | % | 4/19/23 | 4,300,000 | 3,843,442 | |||||||||||
Delta Air Lines Inc., Senior Notes | 2.900 | % | 10/28/24 | 8,000,000 | 6,494,458 |
See Notes to Financial Statements.
| ||
48 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Airlines — continued | ||||||||||||||||
Delta Air Lines Inc., Senior Notes | 7.375 | % | 1/15/26 | 24,380,000 | $ | 23,611,422 | ||||||||||
Delta Air Lines Inc., Senior Secured Notes | 7.000 | % | 5/1/25 | 67,950,000 | 70,214,016 | (a) | ||||||||||
Delta Air Lines Pass-Through Trust | 6.821 | % | 8/10/22 | 5,699,857 | 5,598,533 | |||||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes | 6.500 | % | 6/20/27 | 15,750,000 | 15,794,415 | (a)(i) | ||||||||||
Total Airlines | 171,661,771 | |||||||||||||||
Building Products — 0.2% | ||||||||||||||||
Carrier Global Corp., Senior Notes | 1.923 | % | 2/15/23 | 4,260,000 | 4,345,143 | (a) | ||||||||||
Carrier Global Corp., Senior Notes | 2.242 | % | 2/15/25 | 15,020,000 | 15,373,260 | (a) | ||||||||||
Carrier Global Corp., Senior Notes | 2.493 | % | 2/15/27 | 1,960,000 | 1,999,610 | (a) | ||||||||||
Carrier Global Corp., Senior Notes | 2.722 | % | 2/15/30 | 18,130,000 | 18,246,219 | (a) | ||||||||||
Carrier Global Corp., Senior Notes | 2.700 | % | 2/15/31 | 6,580,000 | 6,572,784 | (a) | ||||||||||
Carrier Global Corp., Senior Notes | 3.377 | % | 4/5/40 | 8,110,000 | 7,946,902 | (a) | ||||||||||
Carrier Global Corp., Senior Notes | 3.577 | % | 4/5/50 | 7,120,000 | 7,040,152 | (a) | ||||||||||
Total Building Products | 61,524,070 | |||||||||||||||
Commercial Services & Supplies — 0.2% |
| |||||||||||||||
Cintas Corp. No 2, Senior Notes | 2.900 | % | 4/1/22 | 7,980,000 | 8,291,360 | |||||||||||
Cintas Corp. No 2, Senior Notes | 3.700 | % | 4/1/27 | 7,500,000 | 8,530,406 | |||||||||||
GFL Environmental Inc., Senior Secured Notes | 4.250 | % | 6/1/25 | 7,650,000 | 7,731,281 | (a) | ||||||||||
Republic Services Inc., Senior Notes | 2.500 | % | 8/15/24 | 9,100,000 | 9,685,381 | |||||||||||
Waste Management Inc., Senior Notes | 4.600 | % | 3/1/21 | 2,370,000 | 2,411,847 | |||||||||||
Waste Management Inc., Senior Notes | 3.500 | % | 5/15/24 | 4,440,000 | 4,842,021 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 49 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Commercial Services & Supplies — continued |
| |||||||||||||||
Waste Management Inc., Senior Notes | 3.200 | % | 6/15/26 | 4,980,000 | $ | 5,106,784 | ||||||||||
Waste Management Inc., Senior Notes | 3.450 | % | 6/15/29 | 5,990,000 | 6,174,765 | |||||||||||
Waste Management Inc., Senior Notes | 4.000 | % | 7/15/39 | 4,760,000 | 4,903,009 | |||||||||||
Waste Management Inc., Senior Notes | 4.150 | % | 7/15/49 | 7,460,000 | 9,370,862 | |||||||||||
Total Commercial Services & Supplies |
| 67,047,716 | ||||||||||||||
Electrical Equipment — 0.1% | ||||||||||||||||
Eaton Corp., Senior Notes | 2.750 | % | 11/2/22 | 25,195,000 | 26,512,635 | |||||||||||
Eaton Corp., Senior Notes | 4.150 | % | 11/2/42 | 4,160,000 | 4,924,998 | |||||||||||
Total Electrical Equipment | 31,437,633 | |||||||||||||||
Industrial Conglomerates — 0.4% | ||||||||||||||||
3M Co., Senior Notes | 2.375 | % | 8/26/29 | 10,110,000 | 10,935,204 | |||||||||||
3M Co., Senior Notes | 3.050 | % | 4/15/30 | 3,400,000 | 3,854,058 | |||||||||||
3M Co., Senior Notes | 3.700 | % | 4/15/50 | 20,000,000 | 23,890,591 | |||||||||||
General Electric Co., Senior Notes | 3.450 | % | 5/1/27 | 2,950,000 | 3,022,054 | |||||||||||
General Electric Co., Senior Notes | 3.625 | % | 5/1/30 | 6,030,000 | 6,049,225 | |||||||||||
General Electric Co., Senior Notes | 6.750 | % | 3/15/32 | 10,280,000 | 12,516,750 | |||||||||||
General Electric Co., Senior Notes | 6.150 | % | 8/7/37 | 5,260,000 | 6,143,992 | |||||||||||
General Electric Co., Senior Notes | 5.875 | % | 1/14/38 | 16,543,000 | 18,693,027 | |||||||||||
General Electric Co., Senior Notes | 6.875 | % | 1/10/39 | 35,494,000 | 43,652,685 | |||||||||||
General Electric Co., Senior Notes | 4.250 | % | 5/1/40 | 6,280,000 | 6,261,566 | |||||||||||
General Electric Co., Senior Notes | 4.350 | % | 5/1/50 | 8,260,000 | 8,182,710 | |||||||||||
Honeywell International Inc., Senior Notes | 1.350 | % | 6/1/25 | 9,750,000 | 9,992,436 | |||||||||||
Total Industrial Conglomerates |
| 153,194,298 | ||||||||||||||
Machinery — 0.2% | ||||||||||||||||
Deere & Co., Senior Notes | 3.100 | % | 4/15/30 | 4,080,000 | 4,631,904 | |||||||||||
Deere & Co., Senior Notes | 3.750 | % | 4/15/50 | 14,850,000 | 18,355,374 |
See Notes to Financial Statements.
| ||
50 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Machinery — continued | ||||||||||||||||
Otis Worldwide Corp., Senior Notes | 2.056 | % | 4/5/25 | 6,550,000 | $ | 6,879,222 | (a) | |||||||||
Otis Worldwide Corp., Senior Notes | 2.293 | % | 4/5/27 | 6,560,000 | 6,860,990 | (a) | ||||||||||
Otis Worldwide Corp., Senior Notes | 2.565 | % | 2/15/30 | 20,020,000 | 21,078,162 | (a) | ||||||||||
Total Machinery | 57,805,652 | |||||||||||||||
Road & Rail — 0.2% | ||||||||||||||||
Union Pacific Corp., Senior Notes | 3.750 | % | 7/15/25 | 8,730,000 | 9,889,142 | |||||||||||
Union Pacific Corp., Senior Notes | 2.150 | % | 2/5/27 | 4,380,000 | 4,653,236 | |||||||||||
Union Pacific Corp., Senior Notes | 3.950 | % | 9/10/28 | 28,460,000 | 33,837,524 | |||||||||||
Union Pacific Corp., Senior Notes | 3.839 | % | 3/20/60 | 23,430,000 | 27,223,689 | |||||||||||
Union Pacific Corp., Senior Notes | 3.750 | % | 2/5/70 | 12,515,000 | 14,023,487 | |||||||||||
Total Road & Rail | 89,627,078 | |||||||||||||||
Trading Companies & Distributors — 0.1% |
| |||||||||||||||
Air Lease Corp., Senior Notes | 3.375 | % | 7/1/25 | 9,600,000 | 9,627,228 | |||||||||||
Ashtead Capital Inc., Secured Notes | 4.125 | % | 8/15/25 | 3,066,000 | 3,134,985 | (a) | ||||||||||
United Rentals North America Inc., Secured Notes | 3.875 | % | 11/15/27 | 2,380,000 | 2,378,072 | |||||||||||
United Rentals North America Inc., Senior Notes | 5.500 | % | 7/15/25 | 2,505,000 | 2,573,650 | |||||||||||
United Rentals North America Inc., Senior Notes | 5.875 | % | 9/15/26 | 3,060,000 | 3,210,292 | |||||||||||
United Rentals North America Inc., Senior Notes | 6.500 | % | 12/15/26 | 1,540,000 | 1,619,926 | |||||||||||
United Rentals North America Inc., Senior Notes | 5.500 | % | 5/15/27 | 190,000 | 196,448 | |||||||||||
United Rentals North America Inc., Senior Notes | 4.875 | % | 1/15/28 | 5,413,000 | 5,556,796 | |||||||||||
United Rentals North America Inc., Senior Notes | 5.250 | % | 1/15/30 | 1,560,000 | 1,614,311 | |||||||||||
Total Trading Companies & Distributors |
| 29,911,708 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 51 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Transportation Infrastructure — 0.1% |
| |||||||||||||||
DP World PLC, Senior Notes | 5.625 | % | 9/25/48 | 24,030,000 | $ | 26,324,697 | (a) | |||||||||
Total Industrials | 1,100,113,756 | |||||||||||||||
Information Technology — 2.3% | ||||||||||||||||
Communications Equipment — 0.0%†† |
| |||||||||||||||
CommScope Technologies LLC, Senior Notes | 5.000 | % | 3/15/27 | 2,740,000 | 2,476,165 | (a) | ||||||||||
L3Harris Technologies Inc., Senior Notes | 4.854 | % | 4/27/35 | 2,988,000 | 3,817,880 | |||||||||||
L3Harris Technologies Inc., Senior Notes | 5.054 | % | 4/27/45 | 6,087,000 | 8,021,741 | |||||||||||
Total Communications Equipment |
| 14,315,786 | ||||||||||||||
IT Services — 0.4% | ||||||||||||||||
International Business Machines Corp., Senior Notes | 3.000 | % | 5/15/24 | 40,290,000 | 43,654,190 | |||||||||||
Mastercard Inc., Senior Notes | 3.850 | % | 3/26/50 | 2,320,000 | 2,899,680 | |||||||||||
PayPal Holdings Inc., Senior Notes | 1.350 | % | 6/1/23 | 11,850,000 | 12,089,864 | |||||||||||
PayPal Holdings Inc., Senior Notes | 1.650 | % | 6/1/25 | 12,430,000 | 12,864,399 | |||||||||||
PayPal Holdings Inc., Senior Notes | 2.300 | % | 6/1/30 | 6,750,000 | 7,065,240 | |||||||||||
Visa Inc., Senior Notes | 3.150 | % | 12/14/25 | 26,130,000 | 29,128,611 | |||||||||||
Visa Inc., Senior Notes | 2.050 | % | 4/15/30 | 9,790,000 | 10,280,748 | |||||||||||
Visa Inc., Senior Notes | 4.300 | % | 12/14/45 | 16,470,000 | 21,819,919 | |||||||||||
Total IT Services | 139,802,651 | |||||||||||||||
Semiconductors & Semiconductor Equipment — 0.9% |
| |||||||||||||||
Broadcom Inc., Senior Notes | 2.250 | % | 11/15/23 | 21,820,000 | 22,562,994 | (a) | ||||||||||
Broadcom Inc., Senior Notes | 4.700 | % | 4/15/25 | 32,370,000 | 36,512,598 | (a) | ||||||||||
Broadcom Inc., Senior Notes | 3.150 | % | 11/15/25 | 25,730,000 | 27,418,444 | (a) | ||||||||||
Intel Corp., Senior Notes | 3.700 | % | 7/29/25 | 4,050,000 | 4,604,591 | |||||||||||
Intel Corp., Senior Notes | 4.600 | % | 3/25/40 | 6,320,000 | 8,370,819 | |||||||||||
Intel Corp., Senior Notes | 4.750 | % | 3/25/50 | 40,820,000 | 57,805,799 | |||||||||||
Intel Corp., Senior Notes | 4.950 | % | 3/25/60 | 16,025,000 | 23,662,782 | |||||||||||
Micron Technology Inc., Senior Notes | 2.497 | % | 4/24/23 | 12,900,000 | 13,417,783 | |||||||||||
NVIDIA Corp., Senior Notes | 2.850 | % | 4/1/30 | 7,890,000 | 8,795,973 | |||||||||||
NVIDIA Corp., Senior Notes | 3.500 | % | 4/1/40 | 17,250,000 | 20,192,825 | |||||||||||
NVIDIA Corp., Senior Notes | 3.500 | % | 4/1/50 | 49,120,000 | 56,443,816 | |||||||||||
NVIDIA Corp., Senior Notes | 3.700 | % | 4/1/60 | 16,020,000 | 19,148,472 |
See Notes to Financial Statements.
| ||
52 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||||||||||
NXP BV/NXP Funding LLC/NXP | ||||||||||||||||
USA Inc., Senior Notes | 2.700 | % | 5/1/25 | 8,540,000 | $ | 8,966,322 | (a) | |||||||||
Texas Instruments Inc., Senior Notes | 1.750 | % | 5/4/30 | 8,690,000 | 8,841,996 | |||||||||||
Total Semiconductors & Semiconductor Equipment |
| 316,745,214 | ||||||||||||||
Software — 0.6% | ||||||||||||||||
Microsoft Corp., Senior Notes | 1.550 | % | 8/8/21 | 18,543,000 | 18,800,650 | |||||||||||
Microsoft Corp., Senior Notes | 2.400 | % | 2/6/22 | 14,850,000 | 15,330,717 | |||||||||||
Microsoft Corp., Senior Notes | 2.875 | % | 2/6/24 | 19,298,000 | 20,812,281 | |||||||||||
Microsoft Corp., Senior Notes | 2.700 | % | 2/12/25 | 4,322,000 | 4,714,560 | |||||||||||
Microsoft Corp., Senior Notes | 2.400 | % | 8/8/26 | 74,200,000 | 81,052,582 | |||||||||||
Microsoft Corp., Senior Notes | 3.300 | % | 2/6/27 | 40,450,000 | 46,325,031 | |||||||||||
Microsoft Corp., Senior Notes | 3.450 | % | 8/8/36 | 770,000 | 931,674 | |||||||||||
Microsoft Corp., Senior Notes | 4.100 | % | 2/6/37 | 2,844,000 | 3,676,246 | |||||||||||
Microsoft Corp., Senior Notes | 2.525 | % | 6/1/50 | 1,686,000 | 1,767,726 | |||||||||||
Microsoft Corp., Senior Notes | 3.950 | % | 8/8/56 | 3,169,000 | 4,085,936 | |||||||||||
Microsoft Corp., Senior Notes | 2.675 | % | 6/1/60 | 671,000 | 702,373 | |||||||||||
salesforce.com Inc., Senior Notes | 3.250 | % | 4/11/23 | 11,370,000 | 12,224,145 | |||||||||||
salesforce.com Inc., Senior Notes | 3.700 | % | 4/11/28 | 3,480,000 | 4,065,109 | |||||||||||
Total Software | 214,489,030 | |||||||||||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||||||||||
Apple Inc., Senior Notes | 2.000 | % | 11/13/20 | 11,350,000 | 11,422,556 | |||||||||||
Apple Inc., Senior Notes | 1.550 | % | 8/4/21 | 347,000 | 352,166 | |||||||||||
Apple Inc., Senior Notes | 1.125 | % | 5/11/25 | 33,600,000 | 34,348,635 | |||||||||||
Apple Inc., Senior Notes | 2.450 | % | 8/4/26 | 32,030,000 | 34,829,051 | |||||||||||
Dell International LLC/EMC Corp., Senior Secured Notes | 4.420 | % | 6/15/21 | 37,507,000 | 38,558,603 | (a) | ||||||||||
Total Technology Hardware, Storage & Peripherals |
| 119,511,011 | ||||||||||||||
Total Information Technology | 804,863,692 | |||||||||||||||
Materials — 1.1% | ||||||||||||||||
Chemicals — 0.1% | ||||||||||||||||
Equate Petrochemical BV, | ||||||||||||||||
Senior Notes | 4.250 | % | 11/3/26 | 12,930,000 | 13,690,814 | (a) | ||||||||||
LyondellBasell Industries NV, Senior Notes | 6.000 | % | 11/15/21 | 2,360,000 | 2,498,679 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 53 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Chemicals — continued | ||||||||||||||||
LyondellBasell Industries NV, Senior Notes | 5.750 | % | 4/15/24 | 2,690,000 | $ | 3,099,701 | ||||||||||
OCP SA, Senior Notes | 4.500 | % | 10/22/25 | 10,510,000 | 10,981,626 | (a) | ||||||||||
Total Chemicals | 30,270,820 | |||||||||||||||
Containers & Packaging — 0.0%†† |
| |||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes | 6.000 | % | 2/15/25 | 940,000 | 964,835 | (a) | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes | 5.250 | % | 8/15/27 | 610,000 | 600,282 | (a) | ||||||||||
Reynolds Group Issuer Inc./ Reynolds Group Issuer LLC/ Reynolds Group Issuer (Luxembourg) SA, Senior Secured Notes | 5.125 | % | 7/15/23 | 5,190,000 | 5,236,788 | (a) | ||||||||||
WestRock RKT Co., Senior Notes | 4.000 | % | 3/1/23 | 2,250,000 | 2,401,592 | |||||||||||
Total Containers & Packaging | 9,203,497 | |||||||||||||||
Metals & Mining — 1.0% | ||||||||||||||||
Anglo American Capital PLC, Senior Notes | 3.750 | % | 4/10/22 | 12,605,000 | 12,972,216 | (a) | ||||||||||
Anglo American Capital PLC, Senior Notes | 3.625 | % | 9/11/24 | 3,400,000 | | 3,571,727 | (a) | |||||||||
Anglo American Capital PLC, Senior Notes | 4.750 | % | 4/10/27 | 9,785,000 | 10,906,765 | (a) | ||||||||||
Anglo American Capital PLC, Senior Notes | 4.000 | % | 9/11/27 | 13,125,000 | 14,041,024 | (a) | ||||||||||
ArcelorMittal SA, Senior Notes | 3.600 | % | 7/16/24 | 17,003,000 | 16,860,542 | |||||||||||
ArcelorMittal SA, Senior Notes | 6.125 | % | 6/1/25 | 17,210,000 | 18,688,859 | |||||||||||
ArcelorMittal SA, Senior Notes | 4.550 | % | 3/11/26 | 8,835,000 | 8,960,293 | |||||||||||
ArcelorMittal SA, Senior Notes | 7.250 | % | 10/15/39 | 3,490,000 | 4,175,188 | |||||||||||
Barrick Gold Corp., Senior Notes | 5.250 | % | 4/1/42 | 1,590,000 | 2,098,245 | |||||||||||
Barrick North America Finance LLC, Senior Notes | 5.700 | % | 5/30/41 | 8,454,000 | 11,395,004 |
See Notes to Financial Statements.
| ||
54 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Metals & Mining — continued | ||||||||||||||||
Barrick North America Finance LLC, Senior Notes | 5.750 | % | 5/1/43 | 8,260,000 | $ | 11,702,596 | ||||||||||
BHP Billiton Finance USA Ltd., Senior Notes | 2.875 | % | 2/24/22 | 983,000 | 1,018,280 | |||||||||||
BHP Billiton Finance USA Ltd., Senior Notes | 5.000 | % | 9/30/43 | 7,630,000 | 10,567,833 | |||||||||||
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 | 28,735,000 | 33,230,447 | (a)(c) | ||||||||||
Freeport-McMoRan Inc., Senior Notes | 3.550 | % | 3/1/22 | 4,116,000 | 4,125,158 | |||||||||||
Freeport-McMoRan Inc., Senior Notes | 3.875 | % | 3/15/23 | 40,000 | 40,080 | |||||||||||
Freeport-McMoRan Inc., Senior Notes | 4.550 | % | 11/14/24 | 130,000 | 132,451 | |||||||||||
Freeport-McMoRan Inc., Senior Notes | 5.400 | % | 11/14/34 | 1,440,000 | 1,427,533 | |||||||||||
Freeport-McMoRan Inc., Senior Notes | 5.450 | % | 3/15/43 | 19,502,000 | 19,177,974 | |||||||||||
Glencore Finance Canada Ltd., Senior Notes | 6.000 | % | 11/15/41 | 2,120,000 | 2,383,974 | (a) | ||||||||||
Glencore Funding LLC, Senior Notes | 3.000 | % | 10/27/22 | 21,610,000 | 22,322,914 | (a) | ||||||||||
Glencore Funding LLC, Senior Notes | 4.125 | % | 5/30/23 | 3,200,000 | 3,423,723 | (a) | ||||||||||
Glencore Funding LLC, Senior Notes | 4.125 | % | 3/12/24 | 34,758,000 | 37,295,894 | (a) | ||||||||||
Glencore Funding LLC, Senior Notes | 4.000 | % | 3/27/27 | 16,490,000 | 17,699,014 | (a) | ||||||||||
Southern Copper Corp., Senior Notes | 5.250 | % | 11/8/42 | 24,800,000 | 29,471,789 | |||||||||||
Teck Resources Ltd., Senior Notes | 6.000 | % | 8/15/40 | 641,000 | 679,982 | |||||||||||
Vale Overseas Ltd., Senior Notes | 6.875 | % | 11/21/36 | 6,581,000 | 8,626,342 | |||||||||||
Yamana Gold Inc., Senior Notes | 4.625 | % | 12/15/27 | 10,350,000 | 10,919,123 | |||||||||||
Total Metals & Mining | 317,914,970 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 55 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Paper & Forest Products — 0.0%†† |
| |||||||||||||||
Resolute Forest Products Inc., Senior Notes | 5.875 | % | 5/15/23 | 7,770,000 | $ | 7,137,872 | ||||||||||
Total Materials | 364,527,159 | |||||||||||||||
Real Estate — 0.1% | ||||||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||||||||||
CoreCivic Inc., Senior Notes | 4.750 | % | 10/15/27 | 634,000 | 528,220 | |||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer Inc., | 4.500 | % | 1/15/28 | 340,000 | 324,211 | |||||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes | 3.750 | % | 9/17/24 | 23,980,000 | 24,765,714 | (a) | ||||||||||
WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes | 4.750 | % | 9/17/44 | 600,000 | 589,000 | (a) | ||||||||||
Total Real Estate | 26,207,145 | |||||||||||||||
Utilities — 0.7% | ||||||||||||||||
Electric Utilities — 0.6% | ||||||||||||||||
Berkshire Hathaway Energy Co., Senior Notes | 6.125 | % | 4/1/36 | 156,000 | 225,643 | |||||||||||
Duke Energy Carolinas LLC, Secured Bonds | 5.300 | % | 2/15/40 | 3,000,000 | 4,165,917 | |||||||||||
Duke Energy Ohio Inc., Secured Bonds | 3.650 | % | 2/1/29 | 7,740,000 | 8,957,618 | |||||||||||
Duke Energy Progress LLC, Secured Bonds | 2.800 | % | 5/15/22 | 400,000 | 415,418 | |||||||||||
Exelon Corp., Senior Notes | 5.625 | % | 6/15/35 | 5,126,000 | 6,741,962 | |||||||||||
FirstEnergy Corp., Senior Notes | 4.250 | % | 3/15/23 | 18,500,000 | 20,017,626 | |||||||||||
FirstEnergy Corp., Senior Notes | 1.600 | % | 1/15/26 | 5,780,000 | 5,838,573 | |||||||||||
FirstEnergy Corp., Senior Notes | 3.900 | % | 7/15/27 | 15,802,000 | 17,903,320 | |||||||||||
FirstEnergy Corp., Senior Notes | 7.375 | % | 11/15/31 | 56,186,000 | 82,161,567 | |||||||||||
FirstEnergy Corp., Senior Notes | 4.850 | % | 7/15/47 | 10,344,000 | 13,129,796 | |||||||||||
Pacific Gas and Electric Co., Secured Bonds | 1.750 | % | 6/16/22 | 21,610,000 | 21,698,601 |
See Notes to Financial Statements.
| ||
56 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Electric Utilities — continued | ||||||||||||||||
Pacific Gas and Electric Co., Secured Bonds | 2.100 | % | 8/1/27 | 6,640,000 | $ | 6,587,876 | ||||||||||
Pacific Gas and Electric Co., Secured Bonds | 2.500 | % | 2/1/31 | 8,320,000 | 8,160,506 | |||||||||||
Pacific Gas and Electric Co., Secured Bonds | 3.300 | % | 8/1/40 | 2,570,000 | 2,511,301 | |||||||||||
Pacific Gas and Electric Co., Secured Bonds | 3.500 | % | 8/1/50 | 5,800,000 | 5,620,084 | |||||||||||
Progress Energy Inc., Senior Notes | 4.400 | % | 1/15/21 | 5,200,000 | 5,260,025 | |||||||||||
Progress Energy Inc., Senior Notes | 6.000 | % | 12/1/39 | 4,800,000 | 6,518,211 | |||||||||||
Total Electric Utilities | 215,914,044 | |||||||||||||||
Multi-Utilities — 0.1% | ||||||||||||||||
Consolidated Edison Co. of New York Inc., Senior Notes | 3.350 | % | 4/1/30 | 5,400,000 | 6,145,167 | |||||||||||
Consolidated Edison Co. of New York Inc., Senior Notes | 3.950 | % | 4/1/50 | 4,490,000 | 5,429,691 | |||||||||||
Dominion Energy Inc., Senior Notes | 7.000 | % | 6/15/38 | 3,600,000 | 5,135,041 | |||||||||||
Total Multi-Utilities | 16,709,899 | |||||||||||||||
Total Utilities | 232,623,943 | |||||||||||||||
Total Corporate Bonds & Notes (Cost — $11,618,774,145) |
| 12,595,350,197 | ||||||||||||||
Mortgage-Backed Securities — 18.4% |
| |||||||||||||||
FHLMC — 3.7% | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 4.000 | % | 10/1/25-3/1/50 | 171,603,297 | 183,494,367 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 5.000 | % | 3/1/38- 3/1/50 | 94,386,436 | 103,176,434 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 5.500 | % | 12/1/38 | 2,991,569 | 3,431,706 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 3.500 | % | 10/1/42- 3/1/50 | 186,204,682 | 200,065,395 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 3.000 | % | 10/1/47- 3/1/50 | 193,374,343 | 205,411,602 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) | 4.500 | % | 8/1/48- 4/1/50 | 187,277,310 | 202,924,309 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) (5 year Treasury Constant Maturity Rate + 1.286%) | 2.542 | % | 3/1/47 | 9,516,895 | 9,820,943 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 57 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
FHLMC — continued | ||||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 5.000 | % | 6/1/23- 6/1/48 | 11,343,499 | $ | 12,848,204 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 4.500 | % | 7/1/23- 4/1/49 | 56,586,396 | 61,817,545 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 6.500 | % | 7/1/29- 9/1/39 | 2,280,309 | 2,620,727 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 7.000 | % | 4/1/32- 3/1/39 | 625,988 | 731,622 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 3.500 | % | 8/1/33- 4/1/48 | 35,940,187 | 38,790,728 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 5.500 | % | 11/1/35 | 6,914 | 7,929 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 6.000 | % | 8/1/36-11/1/36 | 14,434 | 16,825 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 3.000 | % | 2/1/38- 9/1/48 | 159,892,200 | 172,650,184 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Gold | 4.000 | % | 10/1/42-4/1/48 | 61,052,172 | 66,555,792 | |||||||||||
Total FHLMC | 1,264,364,312 | |||||||||||||||
FNMA — 11.6% | ||||||||||||||||
Federal National Mortgage Association (FNMA) | 4.500 | % | 7/1/23-9/1/57 | 524,551,514 | 574,509,082 | |||||||||||
Federal National Mortgage Association (FNMA) | 6.000 | % | 4/1/24-2/1/41 | 20,601,109 | 24,036,236 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.810 | % | 4/1/25 | 3,150,000 | 3,412,590 | |||||||||||
Federal National Mortgage Association (FNMA) | 3.070 | % | 1/1/29 | 4,060,000 | 4,618,544 | |||||||||||
Federal National Mortgage Association (FNMA) | 6.500 | % | 2/1/29- 5/1/40 | 9,650,191 | 11,196,482 | |||||||||||
Federal National Mortgage Association (FNMA) | 3.160 | % | 5/1/29 | 5,921,382 | 6,785,395 | |||||||||||
Federal National Mortgage Association (FNMA) | 3.240 | % | 5/1/29 | 2,803,000 | 3,237,464 | |||||||||||
Federal National Mortgage Association (FNMA) | 3.260 | % | 5/1/29 | 4,270,000 | 4,943,036 | |||||||||||
Federal National Mortgage Association (FNMA) | 3.040 | % | 6/1/29 | 5,250,000 | 5,983,132 | |||||||||||
Federal National Mortgage Association (FNMA) | 7.000 | % | 8/1/29-2/1/39 | 3,071,543 | 3,555,663 |
See Notes to Financial Statements.
| ||
58 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
FNMA — continued | ||||||||||||||||
Federal National Mortgage Association (FNMA) | 7.500 | % | 11/1/29 | 1,906 | $ | 2,251 | ||||||||||
Federal National Mortgage Association (FNMA) | 2.260 | % | 2/1/30-4/1/30 | 13,671,508 | 14,844,626 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.300 | % | 2/1/30 | 2,100,000 | 2,284,036 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.060 | % | 3/1/30 | 8,308,847 | 8,963,672 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.140 | % | 4/1/30 | 1,300,000 | 1,401,770 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.870 | % | 7/1/31 | 3,021,000 | 3,438,042 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.765 | % | 8/1/31 | 17,300,000 | 19,457,648 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.770 | % | 8/1/31 | 9,500,000 | 10,689,324 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.850 | % | 8/1/31 | 10,600,000 | 12,012,469 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.240 | % | 10/1/31 | 4,270,000 | 4,638,604 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.400 | % | 10/1/31 | 4,337,000 | 4,786,374 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.320 | % | 2/1/32 | 3,819,000 | 4,185,821 | |||||||||||
Federal National Mortgage Association (FNMA) | 1.850 | % | 4/1/32 | 5,600,000 | 5,926,748 | |||||||||||
Federal National Mortgage Association (FNMA) | 1.950 | % | 4/1/32 | 4,360,000 | 4,612,929 | |||||||||||
Federal National Mortgage Association (FNMA) | 5.000 | % | 7/1/33-12/1/49 | 170,394,812 | 189,695,382 | |||||||||||
Federal National Mortgage Association (FNMA) | 3.500 | % | 9/1/33- 3/1/57 | 705,052,023 | 755,964,786 | |||||||||||
Federal National Mortgage Association (FNMA) | 2.000 | % | 7/1/35- 7/1/50 | 709,500,000 | 730,409,978 | (j) | ||||||||||
Federal National Mortgage Association (FNMA) | 5.500 | % | 11/1/36-9/1/56 | 28,943,177 | 32,396,266 | |||||||||||
Federal National Mortgage Association (FNMA) | 3.000 | % | 12/1/37-6/1/50 | 623,871,131 | 666,085,717 | |||||||||||
Federal National Mortgage Association (FNMA) | 4.000 | % | 4/1/42- 6/1/57 | 412,425,266 | 451,549,010 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 59 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
FNMA — continued | ||||||||||||||||
Federal National Mortgage Association (FNMA) | 4.000 | % | 10/1/48 | 15,998,078 | $ | 17,060,735 | (i) | |||||||||
Federal National Mortgage Association (FNMA) | 3.500 | % | 2/1/50-4/1/50 | 50,936,789 | 54,228,086 | (i) | ||||||||||
Federal National Mortgage Association (FNMA) | 2.500 | % | 7/1/50 | 311,100,000 | 324,346,056 | (j) | ||||||||||
Federal National Mortgage Association (FNMA) (Federal Reserve US 12 mo. Cumulative Average 1 Year CMT + 1.959%) | 3.666 | % | 11/1/35 | 24,129 | 24,950 | (c) | ||||||||||
Total FNMA | 3,961,282,904 | |||||||||||||||
GNMA — 3.1% | ||||||||||||||||
Government National Mortgage Association (GNMA) | 7.500 | % | 3/15/23-9/15/31 | 19,532 | 21,206 | |||||||||||
Government National Mortgage Association (GNMA) | 7.000 | % | 9/15/23-7/15/31 | 45,296 | 51,338 | |||||||||||
Government National Mortgage Association (GNMA) | 6.500 | % | 4/15/28- 1/15/39 | 2,219,242 | 2,556,881 | |||||||||||
Government National Mortgage Association (GNMA) | 6.000 | % | 1/15/29- 2/15/37 | 6,087,362 | 7,009,151 | |||||||||||
Government National Mortgage Association (GNMA) | 8.000 | % | 12/15/30-1/15/31 | 9,604 | 9,852 | |||||||||||
Government National Mortgage Association (GNMA) | 5.500 | % | 7/15/33- 6/15/36 | 4,895,161 | 5,696,392 | |||||||||||
Government National Mortgage Association (GNMA) | 3.000 | % | 9/15/42-11/15/42 | 39,397,641 | 41,906,241 | |||||||||||
Government National Mortgage Association (GNMA) | 4.000 | % | 4/15/47- 3/15/50 | 29,397,573 | 33,038,710 | |||||||||||
Government National Mortgage Association (GNMA) | 3.500 | % | 6/15/48- 5/15/50 | 19,151,998 | 20,543,022 | |||||||||||
Government National Mortgage Association (GNMA) II | 5.000 | % | 4/20/35- 4/20/50 | 113,664,217 | 124,369,323 | |||||||||||
Government National Mortgage Association (GNMA) II | 6.500 | % | 10/20/37 | 1,437,457 | 1,668,378 | |||||||||||
Government National Mortgage Association (GNMA) II | 6.000 | % | 9/20/38-11/20/41 | 3,518,364 | 4,046,635 |
See Notes to Financial Statements.
| ||
60 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
GNMA — continued | ||||||||||||||||
Government National Mortgage Association (GNMA) II | 4.500 | % | 1/20/40-3/20/49 | 277,941,137 | $ | 299,412,060 | ||||||||||
Government National Mortgage Association (GNMA) II | 3.500 | % | 6/20/44-2/20/50 | 138,691,174 | 147,148,416 | |||||||||||
Government National Mortgage Association (GNMA) II | 4.000 | % | 3/20/45-4/20/50 | 217,311,673 | 233,609,934 | |||||||||||
Government National Mortgage Association (GNMA) II | 3.000 | % | 11/20/46-1/20/50 | 38,745,026 | 41,150,163 | |||||||||||
Government National Mortgage Association (GNMA) II | 2.500 | % | 7/1/50 | 97,800,000 | 102,957,422 | (j) | ||||||||||
Total GNMA | 1,065,195,124 | |||||||||||||||
Total Mortgage-Backed Securities (Cost — $6,102,875,249) |
| 6,290,842,340 | ||||||||||||||
U.S. Government & Agency Obligations — 10.6% |
| |||||||||||||||
U.S. Government Agencies — 0.2% |
| |||||||||||||||
Federal Home Loan Bank (FHLB), Global Bonds | 5.500 | % | 7/15/36 | 2,585,000 | 4,045,699 | |||||||||||
Federal National Mortgage Association (FNMA) | 4.500 | % | 3/1/50 | 8,244,069 | 8,896,218 | (i) | ||||||||||
Federal National Mortgage Association (FNMA), Notes | 6.625 | % | 11/15/30 | 45,010,000 | 69,814,829 | |||||||||||
Total U.S. Government Agencies | 82,756,746 | |||||||||||||||
U.S. Government Obligations — 10.4% |
| |||||||||||||||
Department of Housing and Urban Development, Notes | 2.850 | % | 8/1/24 | 4,537,000 | 4,972,815 | |||||||||||
Department of Housing and Urban Development, Senior Notes | 2.450 | % | 8/1/22 | 9,000,000 | 9,396,024 | |||||||||||
U.S. Treasury Bonds | 3.750 | % | 11/15/43 | 210,430,000 | 313,331,093 | (k) | ||||||||||
U.S. Treasury Bonds | 3.625 | % | 2/15/44 | 297,160,000 | 435,200,106 | |||||||||||
U.S. Treasury Bonds | 2.500 | % | 2/15/45 | 56,680,000 | 69,952,198 | |||||||||||
U.S. Treasury Bonds | 2.875 | % | 8/15/45 | 529,920,000 | 698,718,152 | (k) | ||||||||||
U.S. Treasury Bonds | 3.125 | % | 5/15/48 | 42,580,000 | 59,692,669 | |||||||||||
U.S. Treasury Bonds | 3.000 | % | 2/15/49 | 6,725,000 | 9,287,462 | |||||||||||
U.S. Treasury Bonds | 2.000 | % | 2/15/50 | 153,600,000 | 175,962,000 | |||||||||||
U.S. Treasury Bonds | 1.250 | % | 5/15/50 | 419,200,000 | 402,890,500 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 61 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
U.S. Government Obligations — continued |
| |||||||||||||||
U.S. Treasury Notes | 2.875 | % | 9/30/23 | 560,000 | $ | 608,748 | ||||||||||
U.S. Treasury Notes | 0.375 | % | 4/30/25 | 780,000 | 783,656 | |||||||||||
U.S. Treasury Notes | 0.250 | % | 6/30/25 | 579,680,000 | 578,615,742 | (i) | ||||||||||
U.S. Treasury Notes | 0.500 | % | 6/30/27 | 493,740,000 | 494,202,881 | |||||||||||
U.S. Treasury Notes | 3.125 | % | 11/15/28 | 5,000 | 6,046 | |||||||||||
U.S. Treasury Notes | 0.625 | % | 5/15/30 | 178,490,000 | 178,022,858 | |||||||||||
U.S. Treasury Strip Principal (STRIPS) | 0.000 | % | 11/15/24 | 6,080,000 | 6,019,625 | |||||||||||
U.S. Treasury Strip Principal (STRIPS) | 0.000 | % | 5/15/49 | 152,060,000 | 99,671,094 | |||||||||||
Total U.S. Government Obligations |
| 3,537,333,669 | ||||||||||||||
Total U.S. Government & Agency Obligations (Cost — $3,245,370,921) |
| 3,620,090,415 | ||||||||||||||
Sovereign Bonds — 9.0% | ||||||||||||||||
Argentina — 0.2% | ||||||||||||||||
Argentine Bonos del Tesoro, Bonds | 18.200 | % | 10/3/21 | 626,050,000 | ARS | 4,528,812 | (e) | |||||||||
Argentine Bonos del Tesoro, Bonds | 16.000 | % | 10/17/23 | 70,110,000 | ARS | 357,374 | (e) | |||||||||
Argentine Republic Government International Bond, Senior Notes | 6.875 | % | 4/22/21 | 5,430,000 | 2,273,134 | *(d) | ||||||||||
Argentine Republic Government International Bond, Senior Notes | 5.625 | % | 1/26/22 | 50,540,000 | 21,000,128 | *(d) | ||||||||||
Argentine Republic Government International Bond, Senior Notes | 7.500 | % | 4/22/26 | 11,600,000 | 4,717,604 | *(d) | ||||||||||
Argentine Republic Government International Bond, Senior Notes | 5.875 | % | 1/11/28 | 1,390,000 | 556,778 | *(d) | ||||||||||
Argentine Republic Government International Bond, Senior Notes | 7.125 | % | 7/6/36 | 3,600,000 | 1,419,498 | *(d) | ||||||||||
Argentine Republic Government International Bond, Senior Notes | 7.625 | % | 4/22/46 | 5,450,000 | 2,132,612 | *(d) | ||||||||||
Argentine Republic Government International Bond, Senior Notes | 6.875 | % | 1/11/48 | 32,960,000 | 12,879,450 | *(d) |
See Notes to Financial Statements.
| ||
62 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Argentina — continued | ||||||||||||||||
Argentine Republic Government International Bond, Senior Notes, Step Bond (3.750% to 3/31/29 then 5.250%) | 3.750 | % | 12/31/38 | 22,200,000 | $ | 8,753,349 | *(d) | |||||||||
Provincia de Buenos Aires, Senior Notes | 6.500 | % | 2/15/23 | 9,210,000 | 3,914,342 | *(a)(d) | ||||||||||
Provincia de Buenos Aires, Senior Notes | 9.125 | % | 3/16/24 | 1,550,000 | 654,891 | *(a)(d) | ||||||||||
Provincia de Buenos Aires, Senior Notes | 7.875 | % | 6/15/27 | 7,890,000 | 3,294,154 | *(a)(d) | ||||||||||
Total Argentina | 66,482,126 | |||||||||||||||
Brazil — 0.9% | ||||||||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000 | % | 1/1/21 | 497,723,000 | BRL | 95,013,132 | ||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000 | % | 1/1/23 | 339,418,000 | BRL | 70,935,411 | ||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000 | % | 1/1/27 | 34,396,000 | BRL | 7,515,092 | ||||||||||
Brazilian Government International Bond, Senior Notes | 2.625 | % | 1/5/23 | 4,490,000 | 4,591,025 | |||||||||||
Brazilian Government International Bond, Senior Notes | 4.625 | % | 1/13/28 | 18,440,000 | 19,319,496 | |||||||||||
Brazilian Government International Bond, Senior Notes | 5.625 | % | 1/7/41 | 25,970,000 | 27,138,650 | |||||||||||
Brazilian Government International Bond, Senior Notes | 5.000 | % | 1/27/45 | 34,140,000 | 32,921,031 | |||||||||||
Brazilian Government International Bond, Senior Notes | 5.625 | % | 2/21/47 | 50,990,000 | 53,248,602 | |||||||||||
Total Brazil | 310,682,439 | |||||||||||||||
China — 1.1% | ||||||||||||||||
China Government Bond, Senior Notes | 3.380 | % | 11/21/24 | 115,500,000 | CNH | 16,946,229 | (l) | |||||||||
China Government Bond, Senior Notes | 3.390 | % | 5/21/25 | 59,000,000 | CNH | 8,685,442 | (l) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 63 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
China — continued | ||||||||||||||||
China Government Bond, Senior Notes | 3.310 | % | 11/30/25 | 273,500,000 | CNH | $ | 40,241,323 | (l) | ||||||||
China Government Bond, Senior Notes | 3.290 | % | 5/23/29 | 2,187,000,000 | CNY | 318,056,343 | ||||||||||
Total China | 383,929,337 | |||||||||||||||
Colombia — 0.1% | ||||||||||||||||
Colombia Government International Bond, Senior Notes | 5.625 | % | 2/26/44 | 19,220,000 | 23,146,550 | |||||||||||
Egypt — 0.0%†† | ||||||||||||||||
Egypt Government International Bond, Senior Notes | 5.577 | % | 2/21/23 | 15,630,000 | 16,020,750 | (a) | ||||||||||
Indonesia — 0.9% | ||||||||||||||||
Indonesia Government International Bond, Senior Notes | 4.875 | % | 5/5/21 | 510,000 | 526,575 | (l) | ||||||||||
Indonesia Government International Bond, Senior Notes | 3.750 | % | 4/25/22 | 24,750,000 | 25,749,792 | (l) | ||||||||||
Indonesia Government International Bond, Senior Notes | 3.750 | % | 4/25/22 | 370,000 | 384,946 | (a) | ||||||||||
Indonesia Government International Bond, Senior Notes | 5.375 | % | 10/17/23 | 7,620,000 | 8,478,337 | (l) | ||||||||||
Indonesia Government International Bond, Senior Notes | 3.850 | % | 7/18/27 | 10,410,000 | 11,297,019 | (a) | ||||||||||
Indonesia Government International Bond, Senior Notes | 3.500 | % | 1/11/28 | 3,010,000 | 3,208,813 | |||||||||||
Indonesia Government International Bond, Senior Notes | 4.625 | % | 4/15/43 | 5,050,000 | 5,808,863 | (l) | ||||||||||
Indonesia Government International Bond, Senior Notes | 5.125 | % | 1/15/45 | 22,340,000 | 27,466,364 | (a) | ||||||||||
Indonesia Government International Bond, Senior Notes | 5.125 | % | 1/15/45 | 3,610,000 | 4,438,387 | (l) |
See Notes to Financial Statements.
| ||
64 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Indonesia — continued | ||||||||||||||||
Indonesia Government International Bond, Senior Notes | 5.250 | % | 1/8/47 | 23,930,000 | $ | 30,035,281 | (a) | |||||||||
Indonesia Government International Bond, Senior Notes | 4.750 | % | 7/18/47 | 3,900,000 | 4,594,945 | (a) | ||||||||||
Indonesia Government International Bond, Senior Notes | 4.350 | % | 1/11/48 | 28,860,000 | 32,624,084 | |||||||||||
Indonesia Government International Bond, Senior Notes | 3.700 | % | 10/30/49 | 3,160,000 | 3,297,269 | |||||||||||
Indonesia Treasury Bond, Senior Notes | 7.000 | % | 5/15/27 | 1,645,317,000,000 | IDR | 115,523,483 | ||||||||||
Indonesia Treasury Bond, Senior Notes | 7.500 | % | 6/15/35 | 279,479,000,000 | IDR | 19,374,733 | ||||||||||
Total Indonesia | 292,808,891 | |||||||||||||||
Israel — 0.1% | ||||||||||||||||
Israel Government International Bond, Senior Notes | 2.750 | % | 7/3/30 | 14,340,000 | 15,849,142 | |||||||||||
Israel Government International Bond, Senior Notes | 3.875 | % | 7/3/50 | 7,670,000 | 9,137,731 | |||||||||||
Total Israel | 24,986,873 | |||||||||||||||
Italy — 1.2% | ||||||||||||||||
Italy Buoni Poliennali Del Tesoro, Senior Notes | 2.300 | % | 10/15/21 | 363,560,000 | EUR | 421,081,880 | (l) | |||||||||
Kenya — 0.0%†† | ||||||||||||||||
Kenya Government International Bond, Senior Notes | 6.875 | % | 6/24/24 | 7,780,000 | 7,925,292 | (l) | ||||||||||
Kenya Government International Bond, Senior Notes | 7.250 | % | 2/28/28 | 6,600,000 | 6,544,164 | (a) | ||||||||||
Total Kenya | 14,469,456 | |||||||||||||||
Kuwait — 0.1% | ||||||||||||||||
Kuwait International Government Bond, Senior Notes | 3.500 | % | 3/20/27 | 24,270,000 | 27,138,447 | (a) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 65 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Mexico — 1.9% | ||||||||||||||||
Mexican Bonos, Bonds | 10.000 | % | 12/5/24 | 324,780,000 | MXN | $ | 17,015,394 | |||||||||
Mexican Bonos, Bonds | 8.000 | % | 11/7/47 | 6,679,000,000 | MXN | 325,878,942 | ||||||||||
Mexican Bonos, Senior Notes | 8.500 | % | 5/31/29 | 2,067,380,000 | MXN | 106,557,161 | ||||||||||
Mexican Bonos, Senior Notes | 7.750 | % | 11/23/34 | 381,940,000 | MXN | 18,881,557 | ||||||||||
Mexican Bonos, Senior Notes | 7.750 | % | 11/13/42 | 2,668,886,200 | MXN | 126,942,351 | ||||||||||
Mexico Government International Bond, Senior Notes | 4.350 | % | 1/15/47 | 11,650,000 | 11,702,134 | |||||||||||
Mexico Government International Bond, Senior Notes | 4.600 | % | 2/10/48 | 28,480,000 | 29,670,322 | |||||||||||
Mexico Government International Bond, Senior Notes | 5.750 | % | 10/12/2110 | 9,190,000 | 10,240,371 | |||||||||||
Total Mexico | 646,888,232 | |||||||||||||||
Nigeria — 0.1% | ||||||||||||||||
Nigeria Government International Bond, Senior Notes | 6.500 | % | 11/28/27 | 8,130,000 | 7,760,085 | (a) | ||||||||||
Nigeria Government International Bond, Senior Notes | 7.143 | % | 2/23/30 | 9,270,000 | 8,690,161 | (a) | ||||||||||
Total Nigeria | 16,450,246 | |||||||||||||||
Panama — 0.0%†† | ||||||||||||||||
Panama Government International Bond, Senior Notes | 4.500 | % | 4/1/56 | 7,630,000 | 9,392,606 | |||||||||||
Peru — 0.2% | ||||||||||||||||
Peruvian Government International Bond, Senior Notes | 2.783 | % | 1/23/31 | 23,540,000 | 25,152,490 | |||||||||||
Peruvian Government International Bond, Senior Notes | 6.550 | % | 3/14/37 | 2,330,000 | 3,554,543 | |||||||||||
Peruvian Government International Bond, Senior Notes | 5.625 | % | 11/18/50 | 14,280,000 | 22,588,033 | |||||||||||
Total Peru | 51,295,066 |
See Notes to Financial Statements.
| ||
66 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Poland — 0.1% | ||||||||||||||||
Republic of Poland Government International Bond, Senior Notes | 4.000 | % | 1/22/24 | 34,880,000 | $ | 38,788,583 | ||||||||||
Qatar — 0.3% | ||||||||||||||||
Qatar Government International Bond, Senior Notes | 4.000 | % | 3/14/29 | 22,950,000 | 26,453,065 | (a) | ||||||||||
Qatar Government International Bond, Senior Notes | 4.817 | % | 3/14/49 | 50,690,000 | 66,840,594 | (a) | ||||||||||
Qatar Government International Bond, Senior Notes | 4.400 | % | 4/16/50 | 13,490,000 | 16,730,042 | (a) | ||||||||||
Total Qatar | 110,023,701 | |||||||||||||||
Russia — 1.4% | ||||||||||||||||
Russian Federal Bond — OFZ | 7.000 | % | 1/25/23 | 1,326,230,000 | RUB | 19,710,404 | ||||||||||
Russian Federal Bond — OFZ | 7.000 | % | 8/16/23 | 3,299,070,000 | RUB | 49,409,446 | ||||||||||
Russian Federal Bond — OFZ | 7.750 | % | 9/16/26 | 256,110,000 | RUB | 4,062,601 | ||||||||||
Russian Federal Bond — OFZ | 8.150 | % | 2/3/27 | 2,696,040,000 | RUB | 43,708,105 | ||||||||||
Russian Federal Bond — OFZ | 7.050 | % | 1/19/28 | 6,370,818,000 | RUB | 97,768,233 | ||||||||||
Russian Federal Bond — OFZ | 6.900 | % | 5/23/29 | 6,829,060,000 | RUB | 103,904,770 | ||||||||||
Russian Federal Bond — OFZ | 7.650 | % | 4/10/30 | 5,213,630,000 | RUB | 83,070,102 | ||||||||||
Russian Federal Bond — OFZ | 7.250 | % | 5/10/34 | 309,130,000 | RUB | 4,824,761 | ||||||||||
Russian Federal Bond — OFZ | 7.700 | % | 3/16/39 | 4,742,870,000 | RUB | 78,051,176 | ||||||||||
Total Russia | 484,509,598 | |||||||||||||||
United Arab Emirates — 0.4% | ||||||||||||||||
Abu Dhabi Government International Bond, Senior Notes | 2.500 | % | 10/11/22 | 26,930,000 | 27,869,049 | (a) | ||||||||||
Abu Dhabi Government International Bond, Senior Notes | 3.125 | % | 9/30/49 | 80,700,000 | 84,230,625 | (a) | ||||||||||
Abu Dhabi Government International Bond, Senior Notes | 3.875 | % | 4/16/50 | 5,400,000 | 6,403,050 | (a) | ||||||||||
Total United Arab Emirates | 118,502,724 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 67 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Uruguay — 0.0%†† | ||||||||||||||||
Uruguay Government International Bond, Senior Notes | 7.875 | % | 1/15/33 | 1 | $ | 2 | ||||||||||
Total Sovereign Bonds (Cost — $3,296,010,193) | 3,056,597,507 | |||||||||||||||
Collateralized Mortgage Obligations (m) — 7.4% | ||||||||||||||||
Alternative Loan Trust, 2006-6CB 1A4 | 5.500 | % | 5/25/36 | 4,538,024 | 4,443,302 | |||||||||||
Alternative Loan Trust, 2006-18CB A6 (-4.000 x 1 mo. USD LIBOR + 28.600%) | 27.862 | % | 7/25/36 | 6,693,689 | 11,685,694 | (c) | ||||||||||
Alternative Loan Trust, 2006-23CB 2A6, PAC(-4.000 x 1 mo. USD LIBOR + 28.400%) | 27.662 | % | 8/25/36 | 2,756,504 | 4,451,585 | (c) | ||||||||||
Alternative Loan Trust, 2006-43CB 1A10 | 6.000 | % | 2/25/37 | 4,900,661 | 3,803,922 | |||||||||||
Alternative Loan Trust, 2006-43CB 3A3, IO (-1.000 x 1mo. USD LIBOR + 6.630%) | 6.446 | % | 2/25/37 | 14,183,982 | 3,820,819 | (c) | ||||||||||
Alternative Loan Trust, 2006-OA9 2A1B (1 mo. USD LIBOR + 0.200%) | 0.390 | % | 7/20/46 | 399,787 | 297,071 | (c) | ||||||||||
Banc of America Funding Trust, 2015-R2 3A1 (1 mo. USD LIBOR + 0.260%) | 0.445 | % | 4/29/37 | 3,362,182 | 3,369,926 | (a)(c) | ||||||||||
Banc of America Funding Trust, 2015-R2 3A2 (1 mo. USD LIBOR + 0.260%) | 0.445 | % | 4/29/37 | 25,428,000 | 24,356,184 | (a)(c) | ||||||||||
BBCCRE Trust, 2015-GTP E | 4.715 | % | 8/10/33 | 33,260,000 | 29,292,711 | (a)(c) | ||||||||||
BBCMS Trust, 2018-CBM D (1 mo. USD LIBOR + 2.391%) | 2.576 | % | 7/15/37 | 16,390,000 | 14,319,655 | (a)(c) | ||||||||||
BCAP LLC Trust, 2010-RR9 6A2 | 6.000 | % | 10/26/35 | 14,841,069 | 14,267,729 | (a)(c) | ||||||||||
Bear Stearns Asset Backed Securities I Trust, 2004-AC6 A1 | 5.750 | % | 11/25/34 | 2,675,250 | 2,456,277 | |||||||||||
Bear Stearns Asset Backed Securities I Trust, 2006-AC4 A2 (-4.333 x 1 mo. USD LIBOR + 33.583%) | 32.784 | % | 7/25/36 | 2,563,597 | 3,880,968 | (c) | ||||||||||
Bear Stearns Mortgage Funding Trust, 2007-AR2 A1 (1 mo. USD LIBOR + 0.170%) | 0.355 | % | 3/25/37 | 13,110,567 | 11,501,183 | (c) |
See Notes to Financial Statements.
| ||
68 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued | ||||||||||||||||
Benchmark Mortgage Trust, 2020-IG1 AS | 2.909 | % | 9/15/43 | 28,980,000 | $ | 29,345,632 | (c) | |||||||||
BHMS Mortgage Trust, 2018- MZB(1 mo. USD LIBOR + 6.637%) | 6.821 | % | 7/15/20 | 93,060,000 | 73,373,492 | (a)(c) | ||||||||||
BX Commercial Mortgage Trust, 2019-XL A (1 mo. USD LIBOR + 0.920%) | 1.105 | % | 10/15/36 | 15,133,545 | 15,058,276 | (a)(c) | ||||||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates Series, 2005-4A A1 (1 mo. USD LIBOR + 0.200%) | 0.385 | % | 10/25/36 | 343,243 | 310,051 | (a)(c) | ||||||||||
CHT Mortgage Trust, 2017-CSMO A (1 mo. USD LIBOR + 0.930%) | 1.115 | % | 11/15/36 | 17,095,000 | 16,414,489 | (a)(c) | ||||||||||
Citigroup Commercial Mortgage Trust, 2014-GC25 AS | 4.017 | % | 10/10/47 | 2,800,000 | 3,007,880 | |||||||||||
Citigroup Commercial Mortgage Trust, 2017-P7 B | 4.137 | % | 4/14/50 | 9,194,000 | 9,315,871 | (c) | ||||||||||
Citigroup Mortgage Loan Trust, 2006-AR9 1A4 (1 mo. USD LIBOR + 0.240%) | 0.425 | % | 11/25/36 | 738,766 | 732,522 | (c) | ||||||||||
Citigroup Mortgage Loan Trust Inc., 2005-5 1A5 | 2.856 | % | 8/25/35 | 61,656 | 51,080 | (c) | ||||||||||
Commercial Mortgage Pass-Through Certificates, 2014- CR21 A3 | 3.528 | % | 12/10/47 | 546,192 | 588,598 | |||||||||||
Commercial Mortgage Pass-Through Certificates, 2015- DC1 C | 4.454 | % | 2/10/48 | 3,070,000 | 2,829,944 | (c) | ||||||||||
Commercial Mortgage Trust, 2013-CR12 AM | 4.300 | % | 10/10/46 | 1,723,000 | 1,824,594 | |||||||||||
Commercial Mortgage Trust, 2013-CR12 B | 4.762 | % | 10/10/46 | 1,470,000 | 1,537,016 | (c) | ||||||||||
Commercial Mortgage Trust, 2013-CR12 C | 5.240 | % | 10/10/46 | 730,000 | 693,600 | (c) | ||||||||||
Commercial Mortgage Trust, 2014-CR19 B | 4.703 | % | 8/10/47 | 8,410,000 | 8,747,221 | (c) | ||||||||||
Commercial Mortgage Trust, 2014-CR21 C | 4.574 | % | 12/10/47 | 11,948,000 | 11,646,921 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 69 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Commercial Mortgage Trust, 2015-DC1 B | 4.035 | % | 2/10/48 | 7,160,000 | $ | 7,249,453 | (c) | |||||||||
Credit Suisse Commercial Mortgage Trust, 2006-C3 AJ | 6.634 | % | 6/15/38 | 1,243,085 | 643,450 | (c) | ||||||||||
Credit Suisse Commercial Mortgage Trust, 2006-C5 AJ | 5.373 | % | 12/15/39 | 5,899,773 | 2,716,590 | |||||||||||
Credit Suisse Mortgage Capital Trust, 2020-4R 1A1 (1 mo. USD LIBOR + 3.000%) | 3.174 | % | 6/25/47 | 69,554,811 | 70,383,348 | (a)(c) | ||||||||||
CSMC Trust, 2014-USA A2 | 3.953 | % | 9/15/37 | 12,520,000 | 12,304,502 | (a) | ||||||||||
CSMC Trust, 2014-USA E | 4.373 | % | 9/15/37 | 13,470,000 | 10,392,027 | (a) | ||||||||||
CSMC Trust, 2015-2R 7A1 | 3.482 | % | 8/27/36 | 12,136,071 | 12,008,369 | (a)(c) | ||||||||||
CSMC Trust, 2015-4R 3A3 (1 mo. USD LIBOR + 0.310%) | 0.788 | % | 10/27/36 | 48,456,954 | 23,974,538 | (a)(c) | ||||||||||
CSMC Trust, 2017-CHOP G (1 mo. USD LIBOR + 5.350%) | 5.535 | % | 7/15/32 | 23,400,000 | 14,567,534 | (a)(c) | ||||||||||
CSMC Trust, 2017-TIME A | 3.646 | % | 11/13/39 | 21,200,000 | 20,631,160 | (a) | ||||||||||
CSMC Trust, 2018-J1 A2 | 3.500 | % | 2/25/48 | 120,149,498 | 125,118,737 | (a)(c) | ||||||||||
CSMC Trust, 2019-RIO A | 3.208 | % | 12/15/21 | 148,347,500 | 136,497,042 | (a) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR02 BX | 1.666 | % | 8/27/28 | 15,503,008 | 1,765,153 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K016 X1, IO | 1.635 | % | 10/25/21 | 7,097,678 | 109,179 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K091 A2 | 3.505 | % | 3/25/29 | 11,600,000 | 13,792,928 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K092 X1, IO | 0.852 | % | 4/25/29 | 41,738,039 | 2,292,549 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K095 X1, IO | 1.082 | % | 6/25/29 | 39,930,947 | 2,883,565 | (c) |
See Notes to Financial Statements.
| ||
70 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K095 XAM, IO | 1.372 | % | 6/25/29 | 6,300,000 | $ | 620,692 | (c) | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K099 X1, IO | 1.006 | % | 9/25/29 | 20,507,385 | 1,423,817 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K101 X1, IO | 0.949 | % | 10/25/29 | 19,981,329 | 1,327,466 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K735 X1, IO | 1.102 | % | 5/25/26 | 69,838,131 | 3,423,570 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K736 X1, IO | 1.437 | % | 7/25/26 | 39,840,602 | 2,640,627 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K737 X1, IO | 0.752 | % | 10/25/26 | 35,951,492 | 1,236,508 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1513 A3 | 2.797 | % | 8/25/34 | 1,600,000 | 1,845,126 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, KC05 X1, IO | 1.204 | % | 6/25/27 | 24,475,602 | 1,460,469 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA | 6.000 | % | 5/15/36 | 6,395,111 | 7,644,678 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2019- RR01 X, IO | 1.534 | % | 6/25/28 | 22,500,000 | 2,455,763 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2957 ZA, PAC | 5.000 | % | 3/15/35 | 9,799,680 | 11,182,260 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 71 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3242 SC, IO (-1.000 x 1 mo. USD LIBOR + 6.290%) | 6.105 | % | 11/15/36 | 1,122,996 | $ | 234,205 | (c) | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3281 AI,IO (-1.000 x 1 mo. USD LIBOR + 6.430%) | 6.245 | % | 2/15/37 | 6,089,902 | 1,442,723 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3368 AI,IO (-1.000 x 1 mo. USD LIBOR + 6.030%) | 5.845 | % | 9/15/37 | 1,647,872 | 361,825 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3422 AI, IO | 0.250 | % | 1/15/38 | 689,430 | 4,524 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3621 SB, IO (-1.000 x 1 mo. USD LIBOR + 6.230%) | 6.045 | % | 1/15/40 | 2,335,644 | 541,691 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3639 EY | 5.000 | % | 2/15/30 | 3,981,491 | 4,413,342 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3768 MB, PAC-1 | 4.000 | % | 12/15/39 | 12,517,008 | 13,074,093 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG,IO (-1.000 x 1 mo. USD LIBOR + 5.950%) | 5.765 | % | 10/15/41 | 6,515,915 | 1,135,164 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3973 SA,IO (-1.000 x 1 mo. USD LIBOR + 6.490%) | 6.305 | % | 12/15/41 | 4,612,018 | 1,055,770 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4054 SA,IO (-1.000 x 1 mo. USD LIBOR + 6.050%) | 5.865 | % | 8/15/39 | 2,784,388 | 577,423 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4099 ST,IO (-1.000 x 1 mo. USD LIBOR + 6.000%) | 5.815 | % | 8/15/42 | 1,488,370 | 266,048 | (c) |
See Notes to Financial Statements.
| ||
72 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4119 IN, IO | 3.500 | % | 10/15/32 | 3,742,873 | $ | 385,199 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4146 DI, IO | 3.000 | % | 12/15/31 | 2,793,267 | 175,926 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4174 SA,IO (-1.000 x 1 mo. USD LIBOR + 6.200%) | 6.015 | % | 5/15/39 | 2,119,749 | 132,261 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4203 PS, IO,PAC (-1.000 x 1 mo. USD LIBOR + 6.250%) | 6.065 | % | 9/15/42 | 2,486,804 | 415,928 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4239 IO, IO | 3.500 | % | 6/15/27 | 2,726,188 | 180,899 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4298 PI, IO, PAC | 4.000 | % | 4/15/43 | 1,586,054 | 87,144 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4415 IO, IO | 3.371 | % | 4/15/41 | 5,326,531 | 323,452 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4793 CB | 3.000 | % | 5/15/48 | 30,383,813 | 31,899,121 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4793 CD | 3.000 | % | 6/15/48 | 22,655,502 | 23,691,208 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ | 3.000 | % | 8/15/48 | 22,119,832 | 22,921,729 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 283 IO, IO | 3.500 | % | 10/15/27 | 679,157 | 52,382 | |||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 328 S4, IO | 3.365 | % | 2/15/38 | 1,021,818 | 61,835 | (c) | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 334 S7, IO (-1.000 x 1 mo. USD LIBOR + 6.100%) | 5.915 | % | 8/15/44 | 8,957,186 | 1,980,158 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 73 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 353 S1, IO (-1.000 x 1 mo. USD LIBOR + 6.000%) | 5.815 | % | 12/15/46 | 20,865,835 | $ | 4,405,860 | (c) | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-DNA1 M2 (-1.000 x 1 mo. USD LIBOR + 1.800%) | 1.985 | % | 7/25/30 | 48,837,873 | 48,198,292 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) — CAS, 2014-C03 1M1 (1 mo. USD LIBOR + 3.000%) | 3.185 | % | 7/25/24 | 56,795,676 | 50,238,535 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) — CAS, 2015-C01 2M2 (1 mo. USD LIBOR + 4.550%) | 4.735 | % | 2/25/25 | 2,636,881 | 2,654,214 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) — CAS, 2015-C03 1M2 (1 mo. USD LIBOR + 5.000%) | 5.185 | % | 7/25/25 | 19,775,383 | 20,351,642 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) — CAS, 2017-C03 1M1 (-1.000 x 1 mo. USD LIBOR + 0.950%) | 1.135 | % | 10/25/29 | 4,665,341 | 4,664,622 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) — CAS, 2018-C05 1B1 (1 mo. USD LIBOR + 4.250%) | 4.435 | % | 1/25/31 | 19,130,000 | 19,199,459 | (a)(c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2013-M6 1AC | 3.552 | % | 2/25/43 | 2,042,042 | 2,286,989 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2015-M4, X2, IO | 0.483 | % | 7/25/22 | 25,726,407 | 164,639 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2017-M8 A2 | 3.061 | % | 5/25/27 | 3,822,000 | 4,290,116 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2018-M9 APT2 | 3.228 | % | 4/25/28 | 2,499,771 | 2,818,215 | (c) |
See Notes to Financial Statements.
| ||
74 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M1 A2 | 3.673 | % | 9/25/28 | 69,402,256 | $ | 81,710,878 | (c) | |||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M4 A2 | 3.610 | % | 2/25/31 | 12,170,000 | 14,603,887 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M5 A2 | 3.273 | % | 2/25/29 | 22,830,000 | 26,426,684 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M6 A2 | 3.450 | % | 1/1/29 | 25,350,000 | 29,383,672 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M13 X1, IO | 0.945 | % | 6/25/34 | 17,928,647 | 1,194,204 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M14 X1, IO | 0.706 | % | 6/25/29 | 55,448,656 | 2,421,154 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M19 A2 | 2.560 | % | 9/25/29 | 18,610,960 | 20,595,625 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M23 3A3 | 2.720 | % | 10/25/31 | 7,498,898 | 8,167,792 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M27 A2 | 2.700 | % | 11/25/40 | 2,500,000 | 2,817,088 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2019-M28 AV | 2.232 | % | 2/25/27 | 36,670,655 | 38,416,929 | |||||||||||
Federal National Mortgage Association (FNMA) ACES, 2020-M6 A | 2.500 | % | 10/25/37 | 3,828,215 | 4,091,585 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2005-88 IP, IO | 3.165 | % | 10/25/35 | 2,207,625 | 123,049 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2006-28 IP, IO | 3.379 | % | 3/25/36 | 1,562,758 | 102,569 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2006-59 IP, IO | 3.974 | % | 7/25/36 | 3,258,773 | 294,793 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 75 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2006-118 IP1, IO | 0.236 | % | 12/25/36 | 3,520,809 | $ | 294,107 | (c) | |||||||||
Federal National Mortgage Association (FNMA) REMIC, 2006-118 IP2, IO | 0.236 | % | 12/25/36 | 4,040,052 | 259,459 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2010-27 AS, IO (-1.000 x 1 mo. USD LIBOR + 6.480%) | 6.296 | % | 4/25/40 | 1,914,029 | 371,530 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2010-123 PM, PAC | 4.000 | % | 7/25/40 | 14,103,046 | 15,047,696 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ | 5.500 | % | 7/25/41 | 926,636 | 1,091,806 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2011-99 KS, IO (-1.000 x 1 mo. USD LIBOR + 6.700%) | 6.516 | % | 10/25/26 | 840,735 | 105,908 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-28 B | 6.500 | % | 6/25/39 | 892,721 | 979,246 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-035 SC, IO (-1.000 x 1 mo. USD LIBOR + 6.500%) | 6.316 | % | 4/25/42 | 2,361,456 | 493,142 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-046 BA | 6.000 | % | 5/25/42 | 3,572,035 | 4,202,215 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-51 B | 7.000 | % | 5/25/42 | 5,455,625 | 6,738,308 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-070 YS, IO (-1.000 x 1 mo. USD LIBOR + 6.650%) | 6.466 | % | 2/25/41 | 817,186 | 68,285 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-074 OA, PO | 0.000 | % | 3/25/42 | 353,233 | 339,128 |
See Notes to Financial Statements.
| ||
76 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-074 SA, IO (-1.000 x 1 mo. USD LIBOR + 6.650%) | 6.466 | % | 3/25/42 | 4,004,269 | $ | 785,825 | (c) | |||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-75 AO, PO | 0.000 | % | 3/25/42 | 211,361 | 202,748 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 1 mo. USD LIBOR + 6.600%) | 6.416 | % | 7/25/42 | 536,996 | 110,869 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-93 UI, IO | 3.000 | % | 9/25/27 | 1,143,088 | 65,506 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-101 BI, IO | 4.000 | % | 9/25/27 | 1,548,033 | 97,101 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-133 CS, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | 5.966 | % | 12/25/42 | 3,403,830 | 654,816 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-134 MS, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | 5.966 | % | 12/25/42 | 2,581,760 | 488,267 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2012-134 SK, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | 5.966 | % | 12/25/42 | 8,465,586 | 1,835,106 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-9 BC | 6.500 | % | 7/25/42 | 4,876,728 | 5,931,888 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB | 5.500 | % | 4/25/42 | 13,517,606 | 15,627,469 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-9 SA, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | 5.966 | % | 3/25/42 | 4,356,008 | 788,968 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-14 IG, IO | 4.000 | % | 3/25/43 | 6,074,455 | 734,430 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 77 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-026 HI, IO | 3.000 | % | 4/25/32 | 3,416,427 | $ | 129,409 | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-29 QI, IO | 4.000 | % | 4/25/43 | 5,627,870 | 655,941 | |||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-54 BS, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | 5.966 | % | 6/25/43 | 6,603,548 | 1,617,045 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2013-124 SB, IO (-1.000 x 1 mo. USD LIBOR + 5.950%) | 5.766 | % | 12/25/43 | 13,798,275 | 2,950,397 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO | 3.141 | % | 8/25/44 | 5,121,633 | 349,494 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2015-55 IO, IO | 2.834 | % | 8/25/55 | 10,723,580 | 539,717 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2015-56 AS, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | 5.966 | % | 8/25/45 | 2,952,028 | 757,275 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2016-23 ST, IO (-1.000 x 1 mo. USD LIBOR + 6.000%) | 5.816 | % | 11/25/45 | 17,412,719 | 3,745,131 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2016-60 QS, IO (-1.000 x 1 mo. USD LIBOR + 6.100%) | 5.916 | % | 9/25/46 | 18,460,818 | 3,836,125 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2016-61 BS, IO (-1.000 x 1 mo. USD LIBOR + 6.100%) | 5.916 | % | 9/25/46 | 8,322,747 | 1,582,716 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2017-76 SB, IO (-1.000 x 1 mo. USD LIBOR + 6.100%) | 5.916 | % | 10/25/57 | 34,442,026 | 6,481,156 | (c) |
See Notes to Financial Statements.
| ||
78 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Federal National Mortgage Association (FNMA) REMIC, 2017-85 SC, IO (-1.000 x 1 mo. USD LIBOR + 6.200%) | 6.016 | % | 11/25/47 | 11,806,034 | $ | 2,236,059 | (c) | |||||||||
Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ | 2.000 | % | 7/25/50 | 12,900,000 | 12,827,438 | (e)(f) | ||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 390 C3, IO | 6.000 | % | 7/25/38 | 1,001,813 | 185,496 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 22, IO | 5.000 | % | 1/25/39 | 448,776 | 59,342 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 23, IO | 5.000 | % | 1/25/39 | 243,585 | 32,758 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 27, IO | 5.500 | % | 1/25/39 | 207,940 | 29,714 | (c) | ||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 34, IO | 5.000 | % | 1/25/38 | 294,963 | 39,509 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO | 6.000 | % | 1/25/38 | 1,253,284 | 238,320 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C1, IO | 3.000 | % | 11/25/26 | 3,391,236 | 197,992 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C2, IO | 3.000 | % | 4/25/27 | 175,101 | 10,162 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C13, IO | 3.500 | % | 11/25/41 | 4,450,625 | 532,972 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C18, IO | 4.000 | % | 4/25/42 | 3,139,939 | 445,277 | |||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 409 C22, IO | 4.500 | % | 11/25/39 | 1,298,635 | 196,838 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 79 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Federal National Mortgage Association (FNMA) STRIPS, 20384 14, IO | 5.500 | % | 1/25/40 | 523,150 | $ | 90,089 | ||||||||||
First Horizon Alternative Mortgage Securities Trust, 2007-FA3 A1 (1 mo. USD LIBOR + 0.330%) | 0.515 | % | 6/25/37 | 8,913,207 | 3,832,743 | (c) | ||||||||||
Flagstar Mortgage Trust, 2018-2 A4 | 3.500 | % | 4/25/48 | 32,758,666 | 33,820,650 | (a)(c) | ||||||||||
FREMF Mortgage Trust, 2012- K20 X2A, IO | 0.200 | % | 5/25/45 | 175,993,537 | 534,932 | (a) | ||||||||||
GE Business Loan Trust, 2007-1A A (1 mo. USD LIBOR + 0.170%) | 0.355 | % | 4/15/35 | 2,003,935 | 1,855,707 | (a)(c) | ||||||||||
GE Capital Commercial Mortgage Corp., 2007-C1 AJ | 5.677 | % | 12/10/49 | 9,636,170 | 1,619,967 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2006-16 GS, IO (-1.000 x 1 mo. USD LIBOR + 6.990%) | 6.800 | % | 4/20/36 | 611,446 | 129,884 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2007-51 SG, IO (-1.000 x 1 mo. USD LIBOR + 6.580%) | 6.390 | % | 8/20/37 | 2,372,150 | 405,394 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-31 GS, IO, PAC-1 (-1.000 x 1 mo. USD LIBOR + 6.500%) | 6.310 | % | 3/20/39 | 145,710 | 2,979 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-42 BS, IO (-1.000 x 1 mo. USD LIBOR + 6.480%) | 6.290 | % | 4/20/40 | 421,713 | 88,520 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-42 PC, PAC-1 | 5.000 | % | 7/20/39 | 4,697,970 | 4,990,105 |
See Notes to Financial Statements.
| ||
80 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. USD LIBOR + 6.650%) | 6.460 | % | 1/20/40 | 206,428 | $ | 19,133 | (c) | |||||||||
Government National Mortgage Association (GNMA), 2010-86 PB, PAC-1 | 4.500 | % | 10/20/39 | 10,588,505 | 11,184,742 | |||||||||||
Government National Mortgage Association (GNMA), 2010-116 MH | 5.000 | % | 7/20/40 | 25,786,509 | 30,560,670 | |||||||||||
Government National Mortgage Association (GNMA), 2010-118 IO, IO | 0.000 | % | 4/16/53 | 847,120 | 164 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H10 FC (1 mo. USD LIBOR + 1.000%) | 1.174 | % | 5/20/60 | 476,687 | 482,137 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H26 LF (1 mo. USD LIBOR + 0.350%) | 0.653 | % | 8/20/58 | 1,242,811 | 1,238,358 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H27 FA (1 mo. USD LIBOR + 0.380%) | 0.683 | % | 12/20/60 | 307,562 | 306,468 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2010-H28 FE (1 mo. USD LIBOR + 0.400%) | 0.703 | % | 12/20/60 | 5,572,390 | 5,557,834 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2011-140 AI, IO | 4.000 | % | 10/16/26 | 182,994 | 12,641 | |||||||||||
Government National Mortgage Association (GNMA), 2011-H6 FA (1 mo. USD LIBOR + 0.450%) | 0.753 | % | 2/20/61 | 1,815,985 | 1,813,241 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2011-H8 FG (1 mo. USD LIBOR + 0.480%) | 0.783 | % | 3/20/61 | 5,631,824 | 5,628,067 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 81 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Government National Mortgage Association (GNMA), 2011-H9 AF (1 mo. USD LIBOR + 0.500%) | 0.803 | % | 3/20/61 | 5,101,108 | $ | 5,100,187 | (c) | |||||||||
Government National Mortgage Association (GNMA), 2012-34 SA, IO (-1.000 x 1 mo. USD LIBOR + 6.050%) | 5.860 | % | 3/20/42 | 1,580,936 | 377,130 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2012-66 CI, IO | 3.500 | % | 2/20/38 | 3,081,496 | 103,136 | |||||||||||
Government National Mortgage Association (GNMA), 2012-81 AI, IO | 3.500 | % | 4/20/27 | 1,266,430 | 76,704 | |||||||||||
Government National Mortgage Association (GNMA), 2012-98 SA, IO (-1.000 x 1 mo. USD LIBOR + 6.100%) | 5.905 | % | 8/16/42 | 3,017,534 | 637,088 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2012-152 IO, IO | 0.814 | % | 1/16/54 | 67,492,688 | 3,242,720 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2013-50 IO, IO | 0.189 | % | 10/16/48 | 82,141,070 | 1,052,194 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2013-72 IO, IO | 0.498 | % | 11/16/47 | 32,376,832 | 795,016 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2013-107 AD | 2.694 | % | 11/16/47 | 7,968,798 | 8,435,017 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2013-150 IA, IO | 2.566 | % | 11/20/42 | 1,868,080 | 76,570 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2014-17 AM | 2.580 | % | 6/16/48 | 2,122,419 | 2,223,970 | (c) |
See Notes to Financial Statements.
| ||
82 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Government National Mortgage Association (GNMA), 2014-117 SJ, IO, PAC (-1.000 x 1 mo. USD LIBOR + 5.600%) | 5.410 | % | 8/20/44 | 585,210 | $ | 113,737 | (c) | |||||||||
Government National Mortgage Association (GNMA), 2014-160 EI, IO | 4.000 | % | 7/16/26 | 3,985,039 | 278,515 | |||||||||||
Government National Mortgage Association (GNMA), 2014-176 IA, IO | 4.000 | % | 11/20/44 | 749,799 | 103,350 | |||||||||||
Government National Mortgage Association (GNMA), 2016-21 ST, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | 5.960 | % | 2/20/46 | 23,255,653 | 5,199,613 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2016-84 IG, IO, PAC | 4.500 | % | 11/16/45 | 4,760,900 | 855,889 | |||||||||||
Government National Mortgage Association (GNMA), 2016-135 SB, IO (-1.000 x 1 mo. USD LIBOR + 6.100%) | 5.905 | % | 10/16/46 | 7,122,771 | 1,998,443 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2017-8 IO, IO | 0.646 | % | 8/16/58 | 36,481,568 | 1,767,430 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2017-41 IO, IO | 0.760 | % | 7/16/58 | 24,275,220 | 1,363,869 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2017-111 IO, IO | 0.739 | % | 2/16/59 | 14,371,612 | 857,034 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2017-145 IO, IO | 0.665 | % | 4/16/57 | 84,103,163 | 4,469,452 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2017-157 IO | 0.570 | % | 12/16/59 | 14,666,066 | 756,581 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2017-H15 KI, IO | 2.346 | % | 7/20/67 | 36,026,467 | 4,453,556 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 83 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Government National Mortgage Association (GNMA), 2017-H18 BI, IO | 1.755 | % | 9/20/67 | 28,366,801 | $ | 2,833,197 | (c) | |||||||||
Government National Mortgage Association (GNMA), 2017-H20 IB, IO | 2.222 | % | 10/20/67 | 14,342,589 | 1,464,245 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2017-H22 IC, IO | 2.413 | % | 11/20/67 | 4,191,302 | 432,902 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2018-37 QA | 2.750 | % | 3/20/48 | 8,316,017 | 8,743,399 | |||||||||||
Government National Mortgage Association (GNMA), 2018-119 IO, IO | 0.658 | % | 5/16/60 | 16,292,035 | 999,518 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2018-H6 PF (1 mo. USD LIBOR + 0.300%) | 0.603 | % | 2/20/68 | 17,252,063 | 17,159,620 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2018-H7 FD (1 mo. USD LIBOR + 0.300%) | 0.603 | % | 5/20/68 | 29,676,285 | 29,509,629 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2018-H8 KF (1 mo. USD LIBOR + 0.300%) | 0.603 | % | 5/20/68 | 14,350,192 | 14,255,795 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2018-H13 FC (1 mo. USD LIBOR + 0.300%) | 0.603 | % | 7/20/68 | 9,501,453 | 9,435,770 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2018-H17 FG (12 mo. USD LIBOR + 0.250%) | 2.224 | % | 10/20/68 | 6,589,700 | 6,581,280 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2019-90 AB | 3.000 | % | 7/20/49 | 11,998,951 | 12,570,240 | |||||||||||
Government National Mortgage Association (GNMA), 2019-123 A | 3.000 | % | 10/20/49 | 14,027,900 | 15,083,808 |
See Notes to Financial Statements.
| ||
84 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Government National Mortgage Association (GNMA), 2020-47 MI, IO | 3.500 | % | 4/20/50 | 24,254,811 | $ | 4,129,445 | ||||||||||
Government National Mortgage Association (GNMA), 2020-47 NI, IO | 3.500 | % | 4/20/50 | 7,671,564 | 1,368,039 | |||||||||||
Government National Mortgage Association (GNMA), 2020-H9 FL (1 mo. USD LIBOR + 1.150%) | 1.340 | % | 5/20/70 | 27,781,270 | 29,011,164 | (c) | ||||||||||
Government National Mortgage Association (GNMA), 2020-H9 NF (1 mo. USD LIBOR + 1.250%) | 1.440 | % | 4/20/70 | 7,656,690 | 7,870,200 | (c) | ||||||||||
GreenPoint Mortgage Funding Trust, 2005-AR4 1A2A (1 mo. USD LIBOR + 0.640%) | 0.825 | % | 10/25/45 | 2,188,158 | 2,088,551 | (c) | ||||||||||
GreenPoint Mortgage Funding Trust, 2005-AR5 2A1 (1 mo. USD LIBOR + 0.560%) | 0.745 | % | 11/25/45 | 14,231,176 | 8,964,854 | (c) | ||||||||||
GreenPoint Mortgage Funding Trust, 2006-AR3 3A1 (1 mo. USD LIBOR + 0.230%) | 0.415 | % | 4/25/36 | 591,029 | 635,018 | (c) | ||||||||||
GS Mortgage Securities Corp. II, 2018-SRP5 A (1 mo. USD LIBOR + 1.300%) | 1.485 | % | 9/15/31 | 139,880,000 | 134,117,084 | (a)(c) | ||||||||||
GS Mortgage Securities Corp. Trust, 2013-GC16 B | 5.161 | % | 11/10/46 | 4,302,000 | 4,610,502 | (c) | ||||||||||
GS Mortgage Securities Trust, 2015-GC30 B | 4.169 | % | 5/10/50 | 16,340,000 | 16,701,281 | (c) | ||||||||||
GS Mortgage Securities Trust, 2017-GS8 A4 | 3.469 | % | 11/10/50 | 5,490,000 | 6,147,922 | |||||||||||
GSR Mortgage Loan Trust, 2005-AR7 1A1 | 4.149 | % | 11/25/35 | 695,063 | 500,324 | (c) | ||||||||||
HarborView Mortgage Loan Trust, 2005-3 2A1A (1 mo. USD LIBOR + 0.480%) | 0.674 | % | 6/19/35 | 3,267,113 | 3,196,020 | (c) | ||||||||||
HarborView Mortgage Loan Trust, 2005-7 1A1 (11th District Cost of Funds + 1.850%) | 2.590 | % | 6/19/45 | 2,181,378 | 1,281,437 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 85 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
HarborView Mortgage Loan Trust, 2006-2 1A | 4.138 | % | 2/25/36 | 595,515 | $ | 324,977 | (c) | |||||||||
HarborView Mortgage Loan Trust, 2006-13 A (1 mo. USD LIBOR + 0.180%) | 0.374 | % | 11/19/46 | 166,216 | 135,342 | (c) | ||||||||||
Impac CMB Trust, 2005-7 A1 (1 mo. USD LIBOR + 0.520%) | 0.705 | % | 11/25/35 | 2,813,622 | 2,463,343 | (c) | ||||||||||
Impac CMB Trust, 2007-A A (1 mo. USD LIBOR + 0.500%) | 0.685 | % | 5/25/37 | 6,638,876 | 6,348,875 | (a)(c) | ||||||||||
IndyMac INDX Mortgage Loan Trust, 2005-AR13 1A1 | 3.453 | % | 8/25/35 | 148,502 | 111,498 | (c) | ||||||||||
Jefferies Resecuritization Trust, 2015-R1 A2 (1 mo. USD LIBOR + 0.140%) | 0.308 | % | 12/26/36 | 18,386,177 | 12,004,096 | (a)(c) | ||||||||||
JPMBB Commercial Mortgage Securities Trust, 2013-C17 B | 5.053 | % | 1/15/47 | 1,602,000 | 1,682,718 | (c) | ||||||||||
JPMBB Commercial Mortgage Securities Trust, 2014-C25 AS | 4.065 | % | 11/15/47 | 5,930,000 | 6,314,437 | |||||||||||
JPMBB Commercial Mortgage Securities Trust, 2015-C30 B | 4.411 | % | 7/15/48 | 19,921,000 | 20,375,279 | (c) | ||||||||||
JPMBB Commercial Mortgage Securities Trust, 2015-C31 B | 4.773 | % | 8/15/48 | 10,543,000 | 11,192,142 | (c) | ||||||||||
JPMDB Commercial Mortgage Securities Trust, 2017-C5 A5 | 3.694 | % | 3/15/50 | 620,000 | 699,077 | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP7 AJ | 6.273 | % | 4/17/45 | 4,576,420 | 2,321,572 | (c) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-CB19 AJ | 6.074 | % | 2/12/49 | 6,264,334 | 2,508,740 | (c) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ | 6.710 | % | 2/15/51 | 1,003,228 | 952,270 | (c) | ||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, 2015-FL7 D (1 mo. USD LIBOR + 3.750%) | 3.935 | % | 5/15/28 | 11,407,035 | 11,194,157 | (a)(c) | ||||||||||
JPMorgan Mortgage Trust, 2018-3 A1 | 3.500 | % | 9/25/48 | 34,248,516 | 35,181,925 | (a)(c) | ||||||||||
JPMorgan Mortgage Trust, 2018-4 A1 | 3.500 | % | 10/25/48 | 28,640,242 | 29,418,810 | (a)(c) |
See Notes to Financial Statements.
| ||
86 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
JPMorgan Mortgage Trust, 2018-5 A1 | 3.500 | % | 10/25/48 | 40,890,644 | $ | 41,852,364 | (a)(c) | |||||||||
JPMorgan Resecuritization Trust, 2015-1 4A1 (1 mo. USD LIBOR + 0.300%) | 0.494 | % | 9/27/36 | 6,228,796 | 6,057,569 | (a)(c) | ||||||||||
JPMorgan Resecuritization Trust, 2015-1 4A2 | 0.620 | % | 9/27/36 | 13,893,741 | 9,236,551 | (a)(c) | ||||||||||
Legacy Mortgage Asset Trust, 2019-GS7 A1, Step Bond | 3.250 | % | 11/25/59 | 71,912,262 | 71,884,978 | (a) | ||||||||||
Lehman Mortgage Trust, 2006-7 3A4, IO (-1.000 x 1 mo. USD LIBOR + 7.150%) | 6.966 | % | 11/25/36 | 6,861,232 | 2,491,547 | (c) | ||||||||||
Lone Star Portfolio Trust, 2015-LSMZ M (1 mo. USD LIBOR + 7.218%) | 7.402 | % | 9/15/20 | 3,961,452 | 3,963,504 | (a)(c) | ||||||||||
Lone Star Portfolio Trust, 2015-LSP E (1 mo. USD LIBOR + 5.850%) | 6.035 | % | 9/15/28 | 24,202,802 | 23,493,846 | (a)(c) | ||||||||||
Lone Star Portfolio Trust, 2015-LSP F (1 mo. USD LIBOR + 7.150%) | 7.335 | % | 9/15/28 | 16,463,675 | 15,313,062 | (a)(c) | ||||||||||
Magnolia Finance XI DAC, 2019-2 A (1 mo. USD LIBOR + 2.750%) | 2.935 | % | 7/31/21 | 10,446,134 | 10,497,185 | (a)(c) | ||||||||||
MASTR Adjustable Rate Mortgages Trust, 2004-6 5A1 | 4.054 | % | 7/25/34 | 295,572 | 265,423 | (c) | ||||||||||
MASTR Adjustable Rate Mortgages Trust, 2006-OA1 1A1 (1 mo. USD LIBOR + 0.210%) | 0.395 | % | 4/25/46 | 144,648 | 127,757 | (c) | ||||||||||
MASTR Reperforming Loan Trust, 2005-1 1A1 | 6.000 | % | 8/25/34 | 1,562,551 | 1,225,974 | (a) | ||||||||||
MASTR Reperforming Loan Trust, 2005-1 1A3 | 7.000 | % | 8/25/34 | 2,153,935 | 1,887,082 | (a) | ||||||||||
MASTR Reperforming Loan Trust, 2005-2 1A1F (1 mo. USD LIBOR + 0.350%) | 0.535 | % | 5/25/35 | 2,217,182 | 1,042,208 | (a)(c) | ||||||||||
ML-CFC Commercial Mortgage Trust, 2007-5 AJ | 5.450 | % | 8/12/48 | 3,410,186 | 2,023,381 | (c) | ||||||||||
ML-CFC Commercial Mortgage Trust, 2007-5 AJFL | 5.450 | % | 8/12/48 | 538,502 | 319,511 | (a)(c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 87 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
ML-CFC Commercial Mortgage Trust, 2007-9 AJ | 6.155 | % | 9/12/49 | 1,924,523 | $ | 744,166 | (c) | |||||||||
Morgan Stanley Capital I Trust, 2007-IQ13 AJ | 5.438 | % | 3/15/44 | 125,550 | 125,495 | |||||||||||
Morgan Stanley Mortgage Loan Trust, 2004-5AR 2A | 3.186 | % | 7/25/34 | 13,588 | 13,154 | (c) | ||||||||||
Morgan Stanley Mortgage Loan Trust, 2005-3AR 2A2 | 3.386 | % | 7/25/35 | 1,025,196 | 907,495 | (c) | ||||||||||
Morgan Stanley Resecuritization Trust, 2015-R3 7A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 0.770%) | 2.461 | % | 4/26/47 | 9,245,087 | 9,171,082 | (a)(c) | ||||||||||
Mortgage Loan Resecuritization Trust, 2009- RS1 A85 (1 mo. USD LIBOR + 0.340%) | 0.513 | % | 4/16/36 | 48,134,060 | 41,976,048 | (a)(c) | ||||||||||
Multifamily Trust, 2016-1 B | 16.539 | % | 4/25/46 | 3,252,192 | 3,692,191 | (a)(c) | ||||||||||
New Residential Mortgage Loan Trust, 2019-3A A1A | 3.750 | % | 11/25/58 | 51,436,123 | 55,298,102 | (a)(c) | ||||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust Series, 2005-AP2 A5 | 5.476 | % | 5/25/35 | 64,906 | 45,159 | |||||||||||
Nomura Resecuritization Trust, 2015-5R 3A5 (1 mo. USD LIBOR + 0.260%) | 0.688 | % | 2/26/46 | 9,638,251 | 7,432,468 | (a)(c) | ||||||||||
Prime Mortgage Trust, 2006-1 3A2,IO (-1.000 x 1 mo. USD LIBOR + 7.150%) | 6.966 | % | 6/25/36 | 11,869,107 | 2,987,935 | (c) | ||||||||||
Prime Mortgage Trust, 2006- DR1 2A2 | 6.000 | % | 5/25/35 | 28,279,837 | 23,239,898 | (a) | ||||||||||
RALI Series Trust, 2007-QS4 3A9 | 6.000 | % | 3/25/37 | 2,270,222 | 2,076,856 | |||||||||||
RAMP Trust, 2004-SL4 A5 | 7.500 | % | 7/25/32 | 481,363 | 319,562 | |||||||||||
RAMP Trust, 2005-SL1 A7 | 8.000 | % | 5/25/32 | 235,555 | 190,520 | |||||||||||
RBSGC Mortgage Loan Trust, 2007-B 1A4 (1 mo. USD LIBOR + 0.450%) | 0.635 | % | 1/25/37 | 7,531,635 | 2,739,160 | (c) | ||||||||||
RBSSP Resecuritization Trust, 2009-12 9A2 | 3.763 | % | 3/25/36 | 8,156,597 | 7,016,401 | (a)(c) |
See Notes to Financial Statements.
| ||
88 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
Redwood Funding Trust, 2019-1 PT | 4.213 | % | 9/27/24 | 38,485,475 | $ | 39,135,725 | (a) | |||||||||
Reperforming Loan REMIC Trust, 2006-R2 AS, IO | 5.702 | % | 7/25/36 | 12,503,334 | 1,589,734 | (a)(c) | ||||||||||
Residential Asset Securitization Trust, 2004-A2 1A3, PAC (1 mo. USD LIBOR + 0.400%) | 0.585 | % | 5/25/34 | 9,452 | 8,920 | (c) | ||||||||||
Rosslyn Portfolio Trust, 2017- ROSS A (1 mo. USD LIBOR + 0.950%) | 1.939 | % | 6/15/33 | 31,520,000 | 30,971,536 | (a)(c) | ||||||||||
Shops at Crystals Trust, 2016- CSTL A | 3.126 | % | 7/5/36 | 11,160,000 | 10,676,762 | (a) | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, 2004-8 1A1 | 3.981 | % | 7/25/34 | 764 | 759 | (c) | ||||||||||
Structured Asset Mortgage Investments II Trust, 2006-AR6 1A1 (1 mo. USD LIBOR + 0.180%) | 0.365 | % | 7/25/46 | 124,165 | 102,477 | (c) | ||||||||||
Structured Asset Mortgage Investments Trust, 2003-AR1 A1 (1 mo. USD LIBOR + 0.740%) | 0.934 | % | 10/19/33 | 75,132 | 70,710 | (c) | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, 2002-9 A2 (1 mo. USD LIBOR + 0.600%) | 0.785 | % | 10/25/27 | 6,557 | 6,541 | (c) | ||||||||||
SunTrust Alternative Loan Trust, 2006-1F 3A (1 mo. USD LIBOR + 0.350%) | 0.535 | % | 4/25/36 | 17,692,697 | 3,248,652 | (c) | ||||||||||
UBS Commercial Mortgage Trust, 2017-C1 A4 | 3.460 | % | 6/15/50 | 5,440,000 | 6,088,262 | |||||||||||
UBS Commercial Mortgage Trust, 2017-C3 A4 | 3.426 | % | 8/15/50 | 6,000,000 | 6,552,338 | |||||||||||
Wachovia Bank Commercial Mortgage Trust, 2007-C33 AJ | 5.843 | % | 2/15/51 | 6,932,051 | 5,504,985 | (c) | ||||||||||
WaMu Mortgage Pass- Through Certificates Series Trust, 2003-AR9 1A7 | 4.275 | % | 9/25/33 | 7,348 | 7,081 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 89 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Collateralized Mortgage Obligations (m) — continued |
| |||||||||||||||
WaMu Mortgage Pass- Through Certificates Trust, 2005-AR15 A1C3 (1 mo. USD LIBOR + 0.480%) | 0.665 | % | 11/25/45 | 24,461,325 | $ | 15,348,373 | (c) | |||||||||
Waterfall Commercial Mortgage Trust, 2015-SBC5 A | 4.104 | % | 9/14/22 | 8,554,855 | 8,440,072 | (a)(c) | ||||||||||
Wells Fargo Alternative Loan Trust, 2007-PA1 A12, IO (-1.000 x 1 mo. USD LIBOR + 5.460%) | 5.276 | % | 3/25/37 | 11,980,279 | 1,949,175 | (c) | ||||||||||
Wells Fargo Alternative Loan Trust, 2007-PA2 2A1 (1 mo. USD LIBOR + 0.430%) | 0.615 | % | 6/25/37 | 4,228,166 | 3,339,386 | (c) | ||||||||||
Wells Fargo Commercial Mortgage Trust, 2013-LC12 B | 4.411 | % | 7/15/46 | 450,000 | 411,411 | (c) | ||||||||||
Wells Fargo Commercial Mortgage Trust, 2014-LC18 AS | 3.808 | % | 12/15/47 | 5,630,000 | 5,945,958 | |||||||||||
Wells Fargo Commercial Mortgage Trust, 2017-C41 XA, IO | 1.366 | % | 11/15/50 | 31,726,530 | 2,140,380 | (c) | ||||||||||
Wells Fargo Commercial Mortgage Trust, 2018-C44 A5 | 4.212 | % | 5/15/51 | 7,530,000 | 8,831,253 | |||||||||||
WFRBS Commercial Mortgage Trust, 2012-C7 XA, IO | 1.480 | % | 6/15/45 | 173,406 | 3,058 | (a)(c) | ||||||||||
WFRBS Commercial Mortgage Trust, 2013-C14 D | 4.106 | % | 6/15/46 | 3,030,000 | 1,388,799 | (a)(c) | ||||||||||
WFRBS Commercial Mortgage Trust, 2014-C19 B | 4.723 | % | 3/15/47 | 270,000 | 279,509 | (c) | ||||||||||
WFRBS Commercial Mortgage Trust, 2014-C19 XA, IO | 1.192 | % | 3/15/47 | 44,516,364 | 1,178,811 | (c) | ||||||||||
Total Collateralized Mortgage Obligations (Cost — $2,578,397,192) |
| 2,526,352,390 | ||||||||||||||
Senior Loans — 4.6% | ||||||||||||||||
Communication Services — 0.7% | ||||||||||||||||
Diversified Telecommunication Services — 0.2% |
| |||||||||||||||
Level 3 Financing Inc., 2027 Term Loan B (3 mo. USD LIBOR + 1.750%) | 1.928 | % | 3/1/27 | 20,767,251 | 19,676,971 | (c)(n)(o) | ||||||||||
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%) | 2.685 | % | 1/31/28 | 32,590,528 | 31,270,611 | (c)(n)(o) | ||||||||||
Total Diversified Telecommunication Services |
| 50,947,582 |
See Notes to Financial Statements.
| ||
90 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Entertainment — 0.0%†† | ||||||||||||||||
CEOC LLC, Term Loan B (1 mo. USD LIBOR + 2.000%) | 2.178 | % | 10/7/24 | 15,134,718 | $ | 15,098,773 | (c)(n)(o) | |||||||||
Media — 0.4% | ||||||||||||||||
Charter Communications Operating LLC, Term Loan B1 (1 mo. USD LIBOR + 1.750%) | 1.930 | % | 4/30/25 | 29,706,748 | 28,745,408 | (c)(n)(o) | ||||||||||
Charter Communications Operating LLC, Term Loan B2 (1 mo. USD LIBOR + 1.750%) | 1.930 | % | 2/1/27 | 13,352,732 | 12,870,551 | (c)(n)(o) | ||||||||||
Diamond Sports Group LLC, Term Loan (3 mo. USD LIBOR + 3.250%) | 3.430 | % | 8/24/26 | 860,835 | 704,808 | (c)(n)(o) | ||||||||||
Entercom Media Corp., Term Loan B2 (1 mo. USD LIBOR + 2.500%) | 2.684 | % | 11/18/24 | 3,943,461 | 3,701,924 | (c)(n)(o) | ||||||||||
iHeartCommunications Inc., New Term Loan (1 mo. USD LIBOR + 3.000%) | 3.178 | % | 5/1/26 | 10,478,069 | 9,700,942 | (c)(n)(o) | ||||||||||
Nexstar Broadcasting Inc., Term Loan B4 (1 mo. USD LIBOR + 2.750%) | 2.923 | % | 9/18/26 | 45,683,995 | 43,571,111 | (c)(n)(o) | ||||||||||
Numericable U.S. LLC, USD Term Loan B12 (1 mo. USD LIBOR + 3.688%) | 4.438 | % | 1/31/26 | 9,769,850 | 9,391,268 | (c)(n)(o) | ||||||||||
Terrier Media Buyer Inc., Term Loan (1 mo. USD LIBOR + 4.250%) | 4.428 | % | 12/17/26 | 25,803,093 | 24,706,462 | (c)(n)(o) | ||||||||||
Univision Communications Inc., 2020 Replacement New First Lien Term Loan (1 mo. USD LIBOR + 3.750%) | 4.750 | % | 3/15/24 | 14,049,811 | 13,054,621 | (c)(n)(o) | ||||||||||
Univision Communications Inc., 2020 Replacement New First Lien Term Loan | — | 3/16/26 | 2,370,000 | 2,217,924 | (p) | |||||||||||
Ziggo Financing Partnership, Term Loan I (1 mo. USD LIBOR + 2.500%) | 2.685 | % | 4/30/28 | 4,475,074 | 4,240,133 | (c)(n)(o) | ||||||||||
Total Media | 152,905,152 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 91 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Wireless Telecommunication Services — 0.1% |
| |||||||||||||||
CSC Holdings LLC, Term Loan (1 mo. USD LIBOR + 2.500%) | 2.685 | % | 4/15/27 | 5,715,675 | $ | 5,449,896 | (c)(n)(o) | |||||||||
T-Mobile USA Inc., Term Loan (1 mo. USD LIBOR + 3.000%) | 3.178 | % | 4/1/27 | 22,160,000 | 22,160,000 | (c)(n)(o)(p) | ||||||||||
Total Wireless Telecommunication Services |
| 27,609,896 | ||||||||||||||
Total Communication Services | 246,561,403 | |||||||||||||||
Consumer Discretionary — 1.0% | ||||||||||||||||
Auto Components — 0.0%†† | ||||||||||||||||
Panther BF Aggregator 2 LP, First Lien Initial Dollar Term Loan (1 mo. USD LIBOR + 3.500%) | 3.678 | % | 4/30/26 | 18,460,500 | 17,645,155 | (c)(n)(o) | ||||||||||
Commercial Services & Supplies — 0.0%†† |
| |||||||||||||||
Atlantic Aviation FBO Inc., Term Loan (3 mo. USD LIBOR + 3.750%) | 3.930 | % | 12/6/25 | 3,693,750 | 3,472,125 | (c)(f)(n)(o) | ||||||||||
Diversified Consumer Services — 0.1% |
| |||||||||||||||
Prime Security Services Borrower LLC, 2019 Refinancing Term Loan B1 | 4.250 | % | 9/23/26 | 28,980,844 | 27,930,288 | (c)(n)(o) | ||||||||||
ServiceMaster Co. LLC, Term Loan D (1 mo. USD LIBOR + 1.750%) | 1.924 | % | 11/5/26 | 7,960,000 | 7,790,850 | (c)(n)(o) | ||||||||||
Total Diversified Consumer Services |
| 35,721,138 | ||||||||||||||
Hotels, Restaurants & Leisure — 0.8% |
| |||||||||||||||
1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%) | 1.928 | % | 11/19/26 | 40,554,369 | 38,557,067 | (c)(n)(o) | ||||||||||
Alterra Mountain Co., Initial Term Loan (1 mo. USD LIBOR + 2.750%) | 2.928 | % | 7/31/24 | 14,803,270 | 13,998,342 | (c)(n)(o) | ||||||||||
Aramark Services Inc., Term Loan B3 (3 mo. USD LIBOR + 1.750%) | 1.928 | % | 3/11/25 | 10,448,058 | 9,909,983 | (c)(n)(o) | ||||||||||
Aramark Services Inc., Term Loan B4 (1 mo. USD LIBOR + 1.750%) | 1.924 | % | 1/15/27 | 10,782,975 | 10,189,911 | (c)(n)(o) | ||||||||||
Caesars Resort Collection LLC, Term Loan | — | 6/19/25 | 19,330,000 | 18,228,886 | (p) |
See Notes to Financial Statements.
| ||
92 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Hotels, Restaurants & Leisure — continued |
| |||||||||||||||
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%) | 2.928 | % | 12/23/24 | 22,848,238 | $ | 20,474,558 | (c)(n)(o) | |||||||||
Equinox Holdings Inc., First Lien Incremental Term Loan B1 (1 mo. USD LIBOR + 3.000%) | 4.072 | % | 3/8/24 | 994,885 | 766,683 | (c)(n)(o) | ||||||||||
Four Seasons Hotels Ltd., Restated Term Loan (1 mo. USD LIBOR + 2.000%) | 2.178 | % | 11/30/23 | 15,312,949 | 14,585,584 | (c)(n)(o) | ||||||||||
Golden Nugget Inc., First Initial Term Loan (3 mo. USD LIBOR + 2.500%) | 3.250 | % | 10/4/23 | 33,013,532 | 27,351,711 | (c)(n)(o)(p) | ||||||||||
Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%) | 1.935 | % | 6/22/26 | 32,511,279 | 30,479,324 | (c)(n)(o) | ||||||||||
PCI Gaming Authority, Term Loan Facility B (1 mo. USD LIBOR + 2.500%) | 2.678 | % | 5/29/26 | 11,329,673 | 10,897,729 | (c)(n)(o) | ||||||||||
Scientific Games International Inc., Initial Term Loan B5 | 2.928-3.612 | % | 8/14/24 | 25,518,459 | 22,622,114 | (c)(n)(o) | ||||||||||
Station Casinos LLC, Term Loan Facility B1 (1 mo. USD LIBOR + 2.250%) | 2.500 | % | 2/8/27 | 15,865,837 | 14,609,786 | (c)(n)(o) | ||||||||||
Wynn Resorts Finance LLC, Term Loan Facility A (1 mo. USD LIBOR + 1.750%) | 1.930 | % | 9/20/24 | 37,107,262 | 35,066,363 | (c)(f)(n)(o) | ||||||||||
Total Hotels, Restaurants & Leisure |
| 267,738,041 | ||||||||||||||
Specialty Retail — 0.1% | ||||||||||||||||
Academy Ltd., Initial Term Loan (1 mo. USD LIBOR + 4.000%) | 5.000 | % | 7/1/22 | 11,579,026 | 9,354,892 | (c)(n)(o) | ||||||||||
Michaels Stores Inc., 2018 New Replacement Term Loan B | 3.500-3.568 | % | 1/30/23 | 6,989,164 | 6,424,209 | (c)(n)(o) | ||||||||||
Party City Holdings Inc., 2018 Replacement Term Loan | 3.250-4.100 | % | 8/19/22 | 7,776,654 | 3,768,434 | (c)(n)(o) | ||||||||||
Total Specialty Retail | 19,547,535 | |||||||||||||||
Total Consumer Discretionary | 344,123,994 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 93 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Consumer Staples — 0.1% | ||||||||||||||||
Food & Staples Retailing — 0.1% | ||||||||||||||||
Froneri U.S. Inc., Term Loan Facility B2 (1 mo. USD LIBOR + 2.250%) | 2.428 | % | 1/29/27 | 14,300,000 | $ | 13,501,588 | (c)(n)(o) | |||||||||
US Foods Inc., 2019 Incremental Term Loan B (1 mo. USD LIBOR + 2.000%) | 3.072 | % | 9/13/26 | 8,378,894 | 7,907,582 | (c)(n)(o) | ||||||||||
US Foods Inc., Repriced Term Loan (1 mo. USD LIBOR + 1.750%) | 1.928 | % | 6/27/23 | 10,120,000 | 9,436,900 | (c)(n)(o) | ||||||||||
Total Consumer Staples | 30,846,070 | |||||||||||||||
Financials — 0.7% | ||||||||||||||||
Capital Markets — 0.1% | ||||||||||||||||
Edelman Financial Center LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 3.000%) | 3.180 | % | 7/21/25 | 10,745,916 | 10,305,333 | (c)(n)(o) | ||||||||||
First Eagle Holdings Inc., 2018 Refinancing Term Loan B (3 mo. USD LIBOR + 2.500%) | 2.808 | % | 2/1/27 | 12,327,815 | 11,901,482 | (c)(n)(o) | ||||||||||
Focus Financial Partners LLC, Term Loan B3 (1 mo. USD LIBOR + 2.000%) | 2.178 | % | 7/3/24 | 16,257,898 | 15,607,583 | (c)(n)(o) | ||||||||||
Total Capital Markets | 37,814,398 | |||||||||||||||
Diversified Financial Services — 0.4% |
| |||||||||||||||
Citadel Securities LP, Term Loan Facility B (1 mo. USD LIBOR + 2.750%) | 2.928 | % | 2/27/26 | 19,174,011 | 18,710,633 | (c)(n)(o) | ||||||||||
Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan (1 mo. USD LIBOR + 3.750%) | 4.750 | % | 4/9/27 | 28,810,000 | 28,044,749 | (c)(n)(o) | ||||||||||
Finco I LLC, 2018 Replacement Term Loan (1 mo. USD LIBOR + 2.000%) | 2.178 | % | 12/27/22 | 1,872,145 | 1,808,179 | (c)(n)(o) | ||||||||||
Jane Street Group LLC, Dollar Term Loan (1 mo. USD LIBOR + 3.000%) | 3.178 | % | 1/31/25 | 16,108,694 | 15,719,395 | (c)(n)(o) | ||||||||||
RPI 2019 Intermediate Finance Trust, Term Loan B1 (1 mo. USD LIBOR + 1.750%) | 1.928 | % | 2/5/27 | 32,188,250 | 31,537,790 | (c)(n)(o) |
See Notes to Financial Statements.
| ||
94 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Diversified Financial Services — continued |
| |||||||||||||||
Stars Group Holdings BV, USD Term Loan (3 mo. USD LIBOR + 3.500%) | 3.808 | % | 7/10/25 | 572,239 | $ | 570,242 | (c)(n)(o) | |||||||||
TKC Holdings Inc., First Lien Initial Term Loan (3 mo. USD LIBOR + 3.750%) | 4.750 | % | 2/1/23 | 4,660,736 | 4,384,587 | (c)(n)(o) | ||||||||||
Trans Union LLC, Term Loan B5 (1 mo. USD LIBOR + 1.750%) | 1.928 | % | 11/16/26 | 11,657,777 | 11,223,035 | (c)(n)(o) | ||||||||||
UFC Holdings LLC, Term Loan B (3 mo. USD LIBOR + 3.250%) | 4.250 | % | 4/29/26 | 23,913,299 | 22,857,121 | (c)(n)(o) | ||||||||||
VFH Parent LLC, Initial Term Loan (1 mo. USD LIBOR + 3.000%) | 3.188 | % | 3/1/26 | 13,842,357 | 13,519,373 | (c)(n)(o)(p) | ||||||||||
Total Diversified Financial Services |
| 148,375,104 | ||||||||||||||
Insurance — 0.2% | ||||||||||||||||
Asurion LLC, Fourteenth Amendment Replacement Term Loan B4 (1 mo. USD LIBOR + 3.000%) | 3.178 | % | 8/4/22 | 25,065,417 | 24,462,293 | (c)(n)(o) | ||||||||||
Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%) | 3.174 | % | 11/3/24 | 18,248,176 | 17,672,227 | (c)(n)(o) | ||||||||||
Asurion LLC, Replacement Term Loan B6 (1 mo. USD LIBOR + 3.000%) | 3.178 | % | 11/3/23 | 8,466,932 | 8,212,924 | (c)(n)(o) | ||||||||||
Total Insurance | 50,347,444 | |||||||||||||||
Total Financials | 236,536,946 | |||||||||||||||
Health Care — 1.1% | ||||||||||||||||
Health Care Providers & Services — 0.7% |
| |||||||||||||||
Air Medical Group Holdings Inc., 2018 Term Loan (3 mo. USD LIBOR + 3.250%) | 4.250 | % | 4/28/22 | 7,404,543 | 7,145,384 | (c)(n)(o) | ||||||||||
Elanco Animal Health Inc., Term Loan B | — | 2/4/27 | 31,140,000 | 29,816,550 | (p) | |||||||||||
EyeCare Partners LLC, First Lien Initial Delayed Draw Term Loan | 3.750 | % | 2/18/27 | 2,238,108 | 2,032,948 | (c)(n)(o) | ||||||||||
EyeCare Partners LLC, First Lien Initial Term Loan (3 mo. USD LIBOR + 3.750%) | 4.822 | % | 2/18/27 | 9,567,912 | �� | 8,690,850 | (c)(n)(o) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 95 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Health Care Providers & Services — continued |
| |||||||||||||||
Grifols Worldwide Operations USA Inc., Term Loan B (1 week USD LIBOR + 2.000%) | 2.109 | % | 11/15/27 | 32,857,394 | $ | 31,730,188 | (c)(n)(o)(p) | |||||||||
HCA Inc., Term Loan B12 (1 mo. USD LIBOR + 1.750%) | 1.928 | % | 3/13/25 | 6,228,413 | 6,119,416 | (c)(n)(o) | ||||||||||
Jaguar Holding Co. II, 2018 Term Loan (1 mo. USD LIBOR + 2.500%) | 3.500 | % | 8/18/22 | 21,892,792 | 21,574,165 | (c)(n)(o)(p) | ||||||||||
LifePoint Health Inc., First Lien Term Loan B (1 mo. USD LIBOR + 3.750%) | 3.928 | % | 11/17/25 | 37,454,260 | 35,089,960 | (c)(n)(o) | ||||||||||
MPH Acquisition Holdings LLC, Initial Term Loan (3 mo. USD LIBOR + 2.750%) | 3.750 | % | 6/7/23 | 27,007,274 | 25,685,051 | (c)(n)(o) | ||||||||||
Option Care Health Inc., First Lien Term Loan B (3 mo. USD LIBOR + 4.500%) | 4.678 | % | 8/6/26 | 17,561,750 | 17,108,077 | (c)(n)(o) | ||||||||||
Phoenix Guarantor Inc., Term Loan B1 (1 mo. USD LIBOR + 3.250%) | 3.435 | % | 3/5/26 | 22,552,910 | 21,777,653 | (c)(n)(o) | ||||||||||
Sotera Health Holdings LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 4.500%) | 5.500 | % | 12/11/26 | 38,972,325 | 38,205,038 | (c)(n)(o) | ||||||||||
Total Health Care Providers & Services |
| 244,975,280 | ||||||||||||||
Health Care Technology — 0.3% | ||||||||||||||||
AthenaHealth Inc., First Lien Term Loan B (3 mo. USD LIBOR + 4.500%) | 4.818 | % | 2/11/26 | 48,576,829 | 47,079,060 | (c)(n)(o) | ||||||||||
Change Healthcare Holdings LLC, Closing Date Term Loan | 3.500 | % | 3/1/24 | 43,762,560 | 42,139,713 | (c)(n)(o) | ||||||||||
Total Health Care Technology |
| 89,218,773 | ||||||||||||||
Pharmaceuticals — 0.1% | ||||||||||||||||
Bausch Health Cos. Inc., First Incremental Term Loan | — | 11/27/25 | 20,444,587 | 19,797,168 | (p) | |||||||||||
Bausch Health Cos. Inc., Initial Term Loan (1 mo. USD LIBOR + 3.000%) | 3.190 | % | 6/2/25 | 13,873,353 | 13,489,672 | (c)(n)(o) | ||||||||||
Total Pharmaceuticals | 33,286,840 | |||||||||||||||
Total Health Care | 367,480,893 |
See Notes to Financial Statements.
| ||
96 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Industrials — 0.5% | ||||||||||||||||
Airlines — 0.1% | ||||||||||||||||
American Airlines Inc., 2017 Replacement Term Loan B (1 mo. USD LIBOR + 2.000%) | 2.185 | % | 12/14/23 | 14,744,921 | $ | 12,027,639 | (c)(n)(o) | |||||||||
American Airlines Inc., 2017 Term Loan B (1 mo. USD LIBOR + 2.000%) | 2.184 | % | 4/28/23 | 6,353,815 | 5,169,279 | (c)(n)(o) | ||||||||||
Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 4.750%) | 5.510 | % | 4/27/23 | 28,850,000 | 28,388,400 | (c)(n)(o) | ||||||||||
Total Airlines | 45,585,318 | |||||||||||||||
Commercial Services & Supplies — 0.2% |
| |||||||||||||||
Allied Universal Holdco LLC, Initial Term Loan (1 mo. USD LIBOR + 4.250%) | 4.428 | % | 7/10/26 | 30,819,424 | 29,920,514 | (c)(n)(o) | ||||||||||
APi Group DE Inc., Initial Term Loan (1 mo. USD LIBOR + 2.500%) | 2.678 | % | 10/1/26 | 19,311,180 | 18,743,913 | (c)(n)(o) | ||||||||||
Garda World Security Corp., First Lien Term Loan B (1 mo. USD LIBOR + 4.750%) | 4.930 | % | 10/30/26 | 7,619,555 | 7,505,262 | (c)(n)(o) | ||||||||||
GFL Environmental Inc., 2018 Incremental Term Loan (3 mo. USD LIBOR + 3.000%) | 4.000 | % | 5/30/25 | 6,532,939 | 6,366,891 | (c)(n)(o) | ||||||||||
Verscend Holding Corp., Term Loan B (1 mo. USD LIBOR + 4.500%) | 4.678 | % | 8/27/25 | 2,984,796 | 2,910,176 | (c)(n)(o) | ||||||||||
Total Commercial Services & Supplies | 65,446,756 | |||||||||||||||
Electrical Equipment — 0.1% |
| |||||||||||||||
Brookfield WEC Holdings Inc., Refinancing Term Loan (1 mo. USD LIBOR + 3.000%) | 3.178 | % | 8/1/25 | 16,894,406 | 16,366,456 | (c)(n)(o) | ||||||||||
Road & Rail — 0.1% |
| |||||||||||||||
Genesee & Wyoming Inc., Initial Term Loan (3 mo. USD LIBOR + 2.000%) | 2.308 | % | 12/30/26 | 33,236,700 | 32,131,580 | (c)(n)(o) | ||||||||||
Trading Companies & Distributors — 0.0%†† |
| |||||||||||||||
BrightView Landscapes LLC, Initial Term Loan (1 mo. USD LIBOR + 2.500%) | 2.688-2.750 | % | 8/15/25 | 9,378,600 | 9,144,135 | (c)(f)(n)(o) | ||||||||||
Total Industrials | 168,674,245 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 97 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Information Technology — 0.3% | ||||||||||||||||
Communications Equipment — 0.0%†† |
| |||||||||||||||
CommScope Inc., Initial Term Loan (1 mo. USD LIBOR + 3.250%) | 3.428 | % | 4/4/26 | 1,985,000 | $ | 1,890,713 | (c)(n)(o) | |||||||||
IT Services — 0.1% |
| |||||||||||||||
McAfee LLC, USD Term Loan B (1 mo. USD LIBOR + 3.750%) | 3.934 | % | 9/30/24 | 36,598,194 | 35,646,640 | (c)(n)(o) | ||||||||||
Software — 0.1% |
| |||||||||||||||
DCert Buyer Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.000%) | 4.178 | % | 10/16/26 | 33,456,150 | 32,487,327 | (c)(n)(o) | ||||||||||
MA Financeco LLC, Term Loan B3 (1 mo. USD LIBOR + 2.500%) | 2.678 | % | 6/21/24 | 349,860 | 327,994 | (c)(n)(o) | ||||||||||
Seattle Escrow Borrower LLC, Initial Term Loan (1 mo. USD LIBOR + 2.500%) | 2.678 | % | 6/21/24 | 2,362,694 | 2,215,026 | (c)(n)(o) | ||||||||||
Total Software | 35,030,347 | |||||||||||||||
Technology Hardware, Storage & Peripherals — 0.1% |
| |||||||||||||||
Dell International LLC, Refinancing Term Loan B1 (1 mo. USD LIBOR + 2.000%) | 2.750 | % | 9/19/25 | 11,125,382 | 10,861,155 | (c)(n)(o) | ||||||||||
Western Digital Corp., New Term Loan B4 (3 mo. USD LIBOR + 1.750%) | 1.924 | % | 4/29/23 | 10,559,675 | 10,335,281 | (c)(n)(o) | ||||||||||
Total Technology Hardware, Storage & Peripherals |
| 21,196,436 | ||||||||||||||
Total Information Technology | 93,764,136 | |||||||||||||||
Materials — 0.1% | ||||||||||||||||
Containers & Packaging — 0.1% | ||||||||||||||||
Berry Global Inc., Term Loan W (1 mo. USD LIBOR + 2.000%) | 2.177 | % | 10/1/22 | 12,262,028 | 11,978,469 | (c)(n)(o) | ||||||||||
Berry Global Inc., Term Loan Y | — | 7/1/26 | 997,481 | 957,938 | (p) | |||||||||||
Reynolds Consumer Products LLC, Initial Term Loan (1 mo. USD LIBOR + 1.750%) | 1.928 | % | 2/4/27 | 18,898,919 | 18,225,645 | (c)(n)(o) | ||||||||||
Reynolds Group Holdings Inc., Incremental U.S. Term Loan (1 mo. USD LIBOR + 2.750%) | 2.928 | % | 2/6/23 | 8,224,361 | 7,868,657 | (c)(n)(o) | ||||||||||
Total Materials | 39,030,709 |
See Notes to Financial Statements.
| ||
98 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||
Real Estate — 0.1% | ||||||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% |
| |||||||||||||||
VICI Properties 1 LLC, Term Loan B (1 mo. USD LIBOR + 1.750%) | 1.940 | % | 12/20/24 | 23,248,182 | $ | 21,737,050 | (c)(n)(o) | |||||||||
Real Estate Management & Development — 0.0%†† |
| |||||||||||||||
CityCenter Holdings LLC, Refinancing Term Loan (1 mo. USD LIBOR + 2.250%) | 3.000 | % | 4/18/24 | 7,099,631 | 6,472,499 | (c)(n)(o) | ||||||||||
Total Real Estate | 28,209,549 | |||||||||||||||
Total Senior Loans (Cost — $1,630,973,722) |
| 1,555,227,945 | ||||||||||||||
U.S. Treasury Inflation Protected Securities — 3.6% |
| |||||||||||||||
U.S. Treasury Bonds, Inflation Indexed | 2.125 | % | 2/15/40 | 12,135,031 | 17,892,929 | |||||||||||
U.S. Treasury Bonds, Inflation Indexed | 2.125 | % | 2/15/41 | 19,224,043 | 28,708,344 | |||||||||||
U.S. Treasury Bonds, Inflation Indexed | 0.750 | % | 2/15/42 | 75,738,555 | 90,715,591 | |||||||||||
U.S. Treasury Bonds, Inflation Indexed | 1.375 | % | 2/15/44 | 68,052,186 | 92,871,501 | (k) | ||||||||||
U.S. Treasury Bonds, Inflation Indexed | 1.000 | % | 2/15/46 | 66,048,942 | 85,545,324 | (k) | ||||||||||
U.S. Treasury Bonds, Inflation Indexed | 0.875 | % | 2/15/47 | 3,759,905 | 4,795,374 | |||||||||||
U.S. Treasury Bonds, Inflation Indexed | 1.000 | % | 2/15/48 | 83,415,933 | 110,300,108 | (k) | ||||||||||
U.S. Treasury Bonds, Inflation Indexed | 1.000 | % | 2/15/49 | 361,665,195 | 482,589,041 | (k) | ||||||||||
U.S. Treasury Bonds, Inflation Indexed | 0.250 | % | 2/15/50 | 285,033,995 | 320,159,424 | |||||||||||
Total U.S. Treasury Inflation Protected Securities (Cost — $1,023,350,193) |
| 1,233,577,636 | ||||||||||||||
Face Amount†/ Units | ||||||||||||||||
Asset-Backed Securities — 2.7% | ||||||||||||||||
Applebee’s Funding LLC, 2019-1A A2I | 4.194 | % | 6/7/49 | 20,030,000 | 17,778,227 | (a) | ||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2019-2A A | 3.350 | % | 9/22/25 | 34,800,000 | 35,359,542 | (a) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 99 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount†/ Units | Value | ||||||||||||
Asset-Backed Securities — continued |
| |||||||||||||||
Avis Budget Rental Car Funding AESOP LLC, 2019-3A A | 2.360 | % | 3/20/26 | 30,370,000 | $ | 30,035,626 | (a) | |||||||||
Bear Stearns Asset Backed Securities I Trust, 2005-CL1 A1 (1 mo. USD LIBOR + 0.500%) | 0.500 | % | 9/25/34 | 1,319,549 | 1,263,951 | (c) | ||||||||||
Brazos Student Finance Corp., 2009-1 AS (3 mo. USD LIBOR + 2.500%) | 2.797 | % | 12/27/39 | 4,847,042 | 4,946,163 | (c) | ||||||||||
CIT Mortgage Loan Trust, 2007-1 1M1 (1 mo. USD LIBOR + 1.500%) | 1.685 | % | 10/25/37 | 47,370,000 | 45,422,681 | (a)(c) | ||||||||||
CIT Mortgage Loan Trust, 2007-1 1M2 (1 mo. USD LIBOR + 1.750%) | 1.935 | % | 10/25/37 | 108,930,000 | 87,569,481 | (a)(c) | ||||||||||
Community Funding CLO, 2015-1A A | 5.750 | % | 11/1/27 | 36,638,237 | 39,456,999 | (a) | ||||||||||
Conseco Finance Corp., 1993-2 B | 3.500 | % | 7/15/18 | 34 | 32 | (c) | ||||||||||
Conseco Finance Corp., 1999-3 A9 | 6.530 | % | 2/1/31 | 11,943,530 | 11,635,790 | (c) | ||||||||||
Countrywide Asset-Backed Certificates, 2006-SD4 A1 (1 mo. USD LIBOR + 0.340%) | 0.525 | % | 12/25/36 | 50,807 | 33,863 | (a)(c) | ||||||||||
Countrywide Home Equity Loan Trust, 2006-E 2A (1 mo. USD LIBOR + 0.140%) | 0.325 | % | 7/15/36 | 32,900 | 31,367 | (c) | ||||||||||
Countrywide Home Equity Loan Trust, 2006-HW 2A1B (1 mo. USD LIBOR + 0.150%) | 0.335 | % | 11/15/36 | 425,784 | 367,180 | (c) | ||||||||||
Credit Suisse European Mortgage Capital Ltd., 2020-1OTF A | 6.531 | % | 8/9/24 | 63,001,809 | 57,961,664 | (a)(e)(f) | ||||||||||
Credit Suisse European Mortgage Capital Ltd., 2019-1OTF A (3 mo. USD LIBOR + 2.900%) | 3.660 | % | 8/9/24 | 58,226,850 | 57,682,965 | (a)(c) | ||||||||||
CWHEQ Revolving Home Equity Loan Trust, 2006-I 2A (1 mo. USD LIBOR + 0.140%) | 0.325 | % | 1/15/37 | 4,062,159 | 3,827,336 | (c) |
See Notes to Financial Statements.
| ||
100 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount†/ Units | Value | ||||||||||||
Asset-Backed Securities — continued |
| |||||||||||||||
EFS Volunteer No 2 LLC, 2012-1 A2 (1 mo. USD LIBOR + 1.350%) | 1.535 | % | 3/25/36 | 10,414,870 | $ | 10,358,569 | (a)(c) | |||||||||
Fannie Mae Grantor Trust, 2017-T1 A | 2.898 | % | 6/25/27 | 6,781,080 | 7,496,834 | |||||||||||
Ford Credit Floorplan Master Owner Trust, 2018-4 A | 4.060 | % | 11/15/30 | 48,520,000 | 52,337,224 | |||||||||||
GMAC Mortgage Corp. Loan Trust, 2004-HE3 A2VN (1 mo. USD LIBOR + 0.500%) | 0.685 | % | 10/25/34 | 2,262,330 | 2,162,307 | (a)(c) | ||||||||||
Goal Capital Funding Trust, 2005-2 A4 (3 mo. USD LIBOR + 0.200%) | 0.560 | % | 8/25/44 | 33,481,813 | 31,861,095 | (c) | ||||||||||
Green Tree Home Improvement Loan Trust, 1996-A B2 | 7.400 | % | 2/15/26 | 2,628 | 1,328 | |||||||||||
GSRPM Mortgage Loan Trust, 2007-1 A (1 mo. USD LIBOR + 0.400%) | 0.585 | % | 10/25/46 | 5,916,955 | 5,253,450 | (a)(c) | ||||||||||
Hertz Vehicle Financing II LP, 2016-2A D | 5.970 | % | 3/25/22 | 10,226,000 | 8,524,913 | (a) | ||||||||||
Hertz Vehicle Financing II LP, 2017-1A D | 6.490 | % | 10/25/21 | 24,750,000 | 20,779,951 | (a) | ||||||||||
HSI Asset Securitization Corp. Trust, 2007-OPT1 1A (1 mo. USD LIBOR + 0.140%) | 0.325 | % | 12/25/36 | 84,046,123 | 68,326,565 | (c) | ||||||||||
Jimmy Johns Funding LLC, 2017-1A A2II | 4.846 | % | 7/30/47 | 10,095,523 | 9,272,615 | (a) | ||||||||||
Long Beach Mortgage Loan Trust, 2006-9 2A3 (1 mo. USD LIBOR + 0.160%) | 0.345 | % | 10/25/36 | 3,662,989 | 1,680,555 | (c) | ||||||||||
Morgan Stanley ABS Capital I Inc. Trust, 2003-HE3 M1 (1 mo. USD LIBOR + 1.020%) | 1.205 | % | 10/25/33 | 238,134 | 236,262 | (c) | ||||||||||
Morgan Stanley Resecuritization Trust, 2015-R7 1BXA | 8.187 | % | 2/26/29 | 18,137,842 | 18,123,150 | (a)(c) | ||||||||||
Option One Mortgage Loan Trust, 2007-FXD2 1A1 | 5.820 | % | 3/25/37 | 31,616,891 | 32,684,736 | |||||||||||
Origen Manufactured Housing Contract Trust, 2006-A A2 | 2.075 | % | 10/15/37 | 9,565,796 | 9,090,031 | (c) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 101 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount†/ Units | Value | ||||||||||||
Asset-Backed Securities — continued |
| |||||||||||||||
Origen Manufactured Housing Contract Trust, 2007-A A2 | 2.704 | % | 4/15/37 | 12,900,127 | $ | 11,238,629 | (c) | |||||||||
Ownit Mortgage Loan Asset- Backed Certificates, 2004-1 M2 (1 mo. USD LIBOR + 1.800%) | 1.985 | % | 7/25/35 | 2,769,097 | 2,739,001 | (c) | ||||||||||
RAMP Series Trust, 2006-RZ4 M1 (1 mo. USD LIBOR + 0.350%) | 0.535 | % | 10/25/36 | 17,250,000 | 15,469,919 | (c) | ||||||||||
RAMP Trust, 2003-RS7 MII1 (1 mo. USD LIBOR + 1.125%) | 1.310 | % | 8/25/33 | 1,200,731 | 1,172,559 | (c) | ||||||||||
Renaissance Home Equity Loan Trust, 2003-4 A3 (1 mo. USD LIBOR + 0.620%) | 0.805 | % | 3/25/34 | 5,299,030 | 5,139,144 | (c) | ||||||||||
Renaissance Home Equity Loan Trust, 2006-1 AF5 | 6.166 | % | 5/25/36 | 13,908,614 | 9,731,859 | |||||||||||
Residential Funding Securities Corp., 2002-RP2 A1 (1 mo. USD LIBOR + 1.500%) | 1.685 | % | 10/25/32 | 1,301,945 | 1,242,837 | (a)(c) | ||||||||||
SACO I Trust, 2006-3 A3 (1 mo. USD LIBOR + 0.460%) | 0.645 | % | 4/25/36 | 207,529 | 205,210 | (c) | ||||||||||
SBA Small Business Investment Cos., 2018-10B 1 | 3.548 | % | 9/10/28 | 8,070,560 | 8,691,804 | |||||||||||
SBA Small Business Investment Cos., 2019-10A 1 | 3.113 | % | 3/10/29 | 15,304,965 | 16,388,687 | |||||||||||
Securitized Asset Backed Receivables LLC Trust, 2006- WM3 A1 (1 mo. USD LIBOR + 0.050%) | 0.235 | % | 10/25/36 | 28,062,202 | 11,710,767 | (c) | ||||||||||
Securitized Asset Backed Receivables LLC Trust, 2006- WM3 A2 (1 mo. USD LIBOR + 0.160%) | 0.345 | % | 10/25/36 | 76,489,379 | 33,089,719 | (c) | ||||||||||
Securitized Asset Backed Receivables LLC Trust, 2006- WM3 A3 (1 mo. USD LIBOR + 0.220%) | 0.405 | % | 10/25/36 | 38,773,484 | 17,097,036 | (c) | ||||||||||
SLM Student Loan EDC Repackaging Trust, 2013-M1 M1 | 3.500 | % | 10/28/29 | 437,014 | 436,801 | (a) |
See Notes to Financial Statements.
| ||
102 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount†/ Units | Value | ||||||||||||
Asset-Backed Securities — continued |
| |||||||||||||||
SMB Private Education Loan Trust, 2015-C R | 0.000 | % | 9/18/46 | 49,649 | $ | 24,902,316 | (a) | |||||||||
SoFi Professional Loan Program LLC, 2015-C R | 0.000 | % | 8/25/36 | 4,200 | 3,067,231 | (a) | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, 2006-ARS1 A1 (1 mo. USD LIBOR + 0.220%) | 0.405 | % | 2/25/36 | 1,093,051 | 44,178 | (a)(c) | ||||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, 2007-BC2 A4 (1 mo. USD LIBOR + 0.150%) | 0.335 | % | 3/25/37 | 25,381,981 | 19,143,268 | (c) | ||||||||||
Structured Asset Securities Corp. Trust, 2005-SC1 1A2 | 6.992 | % | 5/25/31 | 5,238,393 | 4,878,959 | (a)(c) | ||||||||||
Towd Point Mortgage Trust, 2019-HY2 A1 (1 mo. USD LIBOR + 1.000%) | 1.185 | % | 5/25/58 | 41,683,505 | 41,544,724 | (a)(c) | ||||||||||
United States Small Business Administration, 2019-20D 1 | 2.980 | % | 4/1/39 | 10,050,806 | 10,712,851 | |||||||||||
United States Small Business Administration, 2019-25G 1 | 2.690 | % | 7/1/44 | 10,152,098 | 10,913,661 | |||||||||||
Total Asset-Backed Securities (Cost — $986,701,828) |
| 921,123,612 | ||||||||||||||
Shares | ||||||||||||||||
Investments in Underlying Funds — 0.4% |
| |||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF (Cost — $144,084,260) | 1,123,000 | 151,043,500 | ||||||||||||||
Rate | Maturity Date | Face Amount† | ||||||||||||||
Non-U.S. Treasury Inflation Protected Securities — 0.3% |
| |||||||||||||||
Argentina — 0.0%†† | ||||||||||||||||
Argentina Treasury Bond | 1.000 | % | 8/5/21 | 536,943,499 | ARS | 4,887,347 | (e) | |||||||||
Japan — 0.3% | ||||||||||||||||
Japanese Government CPI Linked Bond | 0.100 | % | 3/10/26 | 9,451,153,950 | JPY | 87,119,551 | ||||||||||
Total Non-U.S. Treasury Inflation Protected Securities (Cost — $98,735,695) |
| 92,006,898 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 103 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Security | Rate | Maturity Date | Face Amount† | Value | ||||||||||||||
Municipal Bonds — 0.0%†† | ||||||||||||||||||
Missouri — 0.0%†† | ||||||||||||||||||
Missouri State HEFA Revenue, The Washington University, Taxable, Series A, Refunding (Cost — $12,440,000) | 3.229% | 5/15/50 | 12,440,000 | $ | 14,229,245 | |||||||||||||
Expiration Date | Contracts | Notional Amount† | ||||||||||||||||
Purchased Options — 0.0%†† | ||||||||||||||||||
Exchange-Traded Purchased Options — 0.0%†† |
| |||||||||||||||||
Australian Dollar Futures, Call @ $70.00 | 8/7/20 | 142 | 142,000 | 75,260 | ||||||||||||||
Canadian Dollar Futures, Call @ $74.00 | 8/7/20 | 142 | 142,000 | 68,160 | ||||||||||||||
Euro Futures, Call @ $1.14 | 8/7/20 | 425 | 53,125,000 | 265,625 | ||||||||||||||
Euro Futures, Put @ $1.13 | 7/2/20 | 282 | 35,250,000 | 200,925 | ||||||||||||||
U.S. Treasury 5-Year Notes Futures, Put @ $116.50 | 7/24/20 | 37,654 | 37,654,000 | 0 | (g) | |||||||||||||
U.S. Treasury 10-Year Notes Futures, Call @ $137.50 | 7/24/20 | 204 | 204,000 | 360,188 | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put @ $137.00 | 7/24/20 | 204 | 204,000 | 12,750 | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put @ $138.50 | 7/24/20 | 205 | 205,000 | 54,453 | ||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put @ $139.00 | 7/24/20 | 1,735 | 1,735,000 | 731,953 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call @ $172.00 | 7/24/20 | 204 | 204,000 | 1,367,438 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call @ $177.00 | 7/24/20 | 512 | 512,000 | 1,304,000 | ||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put @ $179.00 | 7/24/20 | 205 | 205,000 | 387,578 | ||||||||||||||
Total Exchange-Traded Purchased Options (Cost — $4,787,962) |
| 4,828,330 | ||||||||||||||||
Counterparty | ||||||||||||||||||
OTC Purchased Options — 0.0%†† |
| |||||||||||||||||
Interest rate swaption, Put @ 188.00 bps | Morgan Stanley & Co. Inc. | 7/30/20 | 26,100,000 | 26,100,000 | 869 |
See Notes to Financial Statements.
| ||
104 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Security | Counterparty | Expiration Date | Contracts | Notional Amount† | Value | |||||||||||||
OTC Purchased Options — continued |
| |||||||||||||||||
Interest rate swaption, Put @ 188.00 bps | Morgan Stanley & Co. Inc. | 7/30/20 | 78,140,000 | 78,140,000 | $ | 2,603 | ||||||||||||
Interest rate swaption, Put @ 192.25 bps | Morgan Stanley & Co. Inc. | 7/30/20 | 84,070,000 | 84,070,000 | 2,386 | |||||||||||||
Interest rate swaption, Put @ 191.25 bps | Morgan Stanley & Co. Inc. | 8/19/20 | 118,630,000 | 118,630,000 | 32,965 | |||||||||||||
U.S. Dollar/ Euro, Put @ 1.14 EUR | Morgan Stanley & Co. Inc. | 9/10/20 | 366,400,000 | 366,400,000 | 2,892,796 | |||||||||||||
U.S. Dollar/ Euro, Put @ 1.14 EUR | Goldman Sachs Group Inc. | 9/11/20 | 375,190,000 | 375,190,000 | 2,940,686 | |||||||||||||
Total OTC Purchased Options (Cost — $17,970,049) |
| 5,872,305 | ||||||||||||||||
Total Purchased Options (Cost — $22,758,011) |
| 10,700,635 | ||||||||||||||||
Total Investments before Short-Term Investments (Cost — $30,760,471,409) |
| 32,067,142,320 | ||||||||||||||||
Rate | Maturity Date | Face Amount† | ||||||||||||||||
Short-Term Investments — 6.2% |
| |||||||||||||||||
U.S. Treasury Bills — 3.3% |
| |||||||||||||||||
U.S. Treasury Bills | 0.109% | 7/23/20 | 400,000,000 | 399,972,500 | (q) | |||||||||||||
U.S. Treasury Bills | 0.124% | 8/4/20 | 625,000,000 | 624,926,212 | (q) | |||||||||||||
U.S. Treasury Bills | 0.127% | 8/18/20 | 101,000,000 | 100,982,830 | (q) | |||||||||||||
Total U.S. Treasury Bills (Cost — $1,125,862,008) |
| 1,125,881,542 | ||||||||||||||||
Shares | ||||||||||||||||||
Money Market Funds — 2.9% |
| |||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost — $1,011,991,368) | 0.109% | 1,011,991,368 | 1,011,991,368 | (r) | ||||||||||||||
Total Short-Term Investments (Cost — $2,137,853,376) |
| 2,137,872,910 | ||||||||||||||||
Total Investments — 100.1% (Cost — $32,898,324,785) |
| 34,205,015,230 | ||||||||||||||||
Liabilities in Excess of Other Assets — (0.1)% |
| (46,204,749 | ) | |||||||||||||||
Total Net Assets — 100.0% | $ | 34,158,810,481 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 105 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
† | Face amount/notional amount denominated in U.S. dollars, unless otherwise noted. |
†† | Represents less than 0.1%. |
* | Non-income producing security. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
(b) | Security has no maturity date. The date shown represents the next call date. |
(c) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(d) | The coupon payment on these securities is currently in default as of June 30, 2020. |
(e) | Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1). |
(f) | Security is valued using significant unobservable inputs (Note 1). |
(g) | Value is less than $1. |
(h) | The maturity principal is currently in default as of June 30, 2020. |
(i) | Securities traded on a when-issued or delayed delivery basis. |
(j) | This security is traded on a to-be-announced (“TBA”) basis. At June 30, 2020, the Fund held TBA securities with a total cost of $1,151,047,684. |
(k) | All or a portion of this security is held at the broker as collateral for open swap contracts. |
(l) | 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. |
(m) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
(n) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(o) | 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. |
(p) | All or a portion of this loan is unfunded as of June 30, 2020. The interest rate for fully unfunded term loans is to be determined. |
(q) | Rate shown represents yield-to-maturity. |
(r) | In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At June 30, 2020, the total market value of investments in Affiliated Companies was $1,011,991,368 and the cost was $1,011,991,368 (Note 8). |
See Notes to Financial Statements.
| ||
106 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Abbreviation(s) used in this schedule: | ||
ACES | — Alternative Credit Enhancement Securities | |
ARS | — Argentine Peso | |
bps | — basis point spread (100 basis points = 1.00%) | |
BRL | — Brazilian Real | |
CAS | — Connecticut Avenue Securities | |
CLO | — Collateralized Loan Obligation | |
CMT | — Constant Maturity Treasury | |
CNH | — Chinese Offshore Yuan | |
CNY | — Chinese Yuan Renminbi | |
CPI | — Consumer Price Index | |
ETF | — Exchange-Traded Fund | |
EUR | — Euro | |
GTD | — Guaranteed | |
HEFA | — Health & Educational Facilities Authority | |
ICE | — Intercontinental Exchange | |
IDR | — Indonesian Rupiah | |
IO | — Interest Only | |
JPY | — Japanese Yen | |
JSC | — Joint Stock Company | |
LIBOR | — London Interbank Offered Rate | |
MXN | — Mexican Peso | |
OFZ | — Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation) | |
PAC | — Planned Amortization Class | |
PO | — Principal Only | |
REMIC | — Real Estate Mortgage Investment Conduit | |
RUB | — Russian Ruble | |
SOFR | — Secured Overnight Financing Rate | |
STRIPS | — Separate Trading of Registered Interest and Principal Securities | |
USD | — United States Dollar |
Schedule of Written Options | ||||||||||||||||||||
Exchange-Traded Written Options |
| |||||||||||||||||||
Security | Expiration Date | Strike Price | Contracts | Notional Amount† | Value | |||||||||||||||
Australian Dollar Futures, Call | 7/2/20 | $ | 65.00 | 357 | 357,000 | $ | (1,428,000) | |||||||||||||
Australian Dollar Futures, Call | 7/2/20 | 66.00 | 85 | 85,000 | (255,000) | |||||||||||||||
Australian Dollar Futures, Put | 8/7/20 | 69.00 | 71 | 71,000 | (69,580) | |||||||||||||||
Canadian Dollar Futures, Call | 7/2/20 | 75.00 | 433 | 433,000 | (2,165) | |||||||||||||||
Euro Futures, Call | 7/2/20 | 1.13 | 113 | 14,125,000 | (39,550) | |||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call | 7/24/20 | 125.25 | 1,190 | 1,190,000 | (669,375) | |||||||||||||||
U.S. Treasury 5-Year Notes Futures, Call | 7/24/20 | 125.50 | 1,033 | 1,033,000 | (379,305) | |||||||||||||||
U.S. Treasury 5-Year Notes Futures, Put | 7/24/20 | 124.50 | 946 | 946,000 | (22,172) | |||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call | 7/24/20 | 138.50 | 614 | 614,000 | (575,625) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 107 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Schedule of Written Options (cont’d) | ||||||||||||||||||||||
Security | Expiration Date | Strike Price | Contracts | Notional Amount† | Value | |||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call | 7/24/20 | $ | 139.00 | 982 | 982,000 | $ | (583,062) | |||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call | 7/24/20 | 139.50 | 4,292 | 4,292,000 | (1,542,437) | |||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Call | 8/21/20 | 139.50 | 823 | 823,000 | (514,375) | |||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put | 7/24/20 | 138.00 | 2,098 | 2,098,000 | (327,813) | |||||||||||||||||
U.S. Treasury 10-Year Notes Futures, Put | 7/24/20 | 138.75 | 2,054 | 2,054,000 | (673,969) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call | 7/24/20 | 178.00 | 183 | 183,000 | (357,422) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call | 7/24/20 | 179.00 | 615 | 615,000 | (893,672) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call | 7/24/20 | 180.00 | 873 | 873,000 | (927,562) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call | 7/24/20 | 181.00 | 1,430 | 1,430,000 | (1,094,844) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call | 8/21/20 | 180.00 | 309 | 309,000 | (598,687) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Call | 8/21/20 | 186.00 | 206 | 206,000 | (128,750) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 7/2/20 | 178.00 | 309 | 309,000 | (125,531) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 7/2/20 | 178.50 | 308 | 308,000 | (192,500) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 7/24/20 | 175.00 | 1,414 | 1,414,000 | (640,719) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 7/24/20 | 176.00 | 691 | 691,000 | (475,063) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 7/24/20 | 177.00 | 822 | 822,000 | (809,156) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 7/24/20 | 178.00 | 510 | 510,000 | (709,219) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 8/21/20 | 175.00 | 207 | 207,000 | (229,641) | |||||||||||||||||
U.S. Treasury Long-Term Bonds Futures, Put | 8/21/20 | 176.00 | 1,027 | 1,027,000 | (1,460,266) | |||||||||||||||||
Total Exchange-Traded Written Options (Premiums received — $15,570,322) |
| $ | (15,725,460) | |||||||||||||||||||
OTC Written Options |
| |||||||||||||||||||||
Counterparty | ||||||||||||||||||||||
Interest rate swaption, Put | Morgan Stanley & Co. Inc. | 7/30/20 | 155.00 | bps | 143,310,000 | 143,310,000 | $ | 0 | (a) | |||||||||||||
Interest rate swaption, Put | Morgan Stanley & Co. Inc. | 7/30/20 | 155.00 | bps | 429,950,000 | 429,950,000 | 0 | (a) |
See Notes to Financial Statements.
| ||
108 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Schedule of Written Options (cont’d) | ||||||||||||||||||||||
Security | Counterparty | Expiration Date | Strike Price | Contracts | Notional Amount† | Value | ||||||||||||||||
Interest rate swaption, Put | Morgan Stanley & Co. Inc. | 8/3/20 | 160.00 | bps | 420,440,000 | 420,440,000 | $ | 0 | (a) | |||||||||||||
Interest rate swaption, Put | Morgan Stanley & Co. Inc. | 8/19/20 | 160.00 | bps | 593,360,000 | 593,360,000 | (52) | |||||||||||||||
U.S. Dollar/Mexican Peso, Put | Goldman Sachs Group Inc. | 7/24/20 | 25.52 | MXN | 323,450,000 | 323,450,000 | (34,894,724) | |||||||||||||||
Total OTC Written Options (Premiums received — $19,539,050) |
| $ | (34,894,776) | |||||||||||||||||||
Total Written Options (Premiums received — $35,109,372) |
| $ | (50,620,236) |
† | Notional amount denominated in U.S. dollars, unless otherwise noted. |
(a) | Value is less than $1. |
Abbreviation(s) used in this schedule: | ||
bps | — basis point spread (100 basis points = 1.00%) | |
MXN | — Mexican Peso |
At June 30, 2020, 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 | 12,913 | 12/20 | $ | 3,180,112,392 | $ | 3,218,888,075 | $ | 38,775,683 | ||||||||||||
Australian Dollar | 6,984 | 9/20 | 486,158,644 | 481,896,000 | (4,262,644) | |||||||||||||||
British Pound | 6,523 | 9/20 | 519,813,373 | 505,410,194 | (14,403,179) | |||||||||||||||
Canadian Dollar | 2,897 | 9/20 | 215,947,074 | 213,277,140 | (2,669,934) | |||||||||||||||
Euro | 1,364 | 9/20 | 194,093,830 | 191,872,175 | (2,221,655) | |||||||||||||||
Euro-Bobl | 239 | 9/20 | 36,062,088 | 36,244,357 | 182,269 | |||||||||||||||
Euro-BTP | 7,839 | 9/20 | 1,239,394,471 | 1,267,167,922 | 27,773,451 | |||||||||||||||
Euro-OAT | 1,293 | 9/20 | 240,915,916 | 243,542,724 | 2,626,808 | |||||||||||||||
Japanese Yen | 1,502 | 9/20 | 174,620,655 | 174,063,025 | (557,630) | |||||||||||||||
Mexican Peso | 7,867 | 9/20 | 175,592,525 | 169,455,180 | (6,137,345) | |||||||||||||||
Russian Ruble | 2,206 | 9/20 | 79,449,040 | 76,768,800 | (2,680,240) | |||||||||||||||
Swiss Franc | 344 | 9/20 | 45,626,010 | 45,494,000 | (132,010) | |||||||||||||||
U.S. Treasury 2-Year Notes | 6,537 | 9/20 | 1,443,382,657 | 1,443,553,460 | 170,803 | |||||||||||||||
U.S. Treasury 5-Year Notes | 94,122 | 9/20 | 11,803,975,183 | 11,835,106,407 | 31,131,224 | |||||||||||||||
U.S. Treasury Long-Term Bonds | 1,560 | 9/20 | 278,508,824 | 278,557,500 | 48,676 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 109 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Contracts to Buy continued | ||||||||||||||||||||
U.S. Treasury Ultra | ||||||||||||||||||||
Long-Term Bonds | 9,183 | 9/20 | $ | 1,971,103,010 | $ | 2,003,328,844 | $ | 32,225,834 | ||||||||||||
99,870,111 | ||||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
90-Day Eurodollar | 15,882 | 3/21 | 3,956,666,385 | 3,962,559,000 | (5,892,615) | |||||||||||||||
90-Day Eurodollar | 18,053 | 6/21 | 4,443,462,789 | 4,505,126,150 | (61,663,361) | |||||||||||||||
90-Day Eurodollar | 21,094 | 12/21 | 5,228,589,528 | 5,262,953,000 | (34,363,472) | |||||||||||||||
Australian 10-Year Bonds | 295 | 9/20 | 30,216,088 | 30,290,262 | (74,174) | |||||||||||||||
Euro-Bund | 13,360 | 9/20 | 2,631,122,052 | 2,649,558,139 | (18,436,087) | |||||||||||||||
Euro-Buxl | 736 | 9/20 | 178,309,850 | 181,884,044 | (3,574,194) | |||||||||||||||
Japanese 10-Year Bonds | 316 | 9/20 | 444,373,116 | 444,697,384 | (324,268) | |||||||||||||||
U.S. Treasury 10-Year Notes | 2,267 | 9/20 | 314,937,712 | 315,502,652 | (564,940) | |||||||||||||||
U.S. Treasury Ultra 10-Year Notes | 8,014 | 9/20 | 1,257,486,960 | 1,262,079,821 | (4,592,861) | |||||||||||||||
United Kingdom Long Gilt Bonds | 6,660 | 9/20 | 1,134,469,850 | 1,135,861,162 | (1,391,312) | |||||||||||||||
(130,877,284) | ||||||||||||||||||||
Net unrealized depreciation on open futures contracts |
| $ | (31,007,173) |
At June 30, 2020, the Fund had the following open forward foreign currency contracts:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
CAD | 609,940,000 | USD | 437,207,902 | BNP Paribas SA | 7/16/20 | $ | 12,091,334 | |||||||||||||
CNH | 121,736,000 | USD | 17,175,395 | BNP Paribas SA | 7/16/20 | 27,141 | ||||||||||||||
EUR | 30,000,000 | USD | 34,050,600 | BNP Paribas SA | 7/16/20 | (333,827) | ||||||||||||||
EUR | 42,000,000 | USD | 47,754,000 | BNP Paribas SA | 7/16/20 | (550,518) | ||||||||||||||
EUR | 62,000,000 | USD | 70,486,312 | BNP Paribas SA | 7/16/20 | (804,982) | ||||||||||||||
EUR | 391,120,000 | USD | 438,758,416 | BNP Paribas SA | 7/16/20 | 818,387 | ||||||||||||||
EUR | 398,490,000 | USD | 447,663,666 | BNP Paribas SA | 7/16/20 | 196,224 | ||||||||||||||
EUR | 741,875,000 | USD | 838,916,627 | BNP Paribas SA | 7/16/20 | (5,128,938) | ||||||||||||||
USD | 101,291,463 | CAD | 138,660,000 | BNP Paribas SA | 7/16/20 | (849,456) | ||||||||||||||
USD | 275,012,238 | CAD | 376,470,000 | BNP Paribas SA | 7/16/20 | (2,306,324) | ||||||||||||||
USD | 5,788 | CNH | 40,920 | BNP Paribas SA | 7/16/20 | 5 | ||||||||||||||
USD | 92,640,651 | CNH | 657,980,221 | BNP Paribas SA | 7/16/20 | (338,650) |
See Notes to Financial Statements.
| ||
110 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
USD | 84,682,288 | CNY | 601,710,000 | BNP Paribas SA | 7/16/20 | $ | (302,074) | |||||||||||||
USD | 9,882,754 | EUR | 9,040,000 | BNP Paribas SA | 7/16/20 | (277,233) | ||||||||||||||
USD | 24,768,810 | EUR | 22,000,000 | BNP Paribas SA | 7/16/20 | 43,177 | ||||||||||||||
USD | 334,191,696 | EUR | 306,740,000 | BNP Paribas SA | 7/16/20 | (10,551,065) | ||||||||||||||
USD | 681,684,822 | EUR | 623,554,000 | BNP Paribas SA | 7/16/20 | (19,122,792) | ||||||||||||||
BRL | 575,986,239 | USD | 109,668,215 | Citibank N.A. | 7/16/20 | (3,834,718) | ||||||||||||||
IDR | 3,684,421,854,900 | USD | 222,893,034 | Citibank N.A. | 7/16/20 | 34,551,808 | ||||||||||||||
JPY | 251,973,732 | USD | 2,351,144 | Citibank N.A. | 7/16/20 | (17,060) | ||||||||||||||
MXN | 3,501,630,695 | USD | 137,894,764 | Citibank N.A. | 7/16/20 | 14,123,508 | ||||||||||||||
MXN | 4,421,500,000 | USD | 193,811,532 | Citibank N.A. | 7/16/20 | (1,858,453) | ||||||||||||||
PHP | 850,020,000 | USD | 16,660,525 | Citibank N.A. | 7/16/20 | 386,755 | ||||||||||||||
PHP | 1,081,908,000 | USD | 21,372,753 | Citibank N.A. | 7/16/20 | 325,076 | ||||||||||||||
PHP | 3,328,440,000 | USD | 65,444,258 | Citibank N.A. | 7/16/20 | 1,308,111 | ||||||||||||||
PHP | 4,262,770,000 | USD | 83,768,015 | Citibank N.A. | 7/16/20 | 1,722,484 | ||||||||||||||
USD | 44,185,497 | CHF | 43,000,000 | Citibank N.A. | 7/16/20 | (1,221,170) | ||||||||||||||
USD | 38,180,450 | EUR | 35,000,000 | Citibank N.A. | 7/16/20 | (1,155,785) | ||||||||||||||
USD | 234,118,039 | EUR | 216,389,066 | Citibank N.A. | 7/16/20 | (9,079,993) | ||||||||||||||
USD | 234,605,203 | EUR | 216,234,763 | Citibank N.A. | 7/16/20 | (8,419,408) | ||||||||||||||
USD | 1,097,785,058 | EUR | 1,003,508,450 | Citibank N.A. | 7/16/20 | (30,050,482) | ||||||||||||||
USD | 3,012,733 | GBP | 2,426,610 | Citibank N.A. | 7/16/20 | 5,608 | ||||||||||||||
USD | 14,690,832 | GBP | 12,000,000 | Citibank N.A. | 7/16/20 | (179,913) | ||||||||||||||
USD | 2,304 | JPY | 250,000 | Citibank N.A. | 7/16/20 | (12) | ||||||||||||||
USD | 140,149,317 | MXN | 3,501,630,695 | Citibank N.A. | 7/16/20 | (11,868,955) | ||||||||||||||
USD | 41,888,676 | ZAR | 728,620,000 | Citibank N.A. | 7/16/20 | (24,518) | ||||||||||||||
ZAR | 728,620,000 | USD | 40,086,928 | Citibank N.A. | 7/16/20 | 1,826,265 | ||||||||||||||
BRL | 58,160,000 | USD | 10,974,620 | Goldman Sachs Group Inc. | 7/16/20 | (288,122) | ||||||||||||||
BRL | 241,580,000 | USD | 45,585,433 | Goldman Sachs Group Inc. | 7/16/20 | (1,196,775) | ||||||||||||||
JPY | 1,000,000,000 | USD | 9,328,906 | Goldman Sachs Group Inc. | 7/16/20 | (65,705) | ||||||||||||||
JPY | 4,149,655,000 | USD | 38,549,123 | Goldman Sachs Group Inc. | 7/16/20 | (110,032) | ||||||||||||||
MXN | 1,100,000,000 | USD | 48,539,191 | Goldman Sachs Group Inc. | 7/16/20 | (784,269) | ||||||||||||||
MXN | 3,850,689,000 | USD | 176,428,310 | Goldman Sachs Group Inc. | 7/16/20 | (9,256,172) | ||||||||||||||
MXN | 4,345,128,917 | USD | 176,512,864 | Goldman Sachs Group Inc. | 7/16/20 | 12,124,674 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 111 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond Fund
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||
RUB | 2,595,000,000 | USD | 36,600,089 | Goldman Sachs Group Inc. | 7/16/20 | $ | (206,236) | |||||||||||||
RUB | 2,595,000,000 | USD | 36,534,916 | Goldman Sachs Group Inc. | 7/16/20 | (141,063) | ||||||||||||||
USD | 32,570,634 | BRL | 173,380,000 | Goldman Sachs Group Inc. | 7/16/20 | 713,255 | ||||||||||||||
USD | 90,856,808 | BRL | 496,201,100 | Goldman Sachs Group Inc. | 7/16/20 | (316,720) | ||||||||||||||
USD | 25,926,552 | EUR | 24,000,000 | Goldman Sachs Group Inc. | 7/16/20 | (1,046,866) | ||||||||||||||
USD | 319,612,977 | JPY | 34,719,557,688 | Goldman Sachs Group Inc. | 7/16/20 | (2,001,281) | ||||||||||||||
USD | 35,439,810 | RUB | 2,843,247,372 | Goldman Sachs Group Inc. | 7/16/20 | (4,435,615) | ||||||||||||||
BRL | 381,270,000 | USD | 72,115,985 | JPMorgan Chase & Co. | 7/16/20 | (2,060,253) | ||||||||||||||
EUR | 23,000,000 | USD | 25,237,624 | JPMorgan Chase & Co. | 7/16/20 | 611,902 | ||||||||||||||
INR | 4,359,319,201 | USD | 55,674,575 | JPMorgan Chase & Co. | 7/16/20 | 1,972,889 | ||||||||||||||
PHP | 941,744,000 | USD | 18,512,394 | JPMorgan Chase & Co. | 7/16/20 | 374,425 | ||||||||||||||
USD | 109,902,082 | AUD | 176,375,279 | JPMorgan Chase & Co. | 7/16/20 | (11,826,403) | ||||||||||||||
USD | 27,600 | CNY | 195,069 | JPMorgan Chase & Co. | 7/16/20 | 49 | ||||||||||||||
USD | 102,245,961 | CNY | 724,566,000 | JPMorgan Chase & Co. | 7/16/20 | (90,347) | ||||||||||||||
USD | 136,738,900 | CNY | 972,487,056 | JPMorgan Chase & Co. | 7/16/20 | (613,300) | ||||||||||||||
USD | 241,676,879 | EUR | 220,264,926 | JPMorgan Chase & Co. | 7/16/20 | (5,877,201) | ||||||||||||||
USD | 201,946,777 | PHP | 10,464,882,000 | JPMorgan Chase & Co. | 7/16/20 | (7,928,018) | ||||||||||||||
CAD | 20,790,000 | USD | 14,747,557 | Morgan Stanley & Co. Inc. | 7/16/20 | 566,951 | ||||||||||||||
CAD | 195,891,234 | USD | 138,957,055 | Morgan Stanley & Co. Inc. | 7/16/20 | 5,342,027 | ||||||||||||||
USD | 185,311,920 | EUR | 162,840,000 | Morgan Stanley & Co. Inc. | 9/14/20 | 2,055,171 | ||||||||||||||
USD | 186,862,005 | EUR | 164,130,000 | Goldman Sachs Group Inc. | 9/15/20 | 2,149,304 | ||||||||||||||
CAD | 138,660,000 | USD | 101,307,004 | BNP Paribas SA | 10/16/20 | 851,367 | ||||||||||||||
CAD | 376,470,000 | USD | 275,054,433 | BNP Paribas SA | 10/16/20 | 2,311,510 | ||||||||||||||
USD | 439,664,641 | EUR | 391,120,000 | BNP Paribas SA | 10/16/20 | (843,057) | ||||||||||||||
USD | 448,586,170 | EUR | 398,490,000 | BNP Paribas SA | 10/16/20 | (222,156) | ||||||||||||||
ZAR | 728,620,000 | USD | 41,514,680 | Citibank N.A. | 10/16/20 | 22,163 | ||||||||||||||
Total | $ | (61,064,347) |
See Notes to Financial Statements.
| ||
112 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
Abbreviation(s) used in this table: | ||
AUD | — Australian Dollar | |
BRL | — Brazilian Real | |
CAD | — Canadian Dollar | |
CHF | — Swiss Franc | |
CNH | — Chinese Offshore Yuan | |
CNY | — Chinese Yuan Renminbi | |
EUR | — Euro | |
GBP | — British Pound | |
IDR | — Indonesian Rupiah | |
INR | — Indian Rupee | |
JPY | — Japanese Yen | |
MXN | — Mexican Peso | |
PHP | — Philippine Peso | |
RUB | — Russian Ruble | |
USD | — United States Dollar | |
ZAR | — South African Rand |
At June 30, 2020, the Fund had the following open swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAPS | ||||||||||||||||||||
Notional Amount* | Termination Date | Payments Made by the Fund† | Payments Received by the Fund† | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||
1,325,782,000 | 3/23/22 | 3-Month LIBOR quarterly | 0.600% semi-annually | $ | 178,053 | $ | 8,380,464 | |||||||||||||
3,799,260,000 | 8/31/24 | 3-Month LIBOR quarterly | 0.380% semi-annually | 1,069,486 | 15,926,950 | |||||||||||||||
963,247,000 | 11/30/24 | Daily U.S. Federal Funds Intraday Effective Rate annually | 0.100% annually | 602,317 | 1,381,963 | |||||||||||||||
772,300,000 | 3/23/25 | 3-Month LIBOR quarterly | 0.700% semi-annually | (588,358) | 14,961,588 | |||||||||||||||
2,275,027,000 | 6/30/26 | 1.550% semi-annually | 3-Month LIBOR quarterly | 7,119,853 | (164,676,989) | |||||||||||||||
1,041,144,000 | 7/31/26 | 1.520% semi-annually | 3-Month LIBOR quarterly | 3,586,993 | (74,000,763) | |||||||||||||||
639,925,000 | 11/15/26 | 1.600% semi-annually | 3-Month LIBOR quarterly | 187,180 | (48,088,283) | |||||||||||||||
245,375,000 | 11/15/26 | 1.650% semi-annually | 3-Month LIBOR quarterly | (928,401) | (18,218,931) | |||||||||||||||
878,809,000 | 2/15/27 | 0.750% semi-annually | 3-Month LIBOR quarterly | 162,688 | (18,327,443) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 113 |
Schedule of investments (unaudited) (cont’d)
June 30, 2020
Western Asset Core Plus Bond 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) | |||||||||||||||
1,046,610,000 | 3/24/27 | 3-Month LIBOR quarterly | 0.770% semi-annually | $ | 7,453,481 | $ | 15,197,131 | |||||||||||||
899,415,000 | 5/15/27 | 0.260% annually | Daily U.S. Federal Funds Intraday Effective Rate annually | (3,019,085) | 778,977 | |||||||||||||||
3,851,130,000 | MXN | 7/18/29 | 28-Day MXN TIIE - Banxico every 28 days | 7.450% every 28 days | 1,471,891 | 22,367,416 | ||||||||||||||
3,847,470,000 | MXN | 7/20/29 | 28-Day MXN TIIE - Banxico every 28 days | 7.440% every 28 days | 1,789,336 | 21,899,672 | ||||||||||||||
901,117,000 | 11/15/44 | 1.850% semi-annually | 3-Month LIBOR quarterly | (151,413) | (193,017,553) | |||||||||||||||
12,221,800,000 | JPY | 5/9/46 | 0.641% semi-annually | 6-Month JPY LIBOR semi-annually | 1 | (10,241,510) | ||||||||||||||
116,571,000 | 3/17/50 | 0.900% semi-annually | 3-Month LIBOR quarterly | 1,977,560 | (1,466,605) | |||||||||||||||
59,037,000 | 3/18/50 | 0.792% semi-annually | 3-Month LIBOR quarterly | — | 1,998,738 | |||||||||||||||
59,149,000 | 3/19/50 | 0.818% semi-annually | 3-Month LIBOR quarterly | — | 1,641,111 | |||||||||||||||
Total | $ | 20,911,582 | $ | (423,504,067) |
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 | ||||||||||||||||
Citibank N.A. | 292,400,000 | BRL | 1/4/27 | BRL-CDI ** | 7.024 | % ** | — | $ | 2,287,753 | |||||||||||||
Citibank N.A. | 346,800,000 | BRL | 1/4/27 | BRL-CDI ** | 7.024 | % ** | $ | 162,983 | 2,550,399 | |||||||||||||
Citibank N.A. | 370,331,000 | BRL | 1/4/27 | BRL-CDI ** | 7.024 | % ** | 202,909 | 2,694,582 | ||||||||||||||
JPMorgan Chase & Co. | 240,800,000 | BRL | 1/4/27 | BRL-CDI ** | 7.044 | % ** | — | 1,925,074 | ||||||||||||||
Total | $ | 365,892 | $ | 9,457,808 |
See Notes to Financial Statements.
| ||
114 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Western Asset Core Plus Bond Fund
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1 | ||||||||||||||||||||||
Reference Entity | Notional Amount2 | Termination Date | Periodic Payments Received by the Fund† | Market Value3 | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Markit CDX.NA.HY.34 Index | $ | 667,280,000 | 6/20/25 | 5.000% quarterly | $ | (4,602,897) | $ | (35,704,586) | $ | 31,101,689 | ||||||||||||
Markit CDX.NA.IG.25 Index | 137,411,840 | 12/20/20 | 1.000% quarterly | 252,563 | 422,294 | (169,731) | ||||||||||||||||
Markit CDX.NA.IG.34 Index | 5,777,329,000 | 6/20/25 | 1.000% quarterly | 68,206,604 | (19,308,782) | 87,515,386 | ||||||||||||||||
Total | $ | 6,582,020,840 | $ | 63,856,270 | $ | (54,591,074) | $ | 118,447,344 |
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 | 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. |
Abbreviation(s) used in this table: | ||
BRL | — Brazilian Real | |
BRL-CDI | — Brazil Cetip InterBank Deposit Rate | |
JPY | — Japanese Yen | |
LIBOR | — London Interbank Offered Rate | |
MXN | — Mexican Peso | |
TIIE | — Equilibrium Interbanking Interest Rate (Tasa de Intere’s Interbancaria de Equilibrio) |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 115 |
Statement of assets and liabilities (unaudited)
June 30, 2020
Assets: | ||||
Investments in unaffiliated securities, at value (Cost — $31,886,333,417) | $ | 33,193,023,862 | ||
Investments in affiliated securities, at value (Cost — $1,011,991,368) | 1,011,991,368 | |||
Foreign currency, at value (Cost — $146,654,948) | 148,046,360 | |||
Cash | 52,702,197 | |||
Receivable for securities sold | 945,861,625 | |||
Deposits with brokers for centrally cleared swap contracts | 406,662,917 | |||
Interest receivable | 197,891,348 | |||
Foreign currency collateral for open futures contracts and exchange-traded options, at value (Cost — $128,461,695) | 134,547,157 | |||
Deposits with brokers for open futures contracts and exchange-traded options | 117,458,256 | |||
Unrealized appreciation on forward foreign currency contracts | 96,521,570 | |||
Receivable for Fund shares sold | 76,371,610 | |||
Deposits with brokers for OTC derivatives | 42,475,000 | |||
OTC swaps, at value (premiums paid — $365,892) | 9,823,700 | |||
Receivable from broker — net variation margin on open futures contracts | 7,480,175 | |||
Security litigation proceeds receivable | 145,920 | |||
Prepaid expenses | 444,738 | |||
Total Assets | 36,441,447,803 | |||
Liabilities: | ||||
Payable for securities purchased | 1,768,492,478 | |||
Payable to broker — net variation margin on centrally cleared swap contracts | 241,553,089 | |||
Unrealized depreciation on forward foreign currency contracts | 157,585,917 | |||
Written options, at value (premiums received — $35,109,372) | 50,620,236 | |||
Payable for Fund shares repurchased | 40,849,920 | |||
Distributions payable | 9,768,585 | |||
Investment management fee payable | 9,635,928 | |||
Service and/or distribution fees payable | 718,577 | |||
Directors’ fees payable | 235,002 | |||
Accrued expenses | 3,177,590 | |||
Total Liabilities | 2,282,637,322 | |||
Total Net Assets | $ | 34,158,810,481 | ||
Net Assets: | ||||
Par value (Note 7) | $ | 2,780,278 | ||
Paid-in capital in excess of par value | 32,744,045,351 | |||
Total distributable earnings (loss) | 1,411,984,852 | |||
Total Net Assets | $ | 34,158,810,481 |
See Notes to Financial Statements.
| ||
116 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Net Assets: | ||||
Class A | $1,364,595,075 | |||
Class C | $290,807,203 | |||
Class C1 | $1,797,313 | |||
Class FI | $413,832,510 | |||
Class R | $305,962,593 | |||
Class I | $22,298,888,326 | |||
Class IS | $9,482,927,461 | |||
Shares Outstanding: | ||||
Class A | 111,169,111 | |||
Class C | 23,657,384 | |||
Class C1 | 146,360 | |||
Class FI | 33,681,132 | |||
Class R | 24,939,094 | |||
Class I | 1,814,729,255 | |||
Class IS | 771,955,320 | |||
Net Asset Value: | ||||
Class A (and redemption price) | $12.27 | |||
Class C* | $12.29 | |||
Class C1* | $12.28 | |||
Class FI (and redemption price) | $12.29 | |||
Class R (and redemption price) | $12.27 | |||
Class I (and redemption price) | $12.29 | |||
Class IS (and redemption price) | $12.28 | |||
Maximum Public Offering Price Per Share: | ||||
Class A (based on maximum initial sales charge of 4.25%) | $12.81 |
* | Redemption price per share is NAV of Class C and Class C1 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 Core Plus Bond Fund 2020 Semi-Annual Report | 117 |
Statement of operations (unaudited)
For the Six Months Ended June 30, 2020
Investment Income: | ||||
Dividends | $ | 361,472 | ||
Interest from unaffiliated investments | 509,785,714 | |||
Interest from affiliated investments | 3,521,884 | |||
Less: Foreign taxes withheld | (408,013) | |||
Total Investment Income | 513,261,057 | |||
Expenses: | ||||
Investment management fee (Note 2) | 63,807,303 | |||
Transfer agent fees (Note 5) | 12,175,953 | |||
Service and/or distribution fees (Notes 2 and 5) | 4,250,032 | |||
Legal fees | 486,396 | |||
Registration fees | 435,753 | |||
Custody fees | 404,684 | |||
Directors’ fees | 386,000 | |||
Fees recaptured by investment manager (Note 2) | 383,239 | |||
Fund accounting fees | 263,920 | |||
Insurance | 140,319 | |||
Commitment fees (Note 9) | 117,311 | |||
Shareholder reports | 104,316 | |||
Interest expense | 103,027 | |||
Audit and tax fees | 47,602 | |||
Miscellaneous expenses | 91,041 | |||
Total Expenses | 83,196,896 | |||
Less: Fee waivers and/or expense reimbursements (Notes 2 and 5) | (7,688,351) | |||
Net Expenses | 75,508,545 | |||
Net Investment Income | 437,752,512 | |||
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 | 579,209,230 | † | ||
Futures contracts | 758,930,590 | |||
Written options | 188,492,286 | |||
Swap contracts | (228,615,045) | |||
Forward foreign currency contracts | (160,146,073) | |||
Foreign currency transactions | (12,097,437) | |||
Net Realized Gain | 1,125,773,551 | |||
Change in Net Unrealized Appreciation (Depreciation) From: | ||||
Investments in unaffiliated securities | 302,700,493 | |||
Futures contracts | (20,417,092) | |||
Written options | (24,981,675) | |||
Swap contracts | (468,960,239) | |||
Forward foreign currency contracts | (93,094,544) | |||
Foreign currencies | 1,455,425 | |||
Change in Net Unrealized Appreciation (Depreciation) | (303,297,632) | |||
Net Gain on Investments, Futures Contracts, Written Options, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions | 822,475,919 | |||
Increase in Net Assets From Operations | $ | 1,260,228,431 |
† | Net of foreign capital gains tax of $1,350. |
See Notes to Financial Statements.
| ||
118 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Statements of changes in net assets
For the Six Months Ended June 30, 2020 (unaudited) and the Year Ended December 31, 2019 | 2020 | 2019 | ||||||
Operations: | ||||||||
Net investment income | $ | 437,752,512 | $ | 902,901,182 | ||||
Net realized gain | 1,125,773,551 | 363,248,014 | ||||||
Change in net unrealized appreciation (depreciation) | (303,297,632) | 1,796,365,581 | ||||||
Increase in Net Assets From Operations | 1,260,228,431 | 3,062,514,777 | ||||||
Distributions to Shareholders From (Notes 1 and 6): | ||||||||
Total distributable earnings | (466,353,945) | (1,406,769,621) | ||||||
Decrease in Net Assets From Distributions to Shareholders | (466,353,945) | (1,406,769,621) | ||||||
Fund Share Transactions (Note 7): | ||||||||
Net proceeds from sale of shares | 7,976,356,916 | 10,505,921,660 | ||||||
Reinvestment of distributions | 397,201,105 | 1,210,476,720 | ||||||
Cost of shares repurchased | (5,982,844,148) | (5,934,073,872) | ||||||
Increase in Net Assets From Fund Share Transactions | 2,390,713,873 | 5,782,324,508 | ||||||
Increase in Net Assets | 3,184,588,359 | 7,438,069,664 | ||||||
Net Assets: | ||||||||
Beginning of period | 30,974,222,122 | 23,536,152,458 | ||||||
End of period | $ | 34,158,810,481 | $ | 30,974,222,122 |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 119 |
For a share of each class of capital stock outstanding throughout each year ended December 31, unless otherwise noted: | ||||||||||||||||||||||||
Class A Shares1 | 20202 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $11.96 | $11.19 | $11.83 | $11.42 | $11.42 | $11.63 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | 0.35 | 0.36 | 0.31 | 0.33 | 0.30 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | 0.98 | (0.60) | 0.44 | 0.18 | (0.20) | ||||||||||||||||||
Total income (loss) from operations | 0.47 | 1.33 | (0.24) | 0.75 | 0.51 | 0.10 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.16) | (0.40) | (0.35) | (0.32) | (0.40) | (0.31) | ||||||||||||||||||
Net realized gains | — | (0.16) | (0.05) | (0.02) | (0.11) | — | ||||||||||||||||||
Total distributions | (0.16) | (0.56) | (0.40) | (0.34) | (0.51) | (0.31) | ||||||||||||||||||
Net asset value, end of period | $12.27 | $11.96 | $11.19 | $11.83 | $11.42 | $11.42 | ||||||||||||||||||
Total return3 | 3.93 | % | 11.88 | % | (1.86) | % | 6.57 | % | 4.42 | % | 0.76 | % | ||||||||||||
Net assets, end of period (millions) | $1,365 | $1,306 | $1,032 | $992 | $825 | $492 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 0.83 | %4,5 | 0.83 | %5 | 0.84 | % | 0.85 | %5 | 0.82 | % | 0.89 | % | ||||||||||||
Net expenses6 | 0.82 | 4,5,7 | 0.82 | 5,7 | 0.82 | 7 | 0.82 | 5,7 | 0.81 | 7 | 0.89 | |||||||||||||
Net investment income | 2.41 | 4 | 2.99 | 3.16 | 2.66 | 2.85 | 2.58 | |||||||||||||||||
Portfolio turnover rate8 | 76 | % | 122 | % | 105 | % | 94 | % | 97 | % | 93 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended June 30, 2020 (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, deferred organizational expenses and acquired fund fees and expenses, to average net assets of Class A shares did not exceed 0.82%. This expense limitation arrangement cannot be terminated prior to December 31, 2021 without the Board of Directors’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. Prior to May 1, 2016, the expense limitation was 0.90%. |
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 92% for the six months ended June 30, 2020 and 189%, 274%, 264%, 201% and 244% for the years ended December 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
| ||
120 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Financial highlights (cont’d)
For a share of each class of capital stock outstanding throughout each year ended December 31, unless otherwise noted: | ||||||||||||||||||||||||
Class C Shares1 | 20202 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $11.97 | $11.21 | $11.84 | $11.43 | $11.44 | $11.65 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.10 | 0.27 | 0.28 | 0.23 | 0.25 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | 0.96 | (0.58) | 0.43 | 0.16 | (0.20) | ||||||||||||||||||
Total income (loss) from operations | 0.43 | 1.23 | (0.30) | 0.66 | 0.41 | 0.03 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.11) | (0.31) | (0.28) | (0.23) | (0.31) | (0.24) | ||||||||||||||||||
Net realized gains | — | (0.16) | (0.05) | (0.02) | (0.11) | — | ||||||||||||||||||
Total distributions | (0.11) | (0.47) | (0.33) | (0.25) | (0.42) | (0.24) | ||||||||||||||||||
Net asset value, end of period | $12.29 | $11.97 | $11.21 | $11.84 | $11.43 | $11.44 | ||||||||||||||||||
Total return3 | 3.65 | % | 11.10 | % | (2.53) | % | 5.82 | % | 3.59 | % | 0.22 | % | ||||||||||||
Net assets, end of period (millions) | $291 | $259 | $199 | $219 | $186 | $121 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 1.51 | %4 | 1.52 | % | 1.52 | % | 1.52 | % | 1.52 | % | 1.52 | % | ||||||||||||
Net expenses5 | 1.51 | 4,6 | 1.52 | 6 | 1.52 | 6 | 1.52 | 6 | 1.52 | 1.52 | ||||||||||||||
Net investment income | 1.72 | 4 | 2.29 | 2.45 | 1.95 | 2.13 | 1.99 | |||||||||||||||||
Portfolio turnover rate7 | 76 | % | 122 | % | 105 | % | 94 | % | 97 | % | 93 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended June 30, 2020 (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 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, deferred organizational expenses and acquired fund fees and expenses, to average net assets of Class C shares did not exceed 1.65%. This expense limitation arrangement cannot be terminated prior to December 31, 2021 without the Board of Directors’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. |
6 | Reflects fee waivers and/or expense reimbursements. |
7 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 92% for the six months ended June 30, 2020 and 189%, 274%, 264%, 201% and 244% for the years ended December 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 121 |
For a share of each class of capital stock outstanding throughout each year ended December 31, unless otherwise noted: | ||||||||||||||||||||||||
Class C1 Shares1 | 20202 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $11.96 | $11.20 | $11.83 | $11.42 | $11.43 | $11.63 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.12 | 0.32 | 0.31 | 0.27 | 0.29 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | 0.96 | (0.58) | 0.43 | 0.16 | (0.20) | ||||||||||||||||||
Total income (loss) from operations | 0.45 | 1.28 | (0.27) | 0.70 | 0.45 | 0.07 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.13) | (0.36) | (0.31) | (0.27) | (0.35) | (0.27) | ||||||||||||||||||
Net realized gains | — | (0.16) | (0.05) | (0.02) | (0.11) | — | ||||||||||||||||||
Total distributions | (0.13) | (0.52) | (0.36) | (0.29) | (0.46) | (0.27) | ||||||||||||||||||
Net asset value, end of period | $12.28 | $11.96 | $11.20 | $11.83 | $11.42 | $11.43 | ||||||||||||||||||
Total return3 | 3.76 | % | 11.50 | % | (2.22) | % | 6.16 | % | 3.92 | % | 0.63 | % | ||||||||||||
Net assets, end of period (000s) | $1,797 | $2,399 | $14,202 | $22,192 | $25,069 | $27,662 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 1.30 | %4 | 1.20 | % | 1.19 | % | 1.21 | % | 1.21 | % | 1.20 | % | ||||||||||||
Net expenses5 | 1.29 | 4,6 | 1.20 | 6 | 1.19 | 6 | 1.21 | 6 | 1.21 | 1.20 | ||||||||||||||
Net investment income | 1.95 | 4 | 2.76 | 2.75 | 2.27 | 2.46 | 2.29 | |||||||||||||||||
Portfolio turnover rate7 | 76 | % | 122 | % | 105 | % | 94 | % | 97 | % | 93 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended June 30, 2020 (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 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, deferred organizational expenses and acquired fund fees and expenses, to average net assets of Class C1 shares did not exceed 1.51%. This expense limitation arrangement cannot be terminated prior to December 31, 2021 without the Board of Directors’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. |
6 | Reflects fee waivers and/or expense reimbursements. |
7 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 92% for the six months ended June 30, 2020 and 189%, 274%, 264%, 201% and 244% for the years ended December 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
| ||
122 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Financial highlights (cont’d)
For a share of each class of capital stock outstanding throughout each year ended December 31, unless otherwise noted: | ||||||||||||||||||||||||
Class FI Shares1 | 20202 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $11.97 | $11.20 | $11.84 | $11.43 | $11.44 | $11.64 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.14 | 0.35 | 0.36 | 0.31 | 0.34 | 0.31 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.34 | 0.98 | (0.60) | 0.44 | 0.15 | (0.19) | ||||||||||||||||||
Total income (loss) from operations | 0.48 | 1.33 | (0.24) | 0.75 | 0.49 | 0.12 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.16) | (0.40) | (0.35) | (0.32) | (0.39) | (0.32) | ||||||||||||||||||
Net realized gains | — | (0.16) | (0.05) | (0.02) | (0.11) | — | ||||||||||||||||||
Total distributions | (0.16) | (0.56) | (0.40) | (0.34) | (0.50) | (0.32) | ||||||||||||||||||
Net asset value, end of period | $12.29 | $11.97 | $11.20 | $11.84 | $11.43 | $11.44 | ||||||||||||||||||
Total return3 | 4.00 | % | 11.87 | % | (1.87) | % | 6.65 | % | 4.21 | % | 0.99 | % | ||||||||||||
Net assets, end of period (millions) | $414 | $414 | $359 | $444 | $406 | $1,542 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 0.82 | %4 | 0.82 | % | 0.83 | % | 0.83 | % | 0.83 | % | 0.84 | % | ||||||||||||
Net expenses5 | 0.82 | 4,6 | 0.82 | 6 | 0.83 | 6 | 0.83 | 6 | 0.83 | 0.84 | ||||||||||||||
Net investment income | 2.42 | 4 | 3.00 | 3.13 | 2.65 | 2.88 | 2.64 | |||||||||||||||||
Portfolio turnover rate7 | 76 | % | 122 | % | 105 | % | 94 | % | 97 | % | 93 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended June 30, 2020 (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 | As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, deferred organizational expenses and acquired fund fees and expenses, to average net assets of Class FI shares did not exceed 0.85%. This expense limitation arrangement cannot be terminated prior to December 31, 2021 without the Board of Directors’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. |
6 | Reflects fee waivers and/or expense reimbursements. |
7 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 92% for the six months ended June 30, 2020 and 189%, 274%, 264%, 201% and 244% for the years ended December 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
| ||
Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 123 |
For a share of each class of capital stock outstanding throughout each year ended December 31, unless otherwise noted: | ||||||||||||||||||||||||
Class R Shares1 | 20202 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $11.95 | $11.19 | $11.82 | $11.41 | $11.41 | $11.62 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.13 | 0.32 | 0.32 | 0.28 | 0.29 | 0.28 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | 0.96 | (0.58) | 0.43 | 0.18 | (0.21) | ||||||||||||||||||
Total income (loss) from operations | 0.46 | 1.28 | (0.26) | 0.71 | 0.47 | 0.07 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.14) | (0.36) | (0.32) | (0.28) | (0.36) | (0.28) | ||||||||||||||||||
Net realized gains | — | (0.16) | (0.05) | (0.02) | (0.11) | — | ||||||||||||||||||
Total distributions | (0.14) | (0.52) | (0.37) | (0.30) | (0.47) | (0.28) | ||||||||||||||||||
Net asset value, end of period | $12.27 | $11.95 | $11.19 | $11.82 | $11.41 | $11.41 | ||||||||||||||||||
Total return3 | 3.85 | % | 11.56 | % | (2.16) | % | 6.25 | % | 4.11 | % | 0.62 | % | ||||||||||||
Net assets, end of period (millions) | $306 | $298 | $245 | $215 | $130 | $53 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 1.12 | %4 | 1.12 | % | 1.12 | % | 1.13 | % | 1.12 | % | 1.14 | %5 | ||||||||||||
Net expenses6 | 1.12 | 4,5 | 1.12 | 5 | 1.12 | 1.13 | 5 | 1.12 | 1.14 | 7 | ||||||||||||||
Net investment income | 2.11 | 4 | 2.69 | 2.87 | 2.35 | 2.53 | 2.42 | |||||||||||||||||
Portfolio turnover rate8 | 76 | % | 122 | % | 105 | % | 94 | % | 97 | % | 93 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended June 30, 2020 (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 fee waivers and/or expense reimbursements. |
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, deferred organizational expenses and acquired fund fees and expenses, to average net assets of Class R shares did not exceed 1.15%. This expense limitation arrangement cannot be terminated prior to December 31, 2021 without the Board of Directors’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. |
7 | Reflects recapture of expenses waived/reimbursed from prior fiscal years. |
8 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 92% for the six months ended June 30, 2020 and 189%, 274%, 264%, 201% and 244% for the years ended December 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
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124 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Financial highlights (cont’d)
For a share of each class of capital stock outstanding throughout each year ended December 31, unless otherwise noted: | ||||||||||||||||||||||||
Class I Shares1 | 20202 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $11.97 | $11.20 | $11.84 | $11.43 | $11.43 | $11.64 | ||||||||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.17 | 0.40 | 0.40 | 0.35 | 0.38 | 0.35 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | 0.97 | (0.59) | 0.44 | 0.17 | (0.20) | ||||||||||||||||||
Total income (loss) from operations | 0.50 | 1.37 | (0.19) | 0.79 | 0.55 | 0.15 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.18) | (0.44) | (0.40) | (0.36) | (0.44) | (0.36) | ||||||||||||||||||
Net realized gains | — | (0.16) | (0.05) | (0.02) | (0.11) | — | ||||||||||||||||||
Total distributions | (0.18) | (0.60) | (0.45) | (0.38) | (0.55) | (0.36) | ||||||||||||||||||
Net asset value, end of period | $12.29 | $11.97 | $11.20 | $11.84 | $11.43 | $11.43 | ||||||||||||||||||
Total return3 | 4.20 | % | 12.29 | % | (1.49) | % | 6.96 | % | 4.79 | % | 1.29 | % | ||||||||||||
Net assets, end of period (millions) | $22,299 | $20,112 | $15,351 | $14,721 | $12,191 | $9,649 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 0.52 | %4,5 | 0.52 | % | 0.52 | % | 0.52 | % | 0.52 | % | 0.52 | % | ||||||||||||
Net expenses6,7 | 0.45 | 4,5 | 0.45 | 0.45 | 0.45 | 0.45 | 0.45 | |||||||||||||||||
Net investment income | 2.78 | 4 | 3.36 | 3.53 | 3.03 | 3.21 | 3.05 | |||||||||||||||||
Portfolio turnover rate8 | 76 | % | 122 | % | 105 | % | 94 | % | 97 | % | 93 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended June 30, 2020 (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 | Reflects fee waivers and/or expense reimbursements. |
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, deferred organizational expenses and acquired fund fees and expenses, to average net assets of Class I shares did not exceed 0.45%. This expense limitation arrangement cannot be terminated prior to December 31, 2021 without the Board of Directors’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. |
8 | Excluding mortgage dollar roll transactions. If mortgage dollar roll transactions had been included, the portfolio turnover rate would have been 92% for the six months ended June 30, 2020 and 189%, 274%, 264%, 201% and 244% for the years ended December 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 125 |
For a share of each class of capital stock outstanding throughout each year ended December 31, unless otherwise noted: | ||||||||||||||||||||||||
Class IS Shares1 | 20202 | 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
Net asset value, beginning of period | $ | 11.96 | $ | 11.20 | $ | 11.83 | $ | 11.42 | $ | 11.43 | $ | 11.64 | ||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Net investment income | 0.17 | 0.40 | 0.40 | 0.36 | 0.38 | 0.36 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | 0.96 | (0.58) | 0.43 | 0.16 | (0.21) | ||||||||||||||||||
Total income (loss) from operations | 0.50 | 1.36 | (0.18) | 0.79 | 0.54 | 0.15 | ||||||||||||||||||
Less distributions from: | ||||||||||||||||||||||||
Net investment income | (0.18) | (0.44) | (0.40) | (0.36) | (0.44) | (0.36) | ||||||||||||||||||
Net realized gains | — | (0.16) | (0.05) | (0.02) | (0.11) | — | ||||||||||||||||||
Total distributions | (0.18) | (0.60) | (0.45) | (0.38) | (0.55) | (0.36) | ||||||||||||||||||
Net asset value, end of period | $ | 12.28 | $ | 11.96 | $ | 11.20 | $ | 11.83 | $ | 11.42 | $ | 11.43 | ||||||||||||
Total return3 | 4.21 | % | 12.33 | % | (1.47) | % | 6.99 | % | 4.73 | % | 1.32 | % | ||||||||||||
Net assets, end of period (millions) | $ | 9,483 | $ | 8,583 | $ | 6,336 | $ | 5,482 | $ | 3,955 | $ | 3,330 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 0.42 | %4 | 0.42 | % | 0.42 | % | 0.43 | % | 0.42 | % | 0.42 | %5 | ||||||||||||
Net expenses6 | 0.42 | 4,7 | 0.42 | 7 | 0.42 | 0.43 | 0.42 | 0.42 | 5 | |||||||||||||||
Net investment income | 2.82 | 4 | 3.39 | 3.57 | 3.05 | 3.24 | 3.07 | |||||||||||||||||
Portfolio turnover rate8 | 76 | % | 122 | % | 105 | % | 94 | % | 97 | % | 93 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended June 30, 2020 (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, deferred organizational expenses and acquired fund fees and expenses, to average net assets of Class IS shares did not exceed 0.45%. 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, 2021 without the Board of Directors’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. |
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 92% for the six months ended June 30, 2020 and 189%, 274%, 264%, 201% and 244% for the years ended December 31, 2019, 2018, 2017, 2016 and 2015, respectively. |
See Notes to Financial Statements.
| ||
126 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Notes to financial statements (unaudited)
1. Organization and significant accounting policies
Western Asset Core Plus Bond Fund (the “Fund”) is a separate 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 an open-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 in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of 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,
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 127 |
evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of 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.
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128 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Notes to financial statements (unaudited) (cont’d)
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.
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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: | ||||||||||||||||
Financials | — | $ | 4,196,715,453 | $ | 0 | * | $ | 4,196,715,453 | ||||||||
Other Corporate Bonds & Notes | — | 8,398,634,744 | — | 8,398,634,744 | ||||||||||||
Mortgage-Backed Securities | — | 6,290,842,340 | — | 6,290,842,340 | ||||||||||||
U.S. Government & Agency Obligations | — | 3,620,090,415 | — | 3,620,090,415 | ||||||||||||
Sovereign Bonds | — | 3,056,597,507 | — | 3,056,597,507 | ||||||||||||
Collateralized Mortgage Obligations | — | 2,513,524,952 | 12,827,438 | 2,526,352,390 | ||||||||||||
Senior Loans: | ||||||||||||||||
Consumer Discretionary | — | 305,585,506 | 38,538,488 | 344,123,994 | ||||||||||||
Industrials | — | 159,530,110 | 9,144,135 | 168,674,245 | ||||||||||||
Other Senior Loans | — | 1,042,429,706 | — | 1,042,429,706 | ||||||||||||
U.S. Treasury Inflation Protected Securities | — | 1,233,577,636 | — | 1,233,577,636 | ||||||||||||
Asset-Backed Securities | — | 863,161,948 | 57,961,664 | 921,123,612 | ||||||||||||
Investments in Underlying Funds | $ | 151,043,500 | — | — | 151,043,500 | |||||||||||
Non-U.S. Treasury Inflation Protected Securities | — | 92,006,898 | — | 92,006,898 | ||||||||||||
Municipal Bonds | — | 14,229,245 | — | 14,229,245 | ||||||||||||
Purchased Options: | ||||||||||||||||
Exchange-Traded Purchased Options | 4,828,330 | — | — | 4,828,330 | ||||||||||||
OTC Purchased Options | — | 5,872,305 | — | 5,872,305 | ||||||||||||
Total Long-Term Investments | 155,871,830 | 31,792,798,765 | 118,471,725 | 32,067,142,320 | ||||||||||||
Short-Term Investments†: | ||||||||||||||||
U.S. Treasury Bills | — | 1,125,881,542 | — | 1,125,881,542 | ||||||||||||
Money Market Funds | 1,011,991,368 | — | — | 1,011,991,368 | ||||||||||||
Total Short-Term Investments | 1,011,991,368 | 1,125,881,542 | — | 2,137,872,910 | ||||||||||||
Total Investments | $ | 1,167,863,198 | $ | 32,918,680,307 | $ | 118,471,725 | $ | 34,205,015,230 |
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130 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Notes to financial statements (unaudited) (cont’d)
ASSETS (cont’d) | ||||||||||||||||
Description | Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts | $ | 132,934,748 | — | — | $ | 132,934,748 | ||||||||||
Forward Foreign Currency Contracts | — | $ | 96,521,570 | — | 96,521,570 | |||||||||||
Centrally Cleared Interest Rate Swaps | — | 104,534,010 | — | 104,534,010 | ||||||||||||
OTC Interest Rate Swaps‡ | — | 9,823,700 | — | 9,823,700 | ||||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection | — | 118,617,075 | — | 118,617,075 | ||||||||||||
Total Other Financial Instruments | $ | 132,934,748 | $ | 329,496,355 | — | $ | 462,431,103 | |||||||||
Total | $ | 1,300,797,946 | $ | 33,248,176,662 | $ | 118,471,725 | $ | 34,667,446,333 | ||||||||
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 | $ | 15,725,460 | — | — | $ | 15,725,460 | ||||||||||
OTC Written Options‡ | — | $ | 34,894,776 | — | 34,894,776 | |||||||||||
Futures Contracts | 163,941,921 | — | — | 163,941,921 | ||||||||||||
Forward Foreign Currency Contracts | — | 157,585,917 | — | 157,585,917 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 528,038,077 | — | 528,038,077 | ||||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection | — | 169,731 | — | 169,731 | ||||||||||||
Total | $ | 179,667,381 | $ | 720,688,501 | — | $ | 900,355,882 |
† | 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 is marked-to-market to reflect the current market value of the
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 131 |
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 is marked-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 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) 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.
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132 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Notes to financial statements (unaudited) (cont’d)
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.
(e) Forward foreign currency contracts. The Fund enters into a forward foreign currency contract to hedge against foreign currency exchange rate risk on its non-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 is marked-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 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 counterparty 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.
(f) 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 the over-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 are marked-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 net 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
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 133 |
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.
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 June 30, 2020, the total notional value of all credit default swaps to sell protection was $6,582,020,840. 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 June 30, 2020, 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.
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134 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Notes to financial statements (unaudited) (cont’d)
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 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 pay and receive a floating rate, on a notional principal amount. Interest rate swaps are marked-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.
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 135 |
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.
(g) 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.
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 is marked-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 is marked-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 are marked-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.
(h) 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 of off-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 any off-set between the lender and the borrower.
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136 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Notes to financial statements (unaudited) (cont’d)
(i) Unfunded loan commitments. The Fund may enter into certain credit agreements where all or a portion of the total amount committed 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 June 30, 2020, the Fund had sufficient cash and/or securities to cover these commitments.
(j) 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 of prepayment, 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.
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.
(k) 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.
(l) Securities traded on a to-be-announced basis. The Fund may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, the Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information, such as the face amount, maturity date and underlying pool of investments in U.S. government agency mortgage pass-through securities, is not announced. Securities purchased on a TBA basis are not settled until they are delivered to the Fund. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These securities are subject to market fluctuations and their current value is determined in the same manner as for other securities. At June 30, 2020, the Fund held non-cash collateral for TBA securities from Bank of America N.A. in the amount of $1,765,898.
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 137 |
(m) Mortgage dollar rolls. The Fund may enter into mortgage dollar rolls in which the Fund sells mortgage-backed securities for delivery in the current month, realizing a gain or loss, and simultaneously entering into contracts to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specified future date.
The Fund executes its mortgage dollar rolls entirely in the TBA market, whereby the Fund makes a forward commitment to purchase a security and, instead of accepting delivery, the position is offset by a sale of the security with a simultaneous agreement to repurchase at a future date. The Fund accounts for mortgage dollar rolls as purchases and sales.
The risk of entering into mortgage dollar rolls is that the market value of the securities the Fund is obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the mortgage dollar roll may be restricted pending a determination by the counterparty, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities.
(n) 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.
(o) 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.
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138 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Notes to financial statements (unaudited) (cont’d)
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.
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.
(p) 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 in non-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.
(q) 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.
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 139 |
(r) 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. 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 govern over-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.
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140 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Notes to financial statements (unaudited) (cont’d)
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 for over-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 June 30, 2020, the Fund held OTC written options and forward foreign currency contracts with credit related contingent features which had a liability position of $192,480,693. 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 counterparties. As of June 30, 2020, the Fund had posted with its counterparties cash and/or securities as collateral to cover the net liability of these derivatives amounting to $42,475,000, which could be used to reduce the required payment.
At June 30, 2020, the Fund held non-cash collateral from Citibank N.A. and Morgan Stanley & Co. in the amounts of $40,501,089 and $3,165,032, respectively. These amounts could be used to reduce the Fund’s exposure to the counterparty in the event of default.
(s) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-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 the ex-dividend date for dividends received in cash and/or securities. Foreign dividend income is recorded on the ex-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.
(t) Distributions to shareholders. Distributions from net investment income of the Fund are declared each business day to shareholders of record and are paid monthly. Distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(u) 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.
(v) 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.
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 141 |
(w) 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 December 31, 2019, 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.
Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates. Realized gains upon disposition of securities issued in or by certain foreign countries are subject to capital gains tax imposed by those countries.
(x) 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 Limited in London (“Western Asset London”), Western Asset Management Company Pte. Ltd. in Singapore (“Western Asset Singapore”) and Western Asset Management Company Ltd in Japan (“Western Asset Japan”) are the Fund’s subadvisers. LMPFA, Western Asset, Western Asset London, Western Asset Singapore and Western Asset Japan are wholly-owned subsidiaries of Legg Mason, Inc. (“Legg Mason”). As of July 31, 2020, LMPFA, Western Asset, Western Asset London, Western Asset Singapore and Western Asset Japan are indirect, wholly-owned subsidiaries of Franklin Resources, Inc. (“Franklin Resources”).
LMPFA provides the Fund with management and administrative services for which the Fund pays a fee, calculated daily and paid monthly, at an annual rate of 0.450% of the Fund’s average daily net assets up to $500 million, 0.425% of the average daily net assets of the next $500 million and 0.400% of the Fund’s average daily net assets in excess of $1 billion. For their services, LMPFA pays Western Asset, Western Asset London, Western Asset Singapore and Western Asset Japan monthly all of the management fee that it receives from the Fund.
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142 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
LMPFA has agreed to waive fees and/or reimburse operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, deferred organizational expenses and acquired fund fees and expenses, so that the ratio of total annual fund operating expenses did not exceed 0.82%, 1.65%, 1.51%, 0.85%, 1.15%, 0.45% and 0.45% for Class A, Class C, Class C1, Class FI, Class R, Class I and Class IS shares, 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 arrangements cannot be terminated prior to December 31, 2021 without the Board of Directors’ consent. In addition, LMPFA has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund (the “affiliated money market fund waiver”). The affiliated money market fund waiver is not subject to the recapture provision discussed below.
During the year ended June 30, 2020, fees waived and/or expenses reimbursed amounted to $7,688,351, which included an affiliated money market waiver of $466,321.
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 June 30, 2020, the Fund had remaining fee waivers and/or expense reimbursements subject to recapture by LMPFA and respective dates of expiration as follows:
Class A | Class I | |||||||
Expires December 31, 2020 | $ | 123,349 | $ | 10,395,416 | ||||
Expires December 31, 2021 | 126,247 | 12,920,735 | ||||||
Expires December 31, 2022 | 92,294 | 7,078,572 | ||||||
Total fee waivers/expense reimbursements subject to recapture | $ | 341,890 | $ | 30,394,723 |
For the six months ended June 30, 2020, fee waivers and/or expense reimbursements recaptured by LMPFA, if any, were as follows:
Class A | Class I | |||||||
LMPFA recaptured | $ | 48,649 | $ | 334,590 |
Legg Mason Investor Services, LLC (“LMIS”), a wholly-owned broker-dealer subsidiary of Legg Mason, serves as the Fund’s sole and exclusive distributor. As of July 31, 2020, LMIS is an indirect, wholly-owned broker-dealer subsidiary of Franklin Resources.
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 143 |
Notes to financial statements (unaudited) (cont’d)
There is a maximum initial sales charge of 4.25% for Class A shares. There is a contingent deferred sales charge (“CDSC”) of 1.00% on Class C and Class C1 shares which applies if redemption occurs within 12 months from purchase payment. In certain cases, Class A 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 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 June 30, 2020, sales charges retained by and CDSCs paid to LMIS and its affiliates, if any, were as follows:
Class A | Class C | |||||||
Sales charges | $ | 99,998 | — | |||||
CDSCs | 12,147 | $ | 45,821 |
All officers and one Director 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 June 30, 2020, 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 | $ | 6,150,148,808 | $ | 23,739,651,158 | ||||
Sales | 1,078,377,218 | 28,539,622,490 |
At June 30, 2020, 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 | $ | 32,898,324,785 | $ | 2,093,998,998 | $ | (787,308,553) | $ | 1,306,690,445 | ||||||||
Swap contracts | (33,313,600) | 232,608,893 | (528,207,808) | (295,598,915) | ||||||||||||
Written options | (35,109,372) | 10,660,698 | (26,171,562) | (15,510,864) | ||||||||||||
Futures contracts | — | 132,934,748 | (163,941,921) | (31,007,173) | ||||||||||||
Forward foreign currency contracts | — | 96,521,570 | (157,585,917) | (61,064,347) |
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144 | Western Asset Core Plus Bond Fund 2020 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 June 30, 2020.
ASSET DERIVATIVES1 | ||||||||||||||||
Interest Rate Risk | Foreign Exchange | Credit Risk | Total | |||||||||||||
Purchased options2 | $ | 4,257,183 | $ | 6,443,452 | — | $ | 10,700,635 | |||||||||
Futures contracts3 | 132,934,748 | — | — | 132,934,748 | ||||||||||||
OTC swap contracts4 | 9,823,700 | — | — | 9,823,700 | ||||||||||||
Centrally cleared swap contracts5 | 104,534,010 | — | $ | 118,617,075 | 223,151,085 | |||||||||||
Forward foreign currency contracts | — | 96,521,570 | — | 96,521,570 | ||||||||||||
Total | $ | 251,549,641 | $ | 102,965,022 | $ | 118,617,075 | $ | 473,131,738 | ||||||||
LIABILITY DERIVATIVES1 | ||||||||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Written options | $ | 13,931,217 | $ | 36,689,019 | — | $ | 50,620,236 | |||||||||
Futures contracts3 | 130,877,284 | 33,064,637 | — | 163,941,921 | ||||||||||||
Centrally cleared swap contracts5 | 528,038,077 | — | $ | 169,731 | 528,207,808 | |||||||||||
Forward foreign currency contracts | — | 157,585,917 | — | 157,585,917 | ||||||||||||
Total | $ | 672,846,578 | $ | 227,339,573 | $ | 169,731 | $ | 900,355,882 |
1 | Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for liability derivatives is payables/net unrealized 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. |
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 145 |
Notes to financial statements (unaudited) (cont’d)
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 June 30, 2020. 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.
AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED | ||||||||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Purchased options1 | $ | (38,567,884) | $ | (5,451,792) | $ | (791,250) | $ | (44,810,926) | ||||||||
Written options | 179,105,970 | 8,563,416 | 822,900 | 188,492,286 | ||||||||||||
Futures contracts | 785,279,113 | (26,348,523) | — | 758,930,590 | ||||||||||||
Swap contracts | (195,334,057) | — | (33,280,988) | (228,615,045) | ||||||||||||
Forward foreign currency contracts | — | (160,146,073) | — | (160,146,073) | ||||||||||||
Total | $ | 730,483,142 | $ | (183,382,972) | $ | (33,249,338) | $ | 513,850,832 | ||||||||
1 Net realized gain (loss) from purchased options is reported in Net Realized Gain (Loss) From Investment transactions in unaffiliated securities in the Statement of Operations.
|
| |||||||||||||||
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | ||||||||||||||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Total | |||||||||||||
Purchased options1 | $ | (5,460,298) | $ | (7,326,493) | $ | — | $ | (12,786,791) | ||||||||
Written options | (1,361,279) | (23,620,396) | — | (24,981,675) | ||||||||||||
Futures contracts | 41,107,538 | (61,524,630) | — | (20,417,092) | ||||||||||||
Swap contracts | (570,549,060) | — | $ | 101,588,821 | (468,960,239) | |||||||||||
Forward foreign currency contracts | — | (93,094,544) | — | (93,094,544) | ||||||||||||
Total | $ | (536,263,099) | $ | (185,566,063) | $ | 101,588,821 | $ | (620,240,341) |
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 June 30, 2020, the volume of derivative activity for the Fund was as follows:
Average Market Value | ||||
Purchased options | $ | 10,385,984 | ||
Written options | 67,791,074 | |||
Futures contracts (to buy) | 36,644,151,367 | |||
Futures contracts (to sell) | 20,356,123,610 | |||
Forward foreign currency contracts (to buy) | 3,141,154,596 | |||
Forward foreign currency contracts (to sell) | 4,011,273,621 |
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146 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Average Notional Balance | ||||
Interest rate swap contracts | $ | 13,040,022,470 | ||
Credit default swap contracts (to buy protection)† | 27,278,601 | |||
Credit default swap contracts (to sell protection) | 4,703,594,154 |
† | At June 30, 2020, there were no open positions held in this derivative. |
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 June 30, 2020.
Counterparty | Gross Assets Subject to Master Agreements | Gross Liabilities Subject to Master Agreements1 | Net Assets (Liabilities) Subject to Master Agreements | Collateral Pledged (Received)2,3 | Net Amount4 | |||||||||||||||
BNP Paribas SA | $ | 16,339,145 | $ | (41,631,072) | $ | (25,291,927) | $ | 270,000 | $ | (25,021,927) | ||||||||||
Citibank N.A. | 62,170,404 | (67,710,467) | (5,540,063) | (40,501,089) | (46,041,152) | |||||||||||||||
Goldman Sachs Group Inc. | 17,927,919 | (54,743,580) | (36,815,661) | 35,765,000 | (1,050,661) | |||||||||||||||
JPMorgan Chase & Co. | 4,884,339 | (28,395,522) | (23,511,183) | 6,440,000 | (17,071,183) | |||||||||||||||
Morgan Stanley & Co. Inc. | 10,895,768 | (52) | 10,895,716 | (3,165,032) | 7,730,684 | |||||||||||||||
Total | $ | 112,217,575 | $ | (192,480,693) | $ | (80,263,118) | $ | (1,191,121) | $ | (81,454,239) |
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 | 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 Rule 12b-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 C, Class C1, Class FI and Class R shares calculated at the annual rate of 0.25%, 1.00%, 0.70%, 0.25% and 0.50% of the average daily net assets of each class, respectively. Service and/or distribution fees are accrued daily and paid monthly.
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 147 |
Notes to financial statements (unaudited) (cont’d)
For the six months ended June 30, 2020, class specific expenses were as follows:
Service and/or Distribution Fees | Transfer Agent Fees | |||||||
Class A | $ | 1,637,032 | † | $ | 1,048,818 | |||
Class C | 1,355,786 | 127,243 | ||||||
Class C1 | 7,232 | 1,856 | ||||||
Class FI | 505,591 | 311,051 | ||||||
Class R | 744,391 | 306,430 | ||||||
Class I | — | 10,313,988 | ||||||
Class IS | — | 66,567 | ||||||
Total | $ | 4,250,032 | $ | 12,175,953 |
† | Amount shown is exclusive of expense reimbursements. For the six months ended June 30, 2020, the service and/or distribution fees reimbursed amounted to $22 for Class A shares. |
For the six months ended June 30, 2020, waivers and/or expense reimbursements by class were as follows:
Waivers/Expense Reimbursements | ||||
Class A | $ | 113,627 | ||
Class C | 4,417 | |||
Class C1 | 33 | |||
Class FI | 6,578 | |||
Class R | 4,854 | |||
Class I | 7,415,008 | |||
Class IS | 143,834 | |||
Total | $ | 7,688,351 |
6. Distributions to shareholders by class
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
Net Investment Income: | ||||||||
Class A | $ | 17,012,570 | $ | 39,412,119 | ||||
Class C | 2,578,247 | 5,904,880 | ||||||
Class C1 | 22,076 | 199,655 | ||||||
Class FI | 5,239,330 | 13,015,091 | ||||||
Class R | 3,409,695 | 8,246,936 | ||||||
Class I | 305,906,052 | 660,338,432 | ||||||
Class IS | 132,185,975 | 281,885,118 | ||||||
Total | $ | 466,353,945 | $ | 1,009,002,231 |
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148 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||
Net Realized Gains: | ||||||||
Class A | $ | — | $ | 16,729,016 | ||||
Class C | — | 3,322,853 | ||||||
Class C1 | — | 30,745 | ||||||
Class FI | — | 5,366,993 | ||||||
Class R | — | 3,825,534 | ||||||
Class I | — | 258,078,782 | ||||||
Class IS | — | 110,413,467 | ||||||
Total | $ | — | $ | 397,767,390 |
7. Capital shares
At June 30, 2020, 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 June 30, 2020 | Year Ended December 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Shares sold | 26,254,494 | $ | 314,861,421 | 42,509,003 | $ | 501,078,901 | ||||||||||
Shares issued on reinvestment | 1,041,324 | 12,529,382 | 3,488,973 | 41,355,316 | ||||||||||||
Shares repurchased | (25,369,026) | (300,550,858) | (28,928,879) | (340,346,653) | ||||||||||||
Net increase | 1,926,792 | $ | 26,839,945 | 17,069,097 | $ | 202,087,564 | ||||||||||
Class C | ||||||||||||||||
Shares sold | 4,506,682 | $ | 54,412,344 | 7,798,003 | $ | 92,634,939 | ||||||||||
Shares issued on reinvestment | 154,625 | 1,862,490 | 570,002 | 6,759,873 | ||||||||||||
Shares repurchased | (2,607,201) | (31,001,298) | (4,484,725) | (52,712,394) | ||||||||||||
Net increase | 2,054,106 | $ | 25,273,536 | 3,883,280 | $ | 46,682,418 | ||||||||||
Class C1 | ||||||||||||||||
Shares sold | 43 | $ | 517 | 9,258 | $ | 107,636 | ||||||||||
Shares issued on reinvestment | 1,653 | 19,893 | 18,532 | 216,783 | ||||||||||||
Shares repurchased | (55,858) | (673,394) | (1,095,444) | (12,768,646) | ||||||||||||
Net decrease | (54,162) | $ | (652,984) | (1,067,654) | $ | (12,444,227) | ||||||||||
Class FI | ||||||||||||||||
Shares sold | 6,562,103 | $ | 78,996,152 | 10,879,094 | $ | 128,595,810 | ||||||||||
Shares issued on reinvestment | 431,992 | 5,204,608 | 1,537,877 | 18,241,836 | ||||||||||||
Shares repurchased | (7,929,239) | (94,187,081) | (9,869,868) | (116,073,021) | ||||||||||||
Net increase (decrease) | (935,144) | $ | (9,986,321) | 2,547,103 | $ | 30,764,625 |
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 149 |
Notes to financial statements (unaudited) (cont’d)
Six Months Ended June 30, 2020 | Year Ended December 31, 2019 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class R | ||||||||||||||||
Shares sold | 2,289,564 | $ | 27,477,878 | 5,191,328 | $ | 61,308,693 | ||||||||||
Shares issued on reinvestment | 280,544 | 3,373,436 | 995,326 | 11,792,193 | ||||||||||||
Shares repurchased | (2,572,595) | (30,299,680) | (3,119,217) | (36,534,266) | ||||||||||||
Net increase (decrease) | (2,487) | $ | 551,634 | 3,067,437 | $ | 36,566,620 | ||||||||||
Class I | ||||||||||||||||
Shares sold | 450,459,455 | $ | 5,389,654,266 | 599,991,203 | $ | 7,086,291,007 | ||||||||||
Shares issued on reinvestment | 21,689,171 | 261,376,105 | 66,813,400 | 792,672,273 | ||||||||||||
Shares repurchased | (337,891,267) | (3,994,611,937) | (356,367,721) | (4,193,988,257) | ||||||||||||
Net increase | 134,257,359 | $ | 1,656,418,434 | 310,436,882 | $ | 3,684,975,023 | ||||||||||
Class IS | ||||||||||||||||
Shares sold | 175,410,803 | $ | 2,110,954,338 | 223,356,625 | $ | 2,635,904,674 | ||||||||||
Shares issued on reinvestment | 9,370,187 | 112,835,191 | 28,612,078 | 339,438,446 | ||||||||||||
Shares repurchased | (130,150,602) | (1,531,519,900) | (100,316,970) | (1,181,650,635) | ||||||||||||
Net increase | 54,630,388 | $ | 692,269,629 | 151,651,733 | $ | 1,793,692,485 |
8. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. Based on the Fund’s relative ownership, the following company was considered an affiliated company for all or some portion of the six months ended June 30, 2020. The following transactions were effected in shares of such company for the six months ended June 30, 2020.
Affiliate Value at December 31, 2019 | Realized Gain (Loss) | Interest Income | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at June 30, 2020 | ||||||||||||||||||||||||||||
Purchased | Sold | |||||||||||||||||||||||||||||||
Cost | Shares | Cost | Shares | |||||||||||||||||||||||||||||
Western Asset Premier Institutional Government Reserves, Premium Shares | $ | 785,260,328 | $ | 7,850,373,503 | 7,850,373,503 | $ | 7,623,642,463 | 7,623,642,463 | — | $ | 3,521,884 | — | $ | 1,011,991,368 |
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150 | Western Asset Core Plus Bond Fund 2020 Semi-Annual Report |
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 a 364-day revolving credit facility, in the aggregate amount of $265 million. Unless renewed, the agreement will terminate on November 16, 2020. 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 0.15% and is incurred on the unused portion of the facility and is allocated to all Participating Funds pro rata based on net assets; there is no upfront fee. For the six months ended June 30, 2020, the Fund incurred a commitment fee in the amount of $117,311. The Fund did not utilize the Redemption Facility during the six months ended June 30, 2020.
10. Other matters
The outbreak of the respiratory illness COVID-19 (commonly referred to as “coronavirus”) has continued to rapidly spread around the world, causing considerable uncertainty for the global economy and financial markets. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The COVID-19 pandemic could adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers.
***
The Fund’s investments, payment obligations, and financing terms may be based on floating rates, such as the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. Plans are underway to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the Fund’s transactions and the financial markets generally. As such, the potential effect of a transition away from LIBOR on the Fund or the Fund’s investments cannot yet be determined.
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Western Asset Core Plus Bond Fund 2020 Semi-Annual Report | 151 |
Board approval of new management and
new subadvisory agreements (unaudited)
On February 18, 2020, Franklin Resources, Inc., a global investment management organization operating, together with its subsidiaries, as Franklin Templeton (“Franklin Templeton”), and Legg Mason, Inc. (“Legg Mason”) announced that they have entered into a definitive agreement (the “Transaction Agreement”) for Franklin Templeton to acquire Legg Mason in an all-cash transaction. As part of this transaction, the Fund’s manager, Legg Mason Partners Fund Advisor, LLC (the “Manager”), and the Fund’s subadvisers, Western Asset Management Company, LLC (“Western Asset”), Western Asset Management Company Limited in London (“WAML”), Western Asset Management Company Pte. Ltd. in Singapore (“Western Asset Singapore”) and Western Asset Management Company Ltd. in Japan (“Western Asset Japan,” and together with Western Asset Singapore and WAML, the “Non-U.S. Subadvisers,” and together with Western Asset, the “Subadvisers” and, collectively with the Manager, the “Advisers”), each currently a wholly owned subsidiary of Legg Mason, would become a wholly owned subsidiary of Franklin Templeton (the “Transaction”). The Transaction is subject to approval by Legg Mason’s shareholders and customary closing conditions, including receipt of applicable regulatory approvals. Subject to such approvals and the satisfaction of the other conditions, the Transaction is expected to be consummated in the latter part of 2020. Under the Investment Company Act of 1940, as amended (the “1940 Act”), consummation of the Transaction will result in the automatic termination of the Fund’s current management agreement with the Manager (the “Current Management Agreement”) and the current sub-advisory agreements between the Manager and each of the Subadvisers (the “Current Sub-advisory Agreements” and, collectively, the “Current Agreements”).
Therefore, at a meeting of the Board of Directors of Western Asset Funds, Inc. (the “Corporation”) held on April 14, 20201, the Board, including the Directors who are not considered to be “interested persons” of the Corporation (the “Independent Directors”) under the 1940 Act, approved a new management agreement (the “New Management Agreement”) between the Corporation and the Manager with respect to the Fund, a series of the Corporation, and new sub-advisory agreements (the “New Sub-Advisory Agreements” and, collectively, the “New Agreements”) between the Manager and the Subadvisers with respect to the Fund. The Board also authorized the Fund’s officers to submit the New Agreements to Fund shareholders for their approval. Fund shareholders were sent notice of the shareholder meeting and a proxy statement in April, 2020. In the event the Fund’s shareholders do not approve the New Agreements and the Transaction is completed, the Directors have also approved an interim investment management agreement between the
1 | This meeting was held telephonically in reliance on an exemptive order issued by the Securities and Exchange Commission on March 25, 2020. Reliance on the exemptive order is necessary and appropriate due to circumstances related to current or potential effects of COVID-19. All Directors participating in the telephonic meeting were able to hear each other simultaneously during the meeting. Reliance on the exemptive order requires Directors, including a majority of the Independent Directors, to ratify actions taken pursuant to the exemptive order by vote cast at the next in-person meeting. |
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152 | Western Asset Core Plus Bond Fund |
Manager and the Fund (the “Interim Management Agreement”) and interim sub-advisory agreements between the Manager and the Subadvisers (the “Interim Sub-advisory Agreements” and, collectively, the “Interim Agreements”) that will take effect upon the closing of the Transaction to enable the Manager and Subadvisers to serve as investment managers of the Fund following the termination of the Current Agreements and pending shareholder approval of the New Agreements.
On March 9, 2020, during a telephonic meeting, the Directors discussed with Legg Mason management and certain Franklin Templeton representatives the Transaction and Franklin Templeton’s plans and intentions regarding the Legg Mason funds and Legg Mason’s asset management business, including the preservation and continued investment autonomy of the investment advisory businesses conducted by the Subadvisers and the combination of Legg Mason’s and Franklin Templeton’s distribution resources.
On April 8, 2020, the Independent Directors met with representatives of Legg Mason to discuss the Transaction and the New Agreements. In addition, the Independent Directors met separately, with the assistance of their independent legal counsel, to discuss and evaluate the information provided and to consider what additional information was desired.
The Independent Directors considered, among other things, whether it would be in the best interests of the Fund and its shareholders to approve the New Agreements, and the anticipated impacts of the Transaction on the Fund and its shareholders. To assist the Directors in their consideration of the New Agreements, Franklin Templeton provided materials and information about Franklin Templeton, including its financial condition and asset management capabilities and organization, and Franklin Templeton and Legg Mason provided materials and information about the proposed Transaction between Legg Mason and Franklin Templeton.
Before or during the April 14, 2020 meeting, the Directors sought additional information as they deemed necessary and appropriate. In connection with the Directors’ consideration of the New Agreements, the Independent Directors worked with their independent legal counsel to prepare requests for information that were submitted to Franklin Templeton and Legg Mason. The Directors requested information relevant to the consideration of the New Agreements, distribution arrangements, and other anticipated impacts of the Transaction on the Fund and its shareholders. Franklin Templeton and Legg Mason provided documents and information in response to the request for information. Following their review of this information, the Independent Directors submitted supplemental due diligence requests for additional information to Franklin Templeton and Legg Mason. Franklin Templeton and Legg Mason provided further information in response to this supplemental diligence request, which the Directors reviewed. Senior management representatives from Franklin Templeton and Legg Mason participated in a portion of the meeting and addressed various questions raised by the Directors.
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Western Asset Core Plus Bond Fund | 153 |
Board approval of new management and
new subadvisory agreements (unaudited) (cont’d)
At the April 14, 2020 meeting, representatives of Legg Mason (including representatives of the Advisers) and Franklin Templeton made presentations to, and responded to questions from, the Directors. After the presentations and after reviewing the written materials provided, the Independent Directors met in executive session with their counsel to consider the New Agreements.
The Directors’ evaluation of the New Agreements reflected the information provided specifically in connection with their review of the New Agreements, as well as, where relevant, information that was previously furnished to the Board in connection with the most recent renewal of the Current Agreements at in-person meetings held in November 2019 and at other prior Board meetings.
Among other things, the Directors considered:
(i) | the reputation, experience, financial strength and resources of Franklin Templeton and its investment advisory subsidiaries; |
(ii) | that Franklin Templeton has informed the Directors that it intends to maintain the investment autonomy of the Legg Mason investment advisory subsidiaries; |
(iii) | that Franklin Templeton and Legg Mason have informed the Directors that, following the Transaction, there is not expected to be any diminution in the nature, quality and extent of services provided to the Fund and its shareholders by the Advisers, including compliance and other non-advisory services, and have represented that there are not expected to be any changes in the portfolio management personnel managing the Fund as a result of the Transaction; |
(iv) | that Franklin Templeton and Legg Mason have informed the Directors regarding transition plans, including Legg Mason’s provision of retention incentives for certain Legg Mason corporate personnel until the transaction closes, and Franklin Templeton’s provision of long-term retention mechanisms for certain personnel following the closing; |
(v) | that there are not expected to be any changes to the Fund’s custodian or other service providers as a result of the Transaction; |
(vi) | that Franklin Templeton has informed the Directors that it has no present intention to alter currently effective expense waivers and reimbursements after their expiration, and, while it reserves the right to do so in the future, it would consult with the Directors before making any changes; |
(vii) | that Franklin Templeton does not expect to propose any changes to the investment objective of the Fund or any changes to the principal investment strategies of the Fund as a result of the Transaction; |
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154 | Western Asset Core Plus Bond Fund |
(viii) | the potential benefits to Fund shareholders from being part of a combined fund family with Franklin Templeton-sponsored funds and access to a broader array of investment opportunities; |
(ix) | that Franklin Templeton’s distribution capabilities, particularly with respect to retail investors, and significant network of intermediary relationships may provide additional opportunities for the Fund to grow assets and lower expense ratios by spreading expenses over a larger asset base; |
(x) | that Franklin Templeton and Legg Mason will each derive benefits from the Transaction and that, as a result, they have a financial interest in the matters that were being considered; |
(xi) | the fact that the Fund’s contractual management fee rates will remain the same and will not increase by virtue of the New Agreements; |
(xii) | the terms and conditions of the New Agreements, including that each New Agreement is identical to its corresponding Current Agreement except for their respective dates of execution, effectiveness and termination; |
(xiii) | the support expressed by the current senior management team at Legg Mason for the Transaction and Legg Mason’s recommendation that the Directors approve the New Agreements; |
(xiv) | that the Current Agreements are the product of multiple years of review and negotiation and information received and considered by the Directors in the exercise of their business judgment during those years, and that within the past year the Directors had performed a full review of and approved the Current Agreements as required by the 1940 Act and had determined in the exercise of the Directors’ business judgment that each applicable Adviser had the capabilities, resources and personnel necessary to provide the services provided to the Fund, and that the management and subadvisory fees paid by or in respect of the Fund represented reasonable compensation to the Advisers in light of the services provided, the costs to the applicable Adviser of providing those services, the fees and other expenses paid by similar funds, and such other matters as the Directors considered relevant in the exercise of their business judgment, and represented an appropriate sharing between Fund shareholders and the Advisers of any economies of scale in the management of the Fund at current and anticipated asset levels; |
(xv) | that the Current Agreements were considered and approved in November 2019; |
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Western Asset Core Plus Bond Fund | 155 |
Board approval of new management and
new subadvisory agreements (unaudited) (cont’d)
(xvi) | that the Fund will not bear the costs of obtaining shareholder approval of the New Agreements, including proxy solicitation costs, legal fees and the costs of printing and mailing the proxy statement, regardless of whether the Transaction is consummated; and |
(xvii) | that under the Transaction Agreement Franklin Templeton has acknowledged that Legg Mason had entered into the Transaction Agreement in reliance upon the benefits and protections provided by Section 15(f) of the 1940 Act, and that, in furtherance of the foregoing, Franklin Templeton represented to the Directors that it would conduct its business such that (a) for a period of not less than three years after the closing of the Transaction no more than 25% of the members of the Board shall be “interested persons” (as defined in the 1940 Act) of any investment adviser for a Fund, and (b) for a period of not less than two years after the closing, neither Franklin Templeton nor any of its affiliates shall impose an “unfair burden” (within the meaning of the 1940 Act, including any interpretations or no-action letters of the Securities and Exchange Commission) on the Fund as a result of the transactions contemplated by the Transaction Agreement or any express or implied terms, conditions or understandings applicable thereto. |
Certain of these considerations are discussed in more detail below.
In their deliberations, the Directors considered information received in connection with the most recent Board approval/continuation of each Current Agreement in addition to information provided by Franklin Templeton and Legg Mason in connection with their evaluation of the terms and conditions of the New Agreements. The Directors noted that, although Western Asset’s business is operated through separate legal entities, such as the Non-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 the Non-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 New Sub-Advisory Agreements between the Manager and the Non-U.S. Subadvisers with respect to the Fund in addition to the information provided by Franklin Templeton in connection with their evaluation of the New Agreements. The Directors also noted that the Fund does not pay any management fees directly to Western Asset or to any of the Non-U.S. Subadvisers because the Manager pays the Subadvisers for services provided to the Fund out of the management fee the Manager receives from the Fund. In connection with the most recent approval/continuation of each Current Agreement, and in connection with their review of each New Agreement, the Directors did not identify any particular information that was all-important or controlling, and each Director may have attributed different weights to the various factors.
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156 | Western Asset Core Plus Bond Fund |
The information provided and presentations made to the Directors encompassed the Fund and all other funds for which the Directors have responsibility. The discussion below covers both the advisory and the administrative functions rendered by the Manager, both of which functions are encompassed by the New Management Agreement, as well as the advisory functions rendered by the Subadvisers pursuant to the New Sub-Advisory Agreements.
The Independent Directors were advised by separate independent legal counsel throughout the process. Prior to voting, the Independent Directors received a memorandum from their independent legal counsel discussing the legal standards for their consideration of the proposed approval of the New Management Agreement and the New Sub-Advisory Agreements. The Independent Directors also reviewed the proposed approval of the New Management Agreement and the New Sub-Advisory Agreements in private sessions with their independent legal counsel at which no representatives of the Manager and Subadvisers were present. The Independent Directors considered the New Management Agreement and the New Sub-Advisory Agreements separately in the course of their review. In doing so, they noted the respective roles of the Manager and the Subadvisers in providing services to the Fund.
The Directors received and considered information regarding the nature, extent and quality of services provided to the Fund by the Manager and the Subadvisers under the Current Agreements. In evaluating the nature, quality and extent of the services to be provided by the Advisers under the New Agreements, the Directors considered, among other things, the expected impact, if any, of the Transaction on the operations, facilities, organization and personnel of each Adviser, and that Franklin Templeton and Legg Mason have advised the Board that, following the Transaction, there is not expected to be any diminution in the nature, quality and extent of services provided to the Fund and its shareholders by the Advisers, including compliance and other non-advisory services, and that there are not expected to be any changes in portfolio management personnel as a result of the Transaction. The Directors have received information at regular meetings throughout the past year related to the services rendered by the Manager in its management of the Fund’s affairs and the Manager’s role in coordinating the activities of the Fund’s other service providers. The Directors’ evaluation of the services provided by the Manager and the Subadvisers took into account the Directors’ knowledge gained as Directors of funds in the Legg Mason fund complex, including knowledge gained regarding the scope and quality of the investment management and other capabilities of the Manager and the Subadvisers, and the quality of the Manager’s administrative and shareholder support services. In addition, the Directors reviewed the quality of the Manager’s and the Subadvisers’ services with respect to compliance with the investment policies of the Fund and conditions that might affect the Manager’s or a Subadviser’s ability to provide high quality services to the Fund in the future under the New Agreements, including its business reputation, financial condition and operational stability. The Directors observed that the scope of services
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Western Asset Core Plus Bond Fund | 157 |
Board approval of new management and
new subadvisory agreements (unaudited) (cont’d)
provided by the Manager and the Subadvisers, and the undertakings required of the Manager and Subadvisers in connection with those services, including maintaining and monitoring their own and the Fund’s compliance programs, liquidity management programs and cybersecurity programs, had expanded over time as a result of regulatory, market and other developments. The Directors also noted that on a regular basis they received and reviewed information from the Manager and the Subadvisers regarding the Fund’s compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act, and took that information into account in their evaluation of the New Agreements. The Directors also considered the risks associated with the Fund borne by the Manager and its affiliates (such as entrepreneurial, operational, reputational, litigation and regulatory risk), as well as the Manager’s and the Subadvisers’ risk management processes.
The Directors considered information provided by Franklin Templeton regarding its business and operating structure, scale of operation, leadership and reputation, distribution capabilities, and financial condition.
The Directors also reviewed the qualifications, backgrounds and responsibilities of the Manager’s and the Subadvisers’ senior personnel and the team of investment professionals primarily responsible for the day-to-day portfolio management of the Fund. The Directors considered the experience of each Adviser’s personnel in providing the types of services that the Adviser is responsible for providing to the Fund; the ability of each Adviser to attract and retain capable personnel; the investment philosophy and research and decision-making processes of the Subadvisers; the capability and integrity of each Adviser’s senior management and staff; and the level of skill required to provide the applicable services to the Fund. The Directors also considered the financial resources of Legg Mason and Franklin Templeton and the importance of having a Fund manager with, or with access to, significant organizational and financial resources. The Directors considered the benefits to the Fund of being part of a larger combined organization with greater financial resources following the Transaction, particularly during periods of market disruptions and volatility. The Directors also considered the policies and practices of the Manager and the Subadvisers regarding the selection of brokers and dealers and the execution of portfolio transactions for the Fund. In addition, the Directors considered management’s periodic reports to the Directors on, among other things, its business plans and any organizational changes. 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 the Manager and each Subadviser would be able to meet any reasonably foreseeable obligations under the Agreements.
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158 | Western Asset Core Plus Bond Fund |
In reviewing the quality of the services provided to the Fund, the Directors received and considered performance information for the Fund as well as for a group of funds (the “Performance Universe”) selected by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, based on classifications provided by Thomson Reuters Lipper (“Lipper”). The Directors were provided with a description of the methodology used to determine the similarity of the Fund with the funds included in the Performance Universe. It was noted that while the Directors found the Broadridge data generally useful they recognized its limitations, including that the data may vary depending on the end date selected and that the results of the performance comparisons may vary depending on the selection of the peer group and its composition over time. The Directors also noted that they had received and discussed with management information throughout the year at periodic intervals comparing the Fund’s performance against its benchmark and against the Fund’s peers. In addition, the Directors considered the Fund’s performance in light of overall financial market conditions.
The Directors noted that the performance of the Fund exceeded its peer group’s average performance for the one-, three-, five- and ten-year periods ended December 31, 2019. With respect to the Fund, the Directors considered the factors involved in the Fund’s performance relative to the performance of its investment benchmark and peer group.
Based on their review of the materials provided and the assurances received from Franklin Templeton and Legg Mason, the Directors determined that the Transaction was not expected to affect adversely the nature, extent and quality of services provided by each Adviser and that the Transaction was not expected to have an adverse effect on the ability of the Manager and Subadvisers to provide those services, and the Directors concluded that, overall, the nature, extent and quality of services expected to be provided, including performance, under the New Agreements were sufficient for approval.
The Directors considered that they had reviewed the Fund’s management fee and total expense ratio at the 2019 contract renewal meetings. The Directors considered that the New Agreements do not change the Fund’s management fee rate or the computation method for calculating such fees, and that there is no present intention to alter expense waiver and reimbursement arrangements that are currently in effect.
The Directors also considered the management fee payable by the Fund to the Manager, the total expenses payable by the Fund and the fact that the Manager 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 the Manager was lower than the average of the combined advisory and administration fees paid by funds in its peer group and that total expenses for the Fund were lower than the average of the funds in its peer group. The Directors noted that the management fee paid by the Fund was lower than the management fees paid by certain other clients of the Subadvisers for accounts with similar investment strategies and higher than others, and
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Western Asset Core Plus Bond Fund | 159 |
Board approval of new management and
new subadvisory agreements (unaudited) (cont’d)
that the administrative and operational responsibilities of the Subadvisers with respect to the Fund were relatively higher as compared with the accounts that had lower fees. In light of the foregoing, the Directors concluded that the management fee paid by the Fund relative to the fees paid by the Subadvisers’ other clients was reasonable.
In evaluating the costs of the services to be provided by the Manager and Subadvisers under the New Agreements, the Directors considered, among other things, whether management fees or other expenses would change as a result of the Transaction. Based on their review of the materials provided and the assurances they had received from Franklin Templeton and Legg Mason, the Directors determined that the Transaction would not increase the total fees payable by the Fund for management services.
Taking all of the above into consideration, as well as the factors identified below, the Directors determined that the management fee and the subadvisory fees for the Fund were reasonable in light of the nature, extent and quality of the services to be provided to the Fund under the New Agreements.
The Directors received and considered an analysis of the profitability of the Manager and its affiliates in providing services to the Fund. The Directors also received profitability information with respect to the Legg Mason fund complex as a whole. In addition, the Directors received information with respect to the Manager’s allocation methodologies used in preparing this profitability data. It was noted that the allocation methodologies had been previously reviewed by an outside consultant. The profitability of the Manager and its affiliates was considered by the Directors not excessive in light of the nature, extent and quality of the services provided to the Fund. The Directors noted that Western Asset does not have soft dollar arrangements.
The Directors considered, in light of the profitability information provided by the Manager and Western Asset, the extent to which economies of scale would be realized by the Advisers as the assets of the Fund grow. They further concluded that the Fund’s assets were currently at a level at which the Advisers potentially may realize economies of scale from any future growth in the Fund, and noted that fee breakpoints had been implemented to capture a portion of any economies of scale for the benefit of the Fund’s shareholders. The Directors determined that the management fee structure for the Fund is reasonable.
The Directors noted that Franklin Templeton and Legg Mason are expected to realize cost savings from the Transaction based on synergies of operations, as well as to benefit from possible growth of the Fund resulting from enhanced distribution capabilities. However, they noted that other factors could also affect profitability and potential economies of scale, and that it was not possible to predict with any degree of certainty how the Transaction would affect the Advisers’ profitability from their relationship with the Fund, nor to quantify at this time any possible future economies of scale. The Directors noted they will have the opportunity to periodically re-examine such profitability and any economies of scale going forward.
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160 | Western Asset Core Plus Bond Fund |
The Directors further evaluated the benefits of the advisory relationship to the Manager and the Subadvisers, including, among others, the profitability of the relationship to the Manager and the Subadvisers, the direct and indirect benefits that the Manager and each Subadviser may receive from its relationship with the Fund, including any “fallout benefits,” such as reputational value derived from serving as investment manager or adviser to the Fund; and the affiliations between the Manager, the Subadvisers and certain service providers for the Fund. The Directors considered other benefits received by the Manager, the Subadvisers and their affiliates as a result of the opportunity to offer additional products and services to Fund shareholders.
In light of the costs of providing investment management and other services to the Fund and the ongoing commitment of the Manager and the Subadvisers to the Fund, the Directors considered that the ancillary benefits that the Manager and its affiliates received are reasonable. In evaluating the fall-out benefits to be received by the Manager and Subadvisers under the New Agreements, the Directors considered whether the Transaction would have an impact on the fall-out benefits received by virtue of the Current Agreements. The Board considered that Franklin Templeton may derive reputational and other benefits from its ability to use the Legg Mason investment affiliates’ names in connection with operating and marketing the Fund. The Board also considered that the Transaction, if completed, would significantly increase Franklin Templeton’s assets under management and expand Franklin Templeton’s investment capabilities.
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 the Manager and the Subadvisers, but they would continue to closely monitor the performance of the Manager and the Subadvisers. After consideration of all the factors and information, and in the exercise of their business judgment, the Directors, including the Independent Directors, concluded that the New Agreements, including the fees payable thereunder, were fair and reasonable and that entering into the New Agreements for the Fund was in the best interests of the Fund’s shareholders and approved the New Agreements and recommended that shareholders approve the New Agreements.
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Western Asset Core Plus Bond Fund | 161 |
Western Asset
Core Plus Bond Fund
Directors
Robert Abeles, Jr.
Jane F. Dasher
Anita L. DeFrantz
Susan B. Kerley
Michael Larson*
Ronald L. Olson
Avedick B. Poladian
William E.B. Siart
Chairman
Jaynie M. Studenmund
Peter J. Taylor
Jane Trust
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
Custodian
The Bank of New York Mellon
Transfer agent
BNY Mellon Investment
Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Independent registered public accounting firm
PricewaterhouseCoopers LLP
Baltimore, MD
* | Effective March 6, 2020, Mr. Larson became a Director. |
Western Asset Core Plus Bond Fund
The Fund is a separate investment series of Western Asset Funds, Inc.
Western Asset Core Plus Bond 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 Form N-PORT. The Fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov. To obtain information on Form N-PORT, shareholders can call the Fund at 1-877-721-1926.
Information on how the Fund voted proxies relating to portfolio securities during the prior 12-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 at 1-877-721-1926, (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 Core Plus Bond 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
© 2020 Legg Mason Investor 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-sponsored closed-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; |
• | Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust. |
NOT PART OF THE SEMI-ANNUAL REPORT |
Legg Mason Funds Privacy and Security Notice (cont’d)
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 at 1-877-721-1926.
Revised April 2018
NOT PART OF THE SEMI-ANNUAL REPORT |
Western Asset Management Company, LLC
Legg Mason, Inc. Subsidiaries
www.leggmason.com
© 2020 Legg Mason Investor Services, LLC Member FINRA, SIPC
WASX012826 8/20 SR20-3956
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 FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-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 Rule 30a- 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 Rule 30a-3(b) under the 1940 Act and 15d-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 Rule 30a-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 FOR CLOSED-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: | August 24, 2020 |
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: | August 24, 2020 | |
By: | /s/ Christopher Berarducci | |
Christopher Berarducci | ||
Principal Financial Officer | ||
Date: | August 24, 2020 |