Western Asset Funds NPORT-P Western Asset Core Plus Bond Fund (Sep 2019 report)

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
MORTGAGE-BACKED SECURITIES - 30.7%
FHLMC - 9.2%
Federal Home Loan Mortgage Corp. (FHLMC)		4.000	%		10/1/25-6/1/49		525,378,233	$	545,874,247
Federal Home Loan Mortgage Corp. (FHLMC)		5.000	%		3/1/38-1/1/49		45,665,517		48,906,439
Federal Home Loan Mortgage Corp. (FHLMC)		5.500	%		12/1/38		3,473,698		3,922,557
Federal Home Loan Mortgage Corp. (FHLMC)		3.500	%		3/1/43-8/1/49		628,000,549		648,969,578
Federal Home Loan Mortgage Corp. (FHLMC)		3.000	%		7/1/47-10/1/49		525,960,453		536,499,934
Federal Home Loan Mortgage Corp. (FHLMC)		3.000	%		4/1/49-10/1/49		285,552,613		291,132,421	(a)
Federal Home Loan Mortgage Corp. (FHLMC)		2.500	%		10/1/49		5,613,257		5,589,368
Federal Home Loan Mortgage Corp. (FHLMC) Gold		5.500	%		7/1/20-11/1/35		10,569		11,753
Federal Home Loan Mortgage Corp. (FHLMC) Gold		5.000	%		6/1/23-11/1/48		35,187,674		38,054,519
Federal Home Loan Mortgage Corp. (FHLMC) Gold		4.500	%		7/1/23-9/1/47		41,089,561		43,695,609
Federal Home Loan Mortgage Corp. (FHLMC) Gold		2.500	%		6/1/27		2,115,173		2,138,014
Federal Home Loan Mortgage Corp. (FHLMC) Gold		6.500	%		7/1/29-9/1/39		2,553,641		2,919,767
Federal Home Loan Mortgage Corp. (FHLMC) Gold		7.000	%		4/1/32-3/1/39		700,112		804,275
Federal Home Loan Mortgage Corp. (FHLMC) Gold		3.500	%		8/1/33-1/1/49		92,378,552		95,849,213
Federal Home Loan Mortgage Corp. (FHLMC) Gold		6.000	%		8/1/36-11/1/36		16,716		19,219
Federal Home Loan Mortgage Corp. (FHLMC) Gold		3.000	%		2/1/38-3/1/49		271,525,037		278,771,568
Federal Home Loan Mortgage Corp. (FHLMC) Gold		4.000	%		9/1/42-5/1/48		126,097,883		133,099,307
Total FHLMC									2,676,257,788
FNMA - 15.1%
Federal National Mortgage Association (FNMA)		9.500	%		11/1/21		2		2
Federal National Mortgage Association (FNMA)		4.500	%		7/1/23-9/1/57		204,593,219		221,378,653

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
FNMA - (continued)
Federal National Mortgage Association (FNMA)		6.000	%		4/1/24-2/1/41		23,457,739	$	26,991,198
Federal National Mortgage Association (FNMA)		2.810	%		4/1/25-8/1/31		12,760,000		13,354,076
Federal National Mortgage Association (FNMA)		2.950	%		7/1/27		21,420,000		22,708,200
Federal National Mortgage Association (FNMA)		2.500	%		1/1/28-10/1/42		10,388,621		10,457,018
Federal National Mortgage Association (FNMA)		3.640	%		11/1/28		9,600,000		10,641,201
Federal National Mortgage Association (FNMA)		3.740	%		11/1/28		17,720,000		19,727,252
Federal National Mortgage Association (FNMA)		3.070	%		1/1/29		4,760,000		5,089,987
Federal National Mortgage Association (FNMA)		3.530	%		1/1/29		7,300,000		8,098,419
Federal National Mortgage Association (FNMA)		3.600	%		1/1/29		514,928		570,722
Federal National Mortgage Association (FNMA)		3.770	%		1/1/29		12,138,000		13,656,916
Federal National Mortgage Association (FNMA)		3.790	%		1/1/29		4,775,000		5,365,009
Federal National Mortgage Association (FNMA)		3.820	%		1/1/29		14,898,000		16,828,482
Federal National Mortgage Association (FNMA)		3.830	%		1/1/29		4,880,000		5,497,037
Federal National Mortgage Association (FNMA)		3.660	%		2/1/29		18,650,000		20,837,677
Federal National Mortgage Association (FNMA)		6.500	%		2/1/29-5/1/40		11,106,697		12,795,459
Federal National Mortgage Association (FNMA)		3.300	%		4/1/29		3,575,000		3,902,878
Federal National Mortgage Association (FNMA)		3.090	%		5/1/29		9,820,000		10,576,163
Federal National Mortgage Association (FNMA)		3.160	%		5/1/29		7,114,251		7,660,660
Federal National Mortgage Association (FNMA)		3.190	%		5/1/29		3,581,641		3,860,658
Federal National Mortgage Association (FNMA)		3.240	%		5/1/29		17,183,000		18,668,250

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
FNMA - (continued)
Federal National Mortgage Association (FNMA)		3.260	%		5/1/29		12,099,757	$	13,124,047
Federal National Mortgage Association (FNMA)		3.350	%		5/1/29		2,630,000		2,879,904
Federal National Mortgage Association (FNMA)		3.040	%		6/1/29		5,250,000		5,633,670
Federal National Mortgage Association (FNMA)		2.740	%		8/1/29		9,800,000		10,249,026
Federal National Mortgage Association (FNMA)		7.000	%		8/1/29-2/1/39		3,488,398		4,035,457
Federal National Mortgage Association (FNMA)		7.500	%		11/1/29		2,239		2,607
Federal National Mortgage Association (FNMA)		3.310	%		5/1/31		3,799,000		4,159,602
Federal National Mortgage Association (FNMA)		2.870	%		7/1/31		3,421,000		3,629,904
Federal National Mortgage Association (FNMA)		2.765	%		8/1/31		21,600,000		22,534,527
Federal National Mortgage Association (FNMA)		2.770	%		8/1/31		15,800,000		16,491,464
Federal National Mortgage Association (FNMA)		2.840	%		8/1/31		8,615,000		9,116,476
Federal National Mortgage Association (FNMA)		2.850	%		8/1/31		12,180,000		12,812,169
Federal National Mortgage Association (FNMA)		2.450	%		9/1/31		9,600,000		9,785,183
Federal National Mortgage Association (FNMA)		2.670	%		9/1/31		1,800,000		1,873,016
Federal National Mortgage Association (FNMA)		2.710	%		9/1/31		1,000,000		1,025,781	(b)(c)(d)
Federal National Mortgage Association (FNMA)		2.400	%		10/1/31		5,077,000		5,078,190	(b)(c)(d)
Federal National Mortgage Association (FNMA)		5.000	%		7/1/33-5/1/48		91,844,308		100,389,574
Federal National Mortgage Association (FNMA)		3.500	%		9/1/33-3/1/57		1,129,080,999		1,171,053,052
Federal National Mortgage Association (FNMA)		3.000	%		10/1/34-10/1/49		343,200,000		348,683,158	(d)
Federal National Mortgage Association (FNMA)		3.500	%		10/1/34-10/1/49		413,000,000		425,641,167	(d)

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
FNMA - (continued)
Federal National Mortgage Association (FNMA)		5.500	%		11/1/36-9/1/56		32,852,914	$	36,130,743
Federal National Mortgage Association (FNMA)		3.000	%		12/1/37-10/1/49		763,404,474		781,624,846
Federal National Mortgage Association (FNMA)		4.000	%		4/1/42-6/1/57		448,892,630		476,531,735
Federal National Mortgage Association (FNMA)		4.500	%		4/1/49		55,553,962		58,651,378	(a)
Federal National Mortgage Association (FNMA)		3.000	%		6/1/49-9/1/49		64,864,224		65,978,994	(a)
Federal National Mortgage Association (FNMA)		2.500	%		10/1/49		65,900,000		65,598,816	(d)
Federal National Mortgage Association (FNMA)		4.000	%		10/1/49		129,400,000		134,277,774	(d)
Federal National Mortgage Association (FNMA)		4.500	%		10/1/49		120,800,000		127,215,798	(d)
Federal National Mortgage Association (FNMA)		5.000	%		10/1/49		48,300,000		51,737,602	(d)
Federal National Mortgage Association (FNMA) (Federal Reserve US 12 mo. Cumulative Average 1 Year CMT + 1.963%)		4.419	%		11/1/35		28,331		29,827	(e)
Total FNMA									4,424,641,404
GNMA - 6.4%
Government National Mortgage Association (GNMA)		7.500	%		3/15/23-9/15/31		25,572		27,716
Government National Mortgage Association (GNMA)		7.000	%		9/15/23-7/15/31		53,115		58,697
Government National Mortgage Association (GNMA)		6.500	%		4/15/28-1/15/39		2,583,722		2,945,421
Government National Mortgage Association (GNMA)		6.000	%		1/15/29-2/15/37		6,763,557		7,625,121
Government National Mortgage Association (GNMA)		8.000	%		12/15/30-1/15/31		10,213		10,415
Government National Mortgage Association (GNMA)		5.500	%		7/15/33-6/15/36		5,759,583		6,530,592
Government National Mortgage Association (GNMA)		3.000	%		9/15/42-11/15/42		45,497,118		46,865,529
Government National Mortgage Association (GNMA)		4.000	%		4/15/47-4/15/48		28,209,546		30,840,535

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
GNMA - (continued)
Government National Mortgage Association (GNMA)		3.500	%		6/15/48		7,991,876	$	8,400,194
Government National Mortgage Association (GNMA) II		5.000	%		4/20/35-1/20/49		86,001,284		91,330,783
Government National Mortgage Association (GNMA) II		6.500	%		10/20/37		1,610,255		1,874,973
Government National Mortgage Association (GNMA) II		6.000	%		9/20/38-11/20/41		4,001,801		4,600,284
Government National Mortgage Association (GNMA) II		4.500	%		1/20/40-3/20/49		347,373,159		365,217,438
Government National Mortgage Association (GNMA) II		3.500	%		6/20/44-2/20/49		138,704,170		144,377,285
Government National Mortgage Association (GNMA) II		4.000	%		3/20/45-5/20/49		310,032,586		323,681,196
Government National Mortgage Association (GNMA) II		3.000	%		1/20/47-3/20/48		17,638,818		18,140,150
Government National Mortgage Association (GNMA) II		3.500	%		9/20/49		103,800,000		107,731,228	(a)
Government National Mortgage Association (GNMA) II		3.000	%		10/1/49		291,500,000		299,140,486	(d)
Government National Mortgage Association (GNMA) II		3.500	%		10/1/49		359,500,000		372,454,636	(d)
Government National Mortgage Association (GNMA) II		4.000	%		10/1/49		23,300,000		24,232,455	(d)
Government National Mortgage Association (GNMA) II		4.500	%		10/1/49		24,400,000		25,501,469	(d)
Total GNMA									1,881,586,603
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $8,838,187,114)									8,982,485,795
CORPORATE BONDS & NOTES - 27.8%
COMMUNICATION SERVICES - 2.5%
Diversified Telecommunication Services - 0.8%
AT&T Inc., Senior Notes		4.450	%		5/15/21		1,460,000		1,512,328
AT&T Inc., Senior Notes		3.000	%		2/15/22		2,516,000		2,568,301
AT&T Inc., Senior Notes		3.400	%		5/15/25		31,645,000		33,042,549
AT&T Inc., Senior Notes		6.250	%		3/29/41		970,000		1,229,281
AT&T Inc., Senior Notes		4.350	%		6/15/45		25,026,000		26,343,586
Qwest Corp., Debentures		6.875	%		9/15/33		4,760,000		4,769,864
Telecom Italia SpA, Senior Notes		5.303	%		5/30/24		5,794,000		6,270,267	(f)

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Diversified Telecommunication Services - (continued)
Telefonica Emisiones SA, Senior Notes		5.134	%		4/27/20		4,485,000		$	4,557,267
Telefonica Emisiones SA, Senior Notes		5.213	%		3/8/47		6,160,000			7,176,479
Telefonica Emisiones SA, Senior Notes		4.895	%		3/6/48		11,960,000			13,373,150
UPCB Finance IV Ltd., Senior Secured Notes		5.375	%		1/15/25		710,000			733,075	(f)
Verizon Communications Inc., Senior Notes		3.500	%		11/1/24		6,660,000			7,046,905
Verizon Communications Inc., Senior Notes		3.376	%		2/15/25		27,705,000			29,244,488
Verizon Communications Inc., Senior Notes		2.625	%		8/15/26		5,622,000			5,700,562
Verizon Communications Inc., Senior Notes		4.125	%		3/16/27		5,755,000			6,359,869
Verizon Communications Inc., Senior Notes		4.329	%		9/21/28		27,937,000			31,700,472
Verizon Communications Inc., Senior Notes		3.875	%		2/8/29		4,900,000			5,381,660
Verizon Communications Inc., Senior Notes		4.500	%		8/10/33		15,185,000			17,646,854
Verizon Communications Inc., Senior Notes		4.400	%		11/1/34		2,200,000			2,520,423
Verizon Communications Inc., Senior Notes		4.272	%		1/15/36		1,140,000			1,283,868
Verizon Communications Inc., Senior Notes		5.250	%		3/16/37		11,010,000			13,650,018
Verizon Communications Inc., Senior Notes		3.850	%		11/1/42		3,010,000			3,218,261
Verizon Communications Inc., Senior Notes		4.125	%		8/15/46		1,390,000			1,551,085
Verizon Communications Inc., Senior Notes		4.862	%		8/21/46		7,218,000			8,828,762
Verizon Communications Inc., Senior Notes		5.500	%		3/16/47		1,455,000			1,922,929
Verizon Communications Inc., Senior Notes		4.522	%		9/15/48		5,339,000			6,322,455
Total Diversified Telecommunication Services										243,954,758
								��
Entertainment - 0.1%
Netflix Inc., Senior Notes		5.375	%		2/1/21		2,675,000			2,761,938

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Entertainment - (continued)
Viacom Inc., Senior Notes		4.250	%		9/1/23		2,512,000	$	2,665,362
Viacom Inc., Senior Notes		3.875	%		4/1/24		1,720,000		1,810,184
Walt Disney Co., Senior Notes		4.500	%		2/15/21		8,000		8,284	(f)
Walt Disney Co., Senior Notes		6.200	%		12/15/34		260,000		370,331	(f)
Walt Disney Co., Senior Notes		6.650	%		11/15/37		5,240,000		7,884,489	(f)
Total Entertainment									15,500,588
Media - 1.4%
Altice France SA, Senior Secured Notes		7.375	%		5/1/26		29,345,000		31,537,365	(f)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.250	%		9/30/22		880,000		891,748
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.125	%		5/1/27		7,837,000		8,199,461	(f)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.000	%		2/1/28		5,450,000		5,647,563	(f)
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		3.579	%		7/23/20		9,780,000		9,869,002
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.908	%		7/23/25		10,537,000		11,567,387
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.200	%		3/15/28		38,710,000		40,745,156
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		5.050	%		3/30/29		19,860,000		22,237,090
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		5.375	%		4/1/38		15,910,000		17,800,471

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		6.484	%		10/23/45		6,620,000	$	8,066,930
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		5.750	%		4/1/48		450,000		513,791
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		6.834	%		10/23/55		2,608,000		3,300,095
Comcast Cable Communications Holdings Inc., Senior Notes		9.455	%		11/15/22		3,150,000		3,857,935
Comcast Corp., Senior Notes		3.375	%		8/15/25		3,940,000		4,169,751
Comcast Corp., Senior Notes		3.950	%		10/15/25		23,330,000		25,413,160
Comcast Corp., Senior Notes		3.150	%		3/1/26		2,900,000		3,038,927
Comcast Corp., Senior Notes		4.150	%		10/15/28		55,830,000		62,677,272
Comcast Corp., Senior Notes		4.250	%		10/15/30		14,475,000		16,478,969
Comcast Corp., Senior Notes		4.250	%		1/15/33		1,710,000		1,968,261
Comcast Corp., Senior Notes		4.200	%		8/15/34		244,000		279,273
Comcast Corp., Senior Notes		5.650	%		6/15/35		60,000		78,397
Comcast Corp., Senior Notes		6.500	%		11/15/35		2,250,000		3,156,271
Comcast Corp., Senior Notes		3.900	%		3/1/38		8,310,000		9,190,894
Comcast Corp., Senior Notes		3.969	%		11/1/47		221,000		243,082
Comcast Corp., Senior Notes		4.700	%		10/15/48		1,050,000		1,287,519
Comcast Corp., Senior Notes		3.999	%		11/1/49		2,626,000		2,921,183
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		21,394,000		21,287,030
DISH DBS Corp., Senior Notes		7.750	%		7/1/26		3,240,000		3,304,800
Fox Corp., Senior Notes		4.709	%		1/25/29		2,110,000		2,412,025	(f)
Fox Corp., Senior Notes		5.476	%		1/25/39		13,410,000		16,463,986	(f)
Fox Corp., Senior Notes		5.576	%		1/25/49		430,000		544,877	(f)
NBCUniversal Media LLC, Senior Notes		4.375	%		4/1/21		11,230,000		11,629,568
Prosus NV, Senior Notes		4.850	%		7/6/27		18,070,000		20,024,325	(f)
Time Warner Cable LLC, Senior Secured Notes		5.000	%		2/1/20		2,460,000		2,480,091
Time Warner Cable LLC, Senior Secured Notes		4.125	%		2/15/21		8,351,000		8,503,341

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - (continued)
Time Warner Cable LLC, Senior Secured Notes		7.300	%		7/1/38		8,925,000	$	11,303,146
Time Warner Cable LLC, Senior Secured Notes		6.750	%		6/15/39		3,295,000		4,034,776
Time Warner Cable LLC, Senior Secured Notes		5.875	%		11/15/40		8,447,000		9,464,565
Time Warner Entertainment Co. LP, Senior Secured Notes		8.375	%		7/15/33		2,060,000		2,851,309
UBM PLC, Senior Notes		5.750	%		11/3/20		6,060,000		6,248,965	(f)
Virgin Media Secured Finance PLC, Senior Secured Notes		5.250	%		1/15/26		1,540,000		1,584,071	(f)
Virgin Media Secured Finance PLC, Senior Secured Notes		5.500	%		8/15/26		200,000		210,310	(f)
Virgin Media Secured Finance PLC, Senior Secured Notes		5.500	%		5/15/29		2,820,000		2,950,425	(f)
Total Media									420,434,563
Wireless Telecommunication Services - 0.2%
America Movil SAB de CV, Senior Notes		5.000	%		3/30/20		1,064,000		1,078,007
CSC Holdings LLC, Secured Notes		5.375	%		7/15/23		400,000		411,500	(f)
Deutsche Telekom International Finance BV, Senior Notes		2.820	%		1/19/22		3,050,000		3,087,108	(f)
Sprint Corp., Senior Notes		7.250	%		9/15/21		9,155,000		9,792,188
Sprint Corp., Senior Notes		7.875	%		9/15/23		2,900,000		3,192,784
Sprint Corp., Senior Notes		7.625	%		2/15/25		5,365,000		5,914,912
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes		3.360	%		9/20/21		2,300,000		2,314,375	(f)
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		1,800,712	(f)
Vodafone Group PLC, Senior Notes		4.375	%		5/30/28		23,910,000		26,430,779
Total Wireless Telecommunication Services									54,022,365
TOTAL COMMUNICATION SERVICES									733,912,274

See Notes to Schedule of Investments.

9

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CONSUMER DISCRETIONARY - 1.0%
Auto Components - 0.0%
American Axle & Manufacturing Inc., Senior Notes		6.625	%		10/15/22		315,000	$	319,725
Automobiles - 0.2%
BMW US Capital LLC, Senior Notes		1.850	%		9/15/21		1,590,000		1,583,248	(f)
Daimler Finance North America LLC, Senior Notes		2.450	%		5/18/20		2,260,000		2,265,322	(f)
Ford Motor Co., Senior Notes		4.750	%		1/15/43		4,330,000		3,771,051
Ford Motor Credit Co. LLC, Senior Notes		8.125	%		1/15/20		1,020,000		1,036,941
Ford Motor Credit Co. LLC, Senior Notes		3.200	%		1/15/21		3,750,000		3,756,048
Ford Motor Credit Co. LLC, Senior Notes		5.750	%		2/1/21		2,940,000		3,040,234
Ford Motor Credit Co. LLC, Senior Notes		5.875	%		8/2/21		12,560,000		13,159,751
Ford Motor Credit Co. LLC, Senior Notes		3.664	%		9/8/24		1,190,000		1,172,906
General Motors Co., Senior Notes		5.150	%		4/1/38		2,050,000		2,073,287
General Motors Co., Senior Notes		6.250	%		10/2/43		3,640,000		3,993,647
General Motors Co., Senior Notes		5.950	%		4/1/49		8,120,000		8,713,447
General Motors Financial Co. Inc., Senior Notes		2.450	%		11/6/20		3,110,000		3,109,046
General Motors Financial Co. Inc., Senior Notes		4.375	%		9/25/21		3,650,000		3,772,021
General Motors Financial Co. Inc., Senior Notes		3.450	%		4/10/22		7,930,000		8,069,720
General Motors Financial Co. Inc., Senior Notes		4.250	%		5/15/23		920,000		960,903
General Motors Financial Co. Inc., Senior Notes		4.350	%		1/17/27		2,340,000		2,407,222
Total Automobiles									62,884,794

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Diversified Consumer Services - 0.0%
Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes		5.750	%		4/15/26		8,450,000	$	8,820,110	(f)
Service Corp. International, Senior Notes		7.500	%		4/1/27		3,592,000		4,409,180
Total Diversified Consumer Services									13,229,290
Hotels, Restaurants & Leisure - 0.5%
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		4.250	%		5/15/24		6,388,000		6,589,861	(f)
GLP Capital LP/GLP Financing II Inc., Senior Notes		5.250	%		6/1/25		320,000		353,290
GLP Capital LP/GLP Financing II Inc., Senior Notes		5.375	%		4/15/26		4,009,000		4,419,361
Hilton Domestic Operating Co. Inc., Senior Notes		5.125	%		5/1/26		3,130,000		3,294,325
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes		4.625	%		4/1/25		605,000		624,662
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes		4.875	%		4/1/27		4,930,000		5,211,010
Las Vegas Sands Corp., Senior Notes		3.200	%		8/8/24		39,770,000		40,551,655
McDonald’s Corp., Senior Notes		3.700	%		1/30/26		10,820,000		11,622,839
McDonald’s Corp., Senior Notes		3.500	%		3/1/27		9,650,000		10,322,806
McDonald’s Corp., Senior Notes		3.800	%		4/1/28		4,300,000		4,716,472
NCL Corp. Ltd., Senior Notes		4.750	%		12/15/21		1,881,000		1,917,868	(f)
Sands China Ltd., Senior Notes		4.600	%		8/8/23		18,048,000		19,137,908
Sands China Ltd., Senior Notes		5.125	%		8/8/25		17,040,000		18,751,157
Sands China Ltd., Senior Notes		5.400	%		8/8/28		6,900,000		7,788,582
VOC Escrow Ltd., Senior Secured Notes		5.000	%		2/15/28		9,225,000		9,571,860	(f)
Total Hotels, Restaurants & Leisure									144,873,656
Household Durables - 0.1%
Lennar Corp., Senior Notes		4.500	%		4/30/24		5,640,000		5,955,840
Lennar Corp., Senior Notes		4.750	%		5/30/25		1,350,000		1,447,605
Lennar Corp., Senior Notes		5.000	%		6/15/27		820,000		880,475

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Household Durables - (continued)
Lennar Corp., Senior Notes		4.750	%		11/29/27		8,000,000	$	8,620,000
Newell Brands Inc., Senior Notes		3.850	%		4/1/23		2,188,000		2,253,730
Newell Brands Inc., Senior Notes		4.200	%		4/1/26		150,000		157,065
Toll Brothers Finance Corp., Senior Notes		4.375	%		4/15/23		4,740,000		4,988,850
Total Household Durables									24,303,565
Internet & Direct Marketing Retail - 0.2%
Amazon.com Inc., Senior Notes		3.150	%		8/22/27		15,280,000		16,245,980
Amazon.com Inc., Senior Notes		3.875	%		8/22/37		6,800,000		7,835,281
Amazon.com Inc., Senior Notes		4.950	%		12/5/44		10,095,000		13,380,012
Amazon.com Inc., Senior Notes		4.050	%		8/22/47		8,290,000		9,974,575
QVC Inc., Senior Secured Notes		5.950	%		3/15/43		500,000		501,928
Total Internet & Direct Marketing Retail									47,937,776
Textiles, Apparel & Luxury Goods - 0.0%
Hanesbrands Inc., Senior Notes		4.625	%		5/15/24		1,177,000		1,244,678	(f)
Hanesbrands Inc., Senior Notes		4.875	%		5/15/26		4,810,000		5,105,815	(f)
Total Textiles, Apparel & Luxury Goods									6,350,493
TOTAL CONSUMER DISCRETIONARY									299,899,299
CONSUMER STAPLES - 2.2%
Beverages - 0.8%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes		3.650	%		2/1/26		37,240,000		39,926,714
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.900	%		2/1/46		22,020,000		26,315,876
Anheuser-Busch InBev Finance Inc., Senior Notes		2.650	%		2/1/21		5,177,000		5,227,443
Anheuser-Busch InBev Finance Inc., Senior Notes		3.300	%		2/1/23		17,698,000		18,385,119
Anheuser-Busch InBev Worldwide Inc., Senior Notes		2.500	%		7/15/22		18,900,000		19,170,332
Anheuser-Busch InBev Worldwide Inc., Senior Notes		3.500	%		1/12/24		15,450,000		16,317,968
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.150	%		1/23/25		13,410,000		14,655,695
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.000	%		4/13/28		9,240,000		10,198,967

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Beverages - (continued)
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.750	%		1/23/29		30,630,000	$	35,628,115
Anheuser-Busch InBev Worldwide Inc., Senior Notes		5.550	%		1/23/49		1,500,000		1,965,929
Constellation Brands Inc., Senior Notes		4.250	%		5/1/23		1,395,000		1,492,284
Cott Holdings Inc., Senior Notes		5.500	%		4/1/25		6,830,000		7,111,942	(f)
Diageo Capital PLC, Senior Notes		4.828	%		7/15/20		620,000		633,713
Diageo Investment Corp., Senior Notes		2.875	%		5/11/22		15,570,000		15,930,981
Molson Coors Brewing Co., Senior Notes		3.500	%		5/1/22		1,370,000		1,411,119
Molson Coors Brewing Co., Senior Notes		3.000	%		7/15/26		3,245,000		3,281,705
Molson Coors Brewing Co., Senior Notes		4.200	%		7/15/46		3,390,000		3,431,665
PepsiCo Inc., Senior Notes		4.000	%		3/5/42		4,980,000		5,741,256
Pernod Ricard SA, Senior Notes		4.450	%		1/15/22		10,485,000		11,003,446	(f)
Pernod Ricard SA, Senior Notes		5.500	%		1/15/42		4,170,000		5,189,712	(f)
Total Beverages									243,019,981
Food & Staples Retailing - 0.2%
CVS Pass-Through Trust, Secured Trust		5.880	%		1/10/28		3,254,376		3,619,444
CVS Pass-Through Trust, Secured Trust		6.943	%		1/10/30		2,110,512		2,494,139
CVS Pass-Through Trust, Senior Secured Trust		5.298	%		1/11/27		265,445		283,803	(f)
CVS Pass-Through Trust, Senior Secured Trust		6.036	%		12/10/28		8,799,386		9,903,977
Walmart Inc., Senior Notes		3.700	%		6/26/28		25,130,000		27,874,047
Total Food & Staples Retailing									44,175,410
Food Products - 0.3%
Danone SA, Senior Notes		2.077	%		11/2/21		15,860,000		15,841,527	(f)
Danone SA, Senior Notes		2.589	%		11/2/23		20,650,000		20,946,849	(f)
Danone SA, Senior Notes		2.947	%		11/2/26		6,540,000		6,699,601	(f)
Kraft Heinz Foods Co., Secured Notes		4.875	%		2/15/25		2,024,000		2,083,768	(f)

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Food Products - (continued)
Kraft Heinz Foods Co., Senior Notes		3.950	%		7/15/25		4,916,000	$	5,149,652
Kraft Heinz Foods Co., Senior Notes		3.000	%		6/1/26		4,593,000		4,548,198
Kraft Heinz Foods Co., Senior Notes		5.000	%		7/15/35		3,851,000		4,112,804
Lamb Weston Holdings Inc., Senior Notes		4.625	%		11/1/24		30,000		31,722	(f)
Lamb Weston Holdings Inc., Senior Notes		4.875	%		11/1/26		6,470,000		6,809,675	(f)
Mars Inc., Senior Notes		2.700	%		4/1/25		9,380,000		9,631,202	(f)
Mars Inc., Senior Notes		3.200	%		4/1/30		4,880,000		5,167,111	(f)
WM Wrigley Jr. Co., Senior Notes		2.900	%		10/21/19		7,490,000		7,492,936	(f)
WM Wrigley Jr. Co., Senior Notes		3.375	%		10/21/20		690,000		699,940	(f)
Total Food Products									89,214,985
Household Products - 0.0%
Spectrum Brands Inc., Senior Notes		5.750	%		7/15/25		6,450,000		6,762,760
Spectrum Brands Inc., Senior Notes		5.000	%		10/1/29		950,000		969,000	(f)
Total Household Products									7,731,760
Tobacco - 0.9%
Altria Group Inc., Senior Notes		4.750	%		5/5/21		11,110,000		11,554,885
Altria Group Inc., Senior Notes		3.490	%		2/14/22		5,980,000		6,137,001
Altria Group Inc., Senior Notes		2.850	%		8/9/22		5,100,000		5,162,712
Altria Group Inc., Senior Notes		3.800	%		2/14/24		6,610,000		6,914,364
Altria Group Inc., Senior Notes		4.400	%		2/14/26		32,230,000		34,491,350
Altria Group Inc., Senior Notes		4.800	%		2/14/29		29,040,000		31,837,304
Altria Group Inc., Senior Notes		5.800	%		2/14/39		15,190,000		17,622,845
Altria Group Inc., Senior Notes		5.950	%		2/14/49		12,010,000		14,143,170
Altria Group Inc., Senior Notes		6.200	%		2/14/59		4,650,000		5,460,169
BAT Capital Corp., Senior Notes		3.557	%		8/15/27		15,851,000		15,980,685
BAT Capital Corp., Senior Notes		4.540	%		8/15/47		43,950,000		42,205,050
Philip Morris International Inc., Senior Notes		1.875	%		11/1/19		23,600,000		23,595,507

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Tobacco - (continued)
Philip Morris International Inc., Senior Notes		2.900	%		11/15/21		12,470,000	$	12,672,070
Philip Morris International Inc., Senior Notes		2.500	%		8/22/22		4,200,000		4,241,426
Philip Morris International Inc., Senior Notes		2.500	%		11/2/22		14,810,000		14,947,271
Philip Morris International Inc., Senior Notes		4.500	%		3/20/42		3,085,000		3,431,193
Reynolds American Inc., Senior Notes		3.250	%		6/12/20		3,842,000		3,866,791
Reynolds American Inc., Senior Notes		5.850	%		8/15/45		7,579,000		8,399,442
Total Tobacco									262,663,235
TOTAL CONSUMER STAPLES									646,805,371
ENERGY - 3.9%
Energy Equipment & Services - 0.1%
Baker Hughes a GE Co. LLC, Senior Notes		3.200	%		8/15/21		2,487,000		2,524,773
Halliburton Co., Senior Notes		3.800	%		11/15/25		13,380,000		14,183,228
Halliburton Co., Senior Notes		4.850	%		11/15/35		5,090,000		5,629,102
Halliburton Co., Senior Notes		5.000	%		11/15/45		8,510,000		9,517,360
Schlumberger Norge AS, Senior Notes		4.200	%		1/15/21		720,000		735,485	(f)
Total Energy Equipment & Services									32,589,948
Oil, Gas & Consumable Fuels - 3.8%
Antero Resources Corp., Senior Notes		5.375	%		11/1/21		6,524,000		6,320,125
Apache Corp., Senior Notes		3.250	%		4/15/22		2,526,000		2,572,366
Apache Corp., Senior Notes		4.375	%		10/15/28		2,060,000		2,111,359
Apache Corp., Senior Notes		6.000	%		1/15/37		1,006,000		1,101,355
Apache Corp., Senior Notes		5.100	%		9/1/40		15,199,000		15,175,117
Apache Corp., Senior Notes		4.750	%		4/15/43		5,980,000		5,740,551
Apache Corp., Senior Notes		4.250	%		1/15/44		18,548,000		16,545,848
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes		6.125	%		11/15/22		5,520,000		5,576,856	(f)
BP Capital Markets America Inc., Senior Notes		3.216	%		11/28/23		14,330,000		14,893,514
BP Capital Markets America Inc., Senior Notes		3.119	%		5/4/26		4,790,000		4,998,081

See Notes to Schedule of Investments.

15

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
BP Capital Markets America Inc., Senior Notes		3.588	%		4/14/27		7,160,000	$	7,645,451
BP Capital Markets America Inc., Senior Notes		3.410	%		2/11/26		17,380,000		18,357,246
BP Capital Markets PLC, Senior Notes		3.561	%		11/1/21		510,000		525,299
BP Capital Markets PLC, Senior Notes		3.245	%		5/6/22		1,650,000		1,699,563
BP Capital Markets PLC, Senior Notes		3.535	%		11/4/24		2,390,000		2,534,558
BP Capital Markets PLC, Senior Notes		3.506	%		3/17/25		21,110,000		22,416,056
Cheniere Corpus Christi Holdings LLC, Senior Secured Notes		5.125	%		6/30/27		3,080,000		3,378,375
Chesapeake Energy Corp., Senior Notes		6.875	%		11/15/20		5,000		5,013
Chesapeake Energy Corp., Senior Notes		6.125	%		2/15/21		7,301,000		7,209,738
Chesapeake Energy Corp., Senior Notes		8.000	%		6/15/27		2,510,000		1,719,852
Chevron Corp., Senior Notes		2.954	%		5/16/26		4,000		4,186
Cimarex Energy Co., Senior Notes		3.900	%		5/15/27		17,866,000		18,205,600
CNOOC Finance 2015 USA LLC, Senior Notes		3.500	%		5/5/25		35,600,000		37,168,852
Concho Resources Inc., Senior Notes		4.375	%		1/15/25		6,173,000		6,398,846
Concho Resources Inc., Senior Notes		4.300	%		8/15/28		14,428,000		15,552,286
Conoco Funding Co., Senior Notes		7.250	%		10/15/31		810,000		1,144,390
ConocoPhillips, Senior Notes		5.900	%		10/15/32		10,000		13,150
ConocoPhillips, Senior Notes		6.500	%		2/1/39		40,000		57,932
ConocoPhillips Holding Co., Senior Notes		6.950	%		4/15/29		693,000		945,309
Continental Resources Inc., Senior Notes		4.500	%		4/15/23		7,040,000		7,314,197
Continental Resources Inc., Senior Notes		3.800	%		6/1/24		4,270,000		4,355,762
Continental Resources Inc., Senior Notes		4.375	%		1/15/28		7,940,000		8,214,138

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Devon Energy Corp., Senior Notes		5.850	%		12/15/25		12,076,000	$	14,363,468
Devon Energy Corp., Senior Notes		5.600	%		7/15/41		9,920,000		12,060,402
Devon Energy Corp., Senior Notes		4.750	%		5/15/42		410,000		451,137
Devon Energy Corp., Senior Notes		5.000	%		6/15/45		24,090,000		27,895,792
Diamondback Energy Inc., Senior Notes		5.375	%		5/31/25		4,420,000		4,623,585
Ecopetrol SA, Senior Notes		5.875	%		5/28/45		27,530,000		32,210,375
Energy Transfer Operating LP, Senior Notes		4.950	%		6/15/28		3,015,000		3,316,293
Energy Transfer Operating LP, Senior Notes		6.250	%		4/15/49		1,330,000		1,617,453
Energy Transfer Partners LP/Regency Energy Finance Corp., Senior Notes		5.875	%		3/1/22		5,781,000		6,184,693
Energy Transfer Partners LP/Regency Energy Finance Corp., Senior Notes		4.500	%		11/1/23		510,000		540,336
Enterprise Products Operating LLC, Senior Notes		4.150	%		10/16/28		19,083,000		21,150,596
EOG Resources Inc., Senior Notes		4.150	%		1/15/26		5,682,000		6,288,636
Exxon Mobil Corp., Senior Notes		3.043	%		3/1/26		11,540,000		12,102,008
Exxon Mobil Corp., Senior Notes		4.114	%		3/1/46		22,720,000		26,933,658
KazMunayGas National Co. JSC, Senior Notes		5.375	%		4/24/30		2,050,000		2,308,556	(f)
KazMunayGas National Co. JSC, Senior Notes		6.375	%		10/24/48		7,310,000		9,102,938	(f)
Kinder Morgan Energy Partners LP, Senior Notes		3.500	%		3/1/21		4,510,000		4,579,328
Kinder Morgan Inc., Senior Notes		7.800	%		8/1/31		3,276,000		4,449,406
MEG Energy Corp., Secured Notes		6.500	%		1/15/25		240,000		245,700	(f)
MEG Energy Corp., Senior Notes		6.375	%		1/30/23		350,000		339,063	(f)

See Notes to Schedule of Investments.

17

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
MEG Energy Corp., Senior Notes		7.000	%		3/31/24		450,000	$	436,500	(f)
MPLX LP, Senior Notes		4.875	%		12/1/24		9,800,000		10,764,381
MPLX LP, Senior Notes		4.875	%		6/1/25		7,870,000		8,664,231
MPLX LP, Senior Notes		4.800	%		2/15/29		8,850,000		9,778,032
MPLX LP, Senior Notes		4.500	%		4/15/38		11,800,000		12,251,958
MPLX LP, Senior Notes		4.700	%		4/15/48		11,880,000		12,419,906
MPLX LP, Senior Notes		5.500	%		2/15/49		9,296,000		10,796,538
Noble Energy Inc., Senior Notes		4.150	%		12/15/21		10,000		10,391
Noble Energy Inc., Senior Notes		3.850	%		1/15/28		8,900,000		9,244,099
Noble Energy Inc., Senior Notes		5.250	%		11/15/43		6,205,000		6,921,373
Noble Energy Inc., Senior Notes		5.050	%		11/15/44		1,741,000		1,902,070
Noble Energy Inc., Senior Notes		4.950	%		8/15/47		2,370,000		2,590,588
Oasis Petroleum Inc., Senior Notes		6.875	%		3/15/22		2,750,000		2,578,125
Oasis Petroleum Inc., Senior Notes		6.875	%		1/15/23		3,337,000		3,070,040
Occidental Petroleum Corp., Senior Notes		4.850	%		3/15/21		12,852,000		13,294,165
Occidental Petroleum Corp., Senior Notes		2.600	%		8/13/21		8,530,000		8,588,673
Occidental Petroleum Corp., Senior Notes		3.125	%		2/15/22		5,170,000		5,252,709
Occidental Petroleum Corp., Senior Notes		2.700	%		8/15/22		12,200,000		12,318,605
Occidental Petroleum Corp., Senior Notes		6.950	%		7/1/24		3,151,000		3,698,474
Occidental Petroleum Corp., Senior Notes		2.900	%		8/15/24		9,570,000		9,652,336
Occidental Petroleum Corp., Senior Notes		5.550	%		3/15/26		2,360,000		2,663,674
Occidental Petroleum Corp., Senior Notes		3.400	%		4/15/26		9,455,000		9,609,676
Occidental Petroleum Corp., Senior Notes		3.000	%		2/15/27		7,460,000		7,407,573

See Notes to Schedule of Investments.

18

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Occidental Petroleum Corp., Senior Notes		3.500	%		8/15/29		750,000	$	761,269
Occidental Petroleum Corp., Senior Notes		7.500	%		5/1/31		6,470,000		8,479,646
Occidental Petroleum Corp., Senior Notes		7.875	%		9/15/31		2,087,000		2,820,493
Occidental Petroleum Corp., Senior Notes		6.450	%		9/15/36		20,822,000		25,792,774
Occidental Petroleum Corp., Senior Notes		4.500	%		7/15/44		1,880,000		1,920,372
Occidental Petroleum Corp., Senior Notes		4.625	%		6/15/45		5,705,000		5,909,903
Occidental Petroleum Corp., Senior Notes		6.600	%		3/15/46		13,540,000		17,683,011
Occidental Petroleum Corp., Senior Notes		4.400	%		4/15/46		2,710,000		2,764,572
Occidental Petroleum Corp., Senior Notes		4.100	%		2/15/47		12,890,000		12,588,026
Occidental Petroleum Corp., Senior Notes		4.200	%		3/15/48		7,630,000		7,572,309
Petrobras Global Finance BV, Senior Notes		6.125	%		1/17/22		3,125,000		3,362,500
Petrobras Global Finance BV, Senior Notes		6.250	%		3/17/24		14,259,000		16,066,328
Petrobras Global Finance BV, Senior Notes		5.299	%		1/27/25		92,550,000		101,249,700
Petrobras Global Finance BV, Senior Notes		7.375	%		1/17/27		7,710,000		9,327,635
Petrobras Global Finance BV, Senior Notes		5.750	%		2/1/29		16,560,000		18,305,093
Petrobras Global Finance BV, Senior Notes		7.250	%		3/17/44		23,200,000		27,828,400
Petroleos Mexicanos, Senior Notes		6.875	%		8/4/26		4,350,000		4,687,125
Petroleos Mexicanos, Senior Notes		6.625	%		6/15/35		14,490,000		14,232,803
Petroleos Mexicanos, Senior Notes		5.500	%		6/27/44		3,860,000		3,310,529
Petroleos Mexicanos, Senior Notes		6.375	%		1/23/45		14,210,000		13,233,063

See Notes to Schedule of Investments.

19

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
QEP Resources Inc., Senior Notes		6.875	%		3/1/21		2,920,000	$	2,912,700
Range Resources Corp., Senior Notes		5.875	%		7/1/22		1,440,000		1,386,000
Range Resources Corp., Senior Notes		5.000	%		3/15/23		8,140,000		7,142,850
Range Resources Corp., Senior Notes		4.875	%		5/15/25		4,010,000		3,328,300
Sabine Pass Liquefaction LLC, Senior Secured Notes		5.750	%		5/15/24		2,870,000		3,200,806
Schlumberger Holdings Corp., Senior Notes		3.900	%		5/17/28		5,110,000		5,413,475	(f)
Shell International Finance BV, Senior Notes		4.375	%		3/25/20		1,980,000		2,002,840
Shell International Finance BV, Senior Notes		2.875	%		5/10/26		5,450,000		5,676,234
Shell International Finance BV, Senior Notes		6.375	%		12/15/38		4,655,000		6,813,850
Shell International Finance BV, Senior Notes		4.550	%		8/12/43		6,360,000		7,831,214
Shell International Finance BV, Senior Notes		4.375	%		5/11/45		13,770,000		16,663,725
Shell International Finance BV, Senior Notes		4.000	%		5/10/46		8,940,000		10,307,677
Shell International Finance BV, Senior Notes		3.750	%		9/12/46		690,000		766,476
Sinopec Group Overseas Development 2014 Ltd., Senior Notes		4.375	%		4/10/24		17,660,000		19,061,093	(f)
Southern Natural Gas Co. LLC, Senior Notes		8.000	%		3/1/32		9,413,000		13,259,390
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		4.250	%		11/15/23		3,510,000		3,549,488
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.875	%		4/15/26		3,145,000		3,344,550
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.500	%		7/15/27		4,230,000		4,625,886	(f)

See Notes to Schedule of Investments.

20

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.875	%		1/15/29		2,120,000	$	2,321,548	(f)
Transcontinental Gas Pipe Line Co. LLC, Senior Notes		7.850	%		2/1/26		34,600,000		43,914,138
Whiting Petroleum Corp., Senior Notes		5.750	%		3/15/21		4,620,000		4,429,564
Williams Cos. Inc., Senior Notes		5.250	%		3/15/20		4,750,000		4,812,495
Williams Cos. Inc., Senior Notes		7.875	%		9/1/21		7,903,000		8,703,046
Williams Cos. Inc., Senior Notes		3.700	%		1/15/23		3,960,000		4,097,630
Williams Cos. Inc., Senior Notes		4.550	%		6/24/24		1,790,000		1,927,762
Williams Cos. Inc., Senior Notes		7.500	%		1/15/31		4,249,000		5,586,419
Williams Cos. Inc., Senior Notes		7.750	%		6/15/31		6,418,000		8,514,505
Williams Cos. Inc., Senior Notes		8.750	%		3/15/32		3,035,000		4,374,974
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		900,000		1,040,034
WPX Energy Inc., Senior Notes		6.000	%		1/15/22		270,000		279,450
WPX Energy Inc., Senior Notes		8.250	%		8/1/23		1,440,000		1,627,200
Total Oil, Gas & Consumable Fuels									1,101,389,381
TOTAL ENERGY									1,133,979,329
FINANCIALS - 10.4%
Banks - 7.5%
ABN AMRO Bank NV, Senior Notes		2.450	%		6/4/20		4,912,000		4,920,099	(f)
ABN AMRO Bank NV, Subordinated Notes		4.750	%		7/28/25		8,210,000		8,856,379	(f)
BAC Capital Trust XIV, Junior Subordinated Notes (the greater of 3 mo. USD LIBOR + 0.400% or 4.000%)		4.000	%		10/16/19		12,050,000		10,567,850	(e)(g)
Banco Santander SA, Senior Notes		3.848	%		4/12/23		8,600,000		8,967,748
Banco Santander SA, Senior Notes		4.379	%		4/12/28		32,000,000		35,034,915

See Notes to Schedule of Investments.

21

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Banco Santander SA, Senior Notes (3 mo. USD LIBOR + 1.120%)		3.460	%		4/12/23		6,200,000	$	6,209,833	(e)
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		994,826	(e)(g)
Bank of America Corp., Senior Notes		3.300	%		1/11/23		28,960,000		29,939,565
Bank of America Corp., Senior Notes		4.125	%		1/22/24		230,000		247,703
Bank of America Corp., Senior Notes		4.000	%		4/1/24		13,890,000		14,898,940
Bank of America Corp., Senior Notes		3.500	%		4/19/26		16,160,000		17,170,745
Bank of America Corp., Senior Notes		5.000	%		1/21/44		33,160,000		42,126,597
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		40,843,331	(e)
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		28,411,245	(e)
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		21,815,008	(e)
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		7,639,130	(e)
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		92,984,246	(e)
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		8,891,566	(e)
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		8,697,114	(e)
Bank of America Corp., Subordinated Notes		4.200	%		8/26/24		14,080,000		15,111,856

See Notes to Schedule of Investments.

22

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Bank of America Corp., Subordinated Notes		4.000	%		1/22/25		4,300,000	$	4,568,950
Bank of America Corp., Subordinated Notes		4.450	%		3/3/26		3,050,000		3,326,472
Bank of America Corp., Subordinated Notes		4.250	%		10/22/26		12,000,000		12,967,558
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		3,923,753	(e)
Banque Federative du Credit Mutuel SA, Senior Notes		2.200	%		7/20/20		5,000,000		5,006,928	(f)
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		11,967,004	(e)
Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + 3.054%)		5.088	%		6/20/30		45,350,000		47,340,543	(e)
BNP Paribas SA, Senior Notes		3.375	%		1/9/25		6,895,000		7,125,046	(f)
BNP Paribas SA, Senior Notes		4.400	%		8/14/28		46,530,000		51,441,518	(f)
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		55,201,987	(e)(f)
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		19,149,439	(e)(f)
BNP Paribas SA, Subordinated Notes		4.625	%		3/13/27		9,790,000		10,625,550	(f)
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		6,893,106	(e)(f)
BPCE SA, Subordinated Notes		5.150	%		7/21/24		3,300,000		3,615,840	(f)
CIT Group Inc., Senior Notes		4.750	%		2/16/24		7,040,000		7,467,962
CIT Group Inc., Senior Notes		5.250	%		3/7/25		5,730,000		6,260,025
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		6,296,326	(e)(g)

See Notes to Schedule of Investments.

23

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%)		5.950	%		5/15/25		26,950,000	$	28,556,894	(e)(g)
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%)		6.300	%		5/15/24		5,070,000		5,389,587	(e)(g)
Citigroup Inc., Senior Notes		8.125	%		7/15/39		2,195,000		3,603,240
Citigroup Inc., Senior Notes		4.650	%		7/30/45		24,812,000		29,934,071
Citigroup Inc., Senior Notes		4.650	%		7/23/48		3,000,000		3,676,767
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		68,083,610	(e)
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		8,314,072	(e)
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		17,739,973	(e)
Citigroup Inc., Subordinated Notes		4.050	%		7/30/22		704,000		737,542
Citigroup Inc., Subordinated Notes		4.400	%		6/10/25		19,090,000		20,564,365
Citigroup Inc., Subordinated Notes		5.500	%		9/13/25		25,260,000		28,658,118
Citigroup Inc., Subordinated Notes		4.300	%		11/20/26		11,500,000		12,398,547
Citigroup Inc., Subordinated Notes		4.450	%		9/29/27		36,920,000		40,316,581
Citigroup Inc., Subordinated Notes		6.625	%		6/15/32		1,660,000		2,173,484
Citigroup Inc., Subordinated Notes		6.125	%		8/25/36		133,000		172,042
Citigroup Inc., Subordinated Notes		6.675	%		9/13/43		2,824,000		4,100,452
Citigroup Inc., Subordinated Notes		5.300	%		5/6/44		1,789,000		2,227,169
Citigroup Inc., Subordinated Notes		4.750	%		5/18/46		2,080,000		2,429,443

See Notes to Schedule of Investments.

24

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Commonwealth Bank of Australia, Senior Notes		5.000	%		10/15/19		4,160,000	$	4,164,553	(f)
Cooperatieve Rabobank UA, Senior Notes		2.250	%		1/14/20		8,520,000		8,523,396
Cooperatieve Rabobank UA, Senior Notes		4.750	%		1/15/20		10,434,000		10,514,202	(f)
Cooperatieve Rabobank UA, Senior Notes		4.625	%		12/1/23		24,060,000		25,844,640
Cooperatieve Rabobank UA, Senior Notes		4.375	%		8/4/25		32,450,000		35,071,932
Cooperatieve Rabobank UA, Senior Notes		5.250	%		8/4/45		8,420,000		10,579,859
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		10,534,713	(e)(f)
Credit Agricole SA, Junior Subordinated Notes (8.375% to 10/13/19 then 3 mo. USD LIBOR + 6.982%)		8.375	%		10/13/19		16,980,000		17,092,068	(e)(f)(g)
Danske Bank A/S, Senior Notes		5.000	%		1/12/22		31,300,000		32,918,232	(f)
Danske Bank A/S, Senior Notes		3.875	%		9/12/23		3,510,000		3,641,368	(f)
Danske Bank A/S, Senior Notes		5.375	%		1/12/24		18,650,000		20,498,744	(f)
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		11,876,733	(e)(f)
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		5,417,026	(e)(f)
HSBC Bank USA NA, Subordinated Notes		4.875	%		8/24/20		17,967,000		18,408,711
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		12,234,763	(e)(g)
HSBC Holdings PLC, Junior Subordinated Notes (6.375% to 9/17/24 then USD 5 year ICE Swap Rate + 3.705%)		6.375	%		9/17/24		5,360,000		5,628,509	(e)(g)

See Notes to Schedule of Investments.

25

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
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	$	25,532,671	(e)(g)
HSBC Holdings PLC, Senior Notes		3.400	%		3/8/21		26,610,000		27,036,265
HSBC Holdings PLC, Senior Notes		4.300	%		3/8/26		1,750,000		1,891,608
HSBC Holdings PLC, Senior Notes		3.900	%		5/25/26		19,275,000		20,419,490
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		30,410,935	(e)
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		52,716,295	(e)
HSBC Holdings PLC, Subordinated Notes		4.250	%		3/14/24		8,270,000		8,707,369
HSBC Holdings PLC, Subordinated Notes		4.250	%		8/18/25		17,750,000		18,755,286
ING Bank NV, Senior Notes		2.500	%		10/1/19		6,050,000		6,050,000	(f)
Intesa Sanpaolo SpA, Senior Notes		3.125	%		7/14/22		9,160,000		9,198,916	(f)
Intesa Sanpaolo SpA, Senior Notes		3.375	%		1/12/23		7,160,000		7,223,981	(f)
Intesa Sanpaolo SpA, Subordinated Notes		5.017	%		6/26/24		36,780,000		37,875,082	(f)
Intesa Sanpaolo SpA, Subordinated Notes		5.710	%		1/15/26		13,320,000		14,163,796	(f)
JPMorgan Chase & Co., Senior Notes		4.400	%		7/22/20		10,770,000		10,973,985
JPMorgan Chase & Co., Senior Notes		2.550	%		3/1/21		4,220,000		4,244,821
JPMorgan Chase & Co., Senior Notes		4.350	%		8/15/21		1,780,000		1,852,193
JPMorgan Chase & Co., Senior Notes		4.500	%		1/24/22		9,480,000		10,004,092
JPMorgan Chase & Co., Senior Notes		3.625	%		5/13/24		20,000		21,195

See Notes to Schedule of Investments.

26

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
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	$	31,556,501	(e)
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		38,022,266	(e)
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		20,963,172	(e)
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		8,066,063	(e)
JPMorgan Chase & Co., Subordinated Notes		3.875	%		9/10/24		3,195,000		3,401,778
JPMorgan Chase & Co., Subordinated Notes		4.125	%		12/15/26		14,330,000		15,649,182
JPMorgan Chase & Co., Subordinated Notes		4.250	%		10/1/27		4,050,000		4,453,278
JPMorgan Chase & Co., Subordinated Notes		4.950	%		6/1/45		20,670,000		25,783,045
Lloyds Bank PLC, Senior Notes		2.700	%		8/17/20		2,110,000		2,125,283
Lloyds Bank PLC, Senior Notes		6.500	%		9/14/20		100,000		103,538	(f)
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		1,067,105	(e)(g)
Lloyds Banking Group PLC, Senior Notes		3.900	%		3/12/24		10,560,000		11,057,502
Lloyds Banking Group PLC, Senior Notes		4.375	%		3/22/28		14,100,000		15,346,927
Lloyds Banking Group PLC, Senior Notes		4.550	%		8/16/28		200,000		220,684
Lloyds Banking Group PLC, Senior Notes (3.574% to 11/7/27 then 3 mo. USD LIBOR + 1.205%)		3.574	%		11/7/28		3,000,000		3,063,890	(e)
Lloyds Banking Group PLC, Subordinated Notes		4.500	%		11/4/24		15,350,000		16,035,396
Mitsubishi UFJ Financial Group Inc., Senior Notes		2.998	%		2/22/22		7,240,000		7,371,327

See Notes to Schedule of Investments.

27

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Nordea Bank Abp, Subordinated Notes		4.875	%		5/13/21		14,640,000	$	15,154,178	(f)
Royal Bank of Canada, Senior Notes		2.150	%		10/26/20		9,960,000		9,979,427
Royal Bank of Canada, Senior Notes		3.200	%		4/30/21		11,940,000		12,168,056
Royal Bank of Scotland Group PLC, Senior Notes (3 mo. USD LIBOR + 1.905%)		5.076	%		1/27/30		3,000,000		3,358,994	(e)
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		11,209,158	(e)
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		10,521,940	(e)
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		6,001,778	(e)
Royal Bank of Scotland Group PLC, Subordinated Notes		6.125	%		12/15/22		6,229,000		6,744,295
Royal Bank of Scotland Group PLC, Subordinated Notes		6.100	%		6/10/23		12,920,000		14,083,964
Royal Bank of Scotland Group PLC, Subordinated Notes		6.000	%		12/19/23		15,075,000		16,561,331
Royal Bank of Scotland Group PLC, Subordinated Notes		5.125	%		5/28/24		24,180,000		25,795,101
Santander UK Group Holdings PLC, Subordinated Notes		5.625	%		9/15/45		3,560,000		4,105,813	(f)
Santander UK PLC, Senior Notes		2.375	%		3/16/20		6,130,000		6,135,481
Santander UK PLC, Subordinated Notes		5.000	%		11/7/23		750,000		797,590	(f)
Standard Chartered PLC, Subordinated Notes		5.700	%		3/26/44		4,385,000		5,387,022	(f)
Sumitomo Mitsui Financial Group Inc., Senior Notes		2.058	%		7/14/21		10,680,000		10,651,199
Svenska Handelsbanken AB, Senior Notes		3.350	%		5/24/21		13,040,000		13,317,162

See Notes to Schedule of Investments.

28

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Toronto-Dominion Bank, Senior Notes		3.250	%		6/11/21		14,710,000	$	15,023,472
UniCredit SpA, Senior Notes		6.572	%		1/14/22		23,840,000		25,580,958	(f)
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		1,638,484	(e)(f)
US Bank NA, Senior Notes		3.150	%		4/26/21		11,950,000		12,148,380
Wachovia Capital Trust III Ltd., Junior Subordinated Bonds (the greater of 3 mo. USD LIBOR + 0.930% or 5.570%)		5.570	%		10/31/19		38,301,000		38,502,846	(e)(g)
Wells Fargo & Co., Senior Notes		4.600	%		4/1/21		13,950,000		14,462,474
Wells Fargo & Co., Senior Notes		3.750	%		1/24/24		11,840,000		12,536,214
Wells Fargo & Co., Senior Notes		3.000	%		10/23/26		29,510,000		30,333,350
Wells Fargo & Co., Senior Notes		4.150	%		1/24/29		23,420,000		25,989,425
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		24,850,855	(e)
Wells Fargo & Co., Subordinated Notes		3.450	%		2/13/23		6,860,000		7,088,959
Wells Fargo & Co., Subordinated Notes		4.480	%		1/16/24		1,802,000		1,943,915
Wells Fargo & Co., Subordinated Notes		4.300	%		7/22/27		29,690,000		32,555,994
Wells Fargo & Co., Subordinated Notes		5.375	%		11/2/43		8,140,000		10,226,190
Wells Fargo & Co., Subordinated Notes		5.606	%		1/15/44		1,840,000		2,384,544
Wells Fargo & Co., Subordinated Notes		4.650	%		11/4/44		20,450,000		23,664,272
Wells Fargo & Co., Subordinated Notes		4.900	%		11/17/45		16,404,000		19,534,925
Wells Fargo & Co., Subordinated Notes		4.400	%		6/14/46		3,070,000		3,452,559
Wells Fargo & Co., Subordinated Notes		4.750	%		12/7/46		22,515,000		26,619,108

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Wells Fargo Capital X, Ltd. Gtd.		5.950	%		12/15/36		5,612,000	$	6,950,409
Westpac Banking Corp., Senior Notes		2.300	%		5/26/20		1,525,000		1,527,975
Westpac Banking Corp., Senior Notes		2.600	%		11/23/20		12,004,000		12,084,935
Total Banks									2,191,969,758
Capital Markets - 1.9%
CME Group Inc., Senior Notes		5.300	%		9/15/43		4,500,000		6,098,196
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		2,138,930	(e)(f)(g)
Credit Suisse Group AG, Senior Notes (2.593% to 9/11/24 then SOFR + 1.560%)		2.593	%		9/11/25		6,450,000		6,390,567	(e)(f)
Credit Suisse Group AG, Senior Notes (3.869% to 1/12/28 then 3 mo. USD LIBOR + 1.410%)		3.869	%		1/12/29		19,940,000		20,990,732	(e)(f)
Credit Suisse Group Funding Guernsey Ltd., Senior Notes		4.550	%		4/17/26		3,720,000		4,087,813
Credit Suisse Group Funding Guernsey Ltd., Senior Notes		4.875	%		5/15/45		9,045,000		11,086,850
Goldman Sachs Capital II (3 mo. USD LIBOR + 0.768%, 4.000% floor)		4.000	%		10/31/19		413,000		349,241	(e)(g)
Goldman Sachs Group Inc., Senior Notes		5.375	%		3/15/20		25,760,000		26,133,885
Goldman Sachs Group Inc., Senior Notes		6.000	%		6/15/20		3,946,000		4,051,119
Goldman Sachs Group Inc., Senior Notes		5.250	%		7/27/21		5,320,000		5,608,218
Goldman Sachs Group Inc., Senior Notes		3.200	%		2/23/23		12,610,000		12,955,675
Goldman Sachs Group Inc., Senior Notes		4.000	%		3/3/24		5,100,000		5,438,210
Goldman Sachs Group Inc., Senior Notes		3.850	%		7/8/24		5,410,000		5,730,496
Goldman Sachs Group Inc., Senior Notes		3.500	%		1/23/25		10,000,000		10,431,322
Goldman Sachs Group Inc., Senior Notes		3.500	%		11/16/26		10,633,000		11,054,594

See Notes to Schedule of Investments.

30

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Capital Markets - (continued)
Goldman Sachs Group Inc., Senior Notes		6.250	%		2/1/41		29,580,000	$	40,901,651
Goldman Sachs Group Inc., Senior Notes		4.750	%		10/21/45		20,030,000		24,067,092
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		35,003,290	(e)
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		6,046,593	(e)
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		72,663,412	(e)
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		23,651,767	(e)
Goldman Sachs Group Inc., Subordinated Notes		4.250	%		10/21/25		24,160,000		25,874,423
Goldman Sachs Group Inc., Subordinated Notes		6.750	%		10/1/37		8,640,000		11,677,788
Goldman Sachs Group Inc., Subordinated Notes		5.150	%		5/22/45		21,841,000		25,958,269
KKR Group Finance Co. II LLC, Senior Notes		5.500	%		2/1/43		1,398,000		1,695,819	(f)
Lehman Brothers Holdings Capital Trust VII, Junior Subordinated Notes		5.857	%		11/25/19		5,550,000		0	*(b)(c)(g)(h)(i)
Lehman Brothers HoldingsE-Capital Trust I, Junior Subordinated Notes		2.836	%		8/19/65		190,000		0	*(b)(c)(h)(i)
Lehman Brothers Holdings Inc., Junior Subordinated Notes		6.500	%		7/19/17		5,280,000		0	*(b)(c)(i)(j)
Lehman Brothers Holdings Inc., Subordinated Notes		6.750	%		12/28/17		1,070,000		0	*(b)(c)(i)(j)
Morgan Stanley, Senior Notes		5.500	%		7/24/20		1,710,000		1,756,344

See Notes to Schedule of Investments.

31

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Capital Markets - (continued)
Morgan Stanley, Senior Notes (3.772% to 1/24/28 then 3 mo. USD LIBOR + 1.140%)		3.772	%		1/24/29		43,070,000	$	46,068,504	(e)
Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. USD LIBOR + 1.628%)		4.431	%		1/23/30		6,920,000		7,778,289	(e)
UBS AG, Senior Notes		4.500	%		6/26/48		3,490,000		4,334,743	(f)
UBS Group Funding Switzerland AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%)		7.000	%		1/31/24		40,650,000		43,221,112	(e)(f)(g)
UBS Group Funding Switzerland AG, Senior Notes		3.491	%		5/23/23		32,680,000		33,562,223	(f)
UBS Group Funding Switzerland AG, Senior Notes		4.125	%		9/24/25		4,880,000		5,276,260	(f)
UBS Group Funding Switzerland AG, Senior Notes		4.253	%		3/23/28		29,370,000		32,060,666	(f)
Total Capital Markets									574,144,093
Consumer Finance - 0.1%
Ally Financial Inc., Senior Notes		7.500	%		9/15/20		2,699,000		2,827,742
Ally Financial Inc., Senior Notes		8.000	%		11/1/31		3,690,000		5,119,875
American Express Credit Corp., Senior Notes		2.375	%		5/26/20		12,230,000		12,247,244
Navient Corp., Medium-Term Notes		8.000	%		3/25/20		60,000		61,275
Total Consumer Finance									20,256,136
Diversified Financial Services - 0.6%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		4.500	%		5/15/21		2,590,000		2,674,610
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		5.000	%		10/1/21		1,180,000		1,241,013
Ahold Lease USA Inc. Pass-Through-Trust		8.620	%		1/2/25		6,003,498		6,884,454
Boeing Capital Corp., Senior Notes		4.700	%		10/27/19		5,890,000		5,899,074
DAE Funding LLC, Senior Notes		5.750	%		11/15/23		2,500,000		2,633,375	(f)

See Notes to Schedule of Investments.

32

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Diversified Financial Services - (continued)
GE Capital International Funding Co. Unlimited Co., Senior Notes		2.342	%		11/15/20		17,167,000		$	17,130,193
GE Capital International Funding Co. Unlimited Co., Senior Notes		4.418	%		11/15/35		20,571,000			21,564,121
ILFCE-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.800%)		4.020	%		12/21/65		2,870,000			2,015,027	(e)(f)
International Lease Finance Corp., Senior Notes		8.625	%		1/15/22		8,880,000			10,081,965
International Lease Finance Corp., Senior Notes		5.875	%		8/15/22		3,540,000			3,879,752
Magnolia Finance X Ltd., 2015-3GNA A1 (3 mo. GBP LIBOR + 2.483%)		3.303	%		3/12/20		43,426,923	GBP		51,847,102	(b)(c)(e)(f)
Magnolia Finance X Ltd., 2015-3GNA A2 (3 mo. GBP LIBOR + 3.750%)		4.573	%		3/12/20		14,328,680	GBP		17,106,912	(b)(c)(e)(f)
Park Aerospace Holdings Ltd., Senior Notes		5.250	%		8/15/22		9,280,000			9,803,392	(f)
Park Aerospace Holdings Ltd., Senior Notes		4.500	%		3/15/23		1,170,000			1,213,641	(f)
Park Aerospace Holdings Ltd., Senior Notes		5.500	%		2/15/24		2,790,000			3,017,803	(f)
Syngenta Finance NV, Senior Notes		3.933	%		4/23/21		22,950,000			23,377,101	(f)
Total Diversified Financial Services										180,369,535
Insurance - 0.3%
Ambac Assurance Corp., Subordinated Notes		5.100	%		6/7/20		298,643			435,273	(f)
Ambac LSNI LLC, Senior Secured Notes (3 mo. USD LIBOR + 5.000%)		7.104	%		2/12/23		1,273,907			1,289,831	(e)(f)
American International Group Inc., Junior Subordinated Notes (6.250% to 3/15/37 then 3 mo. USD LIBOR + 2.056%)		6.250	%		3/15/37		446,000			475,701	(e)(g)

See Notes to Schedule of Investments.

33

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Insurance - (continued)
American International Group Inc., Senior Notes		3.750	%		7/10/25		12,460,000	$	13,175,016
Berkshire Hathaway Finance Corp., Senior Notes		4.250	%		1/15/49		19,600,000		23,238,877
Brighthouse Financial Inc., Senior Notes		4.700	%		6/22/47		2,900,000		2,592,248
Chubb INA Holdings Inc., Senior Notes		2.300	%		11/3/20		4,100,000		4,113,913
Chubb INA Holdings Inc., Senior Notes		3.350	%		5/3/26		5,420,000		5,792,920
MetLife Capital Trust IV, Junior Subordinated Notes		7.875	%		12/15/37		8,900,000		11,717,695	(f)
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		6,522,938	(g)
Prudential Financial Inc., Senior Notes		4.500	%		11/16/21		300,000		314,783
Reliance Standard Life Global Funding II, Senior Secured Notes		2.500	%		1/15/20		3,726,000		3,728,912	(f)
Teachers Insurance & Annuity Association of America, Subordinated Notes		4.900	%		9/15/44		7,755,000		9,654,313	(f)
Total Insurance									83,052,420
TOTAL FINANCIALS									3,049,791,942
HEALTH CARE - 2.7%
Biotechnology - 0.3%
AbbVie Inc., Senior Notes		3.600	%		5/14/25		9,430,000		9,815,654
Amgen Inc., Senior Notes		2.125	%		5/1/20		3,318,000		3,317,193
Amgen Inc., Senior Notes		3.625	%		5/22/24		1,480,000		1,568,923
Amgen Inc., Senior Notes		4.663	%		6/15/51		1,933,000		2,266,782
Celgene Corp., Senior Notes		2.250	%		8/15/21		10,330,000		10,333,515
Celgene Corp., Senior Notes		3.550	%		8/15/22		4,650,000		4,824,110
Celgene Corp., Senior Notes		3.625	%		5/15/24		2,200,000		2,324,641
Celgene Corp., Senior Notes		3.875	%		8/15/25		9,750,000		10,531,882
Celgene Corp., Senior Notes		5.250	%		8/15/43		3,712,000		4,690,436
Celgene Corp., Senior Notes		5.000	%		8/15/45		15,520,000		19,487,961
Gilead Sciences Inc., Senior Notes		2.550	%		9/1/20		2,500,000		2,512,468

See Notes to Schedule of Investments.

34

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Biotechnology - (continued)
Gilead Sciences Inc., Senior Notes		3.700	%		4/1/24		399,000	$	422,629
Gilead Sciences Inc., Senior Notes		3.500	%		2/1/25		5,000,000		5,282,191
Gilead Sciences Inc., Senior Notes		3.650	%		3/1/26		1,560,000		1,673,345
Gilead Sciences Inc., Senior Notes		4.750	%		3/1/46		6,165,000		7,348,912
Total Biotechnology									86,400,642
Health Care Equipment & Supplies - 0.2%
Abbott Laboratories, Senior Notes		3.750	%		11/30/26		6,580,000		7,174,243
Abbott Laboratories, Senior Notes		4.750	%		11/30/36		6,660,000		8,154,584
Abbott Laboratories, Senior Notes		4.900	%		11/30/46		10,150,000		13,112,087
Becton Dickinson and Co., Senior Notes		3.363	%		6/6/24		19,160,000		19,998,534
Becton Dickinson and Co., Senior Notes		3.734	%		12/15/24		3,922,000		4,152,562
Becton Dickinson and Co., Senior Notes		4.685	%		12/15/44		2,251,000		2,617,113
Medtronic Inc., Senior Notes		3.500	%		3/15/25		9,418,000		10,115,758
Total Health Care Equipment & Supplies									65,324,881
Health Care Providers & Services - 1.5%
Aetna Inc., Senior Notes		2.800	%		6/15/23		2,610,000		2,643,194
Anthem Inc., Senior Notes		3.700	%		8/15/21		2,130,000		2,182,016
Anthem Inc., Senior Notes		3.125	%		5/15/22		5,280,000		5,402,946
Anthem Inc., Senior Notes		2.950	%		12/1/22		9,320,000		9,504,985
Anthem Inc., Senior Notes		3.350	%		12/1/24		4,140,000		4,307,320
Anthem Inc., Senior Notes		3.650	%		12/1/27		7,305,000		7,682,604
Anthem Inc., Senior Notes		4.375	%		12/1/47		4,000,000		4,324,618
Centene Corp., Senior Notes		5.625	%		2/15/21		2,660,000		2,699,129
Centene Corp., Senior Notes		4.750	%		5/15/22		5,032,000		5,152,516
Centene Corp., Senior Notes		6.125	%		2/15/24		7,362,000		7,667,155
Centene Corp., Senior Notes		4.750	%		1/15/25		3,120,000		3,210,480
Centene Corp., Senior Notes		5.375	%		6/1/26		1,130,000		1,185,087	(f)
Cigna Corp., Senior Notes		3.400	%		9/17/21		9,330,000		9,544,116
Cigna Corp., Senior Notes		3.750	%		7/15/23		24,540,000		25,719,924
Cigna Corp., Senior Notes		4.125	%		11/15/25		8,050,000		8,654,684

See Notes to Schedule of Investments.

35

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Health Care Providers & Services - (continued)
Cigna Corp., Senior Notes		4.375	%		10/15/28		22,000,000	$	24,083,057
CommonSpirit Health, Secured Notes		4.350	%		11/1/42		1,410,000		1,514,168
CVS Health Corp., Senior Notes		3.350	%		3/9/21		4,402,000		4,473,645
CVS Health Corp., Senior Notes		2.750	%		12/1/22		16,440,000		16,643,429
CVS Health Corp., Senior Notes		3.700	%		3/9/23		28,650,000		29,841,668
CVS Health Corp., Senior Notes		4.100	%		3/25/25		13,250,000		14,166,302
CVS Health Corp., Senior Notes		3.875	%		7/20/25		4,447,000		4,708,845
CVS Health Corp., Senior Notes		4.300	%		3/25/28		89,790,000		97,174,264
CVS Health Corp., Senior Notes		5.125	%		7/20/45		12,410,000		14,088,163
CVS Health Corp., Senior Notes		5.050	%		3/25/48		10,960,000		12,458,409
Fresenius Medical Care U.S. Finance II Inc., Senior Notes		5.875	%		1/31/22		5,140,000		5,486,572	(f)
Fresenius Medical Care U.S. Finance II Inc., Senior Notes		4.750	%		10/15/24		780,000		840,643	(f)
Fresenius Medical Care U.S. Finance Inc., Senior Notes		5.750	%		2/15/21		2,045,000		2,130,164	(f)
HCA Inc., Senior Notes		7.690	%		6/15/25		723,000		871,215
HCA Inc., Senior Notes		5.875	%		2/15/26		240,000		268,872
HCA Inc., Senior Notes		5.375	%		9/1/26		498,000		548,398
HCA Inc., Senior Notes		5.625	%		9/1/28		140,000		156,352
HCA Inc., Senior Notes		7.500	%		11/15/95		15,410,000		17,201,412
HCA Inc., Senior Secured Notes		4.750	%		5/1/23		4,150,000		4,448,892
HCA Inc., Senior Secured Notes		5.000	%		3/15/24		330,000		360,705
HCA Inc., Senior Secured Notes		5.250	%		6/15/26		2,960,000		3,300,415
HCA Inc., Senior Secured Notes		4.500	%		2/15/27		1,780,000		1,911,314
HCA Inc., Senior Secured Notes		5.500	%		6/15/47		5,920,000		6,665,613
Humana Inc., Senior Notes		3.150	%		12/1/22		2,470,000		2,530,002
Humana Inc., Senior Notes		3.950	%		3/15/27		8,340,000		8,859,208
Humana Inc., Senior Notes		4.625	%		12/1/42		3,460,000		3,857,742
Humana Inc., Senior Notes		4.950	%		10/1/44		2,476,000		2,876,743
Humana Inc., Senior Notes		4.800	%		3/15/47		600,000		691,516
UnitedHealth Group Inc., Senior Notes		2.700	%		7/15/20		10,392,000		10,451,844
UnitedHealth Group Inc., Senior Notes		3.875	%		10/15/20		3,000,000		3,043,796
UnitedHealth Group Inc., Senior Notes		2.875	%		12/15/21		6,088,000		6,206,590
UnitedHealth Group Inc., Senior Notes		3.875	%		12/15/28		2,622,000		2,889,163

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Health Care Providers & Services - (continued)
UnitedHealth Group Inc., Senior Notes		5.700	%		10/15/40		10,000,000	$	13,270,245
UnitedHealth Group Inc., Senior Notes		3.700	%		8/15/49		6,465,000		6,863,595
UnitedHealth Group Inc., Senior Notes		3.875	%		8/15/59		6,775,000		7,206,246
Total Health Care Providers & Services									431,969,981
Pharmaceuticals - 0.7%
Allergan Funding SCS, Senior Notes		3.450	%		3/15/22		7,230,000		7,411,605
Allergan Funding SCS, Senior Notes		3.800	%		3/15/25		10,140,000		10,624,899
Allergan Funding SCS, Senior Notes		4.550	%		3/15/35		140,000		148,854
Allergan Funding SCS, Senior Notes		4.750	%		3/15/45		472,000		500,892
Bausch Health Americas Inc., Senior Notes		9.250	%		4/1/26		4,631,000		5,273,505	(f)
Bausch Health Americas Inc., Senior Notes		8.500	%		1/31/27		36,000		40,493	(f)
Bausch Health Cos. Inc., Senior Notes		6.125	%		4/15/25		100,000		103,875	(f)
Bausch Health Cos. Inc., Senior Notes		9.000	%		12/15/25		5,050,000		5,687,562	(f)
Bausch Health Cos. Inc., Senior Notes		7.250	%		5/30/29		160,000		175,168	(f)
Bristol-Myers Squibb Co., Senior Notes		2.600	%		5/16/22		14,560,000		14,766,175	(f)
Bristol-Myers Squibb Co., Senior Notes		2.900	%		7/26/24		27,420,000		28,287,194	(f)
Bristol-Myers Squibb Co., Senior Notes		3.200	%		6/15/26		18,350,000		19,266,594	(f)
Bristol-Myers Squibb Co., Senior Notes		3.400	%		7/26/29		8,710,000		9,311,348	(f)
Eli Lilly & Co., Senior Notes		3.100	%		5/15/27		2,160,000		2,273,231
GlaxoSmithKline Capital PLC, Senior Notes		2.850	%		5/8/22		1,000,000		1,021,279
Johnson & Johnson, Senior Notes		3.625	%		3/3/37		29,750,000		33,215,547
Pfizer Inc., Senior Notes		7.200	%		3/15/39		5,000		7,851

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - (continued)
Teva Pharmaceutical Finance Co. BV, Senior Notes		3.650	%		11/10/21		3,190,000	$	2,962,712
Teva Pharmaceutical Finance Co. BV, Senior Notes		2.950	%		12/18/22		1,667,000		1,435,704
Teva Pharmaceutical Finance IV BV, Senior Notes		3.650	%		11/10/21		3,639,000		3,370,624
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.200	%		7/21/21		34,239,000		31,457,081
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.800	%		7/21/23		12,997,000		10,527,570
Wyeth LLC, Senior Notes		5.950	%		4/1/37		5,098,000		6,933,462
Total Pharmaceuticals									194,803,225
TOTAL HEALTH CARE									778,498,729
INDUSTRIALS - 1.8%
Aerospace & Defense - 0.6%
Boeing Co., Senior Notes		4.875	%		2/15/20		3,180,000		3,209,842
Boeing Co., Senior Notes		3.100	%		5/1/26		3,720,000		3,899,738
Boeing Co., Senior Notes		2.700	%		2/1/27		5,050,000		5,140,356
Boeing Co., Senior Notes		2.800	%		3/1/27		4,740,000		4,843,217
Boeing Co., Senior Notes		3.200	%		3/1/29		16,620,000		17,463,519
Boeing Co., Senior Notes		3.250	%		2/1/35		24,995,000		25,946,610
Boeing Co., Senior Notes		3.750	%		2/1/50		6,570,000		7,115,404
Lockheed Martin Corp., Senior Notes		3.100	%		1/15/23		2,269,000		2,340,682
Lockheed Martin Corp., Senior Notes		3.550	%		1/15/26		13,115,000		14,071,663
Lockheed Martin Corp., Senior Notes		4.500	%		5/15/36		2,420,000		2,910,273
Northrop Grumman Corp., Senior Notes		2.930	%		1/15/25		16,925,000		17,458,611
Northrop Grumman Corp., Senior Notes		3.250	%		1/15/28		29,720,000		31,218,271
Raytheon Co., Senior Notes		3.125	%		10/15/20		4,520,000		4,574,670
United Technologies Corp., Senior Notes		3.950	%		8/16/25		14,150,000		15,513,642

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Aerospace & Defense - (continued)
United Technologies Corp., Senior Notes		4.125	%		11/16/28		11,520,000	$	13,044,358
United Technologies Corp., Senior Notes		4.500	%		6/1/42		4,109,000		4,929,569
Total Aerospace & Defense									173,680,425
Air Freight & Logistics - 0.0%
XPO Logistics Inc., Senior Notes		6.500	%		6/15/22		4,080,000		4,169,760	(f)
Airlines - 0.1%
Air 2 U.S. Pass-Through Certificates		8.027	%		10/1/19		57,442		57,478	(f)
Continental Airlines Pass-Through Trust		6.703	%		6/15/21		19,016		20,288
Continental Airlines Pass-Through Trust		5.983	%		4/19/22		7,804,669		8,243,291
Delta Air Lines Pass-Through Trust		6.821	%		8/10/22		5,923,928		6,509,509
Total Airlines									14,830,566
Commercial Services & Supplies - 0.3%
Cintas Corp. No 2, Senior Notes		2.900	%		4/1/22		7,980,000		8,157,200
Cintas Corp. No 2, Senior Notes		3.700	%		4/1/27		7,500,000		8,184,815
Republic Services Inc., Senior Notes		2.500	%		8/15/24		9,100,000		9,206,991
United Rentals North America Inc., Senior Notes		5.500	%		7/15/25		2,505,000		2,615,846
United Rentals North America Inc., Senior Notes		5.875	%		9/15/26		3,060,000		3,274,353
United Rentals North America Inc., Senior Notes		6.500	%		12/15/26		3,620,000		3,957,565
United Rentals North America Inc., Senior Notes		5.500	%		5/15/27		490,000		521,237
United Rentals North America Inc., Senior Notes		4.875	%		1/15/28		5,413,000		5,649,819
United Rentals North America Inc., Senior Notes		5.250	%		1/15/30		1,560,000		1,640,933
Waste Management Inc., Senior Notes		4.600	%		3/1/21		2,370,000		2,439,489
Waste Management Inc., Senior Notes		3.500	%		5/15/24		4,440,000		4,681,517

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Commercial Services & Supplies - (continued)
Waste Management Inc., Senior Notes		3.200	%		6/15/26		4,980,000	$	5,255,444
Waste Management Inc., Senior Notes		3.450	%		6/15/29		5,990,000		6,474,267
Waste Management Inc., Senior Notes		4.000	%		7/15/39		5,470,000		6,224,545
Waste Management Inc., Senior Notes		4.150	%		7/15/49		7,460,000		8,706,654
Total Commercial Services & Supplies									76,990,675
Electrical Equipment - 0.1%
ABB Finance USA Inc., Senior Notes		4.375	%		5/8/42		1,373,000		1,667,232
Eaton Corp., Senior Notes		2.750	%		11/2/22		25,195,000		25,646,008
Eaton Corp., Senior Notes		4.150	%		11/2/42		4,160,000		4,615,773
Total Electrical Equipment									31,929,013
Industrial Conglomerates - 0.4%
3M Co., Senior Notes		2.375	%		8/26/29		10,110,000		10,069,267
General Electric Co., Senior Notes		5.500	%		1/8/20		1,640,000		1,652,842
General Electric Co., Senior Notes		4.375	%		9/16/20		4,836,000		4,920,339
General Electric Co., Senior Notes		4.650	%		10/17/21		410,000		426,617
General Electric Co., Senior Notes		6.750	%		3/15/32		10,280,000		12,937,064
General Electric Co., Senior Notes		6.150	%		8/7/37		5,260,000		6,485,051
General Electric Co., Senior Notes		5.875	%		1/14/38		16,543,000		19,920,487
General Electric Co., Senior Notes		6.875	%		1/10/39		35,494,000		47,031,389
General Electric Co., Subordinated Notes		5.300	%		2/11/21		4,382,000		4,528,759
Total Industrial Conglomerates									107,971,815
Machinery - 0.0%
John Deere Capital Corp., Senior Notes		1.700	%		1/15/20		2,490,000		2,486,817
Road & Rail - 0.2%
Union Pacific Corp., Senior Notes		3.750	%		7/15/25		8,730,000		9,409,176

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Road & Rail - (continued)
Union Pacific Corp., Senior Notes		3.950	%		9/10/28		28,460,000	$	31,420,139
Union Pacific Corp., Senior Notes		4.500	%		9/10/48		23,430,000		27,998,185
Total Road & Rail									68,827,500
Trading Companies & Distributors - 0.0%
Ashtead Capital Inc., Secured Notes		4.125	%		8/15/25		3,066,000		3,134,985	(f)
Transportation Infrastructure - 0.1%
DP World PLC, Senior Notes		5.625	%		9/25/48		24,030,000		27,871,436	(f)
TOTAL INDUSTRIALS									511,892,992
INFORMATION TECHNOLOGY - 1.4%
Communications Equipment - 0.0%
CommScope Technologies LLC, Senior Notes		5.000	%		3/15/27		2,740,000		2,274,200	(f)
Harris Corp., Senior Notes		4.854	%		4/27/35		2,988,000		3,542,486
Harris Corp., Senior Notes		5.054	%		4/27/45		6,087,000		7,647,960
Total Communications Equipment									13,464,646
IT Services - 0.3%
International Business Machines Corp., Senior Notes		3.000	%		5/15/24		40,290,000		41,800,838
Visa Inc., Senior Notes		3.150	%		12/14/25		26,130,000		27,872,480
Visa Inc., Senior Notes		4.300	%		12/14/45		16,470,000		20,467,297
Total IT Services									90,140,615
Semiconductors & Semiconductor Equipment - 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd., Senior Notes		3.125	%		1/15/25		9,800,000		9,738,340
Intel Corp., Senior Notes		3.700	%		7/29/25		4,050,000		4,391,861
Total Semiconductors & Semiconductor Equipment									14,130,201
Software - 0.7%
Microsoft Corp., Senior Notes		1.550	%		8/8/21		18,543,000		18,470,846
Microsoft Corp., Senior Notes		2.400	%		2/6/22		14,850,000		15,062,304
Microsoft Corp., Senior Notes		2.875	%		2/6/24		19,298,000		20,115,837
Microsoft Corp., Senior Notes		2.700	%		2/12/25		4,322,000		4,483,723
Microsoft Corp., Senior Notes		2.400	%		8/8/26		74,200,000		75,631,428
Microsoft Corp., Senior Notes		3.300	%		2/6/27		40,450,000		43,672,677
Microsoft Corp., Senior Notes		3.450	%		8/8/36		770,000		852,466
Microsoft Corp., Senior Notes		4.100	%		2/6/37		4,530,000		5,380,307
Microsoft Corp., Senior Notes		3.950	%		8/8/56		3,840,000		4,555,150

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Software - (continued)
salesforce.com Inc., Senior Notes		3.250	%		4/11/23		11,370,000	$	11,868,447
salesforce.com Inc., Senior Notes		3.700	%		4/11/28		3,480,000		3,822,805
Total Software									203,915,990
Technology Hardware, Storage & Peripherals - 0.3%
Apple Inc., Senior Notes		2.000	%		11/13/20		11,350,000		11,375,815
Apple Inc., Senior Notes		1.550	%		8/4/21		5,190,000		5,166,017
Apple Inc., Senior Notes		2.450	%		8/4/26		32,030,000		32,485,370
Dell International LLC/EMC Corp., Senior Secured Notes		4.420	%		6/15/21		37,507,000		38,684,338	(f)
Total Technology Hardware, Storage & Peripherals									87,711,540
TOTAL INFORMATION TECHNOLOGY									409,362,992
MATERIALS - 1.2%
Chemicals - 0.1%
Equate Petrochemical BV, Senior Notes		4.250	%		11/3/26		12,930,000		13,953,151	(f)
LyondellBasell Industries NV, Senior Notes		6.000	%		11/15/21		2,360,000		2,517,285
LyondellBasell Industries NV, Senior Notes		5.750	%		4/15/24		2,690,000		3,038,148
Nutrien Ltd., Senior Notes		4.875	%		3/30/20		330,000		334,063
OCP SA, Senior Notes		4.500	%		10/22/25		10,510,000		11,074,912	(f)
Total Chemicals									30,917,559
Containers & Packaging - 0.0%
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes		6.000	%		2/15/25		940,000		985,214	(f)
Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA, Senior Secured Notes		6.875	%		2/15/21		1,789,865		1,796,577
Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA, Senior Secured Notes		5.125	%		7/15/23		5,190,000		5,326,238	(f)
WestRock RKT Co., Senior Notes		4.000	%		3/1/23		2,250,000		2,362,642
Total Containers & Packaging									10,470,671

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Metals & Mining - 1.1%
Alcoa Nederland Holding BV, Senior Notes		6.750	%		9/30/24		5,065,000	$	5,337,244	(f)
Alcoa Nederland Holding BV, Senior Notes		7.000	%		9/30/26		5,150,000		5,613,654	(f)
Alcoa Nederland Holding BV, Senior Notes		6.125	%		5/15/28		435,000		464,319	(f)
Anglo American Capital PLC, Senior Notes		3.750	%		4/10/22		12,605,000		12,947,383	(f)
Anglo American Capital PLC, Senior Notes		3.625	%		9/11/24		3,400,000		3,514,826	(f)
Anglo American Capital PLC, Senior Notes		4.750	%		4/10/27		9,785,000		10,561,081	(f)
Anglo American Capital PLC, Senior Notes		4.000	%		9/11/27		13,125,000		13,565,488	(f)
ArcelorMittal, Senior Notes		6.250	%		2/25/22		3,510,000		3,793,962
ArcelorMittal, Senior Notes		6.125	%		6/1/25		17,210,000		19,380,097
ArcelorMittal, Senior Notes		4.550	%		3/11/26		8,835,000		9,251,565
ArcelorMittal, Senior Notes		7.000	%		10/15/39		3,490,000		4,233,647
Barrick Gold Corp., Senior Notes		5.250	%		4/1/42		1,590,000		1,932,568
Barrick North America Finance LLC, Senior Notes		5.700	%		5/30/41		8,454,000		10,642,664
Barrick North America Finance LLC, Senior Notes		5.750	%		5/1/43		8,260,000		10,833,651
BHP Billiton Finance USA Ltd., Senior Notes		2.875	%		2/24/22		983,000		1,003,075
BHP Billiton Finance USA Ltd., Senior Notes		5.000	%		9/30/43		7,630,000		9,863,375
BHP Billiton Finance USA Ltd., Senior Notes (6.750% to 10/19/25 then USD 5 year ICE Swap Rate + 5.093%)		6.750	%		10/19/75		28,735,000		33,627,708	(e)(f)
Freeport-McMoRan Inc., Senior Notes		3.550	%		3/1/22		4,116,000		4,136,580
Freeport-McMoRan Inc., Senior Notes		3.875	%		3/15/23		40,000		40,400
Freeport-McMoRan Inc., Senior Notes		4.550	%		11/14/24		130,000		133,549
Freeport-McMoRan Inc., Senior Notes		5.450	%		3/15/43		10,332,000		9,360,792

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Metals & Mining - (continued)
Glencore Finance Canada Ltd., Senior Notes		6.000	%		11/15/41		2,120,000	$	2,428,234	(f)
Glencore Funding LLC, Senior Notes		2.875	%		4/16/20		2,010,000		2,016,997	(f)
Glencore Funding LLC, Senior Notes		3.000	%		10/27/22		21,610,000		21,839,714	(f)
Glencore Funding LLC, Senior Notes		4.125	%		5/30/23		3,200,000		3,351,018	(f)
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		36,668,000		38,488,327	(f)
Glencore Funding LLC, Senior Notes		4.000	%		3/27/27		18,190,000		18,713,500	(f)
Southern Copper Corp., Senior Notes		5.250	%		11/8/42		24,800,000		28,037,695
Teck Resources Ltd., Senior Notes		6.000	%		8/15/40		641,000		694,644
Vale Overseas Ltd., Senior Notes		6.875	%		11/21/36		6,581,000		8,371,032
Yamana Gold Inc., Senior Notes		4.625	%		12/15/27		10,350,000		10,970,488
Total Metals & Mining									305,149,277
Paper & Forest Products - 0.0%
Resolute Forest Products Inc., Senior Notes		5.875	%		5/15/23		9,650,000		9,698,250
TOTAL MATERIALS									356,235,757
REAL ESTATE - 0.1%
Equity Real Estate Investment Trusts (REITs) - 0.1%
CoreCivic Inc., Senior Notes		4.750	%		10/15/27		634,000		559,505
MGM Growth Properties Operating Partnership LP/MGP FinanceCo-Issuer Inc., Senior Notes		4.500	%		1/15/28		340,000		354,450
WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes		3.750	%		9/17/24		23,980,000		25,427,207	(f)
WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes		4.750	%		9/17/44		600,000		702,066	(f)
TOTAL REAL ESTATE									27,043,228

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
UTILITIES - 0.6%
Electric Utilities - 0.6%
Berkshire Hathaway Energy Co., Senior Notes		6.125	%		4/1/36		156,000	$	216,342
Duke Energy Carolinas LLC, Secured Bonds		5.300	%		2/15/40		3,000,000		3,895,134
Duke Energy Ohio Inc., Secured Bonds		3.650	%		2/1/29		7,740,000		8,475,351
Duke Energy Progress LLC, Secured Bonds		2.800	%		5/15/22		400,000		407,710
Exelon Corp., Senior Notes		5.625	%		6/15/35		5,126,000		6,416,764
FirstEnergy Corp., Senior Notes		4.250	%		3/15/23		18,500,000		19,578,943
FirstEnergy Corp., Senior Notes		3.900	%		7/15/27		15,802,000		16,852,747
FirstEnergy Corp., Senior Notes		7.375	%		11/15/31		56,186,000		79,553,602
FirstEnergy Corp., Senior Notes		4.850	%		7/15/47		10,344,000		12,385,386
Progress Energy Inc., Senior Notes		4.400	%		1/15/21		5,200,000		5,323,729
Progress Energy Inc., Senior Notes		6.000	%		12/1/39		4,800,000		6,354,446
Total Electric Utilities									159,460,154
Multi-Utilities - 0.0%
Dominion Energy Inc., Senior Notes		7.000	%		6/15/38		3,600,000		5,033,680
TOTAL UTILITIES									164,493,834
TOTAL CORPORATE BONDS & NOTES (Cost - $7,545,457,025)									8,111,915,747
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 17.5%
U.S. Government Agencies - 0.5%
Federal Home Loan Bank (FHLB), Global Bonds		5.500	%		7/15/36		2,585,000		3,763,073
Federal National Mortgage Association (FNMA), Notes		6.625	%		11/15/30		45,010,000		65,972,003
Federal National Mortgage Association (FNMA), Subordinated Notes		0.000	%		10/9/19		83,870,000		83,826,508
Total U.S. Government Agencies									153,561,584
U.S. Government Obligations - 17.0%
Department of Housing and Urban Development, Notes		2.850	%		8/1/24		4,537,000		4,728,232
Department of Housing and Urban Development, Senior Notes		2.450	%		8/1/22		9,000,000		9,180,357

See Notes to Schedule of Investments.

45

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
U.S. Government Obligations - (continued)
U.S. Treasury Bonds		3.750	%		11/15/43		469,310,000	$	617,463,466
U.S. Treasury Bonds		3.625	%		2/15/44		260,890,000		337,337,903
U.S. Treasury Bonds		2.875	%		8/15/45		529,920,000		610,774,197
U.S. Treasury Bonds		2.750	%		8/15/47		379,513,000		429,657,639
U.S. Treasury Bonds		2.750	%		11/15/47		206,740,000		234,209,769
U.S. Treasury Bonds		3.000	%		2/15/48		19,420,000		23,062,388
U.S. Treasury Bonds		3.125	%		5/15/48		518,890,000		630,826,331
U.S. Treasury Bonds		3.000	%		8/15/48		108,599,000		129,175,541
U.S. Treasury Bonds		3.000	%		2/15/49		6,725,000		8,019,825
U.S. Treasury Bonds		2.875	%		5/15/49		220,040,000		256,681,818
U.S. Treasury Bonds		2.250	%		8/15/49		128,360,000		132,042,829
U.S. Treasury Notes		2.750	%		9/30/20		93,520,000		94,376,658
U.S. Treasury Notes		1.750	%		11/30/21		13,580,000		13,612,889
U.S. Treasury Notes		1.875	%		2/28/22		43,670,000		43,933,555
U.S. Treasury Notes		1.875	%		4/30/22		71,400,000		71,895,058
U.S. Treasury Notes		2.125	%		5/15/22		1,410,000		1,428,699
U.S. Treasury Notes		2.875	%		9/30/23		560,000		588,230
U.S. Treasury Notes		3.000	%		9/30/25		69,500,000		75,024,707
U.S. Treasury Notes		2.625	%		1/31/26		316,450,000		335,671,866
U.S. Treasury Notes		1.875	%		7/31/26		175,240,000		178,156,102
U.S. Treasury Notes		1.375	%		8/31/26		163,520,000		160,917,094
U.S. Treasury Notes		1.625	%		9/30/26		100,750,000		100,783,452
U.S. Treasury Notes		3.125	%		11/15/28		5,000		5,614
U.S. Treasury Notes		2.375	%		5/15/29		121,060,000		128,578,962
U.S. Treasury Notes		1.625	%		8/15/29		329,260,000		327,780,902
U.S. Treasury Strip Principal (STRIPS)		0.000	%		11/15/24		6,080,000		5,619,789
Total U.S. Government Obligations									4,961,533,872
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $4,724,938,074)									5,115,095,456
COLLATERALIZED MORTGAGE OBLIGATIONS(k)- 8.9%
Alternative Loan Trust, 2006-6CB 1A4		5.500	%		5/25/36		5,237,663		4,965,166
Alternative Loan Trust, 2006-18CB A6(-4.000 x 1 mo. USD LIBOR + 28.600%)		20.526	%		7/25/36		7,489,277		12,546,291	(e)
Alternative Loan Trust, 2006-23CB 2A6, PAC(-4.000 x 1 mo. USD LIBOR + 28.400%)		20.326	%		8/25/36		2,976,683		4,613,585	(e)
Alternative Loan Trust, 2006-43CB 1A10		6.000	%		2/25/37		5,427,675		4,561,757

See Notes to Schedule of Investments.

46

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k)- (continued)
Alternative Loan Trust, 2006-43CB 3A3, IO(-1.000 x 1 mo. USD LIBOR + 6.630%)		4.612	%		2/25/37		14,860,541	$	4,511,188	(e)
Alternative Loan Trust, 2006-OA9 2A1B (1 mo. USD LIBOR + 0.200%)		2.244	%		7/20/46		425,450		354,934	(e)
Banc of America Funding Trust,2015-R2 3A1 (1 mo. USD LIBOR + 0.260%)		2.278	%		4/29/37		6,250,557		6,259,128	(e)(f)
Banc of America Funding Trust,2015-R2 3A2 (1 mo. USD LIBOR + 0.260%)		2.278	%		4/29/37		25,428,000		25,088,015	(e)(f)
Banc of America Funding Trust,2015-R2 10A1 (1 mo. USD LIBOR + 0.190%)		2.208	%		6/29/37		5,257,368		5,273,192	(e)(f)
BBCCRE Trust,2015-GTP E		4.715	%		8/10/33		33,260,000		32,785,962	(e)(f)
BBCMS Trust,2018-CBM D (1 mo. USD LIBOR + 2.391%)		4.419	%		7/15/37		16,390,000		16,431,696	(e)(f)
BCAP LLC Trust,2010-RR9 6A2		6.000	%		10/26/35		14,289,189		13,241,005	(e)(f)
Bear Stearns Asset Backed Securities I Trust,2004-AC6 A1		5.750	%		11/25/34		3,069,012		3,103,084
Bear Stearns Asset Backed Securities I Trust,2006-AC4 A2(-4.333 x 1 mo. USD LIBOR + 33.583%)		24.837	%		7/25/36		2,905,408		5,043,766	(e)
Bear Stearns Mortgage Funding Trust,2007-AR2 A1 (1 mo. USD LIBOR + 0.170%)		2.188	%		3/25/37		18,293,318		17,310,873	(e)
BHMS Mortgage Trust, 2018-MZB (1 mo. USD LIBOR + 6.637%)		8.664	%		7/15/20		93,060,000		94,026,633	(e)(f)
Chevy Chase Funding LLC Mortgage-Backed Certificates Series,2005-4A A1 (1 mo. USD LIBOR + 0.200%)		2.218	%		10/25/36		370,790		361,248	(e)(f)
CHT Mortgage Trust, 2017-CSMO A (1 mo. USD LIBOR + 0.930%)		2.958	%		11/15/36		17,095,000		17,118,024	(e)(f)
Citigroup Commercial Mortgage Trust, 2014-GC25 AS		4.017	%		10/10/47		2,800,000		2,986,984
Citigroup Commercial Mortgage Trust,2017-P7 B		4.137	%		4/14/50		9,194,000		9,948,814	(e)

See Notes to Schedule of Investments.

47

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k)- (continued)
Citigroup Mortgage Loan Trust,2006-AR9 1A4 (1 mo. USD LIBOR + 0.240%)		2.258	%		11/25/36		1,289,067	$	1,302,154	(e)
Citigroup Mortgage Loan Trust Inc.,2005-5 1A5		3.224	%		8/25/35		62,336		55,165	(e)
Commercial Mortgage Pass-Through Certificates, 2014- CR21 A3		3.528	%		12/10/47		558,602		591,032
Commercial Mortgage Pass-Through Certificates,2015-DC1 C		4.487	%		2/10/48		3,070,000		3,192,543	(e)
Commercial Mortgage Trust, 2013-CR12 AM		4.300	%		10/10/46		1,723,000		1,844,046
Commercial Mortgage Trust, 2013-CR12 B		4.762	%		10/10/46		1,470,000		1,548,661	(e)
Commercial Mortgage Trust, 2013-CR12 C		5.250	%		10/10/46		730,000		742,326	(e)
Commercial Mortgage Trust, 2014-CR19 B		4.703	%		8/10/47		8,410,000		9,117,405	(e)
Commercial Mortgage Trust, 2014-CR21 C		4.579	%		12/10/47		11,948,000		12,718,709	(e)
Commercial Mortgage Trust,2015-DC1 B		4.035	%		2/10/48		7,160,000		7,521,972	(e)
Credit Suisse Commercial Mortgage Trust,2006-C3 AJ		6.703	%		6/15/38		1,508,876		852,348	(e)
Credit Suisse Commercial Mortgage Trust,2006-C5 AJ		5.373	%		12/15/39		5,899,773		4,013,279
Credit Suisse Commercial Mortgage Trust,2007-C5 AM		5.869	%		9/15/40		4,456,928		3,387,550	(e)
Credit Suisse Mortgage Trust,2014-USA A2		3.953	%		9/15/37		12,520,000		13,426,325	(f)
Credit Suisse Mortgage Trust,2014-USA E		4.373	%		9/15/37		1,970,000		1,900,024	(f)
Credit Suisse Mortgage Trust,2015-2R 7A1		4.102	%		8/27/36		16,294,773		16,553,502	(e)(f)
Credit Suisse Mortgage Trust, 2017-CHOP G (1 mo. USD LIBOR + 5.620%)		7.648	%		7/15/32		23,400,000		23,153,504	(e)(f)
CSMC Trust,2014-USA D		4.373	%		9/15/37		10,950,000		10,944,640	(f)
CSMC Trust,2015-4R 3A3 (1 mo. USD LIBOR + 0.310%)		2.765	%		10/27/36		48,456,954		27,202,135	(e)(f)

See Notes to Schedule of Investments.

48

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k)- (continued)
CSMC Trust, 2015-GLPA A		3.881	%		11/15/37		4,004,378	$	4,389,059	(f)
CSMC Trust, 2017-TIME A		3.646	%		11/13/39		21,200,000		22,570,389	(f)
CSMC Trust,2018-J1 A2		3.500	%		2/25/48		196,778,208		197,746,711	(e)(f)
CSMC Trust, 2018-PLUM A (1 mo. USD LIBOR + 3.231%)		5.259	%		8/15/20		16,828,401		16,849,572	(e)(f)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K007 X1, IO		1.202	%		4/25/20		58,291,166		135,247	(e)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K016 X1, IO		1.635	%		10/25/21		7,289,584		189,571	(e)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K091 A2		3.505	%		3/25/29		28,490,000		31,662,333
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K092 X1, IO		0.852	%		4/25/29		41,769,525		2,499,919	(e)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K095 X1, IO		1.083	%		6/25/29		39,996,443		3,061,728	(e)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K095 XAM, IO		1.372	%		6/25/29		6,300,000		660,248	(e)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K735 X1, IO		1.102	%		5/25/26		69,889,382		3,942,628	(e)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K736 X1, IO		1.312	%		7/25/26		58,550,000		4,369,007	(e)
Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA		6.000	%		5/15/36		7,264,094		8,394,158

See Notes to Schedule of Investments.

49

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 2957 ZA, PAC		5.000	%		3/15/35		11,396,531	$	12,574,623
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3242 SC, IO(-1.000 x 1 mo. USD LIBOR + 6.290%)		4.263	%		11/15/36		1,244,942		221,486	(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3281 AI, IO (-1.000 x 1 mo. USD LIBOR + 6.430%)		4.403	%		2/15/37		6,784,552		1,251,866	(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3368 AI, IO (-1.000 x 1 mo. USD LIBOR + 6.030%)		4.003	%		9/15/37		1,838,290		285,463	(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3422 AI, IO		0.250	%		1/15/38		771,380		4,327
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3621 SB, IO(-1.000 x 1 mo. USD LIBOR + 6.230%)		4.203	%		1/15/40		2,722,646		452,745	(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3639 EY		5.000	%		2/15/30		4,894,877		5,256,945
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3768 MB,PAC-1		4.000	%		12/15/39		15,854,176		16,623,545
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG,IO(-1.000 x 1 mo. USD LIBOR + 5.950%)		3.923	%		10/15/41		8,144,490		1,202,475	(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3973 SA,IO(-1.000 x 1 mo. USD LIBOR + 6.490%)		4.463	%		12/15/41		5,186,152		1,127,088	(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4054 SA,IO(-1.000 x 1 mo. USD LIBOR + 6.050%)		4.023	%		8/15/39		3,131,774		534,109	(e)

See Notes to Schedule of Investments.

50

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k)- (continued)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4099 ST, IO(-1.000 x 1 mo. USD LIBOR + 6.000%)		3.973	%		8/15/42		1,730,915	$	276,911	(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4119 IN, IO		3.500	%		10/15/32		4,326,273		481,394
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4146 DI, IO		3.000	%		12/15/31		3,304,087		265,329
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4174 SA, IO(-1.000 x 1 mo. USD LIBOR + 6.200%)		4.173	%		5/15/39		2,836,330		228,955	(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4203 PS, IO, PAC(-1.000 x 1 mo. USD LIBOR + 6.250%)		4.223	%		9/15/42		3,067,584		440,398	(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4239 IO, IO		3.500	%		6/15/27		3,386,001		265,060
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4298 PI, IO, PAC		4.000	%		4/15/43		2,310,256		174,833
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4415 IO, IO		2.027	%		4/15/41		6,439,858		369,117	(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4793 CB		3.000	%		5/15/48		43,572,545		44,524,187
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4793 CD		3.000	%		6/15/48		32,791,203		33,200,447
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ		3.000	%		8/15/48		41,206,417		41,206,169
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 283 IO, IO		3.500	%		10/15/27		843,961		72,738
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 328 S4, IO		2.166	%		2/15/38		1,218,711		87,953	(e)

See Notes to Schedule of Investments.

51

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k)- (continued)
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 334 S7, IO(-1.000 x 1 mo. USD LIBOR + 6.100%)		4.073	%		8/15/44		10,161,246	$	2,019,266	(e)
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 353 S1, IO(-1.000 x 1 mo. USD LIBOR + 6.000%)		3.973	%		12/15/46		22,656,823		3,881,282	(e)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-DNA1 M2 (1 mo. USD LIBOR + 1.800%)		3.818	%		7/25/30		55,580,000		55,641,527	(e)(f)
Federal National Mortgage Association (FNMA) - CAS,2014-C03 1M1 (1 mo. USD LIBOR + 3.000%)		5.018	%		7/25/24		65,793,205		69,130,927	(e)
Federal National Mortgage Association (FNMA) - CAS,2015-C01 2M2 (1 mo. USD LIBOR + 4.550%)		6.568	%		2/25/25		4,132,595		4,291,028	(e)
Federal National Mortgage Association (FNMA) - CAS,2015-C03 1M2 (1 mo. USD LIBOR + 5.000%)		7.018	%		7/25/25		24,696,281		26,714,029	(e)(f)
Federal National Mortgage Association (FNMA) - CAS,2017-C03 1M1 (1 mo. USD LIBOR + 0.950%)		2.968	%		10/25/29		17,993,495		18,027,719	(e)(f)
Federal National Mortgage Association (FNMA) - CAS,2018-C05 1B1 (1 mo. USD LIBOR + 4.250%)		6.268	%		1/25/31		19,130,000		20,853,621	(e)(f)
Federal National Mortgage Association (FNMA) ACES,2019-M1 A2		3.673	%		9/25/28		65,930,000		73,087,915	(e)
Federal National Mortgage Association (FNMA) ACES,2019-M4 A2		3.610	%		2/25/31		12,170,000		13,643,434
Federal National Mortgage Association (FNMA) ACES,2019-M5 A2		3.273	%		1/25/29		22,830,000		24,728,018

See Notes to Schedule of Investments.

52

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Federal National Mortgage Association (FNMA) ACES,2019-M6 A2		3.450	%		1/1/29		25,350,000	$	28,117,148
Federal National Mortgage Association (FNMA) REMIC,2005-88 IP, IO		1.897	%		10/25/35		2,668,927		275,663	(e)
Federal National Mortgage Association (FNMA) REMIC,2006-28 IP, IO		2.074	%		4/25/36		1,718,772		144,780
Federal National Mortgage Association (FNMA) REMIC,2006-59 IP, IO		2.299	%		7/25/36		3,537,109		440,937	(e)
Federal National Mortgage Association (FNMA) REMIC,2006-118 IP1, IO		2.279	%		12/25/36		4,233,105		445,947	(e)
Federal National Mortgage Association (FNMA) REMIC,2006-118 IP2, IO		2.279	%		12/25/36		5,231,625		545,130	(e)
Federal National Mortgage Association (FNMA) REMIC, 2010-27 AS, IO(-1.000 x 1 mo. USD LIBOR + 6.480%)		4.462	%		4/25/40		2,176,858		438,275	(e)
Federal National Mortgage Association (FNMA) REMIC,2010-123 PM, PAC		4.000	%		7/25/40		17,384,647		18,187,338
Federal National Mortgage Association (FNMA) REMIC,2011-59 NZ		5.500	%		7/25/41		1,040,070		1,182,344
Federal National Mortgage Association (FNMA) REMIC, 2011-99 KS, IO(-1.000 x 1 mo. USD LIBOR + 6.700%)		4.682	%		10/25/26		1,067,404		99,089	(e)
Federal National Mortgage Association (FNMA) REMIC,2012-28 B		6.500	%		6/25/39		1,242,762		1,343,173
Federal National Mortgage Association (FNMA) REMIC,2012-035 SC, IO(-1.000 x 1 mo. USD LIBOR + 6.500%)		4.482	%		4/25/42		2,776,296		459,655	(e)
Federal National Mortgage Association (FNMA) REMIC,2012-046 BA		6.000	%		5/25/42		4,240,773		4,817,637

See Notes to Schedule of Investments.

53

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Federal National Mortgage Association (FNMA) REMIC,2012-51 B		7.000	%		5/25/42		6,207,967	$	7,473,801
Federal National Mortgage Association (FNMA) REMIC,2012-070 YS, IO(-1.000 x 1 mo. USD LIBOR + 6.650%)		4.632	%		2/25/41		1,184,440		92,852	(e)
Federal National Mortgage Association (FNMA) REMIC,2012-074 OA, PO		0.000	%		3/25/42		412,827		379,639
Federal National Mortgage Association (FNMA) REMIC,2012-074 SA, IO(-1.000 x 1 mo. USD LIBOR + 6.650%)		4.632	%		3/25/42		4,679,829		649,555	(e)
Federal National Mortgage Association (FNMA) REMIC,2012-075 AO, PO		0.000	%		3/25/42		247,019		227,161
Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO(-1.000 x 1 mo. USD LIBOR + 6.600%)		4.582	%		7/25/42		667,532		114,155	(e)
Federal National Mortgage Association (FNMA) REMIC,2012-93 UI, IO		3.000	%		9/25/27		1,416,674		97,444
Federal National Mortgage Association (FNMA) REMIC,2012-101 BI, IO		4.000	%		9/25/27		2,090,093		149,839
Federal National Mortgage Association (FNMA) REMIC,2012-133 CS, IO(-1.000 x 1 mo. USD LIBOR + 6.150%)		4.132	%		12/25/42		3,941,821		703,341	(e)
Federal National Mortgage Association (FNMA) REMIC,2012-134 MS, IO(-1.000 x 1 mo. USD LIBOR + 6.150%)		4.132	%		12/25/42		2,901,205		557,324	(e)
Federal National Mortgage Association (FNMA) REMIC,2012-134 SK, IO(-1.000 x 1 mo. LIBOR + 6.150%)		4.132	%		12/25/42		10,002,415		1,687,732	(e)
Federal National Mortgage Association (FNMA) REMIC,2013-9 BC		6.500	%		7/25/42		5,571,876		6,543,330

See Notes to Schedule of Investments.

54

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Federal National Mortgage Association (FNMA) REMIC,2013-9 CB		5.500	%		4/25/42		15,688,500	$	17,630,498
Federal National Mortgage Association (FNMA) REMIC,2013-9 SA, IO(-1.000 x 1 mo. LIBOR + 6.150%)		4.132	%		3/25/42		5,090,910		763,178	(e)
Federal National Mortgage Association (FNMA) REMIC,2013-014 IG, IO		4.000	%		3/25/43		7,589,015		780,479
Federal National Mortgage Association (FNMA) REMIC,2013-026 HI, IO		3.000	%		4/25/32		4,352,194		225,740
Federal National Mortgage Association (FNMA) REMIC,2013-029 QI, IO		4.000	%		4/25/43		7,559,905		735,757
Federal National Mortgage Association (FNMA) REMIC, 2013-54 BS, IO(-1.000 x 1 mo. USD LIBOR + 6.150%)		4.132	%		6/25/43		7,603,172		1,594,396	(e)
Federal National Mortgage Association (FNMA) REMIC,2013-124 SB, IO(-1.000 x 1 mo. USD LIBOR + 5.950%)		3.932	%		12/25/43		15,555,620		2,895,755	(e)
Federal National Mortgage Association (FNMA) REMIC,2014-47 AI, IO		2.009	%		8/25/44		6,217,508		339,643	(e)
Federal National Mortgage Association (FNMA) REMIC,2015-55 IO, IO		1.820	%		8/25/55		12,705,711		715,654	(e)
Federal National Mortgage Association (FNMA) REMIC, 2015-56 AS, IO(-1.000 x 1 mo. USD LIBOR + 6.150%)		4.132	%		8/25/45		3,405,609		779,597	(e)
Federal National Mortgage Association (FNMA) REMIC, 2016-23 ST, IO(-1.000 x 1 mo. LIBOR + 6.000%)		3.982	%		11/25/45		19,883,606		4,243,639	(e)
Federal National Mortgage Association (FNMA) REMIC, 2016-60 QS, IO(-1.000 x 1 mo. USD LIBOR + 6.100%)		4.082	%		9/25/46		21,265,444		3,793,902	(e)

See Notes to Schedule of Investments.

55

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Federal National Mortgage Association (FNMA) REMIC, 2016-61 BS, IO(-1.000 x 1 mo. LIBOR + 6.100%)		4.082	%		9/25/46		9,617,806	$	1,641,569	(e)
Federal National Mortgage Association (FNMA) REMIC, 2017-76 SB, IO(-1.000 x 1 mo. USD LIBOR + 6.100%)		4.082	%		10/25/57		40,329,637		7,983,687	(e)
Federal National Mortgage Association (FNMA) REMIC, 2017-85 SC, IO(-1.000 x 1 mo. USD LIBOR + 6.200%)		4.182	%		11/25/47		13,533,351		2,268,701	(e)
Federal National Mortgage Association (FNMA) STRIPS, 390 C3, IO		6.000	%		7/25/38		1,155,498		217,734
Federal National Mortgage Association (FNMA) STRIPS, 407 22, IO		5.000	%		1/25/39		522,969		73,068
Federal National Mortgage Association (FNMA) STRIPS, 407 23, IO		5.000	%		1/25/39		279,530		41,943	(e)
Federal National Mortgage Association (FNMA) STRIPS, 407 27, IO		5.500	%		1/25/39		235,184		36,996	(e)
Federal National Mortgage Association (FNMA) STRIPS, 407 34, IO		5.000	%		1/25/38		328,885		47,590
Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO		6.000	%		1/25/38		1,434,736		290,655
Federal National Mortgage Association (FNMA) STRIPS, 409 C1, IO		3.000	%		11/25/26		4,308,943		287,027
Federal National Mortgage Association (FNMA) STRIPS, 409 C13, IO		3.500	%		11/25/41		5,377,836		870,681
Federal National Mortgage Association (FNMA) STRIPS, 409 C18, IO		4.000	%		4/25/42		3,669,240		546,215
Federal National Mortgage Association (FNMA) STRIPS, 409 C2, IO		3.000	%		4/25/27		218,560		15,148

See Notes to Schedule of Investments.

56

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Federal National Mortgage Association (FNMA) STRIPS, 409 C22, IO		4.500	%		11/25/39		1,564,003	$	326,893
Federal National Mortgage Association (FNMA) STRIPS, 20384 14, IO		5.500	%		1/25/40		601,536		111,102
First Horizon Alternative Mortgage Securities Trust, 2007- FA3 A1 (1 mo. USD LIBOR + 0.330%)		2.348	%		6/25/37		10,013,568		5,173,284	(e)
Flagstar Mortgage Trust,2018-2 A4		3.500	%		4/25/48		49,685,362		50,695,072	(e)(f)
FREMF Mortgage Trust, 2012- K20 X2A, IO		0.200	%		5/25/45		183,116,852		804,560	(f)
GE Business Loan Trust,2007-1A A (1 mo. USD LIBOR + 0.170%)		2.198	%		4/15/35		3,244,456		3,180,717	(e)(f)
GE Capital Commercial Mortgage Corp.,2007-C1 AJ		5.677	%		12/10/49		34,897,000		8,202,055	(e)
Government National Mortgage Association (GNMA), 2006-16 GS, IO(-1.000 x 1 mo. LIBOR + 6.990%)		4.946	%		4/20/36		674,262		129,454	(e)
Government National Mortgage Association (GNMA), 2007-51 SG, IO(-1.000 x 1 mo. LIBOR + 6.580%)		4.536	%		8/20/37		2,634,701		395,420	(e)
Government National Mortgage Association (GNMA),2010-31 GS, IO,PAC-1(-1.000 x 1 mo. USD LIBOR + 6.500%)		4.456	%		3/20/39		326,067		10,766	(e)
Government National Mortgage Association (GNMA), 2010-42 BS, IO(-1.000 x 1 mo. USD LIBOR + 6.480%)		4.436	%		4/20/40		496,635		100,422	(e)
Government National Mortgage Association (GNMA),2010-42 PC,PAC-1		5.000	%		7/20/39		6,360,872		6,700,762
Government National Mortgage Association (GNMA),2010-85 HS, IO, PAC(-1.000 x 1 mo. USD LIBOR + 6.650%)		4.606	%		1/20/40		266,797		23,530	(e)

See Notes to Schedule of Investments.

57

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Government National Mortgage Association (GNMA),2010-86 PB,PAC-1		4.500	%		10/20/39		14,445,271	$	15,038,030
Government National Mortgage Association (GNMA),2010-116 MH		5.000	%		7/20/40		27,300,669		31,254,327
Government National Mortgage Association (GNMA),2010-118 IO, IO		0.000	%		4/16/53		2,159,453		3,444	(e)
Government National Mortgage Association (GNMA),2010-H10 FC (1 mo. USD LIBOR + 1.000%)		3.140	%		5/20/60		579,976		586,489	(e)
Government National Mortgage Association (GNMA),2010-H26 LF (1 mo. USD LIBOR + 0.350%)		2.579	%		8/20/58		1,433,776		1,430,347	(e)
Government National Mortgage Association (GNMA),2010-H27 FA (1 mo. USD LIBOR + 0.380%)		2.609	%		12/20/60		334,795		333,991	(e)
Government National Mortgage Association (GNMA),2010-H28 FE (1 mo. USD LIBOR + 0.400%)		2.629	%		12/20/60		6,657,132		6,646,656	(e)
Government National Mortgage Association (GNMA),2011-140 AI, IO		4.000	%		10/16/26		232,556		18,208
Government National Mortgage Association (GNMA),2011-H06 FA (1 mo. USD LIBOR + 0.450%)		2.679	%		2/20/61		2,037,980		2,036,999	(e)
Government National Mortgage Association (GNMA),2011-H08 FG (1 mo. USD LIBOR + 0.480%)		2.709	%		3/20/61		6,833,979		6,835,815	(e)
Government National Mortgage Association (GNMA),2011-H09 AF (1 mo. USD LIBOR + 0.500%)		2.729	%		3/20/61		6,093,353		6,097,636	(e)

See Notes to Schedule of Investments.

58

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Government National Mortgage Association (GNMA),2012-034 SA, IO(-1.000 x 1 mo. USD LIBOR + 6.050%)		4.006	%		3/20/42		1,815,540	$	355,283	(e)
Government National Mortgage Association (GNMA),2012-066 CI, IO		3.500	%		2/20/38		4,201,068		202,178
Government National Mortgage Association (GNMA),2012-081 AI, IO		3.500	%		4/20/27		1,760,289		124,912
Government National Mortgage Association (GNMA),2012-098 SA, IO(-1.000 x 1 mo. USD LIBOR + 6.100%)		4.073	%		8/16/42		3,388,784		667,519	(e)
Government National Mortgage Association (GNMA),2012-152 IO, IO		0.790	%		1/16/54		72,477,643		3,787,848	(e)
Government National Mortgage Association (GNMA),2013-150 IA, IO		1.394	%		11/20/42		2,221,251		93,455	(e)
Government National Mortgage Association (GNMA),2014-117 SJ, IO, PAC(-1.000 x 1 mo. USD LIBOR + 5.600%)		3.556	%		8/20/44		688,976		116,725	(e)
Government National Mortgage Association (GNMA),2014-160 EI, IO		4.000	%		7/16/26		5,104,196		394,410
Government National Mortgage Association (GNMA),2014-176 IA, IO, PAC		4.000	%		11/20/44		887,848		143,837
Government National Mortgage Association (GNMA), 2016-21 ST, IO(-1.000 x 1 mo. LIBOR + 6.150%)		4.106	%		2/20/46		25,947,534		4,525,291	(e)
Government National Mortgage Association (GNMA),2016-84 IG, IO, PAC		4.500	%		11/16/45		5,549,494		945,690
Government National Mortgage Association (GNMA),2016-135 SB, IO(-1.000 x 1 mo. USD LIBOR + 6.100%)		4.073	%		10/16/46		7,611,407		1,691,338	(e)

See Notes to Schedule of Investments.

59

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Government National Mortgage Association (GNMA),2017-41 IO, IO		0.792	%		7/16/58		26,711,161	$	1,723,319	(e)
Government National Mortgage Association (GNMA),2017-111 IO, IO		0.740	%		2/16/59		14,940,551		983,405	(e)
Government National Mortgage Association (GNMA),2017-145 IO, IO		0.666	%		4/16/57		86,788,152		5,094,577	(e)
Government National Mortgage Association (GNMA),2017-H15 KI, IO		2.354	%		7/20/67		37,280,284		5,147,363	(e)
Government National Mortgage Association (GNMA),2017-H18 BI, IO		1.339	%		9/20/67		29,927,991		2,863,723	(e)
Government National Mortgage Association (GNMA),2017-H20 IB, IO		1.942	%		10/20/67		15,012,793		1,683,231	(e)
Government National Mortgage Association (GNMA),2017-H22 IC, IO		2.186	%		11/20/67		4,494,716		518,892	(e)
Government National Mortgage Association (GNMA),2018-37 QA		2.750	%		3/20/48		10,053,571		10,219,058
Government National Mortgage Association (GNMA),2018-119 IO, IO		0.653	%		5/16/60		17,798,238		1,192,959	(e)
Government National Mortgage Association (GNMA),2018-H06 PF (1 mo. USD LIBOR + 0.300%)		2.529	%		2/20/68		19,327,354		19,243,556	(e)
Government National Mortgage Association (GNMA),2018-H07 FD (1 mo. USD LIBOR + 0.300%)		2.529	%		5/20/68		33,326,152		33,174,261	(e)
Government National Mortgage Association (GNMA),2018-H08 KF (1 mo. USD LIBOR + 0.300%)		2.529	%		5/20/68		16,089,796		16,002,023	(e)

See Notes to Schedule of Investments.

60

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Government National Mortgage Association (GNMA),2018-H13 FC (1 mo. USD LIBOR + 0.300%)		2.529	%		7/20/68		10,384,864	$	10,324,388	(e)
Government National Mortgage Association (GNMA),2018-H17 FG (12 mo. USD LIBOR + 0.250%)		3.250	%		10/20/68		7,127,511		7,059,330	(e)
Government National Mortgage Association (GNMA),2019-90 AB		3.000	%		7/20/49		13,935,372		14,205,679
GreenPoint Mortgage Funding Trust,2005-AR4 1A2A (1 mo. USD LIBOR + 0.640%)		2.658	%		10/25/45		2,394,360		2,450,248	(e)
GreenPoint Mortgage Funding Trust,2005-AR5 2A1 (1 mo. USD LIBOR + 0.560%)		2.578	%		11/25/45		15,600,048		10,949,574	(e)
GreenPoint Mortgage Funding Trust,2006-AR3 3A1 (1 mo. USD LIBOR + 0.230%)		2.248	%		4/25/36		740,139		997,051	(e)
GS Mortgage Securities Corp. II, 2018-SRP5 A (1 mo. USD LIBOR + 1.300%)		3.328	%		9/15/31		139,880,000		138,478,402	(e)(f)
GS Mortgage Securities Trust, 2013-GC16 B		5.161	%		11/10/46		4,302,000		4,748,738	(e)
GS Mortgage Securities Trust, 2015-GC30 B		4.147	%		5/10/50		16,340,000		17,384,750	(e)
GS Mortgage Securities Trust,2017-GS8 A4		3.469	%		11/10/50		5,490,000		5,898,465
GSR Mortgage Loan Trust,2005-AR7 1A1		4.267	%		11/25/35		795,980		637,190	(e)
HarborView Mortgage Loan Trust,2005-3 2A1A (1 mo. USD LIBOR + 0.480%)		2.537	%		6/19/35		3,868,903		3,904,270	(e)
HarborView Mortgage Loan Trust,2005-7 1A1 (11th District Cost of Funds + 1.850%)		3.005	%		6/19/45		2,368,915		1,562,184	(e)
HarborView Mortgage Loan Trust,2006-2 1A		4.974	%		2/25/36		757,300		491,369	(e)
HarborView Mortgage Loan Trust,2006-13 A (1 mo. USD LIBOR + 0.180%)		2.237	%		11/19/46		193,970		166,920	(e)

See Notes to Schedule of Investments.

61

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Impac CMB Trust,2005-7 A1 (1 mo. USD LIBOR + 0.520%)		2.538	%		11/25/35		3,285,399	$	3,076,456	(e)
Impac CMB Trust,2007-A A (1 mo. USD LIBOR + 0.500%)		2.518	%		5/25/37		7,591,254		7,712,189	(e)(f)
IndyMac INDX Mortgage Loan Trust, 2005-AR13 1A1		4.045	%		8/25/35		162,512		134,100	(e)
IndyMac INDX Mortgage Loan Trust,2006-AR2 1A1B (1 mo. USD LIBOR + 0.210%)		2.228	%		4/25/46		5,431,659		5,168,121	(e)
Jefferies Resecuritization Trust,2015-R1 A2 (1 mo. USD LIBOR + 0.140%)		2.285	%		12/26/36		18,386,177		12,236,424	(e)(f)
JPMBB Commercial Mortgage Securities Trust,2013-C17 B		5.055	%		1/15/47		1,602,000		1,755,287	(e)
JPMBB Commercial Mortgage Securities Trust,2014-C25 AS		4.065	%		11/15/47		5,930,000		6,349,453
JPMBB Commercial Mortgage Securities Trust,2015-C30 B		4.411	%		7/15/48		19,921,000		21,435,984	(e)
JPMBB Commercial Mortgage Securities Trust,2015-C31 B		4.770	%		8/15/48		10,543,000		11,589,328	(e)
JPMDB Commercial Mortgage Securities Trust,2017-C5 A5		3.694	%		3/15/50		620,000		676,125
JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP7 AJ		6.273	%		4/17/45		4,576,420		2,539,913	(e)
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-CB19 AJ		6.004	%		2/12/49		15,431,165		10,320,158	(e)
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ		6.613	%		2/15/51		1,114,576		1,068,606	(e)
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LDPX AJFX		5.438	%		1/15/49		47,100,000		9,308,660	(f)
JPMorgan Chase Commercial Mortgage Securities Trust,2015-FL7 D (1 mo. USD LIBOR + 3.750%)		5.778	%		5/15/28		11,407,035		11,191,707	(e)(f)
JPMorgan Mortgage Trust,2018-3 A1		3.500	%		9/25/48		44,963,568		45,910,950	(e)(f)

See Notes to Schedule of Investments.

62

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
JPMorgan Mortgage Trust,2018-4 A1		3.500	%		10/25/48		39,089,019	$	39,804,235	(e)(f)
JPMorgan Mortgage Trust,2018-5 A1		3.500	%		10/25/48		91,540,492		93,432,973	(e)(f)
JPMorgan Resecuritization Trust,2015-1 4A1 (1 mo. USD LIBOR + 0.300%)		2.357	%		9/27/36		8,961,382		8,786,953	(e)(f)
JPMorgan Resecuritization Trust,2015-1 4A2		2.316	%		9/27/36		14,122,625		10,990,320	(e)(f)
Lehman Mortgage Trust,2006-7 3A4, IO(-1.000 x 1 mo. USD LIBOR + 7.150%)		5.132	%		11/25/36		7,671,726		2,741,763	(e)
Lone Star Portfolio Trust, 2015- LSMZ M (1 mo. USD LIBOR + 7.218%)		9.245	%		9/15/20		5,399,033		5,380,676	(e)(f)
Lone Star Portfolio Trust, 2015- LSP E (1 mo. USD LIBOR + 5.850%)		7.878	%		9/15/28		38,778,969		39,211,990	(e)(f)
Lone Star Portfolio Trust, 2015- LSP F (1 mo. USD LIBOR + 7.150%)		9.178	%		9/15/28		13,844,281		13,958,048	(e)(f)
Magnolia Finance XI DAC,2019-2 A (1 mo. USD LIBOR + 2.750%, 0.000% Floor)		0.000	%		7/31/21		54,425,000		54,425,000	(e)(f)
MASTR Adjustable Rate Mortgages Trust,2004-6 5A1		4.720	%		7/25/34		308,207		298,237	(e)
MASTR Adjustable Rate Mortgages Trust,2006-OA1 1A1 (1 mo. USD LIBOR + 0.210%)		2.228	%		4/25/46		169,595		157,672	(e)
MASTR Reperforming Loan Trust,2005-1 1A1		6.000	%		8/25/34		1,602,106		1,546,240	(f)
MASTR Reperforming Loan Trust,2005-2 1A1F (1 mo. USD LIBOR + 0.350%)		2.368	%		5/25/35		2,338,393		1,667,587	(e)(f)
MASTR Reperforming Loan Trust,2005-1 1A3		7.000	%		8/25/34		2,291,120		2,385,677	(f)
ML-CFC Commercial Mortgage Trust,2007-5 AJ		5.450	%		8/12/48		4,987,591		3,132,212	(e)
ML-CFC Commercial Mortgage Trust,2007-5 AJFL		5.450	%		8/12/48		787,590		494,607	(e)(f)

See Notes to Schedule of Investments.

63

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
ML-CFC Commercial Mortgage Trust,2007-9 AJ		6.193	%		9/12/49		1,980,247	$	857,823	(e)
Morgan Stanley Capital I Trust, 2007-IQ13 AJ		5.438	%		3/15/44		171,455		171,314
Morgan Stanley Mortgage Loan Trust,2004-5AR 2A		4.413	%		7/25/34		18,506		18,496	(e)
Morgan Stanley Mortgage Loan Trust,2005-3AR 2A2		3.608	%		7/25/35		1,144,392		1,079,731	(e)
Morgan Stanley Resecuritization Trust,2015-R3 7A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 0.770%)		3.252	%		4/26/47		13,078,846		12,990,132	(e)(f)
Mortgage Loan Resecuritization Trust,2009-RS1 A85 (1 mo. USD LIBOR + 0.340%)		2.440	%		4/16/36		52,277,955		45,728,170	(e)(f)
Multifamily Trust,2016-1 B		10.957	%		4/25/46		4,322,931		4,267,507	(e)(f)
New Residential Mortgage Loan Trust,2019-3A A1A		3.750	%		11/25/58		61,663,198		64,346,348	(e)(f)
Nomura Asset Acceptance Corp. Alternative Loan Trust Series,2005-AP2 A5		5.476	%		5/25/35		76,479		60,398
Nomura Resecuritization Trust,2015-5R 3A5 (1 mo. USD LIBOR + 0.260%)		2.665	%		2/26/46		9,812,994		8,987,806	(e)(f)
Prime Mortgage Trust,2006-1 3A2, IO(-1.000 x 1 mo. USD LIBOR + 7.150%)		5.132	%		6/25/36		12,727,989		2,586,556	(e)
Prime Mortgage Trust, 2006- DR1 2A2		6.000	%		5/25/35		30,054,180		26,050,347	(f)
RALI Series Trust,2007-QS4 3A9		6.000	%		3/25/37		2,507,241		2,358,770
RAMP Series Trust,2004-SL4 A5		7.500	%		7/25/32		524,532		357,610
RAMP Series Trust,2005-SL1 A7		8.000	%		5/25/32		263,532		208,726
RBSGC Mortgage Loan Trust,2007-B 1A4 (1 mo. USD LIBOR + 0.450%)		2.468	%		1/25/37		8,423,211		4,523,927	(e)
RBSSP Resecuritization Trust,2009-12 9A2		4.273	%		3/25/36		9,402,834		8,633,178	(e)(f)

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
Redwood Funding Trust,2019-1 PT		4.213	%		9/27/24		39,321,000	$	39,628,687	(f)
Reperforming Loan REMIC Trust,2006-R2 AS, IO		3.652	%		7/25/36		14,914,910		1,787,986	(e)(f)
Residential Asset Securitization Trust,2003-A14 A1		4.750	%		2/25/19		706		570
Residential Asset Securitization Trust,2004-A2 1A3, PAC (1 mo. USD LIBOR + 0.400%)		2.418	%		5/25/34		11,138		10,814	(e)
Rosslyn Portfolio Trust, 2017- ROSS A (1 mo. USD LIBOR + 0.950%)		2.978	%		6/15/33		31,270,000		31,297,649	(e)(f)
Shops at Crystals Trust, 2016-CSTL A		3.126	%		7/5/36		11,160,000		11,509,085	(f)
Structured Adjustable Rate Mortgage Loan Trust,2004-8 1A1		4.409	%		7/25/34		841		863	(e)
Structured Asset Mortgage Investments II Trust,2006-AR6 1A1 (1 mo. USD LIBOR + 0.180%)		2.198	%		7/25/46		135,678		128,019	(e)
Structured Asset Mortgage Investments Trust,2003-AR1 A1 (1 mo. USD LIBOR + 0.740%)		2.797	%		10/19/33		89,801		87,346	(e)
Structured Asset Securities Corp. Mortgage Loan Trust,2002-9 A2 (1 mo. USD LIBOR + 0.600%)		2.618	%		10/25/27		15,095		15,081	(e)
SunTrust Alternative Loan Trust,2006-1F 3A (1 mo. USD LIBOR + 0.350%)		2.368	%		4/25/36		18,409,212		5,027,456	(e)
UBS Commercial Mortgage Trust,2017-C1 A4		3.460	%		6/15/50		5,440,000		5,828,504
UBS Commercial Mortgage Trust,2017-C3 A4		3.426	%		8/15/50		6,000,000		6,421,850
Wachovia Bank Commercial Mortgage Trust,2007-C33 AJ		5.844	%		2/15/51		7,451,534		6,491,315	(e)
WaMu Mortgage Pass-Through Certificates Series Trust, 2003- AR9 1A7		4.319	%		9/25/33		8,384		8,807	(e)

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(k) - (continued)
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR15 A1C3 (1 mo. USD LIBOR + 0.480%)		2.498	%		11/25/45		30,753,127		$	22,365,713	(e)
Waterfall Commercial Mortgage Trust, 2015-SBC5 A		4.104	%		9/14/22		10,032,411			10,351,058	(e)(f)
Wells Fargo Alternative Loan Trust,2007-PA1 A12, IO(-1.000 x 1 mo. USD LIBOR + 5.460%)		3.442	%		3/25/37		14,040,073			1,494,557	(e)
Wells Fargo Alternative Loan Trust,2007-PA2 2A1 (1 mo. USD LIBOR + 0.430%)		2.448	%		6/25/37		5,293,712			4,376,582	(e)
Wells Fargo Commercial Mortgage Trust, 2013-LC12 B		4.420	%		7/15/46		450,000			470,077	(e)
Wells Fargo Commercial Mortgage Trust, 2014-LC18 AS		3.808	%		12/15/47		5,630,000			5,918,195
Wells Fargo Commercial Mortgage Trust,2017-C41 XA, IO		1.375	%		11/15/50		31,973,811			2,503,952	(e)
Wells Fargo Commercial Mortgage Trust,2018-C44 A5		4.212	%		5/15/51		7,530,000			8,520,071
Wells Fargo Mortgage Backed Securities Trust,2004-Y 1A2 (1 year Treasury Constant Maturity Rate + 2.490%)		4.897	%		11/25/34		25,898			27,063	(e)
Wells Fargo Mortgage Backed Securities Trust,2006-AR2 1A1		4.965	%		3/25/36		32,927,275			33,878,274	(e)
WFRBS Commercial Mortgage Trust,2012-C7 XA, IO		1.509	%		6/15/45		177,311			4,886	(e)(f)
WFRBS Commercial Mortgage Trust,2013-C14 D		4.110	%		6/15/46		3,030,000			2,928,934	(e)(f)
WFRBS Commercial Mortgage Trust,2014-C19 B		4.723	%		3/15/47		270,000			291,719	(e)
WFRBS Commercial Mortgage Trust,2014-C19 XA, IO		1.199	%		3/15/47		45,489,165			1,565,869	(e)
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $2,610,778,038)										2,605,553,567
SOVEREIGN BONDS - 7.1%
Argentina - 0.2%
Argentina POM Politica Monetaria, Bonds (Argentina Central Bank 7 Day Repo Reference Rate)		79.499	%		6/21/20		265,360,000	ARS		1,994,693	(e)

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Argentina - (continued)
Argentine Bonos del Tesoro, Bonds		18.200	%		10/3/21		626,050,000	ARS	$	2,881,006
Argentine Republic Government International Bond, Senior Notes		6.875	%		4/22/21		5,430,000			2,694,692
Argentine Republic Government International Bond, Senior Notes		5.625	%		1/26/22		50,540,000			21,985,405
Argentine Republic Government International Bond, Senior Notes		7.500	%		4/22/26		11,600,000			5,118,616
Argentine Republic Government International Bond, Senior Notes		5.875	%		1/11/28		1,390,000			568,176
Argentine Republic Government International Bond, Senior Notes		7.125	%		7/6/36		3,600,000			1,548,036
Argentine Republic Government International Bond, Senior Notes		7.625	%		4/22/46		5,450,000			2,389,880
Argentine Republic Government International Bond, Senior Notes		6.875	%		1/11/48		32,960,000			14,008,330
Argentine Republic Government International Bond, Senior Notes, Step Bond (3.750% to 3/31/2029 then 5.250%)		3.750	%		12/31/38		22,200,000			8,907,972
Provincia de Buenos Aires, Senior Notes		6.500	%		2/15/23		9,210,000			3,315,600	(f)
Provincia de Buenos Aires, Senior Notes		9.125	%		3/16/24		1,550,000			580,475	(f)
Provincia de Buenos Aires, Senior Notes		7.875	%		6/15/27		7,890,000			2,919,300	(f)
Total Argentina										68,912,181
Brazil - 1.2%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/21		497,723,000	BRL		126,563,352
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/23		270,145,000	BRL		72,221,744

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Brazil - (continued)
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		34,396,000	BRL	$	9,705,884
Brazilian Government International Bond, Senior Notes		2.625	%		1/5/23		4,490,000			4,493,368
Brazilian Government International Bond, Senior Notes		4.625	%		1/13/28		18,440,000			19,624,954
Brazilian Government International Bond, Senior Notes		5.625	%		1/7/41		25,970,000			29,119,122
Brazilian Government International Bond, Senior Notes		5.000	%		1/27/45		34,140,000			35,468,900
Brazilian Government International Bond, Senior Notes		5.625	%		2/21/47		50,990,000			57,204,916
Total Brazil										354,402,240
China - 0.2%
China Government Bond, Senior Notes		3.380	%		11/21/24		115,500,000	CNH		16,545,191	(l)
China Government Bond, Senior Notes		3.390	%		5/21/25		59,000,000	CNH		8,468,307	(l)
China Government Bond, Senior Notes		3.310	%		11/30/25		273,500,000	CNH		39,164,459	(l)
Total China										64,177,957
Colombia - 0.1%
Colombia Government International Bond, Senior Notes		5.625	%		2/26/44		19,220,000			24,097,267
Ecuador - 0.0%
Ecuador Government International Bond, Senior Notes		7.875	%		1/23/28		14,140,000			13,450,816	(f)
Egypt - 0.1%
Egypt Government International Bond, Senior Notes		5.577	%		2/21/23		15,630,000			15,993,913	(f)
Indonesia - 1.0%
Indonesia Government International Bond, Senior Notes		5.875	%		3/13/20		310,000			315,425	(l)
Indonesia Government International Bond, Senior Notes		4.875	%		5/5/21		510,000			529,370	(l)
Indonesia Government International Bond, Senior Notes		3.750	%		4/25/22		24,750,000			25,554,324	(l)
Indonesia Government International Bond, Senior Notes		3.750	%		4/25/22		370,000			382,024	(f)
Indonesia Government International Bond, Senior Notes		5.375	%		10/17/23		7,620,000			8,419,771	(l)

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Indonesia - (continued)
Indonesia Government International Bond, Senior Notes		3.850	%		7/18/27		10,410,000		$	11,013,310	(f)
Indonesia Government International Bond, Senior Notes		3.500	%		1/11/28		3,010,000			3,111,218
Indonesia Government International Bond, Senior Notes		4.625	%		4/15/43		5,050,000			5,657,310	(l)
Indonesia Government International Bond, Senior Notes		5.125	%		1/15/45		22,340,000			26,719,732	(f)
Indonesia Government International Bond, Senior Notes		5.125	%		1/15/45		3,610,000			4,317,736	(l)
Indonesia Government International Bond, Senior Notes		5.250	%		1/8/47		23,930,000			29,259,875	(f)
Indonesia Government International Bond, Senior Notes		4.750	%		7/18/47		3,900,000			4,465,792	(f)
Indonesia Government International Bond, Senior Notes		4.350	%		1/11/48		28,860,000			31,875,082
Indonesia Treasury Bond, Senior Notes		7.000	%		5/15/27		1,645,317,000,000	IDR		115,356,484
Indonesia Treasury Bond, Senior Notes		7.500	%		6/15/35		279,479,000,000	IDR		19,414,305
Total Indonesia										286,391,758
Kenya - 0.1%
Kenya Government International Bond, Senior Notes		6.875	%		6/24/24		7,780,000			8,224,970	(l)
Kenya Government International Bond, Senior Notes		7.250	%		2/28/28		8,110,000			8,430,953	(f)
Total Kenya										16,655,923
Kuwait - 0.1%
Kuwait International Government Bond, Senior Notes		3.500	%		3/20/27		24,270,000			26,208,688	(f)
Mexico - 1.9%
Mexican Bonos, Bonds		10.000	%		12/5/24		324,780,000	MXN		18,836,713
Mexican Bonos, Bonds		8.000	%		11/7/47		4,039,060,000	MXN		220,379,882
Mexican Bonos, Senior Notes		8.500	%		5/31/29		2,067,380,000	MXN		116,705,246
Mexican Bonos, Senior Notes		7.750	%		11/23/34		381,940,000	MXN		20,466,518
Mexican Bonos, Senior Notes		7.750	%		11/13/42		2,668,886,200	MXN		141,611,637
Mexico Government International Bond, Senior Notes		4.350	%		1/15/47		11,650,000			12,045,867

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Mexico - (continued)
Mexico Government International Bond, Senior Notes		4.600	%		2/10/48		28,480,000		$	30,509,485
Mexico Government International Bond, Senior Notes		5.750	%		10/12/2110		9,190,000			10,596,162
Total Mexico										571,151,510
Nigeria - 0.1%
Nigeria Government International Bond, Senior Notes		6.500	%		11/28/27		8,130,000			8,240,080	(f)
Nigeria Government International Bond, Senior Notes		7.143	%		2/23/30		9,270,000			9,506,524	(f)
Total Nigeria										17,746,604
Peru - 0.1%
Peruvian Government International Bond, Senior Notes		6.550	%		3/14/37		2,330,000			3,410,561
Peruvian Government International Bond, Senior Notes		5.625	%		11/18/50		14,180,000			20,809,292
Total Peru										24,219,853
Poland - 0.1%
Republic of Poland Government International Bond, Senior Notes		4.000	%		1/22/24		34,880,000			37,830,743
Qatar - 0.3%
Qatar Government International Bond, Senior Notes		4.000	%		3/14/29		22,950,000			25,461,602	(f)
Qatar Government International Bond, Senior Notes		4.817	%		3/14/49		50,690,000			62,849,416	(f)
Total Qatar										88,311,018
Russia - 1.2%
Russian Federal Bond - OFZ		7.000	%		1/25/23		1,326,230,000	RUB		20,709,474
Russian Federal Bond - OFZ		7.000	%		8/16/23		3,299,070,000	RUB		51,589,967
Russian Federal Bond - OFZ		7.750	%		9/16/26		256,110,000	RUB		4,166,235
Russian Federal Bond - OFZ		8.150	%		2/3/27		2,696,040,000	RUB		44,770,767
Russian Federal Bond - OFZ		7.050	%		1/19/28		6,370,818,000	RUB		99,613,346
Russian Federal Bond - OFZ		6.900	%		5/23/29		2,745,190,000	RUB		42,348,011
Russian Federal Bond - OFZ		7.650	%		4/10/30		5,213,630,000	RUB		84,610,249
Russian Federal Bond - OFZ		7.250	%		5/10/34		309,130,000	RUB		4,813,810
Total Russia										352,621,859

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
United Arab Emirates - 0.4%
Abu Dhabi Government International Bond, Senior Notes		2.500	%		10/11/22		26,930,000	$	27,233,232	(f)
Abu Dhabi Government International Bond, Senior Notes		3.125	%		9/30/49		80,700,000		78,379,875	(f)
Total United Arab Emirates									105,613,107
Uruguay - 0.0%
Uruguay Government International Bond, Senior Notes		7.875	%		1/15/33		1		1
TOTAL SOVEREIGN BONDS (Cost - $2,167,706,178)									2,067,785,438
						FACE AMOUNT†/ UNITS
ASSET-BACKED SECURITIES - 3.5%
Applebee’s Funding LLC,2019-1A A2I		4.194	%		6/7/49		20,030,000		20,512,923	(f)
Avis Budget Rental Car Funding AESOP LLC,2019-2A A		3.350	%		9/22/25		34,800,000		36,257,187	(f)
Avis Budget Rental Car Funding AESOP LLC,2019-3A A		2.360	%		3/20/26		30,370,000		30,285,119	(f)
Bear Stearns Asset Backed Securities I Trust,2005-CL1 A1 (1 mo. USD LIBOR + 0.500%)		2.019	%		9/25/34		1,474,214		1,440,176	(e)
Brazos Student Finance Corp.,2009-1 AS (3 mo. USD LIBOR + 2.500%)		4.606	%		12/27/39		6,062,967		6,207,703	(e)
CIT Mortgage Loan Trust,2007-1 1M1 (1 mo. USD LIBOR + 1.500%)		3.518	%		10/25/37		47,370,000		48,459,041	(e)(f)
CIT Mortgage Loan Trust,2007-1 1M2 (1 mo. USD LIBOR + 1.750%)		3.768	%		10/25/37		108,930,000		103,091,537	(e)(f)
Community Funding CLO,2015-1A A		5.750	%		11/1/27		36,638,237		38,507,446	(f)
Conseco Finance Corp.,1993-2 B		3.500	%		7/15/18		63		63	(e)
Conseco Finance Corp.,1999-3 A9		6.530	%		2/1/31		13,272,136		12,948,990	(e)
ContiMortgage Home Equity Loan Trust,1997-4 B1F		7.330	%		10/15/28		32,509		142,373	(e)

See Notes to Schedule of Investments.

71

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†/ UNITS		VALUE
ASSET-BACKED SECURITIES - (continued)
Countrywide Asset-Backed Certificates,2003-BC3 A2 (1 mo. USD LIBOR + 0.620%)		2.638	%		9/25/33		392,090	$	387,925	(e)
Countrywide Asset-Backed Certificates,2006-SD4 A1 (1 mo. USD LIBOR + 0.340%)		2.358	%		12/25/36		55,580		37,195	(e)(f)
Countrywide Home Equity Loan Trust,2006-E 2A (1 mo. USD LIBOR + 0.140%)		2.168	%		7/15/36		38,915		37,563	(e)
Countrywide Home Equity Loan Trust,2006-HW 2A1B (1 mo. USD LIBOR + 0.150%)		2.178	%		11/15/36		497,901		442,586	(e)
Countrywide Home Equity Loan Trust,2007-B A (1 mo. USD LIBOR + 0.150%)		2.178	%		2/15/37		6,233,727		6,039,720	(e)
Credit Suisse European Mortgage Capital Ltd., 2019-10TF A (3 mo. USD LIBOR + 2.900%, 0.000% Floor)		0.000	%		8/9/24		58,815,000		58,815,000	(f)
CWHEQ Revolving Home Equity Loan Trust Series,2006-I 2A (1 mo. USD LIBOR + 0.140%)		2.168	%		1/15/37		4,804,094		4,632,756	(e)
EFS Volunteer No 2 LLC,2012-1 A2 (1 mo. USD LIBOR + 1.350%)		3.368	%		3/25/36		14,686,100		14,800,050	(e)(f)
Fannie Mae Grantor Trust,2017-T1 A		2.898	%		6/25/27		6,788,409		7,115,977
Ford Credit Floorplan Master Owner Trust,2018-4 A		4.060	%		11/15/30		49,520,000		54,897,189
GMAC Mortgage Corp. Loan Trust,2004-HE3 A2VN (1 mo. USD LIBOR + 0.500%)		2.518	%		10/25/34		2,941,902		2,892,361	(e)(f)
Goal Capital Funding Trust,2005-2 A4 (3 mo. USD LIBOR + 0.200%)		2.332	%		8/25/44		36,254,270		35,470,811	(e)
Green Tree Home Improvement Loan Trust,201996-A B2		7.400	%		2/15/26		2,628		2,753
GSRPM Mortgage Loan Trust,2007-1 A (1 mo. USD LIBOR + 0.400%)		2.418	%		10/25/46		6,410,009		6,131,297	(e)(f)

See Notes to Schedule of Investments.

72

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†/ UNITS		VALUE
ASSET-BACKED SECURITIES - (continued)
Hertz Vehicle Financing II LP,2015-1A C		4.350	%		3/25/21		14,481,000	$	14,540,337	(f)
Hertz Vehicle Financing II LP,2016-2A D		5.970	%		3/25/22		10,226,000		10,421,854	(f)
Hertz Vehicle Financing II LP,2017-1A D		6.490	%		10/25/21		24,750,000		25,218,889	(f)
HSI Asset Securitization Corp. Trust, 2007-OPT1 1A (1 mo. USD LIBOR + 0.140%)		2.285	%		12/25/36		90,804,416		81,671,744	(e)
Long Beach Mortgage Loan Trust,2006-9 2A3 (1 mo. USD LIBOR + 0.160%)		2.178	%		10/25/36		3,769,610		1,629,048	(e)
Morgan Stanley ABS Capital I Inc. Trust,2003-HE3 M1 (1 mo. USD LIBOR + 1.020%)		3.038	%		10/25/33		280,605		281,689	(e)
Morgan Stanley Resecuritization Trust,2015-R7 1BXA		8.618	%		2/26/29		18,137,842		19,875,937	(e)(f)
Option One Mortgage Loan Trust, 2007-FXD2 1A1		5.820	%		3/25/37		34,019,413		34,938,580
Origen Manufactured Housing Contract Trust,2006-A A2		4.143	%		10/15/37		11,251,007		10,813,894	(e)
Origen Manufactured Housing Contract Trust,2007-A A2		4.752	%		4/15/37		15,115,682		14,714,542	(e)
Ownit Mortgage Loan Asset- Backed Certificates,2004-1 M2 (1 mo. USD LIBOR + 1.800%)		3.818	%		7/25/35		3,214,144		3,252,615	(e)
RAMP Series Trust,2006-RZ4 M1 (1 mo. USD LIBOR + 0.350%)		2.368	%		10/25/36		17,250,000		16,545,074	(e)
RAMP Trust,2003-RS7 MII1 (1 mo. USD LIBOR + 1.125%)		3.143	%		8/25/33		1,423,938		1,416,573	(e)
Ratchet Trading Ltd.,2018-1 A		15.190	%		1/26/27		4,379,480		4,256,372	(e)(f)
Renaissance Home Equity Loan Trust,2003-4 A3 (1 mo. USD LIBOR + 0.620%)		2.638	%		3/25/34		5,693,526		5,721,627	(e)
Renaissance Home Equity Loan Trust,2006-1 AF5		6.166	%		5/25/36		14,194,892		10,142,701
Residential Funding Securities Corp.,2002-RP2 A1 (1 mo. USD LIBOR + 1.500%)		3.518	%		10/25/32		1,329,342		1,281,921	(e)(f)

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†/ UNITS		VALUE
ASSET-BACKED SECURITIES - (continued)
SACO I Trust,2006-3 A3 (1 mo. USD LIBOR + 0.460%)		2.478	%		4/25/36		263,344	$	260,852	(e)
SBA Small Business Investment Cos.,2018-10B 1		3.548	%		9/10/28		8,950,081		9,456,354
SBA Small Business Investment Cos.,2019-10A 1		3.113	%		3/10/29		16,768,363		17,617,092
Securitized Asset Backed Receivables LLC Trust, 2006-WM3 A1 (1 mo. USD LIBOR + 0.050%)		2.068	%		10/25/36		28,757,650		12,258,903	(e)
Securitized Asset Backed Receivables LLC Trust, 2006-WM3 A2 (1 mo. USD LIBOR + 0.160%)		2.178	%		10/25/36		78,384,970		34,198,610	(e)
Securitized Asset Backed Receivables LLC Trust, 2006-WM3 A3 (1 mo. USD LIBOR + 0.220%)		2.238	%		10/25/36		39,734,384		17,552,617	(e)
SLM Student Loan EDC Repackaging Trust,2013-M1 M1		3.500	%		10/28/29		1,418,411		1,408,917	(f)
SMB Private Education Loan Trust,2015-C R		0.000	%		9/18/46		49,649		41,222,006	(f)
SoFi Professional Loan Program LLC,2015-C R		0.000	%		8/25/36		4,200		5,545,734	(f)
Structured Asset Securities Corp. Mortgage Loan Trust, 2006-ARS1 A1 (1 mo. USD LIBOR + 0.220%)		2.238	%		2/25/36		1,098,532		51,796	(e)(f)
Structured Asset Securities Corp. Mortgage Loan Trust,2007-BC2 A4 (1 mo. USD LIBOR + 0.150%)		2.168	%		3/25/37		27,267,525		21,992,859	(e)
Structured Asset Securities Corp. Trust,2005-SC1 1A2		7.049	%		5/25/31		5,685,570		5,163,285	(e)(f)
Towd Point Mortgage Trust,2019-HY2 A1 (1 mo. USD LIBOR + 1.000%)		3.018	%		5/25/58		52,535,090		53,068,006	(e)(f)
United States Small Business Administration,2019-20D 1		2.980	%		4/1/39		10,540,000		11,074,209

See Notes to Schedule of Investments.

74

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†/ UNITS		VALUE
ASSET-BACKED SECURITIES - (continued)
United States Small Business Administration,2019-25G 1		2.690	%		7/1/44		10,310,000	$	10,663,523
Upgrade Pass-Through Trust,2018-3 A		15.498	%		6/15/24		8,465,981		8,244,020	(f)
Upgrade Pass-Through Trust I,2017-1 CERT		14.960	%		12/27/27		4,624,540		4,519,766	(e)(f)
Upgrade Pass-Through Trust I,2018-2 A		16.537	%		5/15/24		7,095,264		6,977,404	(f)
Upgrade Pass-Through Trust I,2018-5 A		12.075	%		9/15/24		9,209,835		9,055,331	(f)
Upgrade Pass-Through Trust I,2018-6 A		5.339	%		10/15/24		8,311,339		8,103,315	(f)
Upgrade Pass-Through Trust IV,2018-4 A		15.308	%		8/15/24		9,046,697		8,787,482	(f)
TOTAL ASSET-BACKED SECURITIES (Cost - $1,021,512,911)									1,033,501,219
						FACE AMOUNT†
SENIOR LOANS - 3.2%
COMMUNICATION SERVICES - 0.5%
Diversified Telecommunication Services - 0.2%
Level 3 Financing Inc., 2024 Term Loan B (1 mo. USD LIBOR + 2.250%)		4.294	%		2/22/24		30,782,000		30,871,791	(e)(m)(n)
Virgin Media Bristol LLC, Term Loan Facility K (1 mo. USD LIBOR + 2.500%)		4.528	%		1/15/26		17,330,528		17,354,895	(e)(m)(n)
Total Diversified Telecommunication Services									48,226,686
Media - 0.3%
CBS Radio Inc., Term Loan B1 (1 mo. USD LIBOR + 2.750%)		4.804	%		11/18/24		4,518,443		4,528,045	(e)(m)(n)
Charter Communications Operating LLC, Term Loan B (1 mo. USD LIBOR + 2.000%)		4.050	%		4/30/25		11,732,915		11,816,242	(e)(m)(n)
Diamond Sports Group LLC, Term Loan (1 mo. USD LIBOR + 3.250%)		5.300	%		8/24/26		6,700,000		6,739,784	(e)(m)(n)(o)
iHeartCommunications Inc., Term Loan (1 mo. USD LIBOR + 4.000%)		6.100	%		5/1/26		13,731,140		13,838,408	(e)(m)(n)(o)

See Notes to Schedule of Investments.

75

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - (continued)
Nexstar Broadcasting Inc., Term Loan B4 (3 mo. USD LIBOR + 2.750%)		4.807	%		6/19/26		18,670,000	$	18,784,746	(e)(m)(n)(o)
Numericable U.S. LLC, USD Term Loan B12 (1 mo. USD LIBOR + 3.688%)		5.715	%		1/31/26		11,905,488		11,840,008	(e)(m)(n)
Univision Communications Inc., 2017 Replacement Term Loan (1 mo. USD LIBOR + 2.750%)		4.794	%		3/15/24		15,253,267		14,850,138	(e)(m)(n)
Ziggo Secured Finance Partnership, Term Loan E (1 mo. USD LIBOR + 2.500%)		4.528	%		4/15/25		8,238,250		8,233,101	(e)(m)(n)
Total Media									90,630,472
Wireless Telecommunication Services - 0.0%
Sprint Communications Inc., Initial Term Loan (1 mo. USD LIBOR + 2.500%)		4.563	%		2/2/24		3,395,210		3,374,839	(e)(m)(n)
TOTAL COMMUNICATION SERVICES									142,231,997
CONSUMER DISCRETIONARY - 0.8%
Auto Components - 0.1%
Panther BF Aggregator 2 LP, First Lien Initial Dollar Term Loan (1 mo. USD LIBOR + 3.500%)		5.544	%		4/30/26		17,630,000		17,534,498	(e)(m)(n)
Commercial Services & Supplies - 0.0%
Atlantic Aviation FBO Inc., Term Loan (1 mo. USD LIBOR + 3.750%)		5.800	%		12/6/25		3,721,875		3,754,348	(c)(e)(m)(n)
Diversified Consumer Services - 0.1%
Prime Security Services Borrower LLC, 2019 Refinancing Term Loan B1 (3 mo. USD LIBOR + 3.250%)		5.210	%		9/23/26		26,638,135		26,366,986	(e)(m)(n)
Entertainment - 0.0%
CEOC LLC, Term Loan B (1 mo. USD LIBOR + 2.000%)		4.044	%		10/7/24		5,458,046		5,461,081	(e)(m)(n)(o)
Hotels, Restaurants & Leisure - 0.5%
1011778 BC Unlimited Liability Co., Term Loan B3 (1 mo. USD LIBOR + 2.250%)		4.294	%		2/16/24		6,955,958		6,987,086	(e)(m)(n)

See Notes to Schedule of Investments.

76

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Hotels, Restaurants & Leisure - (continued)
Alterra Mountain Co., Initial Term Loan (1 mo. USD LIBOR + 3.000%)		5.044	%		7/31/24		14,917,141	$	14,954,434	(e)(m)(n)
Aramark Services Inc., Term Loan B3 (1 mo. USD LIBOR + 1.750%)		3.794	%		3/11/25		14,934,742		14,990,747	(e)(m)(n)
Boyd Gaming Corp., Refinancing Term Loan B (1 week USD LIBOR + 2.250%)		4.166	%		9/15/23		2,203,962		2,213,756	(e)(m)(n)
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%)		4.794	%		12/23/24		23,023,994		22,902,704	(e)(m)(n)
Four Seasons Hotels Ltd., Restated Term Loan (1 mo. USD LIBOR + 2.000%)		4.044	%		11/30/23		7,443,340		7,487,204	(e)(m)(n)(o)
Golden Nugget Inc., Term Loan B (1 mo. USD LIBOR + 2.750%)		4.794-4.807	%		10/4/23		10,902,667		10,898,121	(e)(m)(n)(o)
Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%)		3.787	%		6/22/26		13,176,279		13,270,529	(e)(m)(n)(o)
PCI Gaming Authority, Term Loan Facility B (1 mo. USD LIBOR + 3.000%)		5.044	%		5/15/26		12,867,750		12,951,390	(e)(m)(n)
Scientific Games International Inc., Initial Term Loan B5		4.794-4.896	%		8/14/24		31,819,755		31,598,162	(e)(m)(n)
Station Casinos LLC, Term Loan Facility B (1 mo. USD LIBOR + 2.500%)		4.550	%		6/8/23		11,396,426		11,455,345	(e)(m)(n)
Total Hotels, Restaurants & Leisure									149,709,478
Specialty Retail - 0.1%
Academy Ltd., Initial Term Loan (1 mo. USD LIBOR + 4.000%)		6.100	%		7/1/22		11,688,194		8,220,692	(e)(m)(n)
CWGS Group LLC, Term Loan (1 mo. USD LIBOR + 2.750%)		4.794-4.850	%		11/8/23		624,023		534,320	(e)(m)(n)

See Notes to Schedule of Investments.

77

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Specialty Retail - (continued)
Michaels Stores Inc., 2018 New Replacement Term Loan B (1 mo. USD LIBOR + 2.500%)		4.544-4.546	%		1/30/23		6,046,294	$	5,917,810	(e)(m)(n)
Party City Holdings Inc., 2018 Replacement Term Loan (1 mo. USD LIBOR + 2.500%)		4.550	%		8/19/22		9,334,812		9,266,743	(e)(m)(n)
Total Specialty Retail									23,939,565
TOTAL CONSUMER DISCRETIONARY									226,765,956
CONSUMER STAPLES - 0.0%
Food & Staples Retailing - 0.0%
Albertson’s LLC, 2019 Term Loan B7 (1 mo. USD LIBOR + 2.750%)		4.794	%		11/17/25		3,754,387		3,782,253	(e)(m)(n)
Albertson’s LLC, 2019 Term Loan B8 (1 mo. USD LIBOR + 2.750%)		4.794	%		8/17/26		5,633,361		5,674,558	(e)(m)(n)
Total Food & Staples Retailing									9,456,811
Food Products - 0.0%
Post Holdings Inc., Replacement Incremental Term Loan A (1 mo. USD LIBOR + 2.000%)		4.040	%		5/24/24		2,459,179		2,468,976	(e)(m)(n)
TOTAL CONSUMER STAPLES									11,925,787
FINANCIALS - 0.5%
Capital Markets - 0.2%
Blackstone CQP Holdco LP, Initial Term Loan (3 mo. USD LIBOR + 3.500%)		5.656	%		9/30/24		6,014,925		6,051,580	(e)(m)(n)(o)
Edelman Financial Center LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 3.250%)		5.307	%		7/21/25		11,068,152		11,100,759	(e)(m)(n)
First Eagle Holdings Inc., Initial Term Loan (3 mo. USD LIBOR + 2.750%)		4.854	%		12/2/24		11,019,963		11,050,951	(e)(m)(n)
Focus Financial Partners LLC, Term Loan B2 (1 mo. USD LIBOR + 2.500%)		4.544	%		7/3/24		6,987,158		7,027,188	(e)(m)(n)

See Notes to Schedule of Investments.

78

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Capital Markets - (continued)
LPL Holdings Inc., Term Loan B (1 mo. USD LIBOR + 2.250%)		4.304	%		9/23/24		2,834,460	$	2,853,060	(e)(m)(n)
RPI Finance Trust, Initial Term Loan B6 (1 mo. USD LIBOR + 2.000%)		4.044	%		3/27/23		15,911,312		16,009,516	(e)(m)(n)
Total Capital Markets									54,093,054
Diversified Financial Services - 0.2%
Citadel Securities LP, Term Loan (1 mo. USD LIBOR + 3.500%)		5.544	%		2/27/26		6,149,374		6,176,278	(c)(e)(m)(n)(o)
Finco I LLC, 2018 Replacement Term Loan B (1 mo. USD LIBOR + 2.000%)		4.044	%		12/27/22		2,075,386		2,084,142	(e)(m)(n)
Guggenheim Partners Investment Management Holdings LLC, Term Loan B (1 mo. USD LIBOR + 2.750%)		5.189	%		7/21/23		2,962,904		2,931,794	(e)(m)(n)
Intelsat Jackson Holdings SA, Term Loan B3 (1 mo. USD LIBOR + 3.750%)		5.804	%		11/27/23		10,458,754		10,490,130	(e)(m)(n)(o)
Jane Street Group LLC, New Term Loan (1 mo. USD LIBOR + 3.000%)		5.044	%		8/25/22		15,040,687		15,040,687	(c)(e)(m)(n)(o)
Stars Group Holdings BV, USD Term Loan (3 mo. USD LIBOR + 3.500%)		5.604	%		7/10/25		1,032,992		1,038,395	(e)(m)(n)
TKC Holdings Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 3.750%)		5.800	%		2/1/23		4,697,289		4,625,853	(e)(m)(n)
UFC Holdings LLC, Term Loan B (1 mo. USD LIBOR + 3.250%)		3.250	%		4/29/26		20,139,637		20,236,146	(e)(m)(n)
VFH Parent LLC, Initial Term Loan		—			3/1/26		3,886,667		3,899,217	(o)
VFH Parent LLC, Initial Term Loan		—			3/1/26		900,000		902,906	(o)
Total Diversified Financial Services									67,425,548

See Notes to Schedule of Investments.

79

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Insurance - 0.1%
Asurion LLC, Fourteenth Amendment Replacement Term Loan B4 (1 mo. USD LIBOR + 3.000%)		5.044	%		8/4/22		17,430,948	$	17,500,672	(e)(m)(n)
Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%)		5.044	%		11/3/24		13,017,831		13,074,783	(e)(m)(n)
Total Insurance									30,575,455
TOTAL FINANCIALS									152,094,057
HEALTH CARE - 0.6%
Health Care Providers & Services - 0.3%
Air Medical Group Holdings Inc., 2018 Term Loan (1 mo. USD LIBOR + 3.250%)		5.307	%		4/28/22		7,461,501		7,002,619	(e)(m)(n)
HCA Inc., Term Loan B10 (1 mo. USD LIBOR + 2.000%)		4.044	%		3/13/25		6,275,479		6,304,240	(e)(m)(n)
Jaguar Holding Co. II, 2018 Term Loan (1 mo. USD LIBOR + 2.500%)		4.544	%		8/18/22		8,639,412		8,657,770	(e)(m)(n)(o)
LifePoint Health Inc., First Lien Term Loan B (1 mo. USD LIBOR + 4.500%)		6.554	%		11/16/25		30,042,428		30,103,444	(e)(m)(n)
MPH Acquisition Holdings LLC, Initial Term Loan (3 mo. USD LIBOR + 2.750%)		4.854	%		6/7/23		27,007,274		25,780,684	(e)(m)(n)
Phoenix Guarantor Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.500%)		6.567	%		3/5/26		18,342,211		18,405,272	(e)(m)(n)
Total Health Care Providers & Services									96,254,029
Health Care Technology - 0.2%
AthenaHealth Inc., First Lien Term Loan B (3 mo. USD LIBOR + 4.500%)		6.681	%		2/11/26		24,516,800		24,419,763	(e)(m)(n)
Change Healthcare Holdings LLC, Closing Date Term Loan (1 mo. USD LIBOR + 2.500%)		4.544	%		3/1/24		28,611,427		28,510,829	(e)(m)(n)
Total Health Care Technology									52,930,592

See Notes to Schedule of Investments.

80

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - 0.1%
Bausch Health Cos. Inc., Initial Term Loan (1 mo. USD LIBOR + 3.000%)		5.039	%		6/2/25		14,550,684	$	14,626,042	(e)(m)(n)
Option Care Health, Inc., First Lien Term Loan B (1 mo. USD LIBOR + 4.500%)		6.544	%		8/6/26		17,320,000		17,341,650	(c)(e)(m)(n)
Total Pharmaceuticals									31,967,692
TOTAL HEALTH CARE									181,152,313
INDUSTRIALS - 0.2%
Air Freight & Logistics - 0.1%
Avolon TLB Borrower 1 (US) LLC, Term Loan B3 (1 mo. USD LIBOR + 1.750%)		3.794	%		1/15/25		17,834,950		17,933,041	(e)(m)(n)
Airlines - 0.0%
American Airlines Inc., 2017 Replacement Term Loan B		—			12/14/23		3,020,000		3,021,652	(o)
Commercial Services & Supplies - 0.1%
Allied Universal Holdco LLC, Delayed Draw Tem Loan		2.125	%		7/10/26		1,028,829		1,031,615	(e)(m)(n)
Allied Universal Holdco LLC, Initial Term Loan (3 mo. USD LIBOR + 4.250%)		6.507	%		7/10/26		10,391,171		10,419,310	(e)(m)(n)(o)
API Group Inc., Term Loan B		—			5/11/26		11,210,000		11,266,050	(c)(o)
ServiceMaster Co. LLC, Term Loan C (1 mo. USD LIBOR + 2.500%)		4.544	%		11/8/23		1,269,176		1,278,695	(c)(e)(m)(n)
Total Commercial Services & Supplies									23,995,670
Professional Services - 0.0%
Trans Union LLC, 2017 Replacement Term Loan B3 (1 mo. USD LIBOR + 2.000%)		4.044	%		4/10/23		10,156,170		10,202,188	(e)(m)(n)
Trading Companies & Distributors - 0.0%
BrightView Landscapes LLC, Initial Term Loan (1 mo. USD LIBOR + 2.500%)		4.563	%		8/15/25		9,450,375		9,497,627	(e)(m)(n)
Delos Finance SARL, 2018 Term Loan (3 mo. USD LIBOR + 1.750%)		3.854	%		10/6/23		1,433,333		1,440,053	(e)(m)(n)
Total Trading Companies & Distributors									10,937,680

See Notes to Schedule of Investments.

81

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Transportation Infrastructure - 0.0%
Flying Fortress Holdings LLC, Refinancing Term Loan (3 mo. USD LIBOR + 1.750%)		3.854	%		10/31/22		3,910,969	$	3,927,380	(e)(m)(n)
TOTAL INDUSTRIALS									70,017,611
INFORMATION TECHNOLOGY - 0.4%
IT Services - 0.1%
McAfee LLC, Term Loan B (1 mo. USD LIBOR + 3.750%)		5.794	%		9/30/24		20,106,662		20,171,285	(e)(m)(n)(o)
Software - 0.2%
Dell International LLC, Refinancing Term Loan B1 (1 mo. USD LIBOR + 2.000%)		4.050	%		9/19/25		7,290,653		7,336,219	(e)(m)(n)
DigiCert Holdings Inc., First Lien Term Loan (1 mo. USD LIBOR + 4.000%)		6.112	%		10/31/24		32,410,997		32,444,769	(e)(m)(n)
DigiCert Holdings Inc., Term Loan B		—			8/7/26		26,210,000		26,171,786	(o)
MA Financeco LLC, Term Loan B3 (1 mo. USD LIBOR + 2.500%)		4.544	%		6/21/24		349,861		346,362	(e)(m)(n)
Seattle Escrow Borrower LLC, Initial Term Loan (1 mo. USD LIBOR + 2.500%)		4.544	%		6/21/24		2,362,694		2,338,082	(e)(m)(n)
Total Software									68,637,218
Technology Hardware, Storage & Peripherals - 0.1%
Western Digital Corp., New Term Loan B4 (3 mo. USD LIBOR + 1.750%)		3.862	%		4/29/23		15,118,952		15,110,803	(e)(m)(n)
TOTAL INFORMATION TECHNOLOGY									103,919,306
MATERIALS - 0.1%
Containers & Packaging - 0.1%
Berry Global Inc., Term Loan Q (1 mo. USD LIBOR + 2.250%)		4.299	%		10/3/22		2,725,615		2,740,816	(e)(m)(n)
Reynolds Group Holdings Inc., Incremental U.S. Term Loan (1 mo. USD LIBOR + 2.750%)		4.794	%		2/6/23		24,535,475		24,602,555	(e)(m)(n)
TOTAL MATERIALS									27,343,371

See Notes to Schedule of Investments.

82

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
REAL ESTATE - 0.1%
Equity Real Estate Investment Trusts (REITs) - 0.1%
MGM Growth Properties Operating Partnership LP, Term Loan B (1 mo. USD LIBOR + 2.000%)		4.044	%		3/21/25		18,229,854		$	18,295,372	(e)(m)(n)
VICI Properties 1 LLC, Term Loan B (1 mo. USD LIBOR + 2.000%)		4.046	%		12/20/24		68,182			68,447	(e)(m)(n)
Total Equity Real Estate Investment Trusts (REITs)										18,363,819
Real Estate Management & Development - 0.0%
CityCenter Holdings LLC, Refinancing Term Loan (1 mo. USD LIBOR + 2.250%)		4.294	%		4/18/24		11,506,404			11,547,493	(e)(m)(n)(o)
TOTAL REAL ESTATE										29,911,312
TOTAL SENIOR LOANS (Cost - $948,804,949)										945,361,710
U.S. TREASURY INFLATION PROTECTED SECURITIES - 1.9%
U.S. Treasury Bonds, Inflation Indexed		2.125	%		2/15/40		12,143,624			16,098,897
U.S. Treasury Bonds, Inflation Indexed		2.125	%		2/15/41		19,237,836			25,727,242
U.S. Treasury Bonds, Inflation Indexed		0.750	%		2/15/42		75,792,623			79,809,369
U.S. Treasury Bonds, Inflation Indexed		1.375	%		2/15/44		68,100,437			81,225,567
U.S. Treasury Bonds, Inflation Indexed		1.000	%		2/15/46		66,095,943			73,263,060
U.S. Treasury Bonds, Inflation Indexed		0.875	%		2/15/47		3,762,595			4,064,388
U.S. Treasury Bonds, Inflation Indexed		1.000	%		2/15/49		232,471,080			261,182,460
TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $486,037,711)										541,370,983
NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 0.3%
Japan - 0.3%
Japanese Government CPI Linked Bond, Senior Notes (Cost - $93,838,553)		0.100	%		3/10/26		9,436,269,950	JPY		90,457,284

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
PURCHASED OPTIONS - 0.2%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.0%
Australian Dollar Futures, Call @ $68.50		10/4/19		584		584,000	$	20,440
Australian Dollar Futures, Call @ $69.00		10/4/19		138		138,000		1,380
Australian Dollar Futures, Call @ $68.00		11/8/19		416		416,000		203,840
Australian Dollar Futures, Call @ $68.50		11/8/19		139		139,000		43,090
Australian Dollar Futures, Call @ $68.00		12/6/19		139		139,000		97,300
Australian Dollar Futures, Put @ $67.50		11/8/19		298		298,000		169,860
Canadian Dollar, Call @ $75.50		10/4/19		138		138,000		34,500
Canadian Dollar, Call @ $76.00		10/4/19		778		778,000		38,900
Canadian Dollar, Call @ $76.50		10/4/19		252		252,000		1,260
Canadian Dollar, Call @ $75.00		11/8/19		138		138,000		125,580
Canadian Dollar, Call @ $76.00		11/8/19		528		528,000		190,080
Euro Currency, Call @ $1.10		10/4/19		276		34,500,000		48,300
Euro Currency, Call @ $1.12		10/4/19		207		25,875,000		1,294
Euro Currency, Call @ $1.13		10/4/19		137		17,125,000		856
Euro Currency, Call @ $1.10		11/8/19		139		17,375,000		114,675
Euro Currency, Call @ $1.11		11/8/19		149		18,625,000		87,538
Euro Currency, Call @ $1.12		11/8/19		138		17,250,000		39,675
Euro Currency, Call @ $1.11		12/6/19		277		34,625,000		186,975
Euro Currency, Put @ $1.11		11/8/19		149		18,625,000		249,575
Euro-Bund Futures, Call @ 180.50EUR		10/25/19		81		8,100,000		883
Euro-Bund Futures, Call @ 181.00EUR		10/25/19		65		6,500,000		708
Euro-Bund Futures, Put @ 173.00EUR		10/25/19		450		45,000,000		171,667
Japanese Yen Futures, Put @ $94.00		10/4/19		138		172,500		182,850
U.S. Treasury5-Year Notes Futures, Call @ $119.25		10/4/19		636		636,000		119,250
U.S. Treasury5-Year Notes Futures, Call @ $119.00		10/25/19		530		530,000		260,860
U.S. Treasury5-Year Notes Futures, Call @ $119.25		10/25/19		207		207,000		77,625

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
EXCHANGE-TRADED PURCHASED OPTIONS - (continued)
U.S. Treasury5-Year Notes Futures, Put @ $115.50		10/25/19		11,823		11,823,000	$	92,373
U.S. Treasury5-Year Notes Futures, Put @ $115.75		10/25/19		4,163		4,163,000		32,526
U.S. Treasury5-Year Notes Futures, Put @ $116.00		10/25/19		4,163		4,163,000		65,047
U.S. Treasury5-Year Notes Futures, Put @ $119.00		10/25/19		518		518,000		178,063
U.S. Treasury5-Year Notes Futures, Put @ $115.00		11/22/19		15,906		15,906,000		248,531
U.S. Treasury10-Year Notes Futures, Call @ $130.25		10/4/19		613		613,000		249,031
U.S. Treasury10-Year Notes Futures, Call @ $129.00		10/25/19		1,401		1,401,000		2,145,281
U.S. Treasury10-Year Notes Futures, Call @ $129.50		10/25/19		800		800,000		925,000
U.S. Treasury10-Year Notes Futures, Call @ $130.00		10/25/19		1,549		1,549,000		1,306,969
U.S. Treasury10-Year Notes Futures, Call @ $130.25		10/25/19		347		347,000		249,406
U.S. Treasury10-Year Notes Futures, Put @ $129.00		10/25/19		91		91,000		19,906
U.S. Treasury10-Year Notes Futures, Put @ $130.00		10/25/19		19		19,000		10,094
U.S. Treasury10-Year Notes Futures, Put @ $130.25		10/25/19		204		204,000		133,875
U.S. Treasury Long-Term Bonds Futures, Call @ $158.00		10/25/19		60		60,000		277,500
U.S. Treasury Long-Term Bonds Futures, Call @ $161.00		10/25/19		100		100,000		237,500
U.S. Treasury Long-Term Bonds Futures, Call @ $162.00		10/25/19		378		378,000		679,219
U.S. Treasury Long-Term Bonds Futures, Call @ $162.50		10/25/19		102		102,000		157,781
U.S. Treasury Long-Term Bonds Futures, Put @ $159.00		10/25/19		200		200,000		96,875
U.S. Treasury Long-Term Bonds Futures, Put @ $160.00		10/25/19		400		400,000		293,750
U.S. Treasury Long-Term Bonds Futures, Put @ $164.00		10/25/19		400		400,000		1,056,250
TOTAL EXCHANGE-TRADED PURCHASED OPTIONS								10,923,938
							��

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SECURITY	COUNTERPARTY		EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
OTC PURCHASED OPTIONS - 0.2%
U.S. Dollar/ Australian Dollar, Put @ $0.70		Citibank N.A.		12/5/19			291,400,000		291,400,000	$	536,552
U.S. Dollar/ Euro, Call @ $1.13		Citibank N.A.		10/21/19			532,280,000		532,280,000		17,974,752
U.S. Dollar/ Euro, Call @ $1.14		Citibank N.A.		11/4/19			539,176,464		539,176,464		22,010,678
TOTAL OTC PURCHASED OPTIONS											40,521,982
TOTAL PURCHASED OPTIONS (Cost - $28,663,121)											51,445,920
			RATE					SHARES
PREFERRED STOCKS - 0.0%
FINANCIALS - 0.0%
Banks - 0.0%
GMAC Capital Trust I (3 mo. USD LIBOR + 5.785%) (Cost - $10,564,634)				7.943	%				431,316		11,304,792	(e)
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $28,476,488,308)											29,556,277,911
						MATURITY DATE		FACE AMOUNT†
SHORT-TERM INVESTMENTS - 4.0%
COMMERCIAL PAPER - 0.3%
Banco Santander SA (Cost - $98,406,836)				2.166	%		10/16/19		98,500,000		98,407,498	(p)
								SHARES
MONEY MARKET FUNDS - 3.7%
Western Asset Government Cash Management Portfolio LLC (Cost - $1,071,591,691)				2.030	%				1,071,591,691		1,071,591,691	(q)
TOTAL SHORT-TERM INVESTMENTS (Cost - $1,169,998,527)											1,169,999,189
TOTAL INVESTMENTS - 105.1% (Cost - $29,646,486,835)											30,726,277,100
Liabilities in Excess of Other Assets - (5.1)%											(1,491,145,748	)
TOTAL NET ASSETS - 100.0%										$	29,235,131,352

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

† Face amount/notional amount denominated in U.S. dollars, unless otherwise noted.

* Non-income producing security.

(a) Securities traded on a when-issued or delayed delivery basis.

(b) Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1).

(c) Security is valued using significant unobservable inputs (Note 1).

(d) This security is traded on ato-be-announced (“TBA”) basis. At September 30, 2019, the Fund held TBA securities with a total cost of $1,879,314,233.

(e) Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(f) Security is 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.

(g) Security has no maturity date. The date shown represents the next call date.

(h) The coupon payment on these securities is currently in default as of September 30, 2019.

(i) Value is less than $1.

(j) The maturity principal is currently in default as of September 30, 2019.

(k) 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.

(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) Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.

(n) 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.

(o) All or a portion of this loan is unfunded as of September 30, 2019. The interest rate for fully unfunded term loans is to be determined.

(p) Rate shown representsyield-to-maturity.

(q) In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control. At September 30, 2019, the total market value of investments in Affiliated Companies was $1,071,591,691 and the cost was $1,071,591,691 (Note 2).

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

Abbreviations used in this schedule:

ACES	— Alternative Credit Enhancement Securities
ARS	— Argentine Peso
BRL	— Brazilian Real
CAS	— Connecticut Avenue Securities
CLO	— Collateralized Loan Obligation
CMT	— Constant Maturity Treasury
CNH	— Chinese Offshore Yuan
CPI	— Consumer Price Index
EUR	— Euro
GBP	— British Pound
GTD	— Guaranteed
ICE	— Intercontinental Exchange
IDR	— Indonesian Rupiah
IO	— Interest Only
JPY	— Japanese Yen
JSC	— Joint Stock Company
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
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		11/8/19	$	70.00			276		276,000	$	(19,320	)
Euro Futures, Call		10/4/19		1.11			297		37,125,000		(5,569	)
Euro Futures, Put		11/8/19		1.12			274		34,250,000		(719,250	)
Euro-Bund Futures, Call		10/25/19		176.00	EUR		257		25,700,000		(56,023	)
Euro-Bund Futures, Put		10/25/19		172.00	EUR		508		50,800,000		(88,591	)
Euro-Bund Futures, Put		10/25/19		173.50	EUR		132		13,200,000		(70,498	)
Euro-Bund Futures, Put		10/25/19		174.00	EUR		132		13,200,000		(97,834	)
U.S. Treasury 5-Year Notes Futures, Call		10/25/19		119.50			3,324		3,324,000		(908,908	)
U.S. Treasury 5-Year Notes Futures, Call		11/22/19		119.50			1,242		1,242,000		(553,079	)
U.S. Treasury 5-Year Notes Futures, Put		10/25/19		119.50			1,038		1,038,000		(648,750	)
U.S. Treasury 10-Year Notes Futures, Call		10/25/19		130.50			2,633		2,633,000		(1,563,344	)
U.S. Treasury 10-Year Notes Futures, Call		10/25/19		130.75			613		613,000		(306,500	)

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SCHEDULE OF WRITTEN OPTIONS (continued)

SECURITY	EXPIRATION DATE		STRIKE PRICE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Treasury10-Year Notes Futures, Call		10/25/19	$	131.00		1,830		1,830,000	$	(743,438	)
U.S. Treasury10-Year Notes Futures, Call		10/25/19		131.25		306		306,000		(100,406	)
U.S. Treasury10-Year Notes Futures, Call		10/25/19		131.50		1,101		1,101,000		(292,453	)
U.S. Treasury10-Year Notes Futures, Call		10/25/19		132.00		2,349		2,349,000		(403,734	)
U.S. Treasury10-Year Notes Futures, Call		10/25/19		132.50		450		450,000		(49,219	)
U.S. Treasury10-Year Notes Futures, Call		10/25/19		133.00		2,808		2,808,000		(219,375	)
U.S. Treasury10-Year Notes Futures, Call		11/22/19		131.00		1,401		1,401,000		(985,078	)
U.S. Treasury10-Year Notes Futures, Call		11/22/19		131.50		450		450,000		(246,094	)
U.S. Treasury10-Year Notes Futures, Call		11/22/19		132.00		1,213		1,213,000		(492,781	)
U.S. Treasury10-Year Notes Futures, Put		10/25/19		129.50		2,190		2,190,000		(752,812	)
U.S. Treasury10-Year Notes Futures, Put		10/25/19		130.50		1,352		1,352,000		(1,056,250	)
U.S. Treasury10-Year Notes Futures, Put		10/25/19		131.00		875		875,000		(957,031	)
U.S. Treasury10-Year Notes Futures, Put		11/22/19		129.00		1,593		1,593,000		(721,828	)
U.S. Treasury10-Year Notes Futures, Put		11/22/19		130.00		3,403		3,403,000		(2,818,109	)
U.S. Treasury Long-Term Bonds Futures, Call		10/25/19		160.00		400		400,000		(1,218,750	)
U.S. Treasury Long-Term Bonds Futures, Call		10/25/19		163.00		179		179,000		(237,734	)
U.S. Treasury Long-Term Bonds Futures, Call		10/25/19		164.00		538		538,000		(512,781	)
U.S. Treasury Long-Term Bonds Futures, Call		10/25/19		165.00		1,328		1,328,000		(913,000	)
U.S. Treasury Long-Term Bonds Futures, Call		10/25/19		166.00		1,199		1,199,000		(562,031	)
U.S. Treasury Long-Term Bonds Futures, Call		10/25/19		167.00		799		799,000		(262,172	)
U.S. Treasury Long-Term Bonds Futures, Call		10/25/19		168.00		898		898,000		(196,438	)
U.S. Treasury Long-Term Bonds Futures, Call		10/25/19		170.00		829		829,000		(90,672	)
U.S. Treasury Long-Term Bonds Futures, Call		11/22/19		162.00		200		200,000		(493,750	)
U.S. Treasury Long-Term Bonds Futures, Call		11/22/19		164.00		307		307,000		(494,078	)
U.S. Treasury Long-Term Bonds Futures, Put		10/25/19		161.00		934		934,000		(992,375	)

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

SCHEDULE OF WRITTEN OPTIONS (continued)

SECURITY			EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Treasury Long-Term Bonds Futures, Put				10/25/19	$	162.00			494		494,000	$	(733,281	)
U.S. Treasury Long-Term Bonds Futures, Put				10/25/19		163.00			329		329,000		(663,141	)
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $26,252,656)												$	(22,246,477	)
OTC WRITTEN OPTIONS
	COUNTERPARTY
Interest rate swaption with Bank of America N.A., Call		Bank of America N.A.		12/9/19		135.00	bps		112,110,000		112,110,000	$	(634,148	)
Interest rate swaption with Bank of America N.A., Call		Bank of America N.A.		12/9/19		135.00	bps		65,120,000		65,120,000		(368,350	)
Interest rate swaption with Bank of America N.A., Put		Bank of America N.A.		12/9/19		185.00	bps		112,110,000		112,110,000		(367,435	)
Interest rate swaption with Bank of America N.A., Put		Bank of America N.A.		12/9/19		185.00	bps		65,120,000		65,120,000		(213,428	)
TOTAL OTC WRITTEN OPTIONS (Premiums received - $1,745,715)												$	(1,583,361	)
TOTAL WRITTEN OPTIONS (Premiums received - $27,998,371)												$	(23,829,838	)

† Notional amount denominated in U.S. dollars, unless otherwise noted.

Abbreviations used in this schedule:

bps	— basis point spread (100 basis points = 1.00%)
EUR	— Euro

At September 30, 2019, the Fund had the following open futures contracts:

	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy:
90-Day Eurodollar		5,419		12/19	$	1,329,235,942	$	1,328,196,900	$	(1,039,042	)
90-Day Eurodollar		402		3/20		98,184,199		98,821,650		637,451
90-Day Eurodollar		8,888		6/20		2,164,573,811		2,187,447,900		22,874,089
90-Day Eurodollar		3,783		3/21		922,748,234		932,556,787		9,808,553
Australian Dollar		2,740		12/19		188,326,050		185,443,200		(2,882,850	)
British Pound		3,914		12/19		303,172,661		301,671,550		(1,501,111	)
Canadian Dollar		3,565		12/19		271,448,012		269,620,950		(1,827,062	)
Euro		4,038		12/19		561,245,438		553,332,187		(7,913,251	)

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy continued
Euro-Bobl		237		12/19	$	35,219,406	$	35,040,857	$	(178,549	)
Euro-BTP		5,070		12/19		798,252,430		805,918,622		7,666,192
Japanese Yen		1,890		12/19		221,826,812		219,665,250		(2,161,562	)
Mexican Peso		7,042		12/19		177,883,720		176,261,260		(1,622,460	)
Russian Ruble		4,282		12/19		160,558,230		163,358,300		2,800,070
Swiss Franc		344		12/19		43,770,560		43,352,600		(417,960	)
U.S. Treasury2-Year Notes		16,400		12/19		3,541,360,605		3,534,200,000		(7,160,605	)
U.S. Treasury5-Year Notes		78,492		12/19		9,393,190,255		9,352,199,352		(40,990,903	)
U.S. Treasury10-Year Notes		5,856		12/19		762,557,731		763,110,000		552,269
U.S. Treasury Ultra Long-Term Bonds		14,088		12/19		2,749,307,153		2,703,575,250		(45,731,903	)
										(69,088,634	)
Contracts to Sell:
30-Day Federal Funds		14,811		11/19		6,068,831,579		6,063,429,598		5,401,981
30-Day Federal Funds		409		1/20		166,876,051		167,728,980		(852,929	)
90-Day Eurodollar		9,379		6/21		2,302,909,942		2,312,509,688		(9,599,746	)
Australian10-Year Bonds		295		12/19		29,084,267		29,338,756		(254,489	)
Euro-Bund		20,137		12/19		3,864,413,570		3,824,495,309		39,918,261
Euro-Buxl		781		12/19		187,999,528		185,147,082		2,852,446
Euro-Oat		876		12/19		164,306,016		162,611,341		1,694,675
Japanese10-Year Bonds		316		12/19		453,079,558		453,052,671		26,887
U.S. Treasury Long-Term Bonds		1,664		12/19		268,780,020		270,088,000		(1,307,980	)
U.S. Treasury Ultra10-Year Notes		5,437		12/19		782,650,181		774,262,781		8,387,400
United Kingdom Long Gilt Bonds		2,204		12/19		361,800,176		363,780,761		(1,980,585	)
										44,285,921
Net unrealized depreciation on open futures contracts									$	(24,802,713	)

See Notes to Schedule of Investments.

91

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

At September 30, 2019, the Fund had the following open forward foreign currency contracts:

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	18,723,599		IDR	266,979,795,324	Bank of America N.A.		10/17/19	$	(49,099	)
USD	37,673,025		IDR	538,347,529,512	Bank of America N.A.		10/17/19		(180,909	)
CAD	826,621,234		USD	630,777,451	Barclays Bank PLC		10/17/19		(6,668,220	)
CNY	854,910,000		USD	120,605,206	Barclays Bank PLC		10/17/19		(872,706	)
EUR	263,125,000		USD	290,544,993	Barclays Bank PLC		10/17/19		(3,366,029	)
IDR	5,623,851,660,000		USD	391,605,854	Barclays Bank PLC		10/17/19		3,835,563
INR	17,338,937,000		USD	246,694,700	Barclays Bank PLC		10/17/19		(2,480,909	)
MXN	2,012,500,000		USD	103,132,142	Barclays Bank PLC		10/17/19		(1,453,926	)
USD	58,428		AUD	86,001	Barclays Bank PLC		10/17/19		344
USD	64,860		AUD	94,001	Barclays Bank PLC		10/17/19		1,373
USD	95,490,925		CNH	657,980,221	Barclays Bank PLC		10/17/19		3,381,877
USD	228,485,574		CNY	1,574,197,056	Barclays Bank PLC		10/17/19		8,014,942
USD	253,373,962		EUR	225,740,000	Barclays Bank PLC		10/17/19		6,997,604
USD	24,502,906		GBP	20,000,000	Barclays Bank PLC		10/17/19		(106,037	)
USD	73,150,694		GBP	58,203,000	Barclays Bank PLC		10/17/19		1,534,978
USD	259,338,485		IDR	3,684,421,854,900	Barclays Bank PLC		10/17/19		268,174
USD	244,900,240		INR	17,338,937,000	Barclays Bank PLC		10/17/19		686,449
USD	1,895,898		JPY	200,000,000	Barclays Bank PLC		10/17/19		43,990
USD	150,699,015		MXN	2,979,892,186	Barclays Bank PLC		10/17/19		144,916
ZAR	728,620,000		USD	51,167,135	Barclays Bank PLC		10/17/19		(3,169,541	)
USD	60,407		AUD	89,001	BNP Paribas SA		10/17/19		297
USD	119,043		AUD	172,002	BNP Paribas SA		10/17/19		2,876
USD	7,877,058		EUR	7,000,000	BNP Paribas SA		10/17/19		237,143
USD	10,080,405		EUR	9,000,000	BNP Paribas SA		10/17/19		257,657
USD	13,469,940		EUR	12,000,000	BNP Paribas SA		10/17/19		372,942
USD	13,480,320		EUR	12,000,000	BNP Paribas SA		10/17/19		383,322
USD	22,404,100		EUR	20,000,000	BNP Paribas SA		10/17/19		575,770
USD	22,456,840		EUR	20,000,000	BNP Paribas SA		10/17/19		628,510
BRL	562,000,700		USD	135,057,363	Citibank N.A.		10/17/19		34,223
BRL	688,360,000		USD	181,195,051	Citibank N.A.		10/17/19		(15,729,698	)
BRL	796,532,051		USD	209,920,402	Citibank N.A.		10/17/19		(18,453,064	)
BRL	1,387,458,719		USD	364,784,730	Citibank N.A.		10/17/19		(31,272,691	)
EUR	7,500,000		USD	8,338,125	Citibank N.A.		10/17/19		(152,501	)
EUR	35,000,000		USD	38,599,750	Citibank N.A.		10/17/19		(400,173	)
EUR	38,000,000		USD	42,928,410	Citibank N.A.		10/17/19		(1,454,583	)
EUR	70,000,000		USD	77,698,250	Citibank N.A.		10/17/19		(1,299,096	)
EUR	138,566,331		USD	155,495,880	Citibank N.A.		10/17/19		(4,262,302	)
GBP	2,779,942		USD	3,500,000	Citibank N.A.		10/17/19		(79,428	)

See Notes to Schedule of Investments.

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Schedule of investments (unaudited) (cont’d) September 30, 2019

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
GBP	57,996,448		USD	72,455,658	Citibank N.A.		10/17/19	$	(1,094,093	)
JPY	400,000,000		USD	3,721,640	Citibank N.A.		10/17/19		(17,823	)
MXN	800,000,000		USD	40,955,701	Citibank N.A.		10/17/19		(537,031	)
MXN	1,651,754,000		USD	85,000,000	Citibank N.A.		10/17/19		(1,547,875	)
USD	35,658		AUD	51,000	Citibank N.A.		10/17/19		1,213
USD	108,584		AUD	160,001	Citibank N.A.		10/17/19		523
USD	143,973		AUD	211,001	Citibank N.A.		10/17/19		1,467
USD	165,324		AUD	245,001	Citibank N.A.		10/17/19		(144	)
USD	236,656		AUD	348,001	Citibank N.A.		10/17/19		1,623
USD	111,065,533		AUD	159,919,271	Citibank N.A.		10/17/19		3,059,276
USD	3,074,498		COP	9,970,598,300	Citibank N.A.		10/17/19		211,633
USD	9,560,842		EUR	8,500,000	Citibank N.A.		10/17/19		283,802
USD	11,136,250		EUR	10,000,000	Citibank N.A.		10/17/19		222,085
USD	11,144,744		EUR	10,000,000	Citibank N.A.		10/17/19		230,579
USD	12,282,886		EUR	11,000,000	Citibank N.A.		10/17/19		277,305
USD	12,370,446		EUR	11,000,000	Citibank N.A.		10/17/19		364,865
USD	12,376,346		EUR	11,000,000	Citibank N.A.		10/17/19		370,765
USD	14,683,925		EUR	13,000,000	Citibank N.A.		10/17/19		495,511
USD	16,920,150		EUR	15,000,000	Citibank N.A.		10/17/19		548,903
USD	17,558,480		EUR	16,000,000	Citibank N.A.		10/17/19		95,816
USD	21,461,317		EUR	19,000,000	Citibank N.A.		10/17/19		724,404
USD	64,872		JPY	7,000,000	Citibank N.A.		10/17/19		55
USD	1,670,883		JPY	180,000,000	Citibank N.A.		10/17/19		4,165
USD	1,892,022		JPY	200,000,000	Citibank N.A.		10/17/19		40,113
USD	3,768,288		JPY	400,000,000	Citibank N.A.		10/17/19		64,471
USD	3,798,650		JPY	400,000,000	Citibank N.A.		10/17/19		94,834
USD	319,702,957		JPY	34,432,807,688	Citibank N.A.		10/17/19		870,946
USD	76,494,569		MXN	1,484,361,814	Citibank N.A.		10/17/19		1,499,656
USD	57,202,997		RUB	3,694,856,013	Citibank N.A.		10/17/19		362,247
USD	47,970,242		ZAR	728,620,000	Citibank N.A.		10/17/19		(27,353	)
USD	157,877,790		BRL	625,764,407	Goldman Sachs Group Inc.		10/17/19		7,458,926
USD	43,672,114		CHF	43,000,000	Goldman Sachs Group Inc.		10/17/19		522,673
CNH	657,980,221		USD	92,445,412	JPMorgan Chase & Co.		10/17/19		(336,364	)
PHP	7,476,042,000		USD	143,219,195	JPMorgan Chase & Co.		10/17/19		952,630
TWD	52,474,000		USD	1,702,099	JPMorgan Chase & Co.		10/17/19		(9,015	)

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	956,177,382		EUR	842,944,630	JPMorgan Chase & Co.		10/17/19	$	36,173,713
USD	19,165,249		IDR	274,638,014,565	JPMorgan Chase & Co.		10/17/19		(145,937	)
USD	22,655,570		IDR	319,624,777,681	JPMorgan Chase & Co.		10/17/19		181,137
USD	37,984,780		IDR	539,839,688,018	JPMorgan Chase & Co.		10/17/19		25,924
USD	145,165,864		PHP	7,476,042,000	JPMorgan Chase & Co.		10/17/19		994,039
USD	4,762,902		RUB	307,383,416	JPMorgan Chase & Co.		10/17/19		34,192
USD	1,692,710		TWD	52,474,000	JPMorgan Chase & Co.		10/17/19		(374	)
EUR	240,248,000		USD	271,504,265	Citibank N.A.		10/23/19		(9,165,683	)
USD	58,151,466		PHP	2,988,840,000	Barclays Bank PLC		11/15/19		587,151
IDR	3,684,421,854,900		USD	255,827,097	Barclays Bank PLC		1/17/20		704,758
INR	17,338,937,000		USD	242,037,159	Barclays Bank PLC		1/17/20		(265,666	)
MXN	2,979,892,186		USD	148,583,775	Barclays Bank PLC		1/17/20		(111,121	)
USD	119,894,818		CNY	854,910,000	Barclays Bank PLC		1/17/20		324,441
ZAR	728,620,000		USD	47,408,420	Citibank N.A.		1/17/20		26,974
TWD	52,474,000		USD	1,705,695	JPMorgan Chase & Co.		1/17/20		(3,828	)
USD	92,240,649		CNH	657,980,221	JPMorgan Chase & Co.		1/17/20		339,428
USD	142,528,397		PHP	7,476,042,000	JPMorgan Chase & Co.		1/17/20		(1,071,549	)
Total								$	(20,229,575	)

See Notes to Schedule of Investments.

94

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

Abbreviations used in this table:

AUD	— Australian Dollar
BRL	— Brazilian Real
CAD	— Canadian Dollar
CHF	— Swiss Franc
CNH	— Chinese Offshore Yuan
CNY	— Chinese Yuan Renminbi
COP	— Colombian Peso
EUR	— Euro
GBP	— British Pound
IDR	— Indonesian Rupiah
INR	— Indian Rupee
JPY	— Japanese Yen
MXN	— Mexican Peso
PHP	— Philippine Peso
RUB	— Russian Ruble
TWD	— Taiwan Dollar
USD	— United States Dollar
ZAR	— South African Rand

At September 30, 2019, the Fund had the following open swap contracts:

OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1
SWAP COUNTERPARTY (REFERENCE ENTITY)	NOTIONAL AMOUNT2		TERMINATION DATE		IMPLIED CREDIT SPREAD AT SEPTEMBER 30, 20193	PERIODIC PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE		UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION
JPMorgan Chase & Co. (Berkshire Hathaway Inc., 2.750%, due 3/15/23)	$	21,430,000		3/20/24	0.448%	1.000% quarterly	$	511,349	$	(204,850	)	$	716,199

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)
	404,740,000		10/17/19	3-Month LIBOR quarterly	1.138% semi-annually		—		$	(222,736	)
	483,220,000		6/14/20	3-Month LIBOR quarterly	1.671% semi-annually	$	(32,656	)		(890,955	)

See Notes to Schedule of Investments.

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WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

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)
	846,020,000		9/15/21	Daily U.S. Federal Funds Intraday Effective Rate annually	1.300% annually	$	111,228		$	37,762
	806,464,000		4/26/22	3-Month LIBOR quarterly	2.250% semi-annually		159,464			6,614,960
	914,310,000		6/15/22	3-Month LIBOR quarterly	1.850% semi-annually		(268,964	)		7,005,562
	823,324,000		4/26/23	2.300% semi-annually	3-Month LIBOR quarterly		55,558			(7,095,424	)
	297,600,000		12/31/25	2.250% semi-annually	3-Month LIBOR quarterly		2,790,083			(16,019,581	)
	1,737,224,000		1/31/26	2.500% semi-annually	3-Month LIBOR quarterly		(27,769,833	)		(76,505,192	)
	1,476,351,000		4/30/26	1.850% semi-annually	3-Month LIBOR quarterly		2,118,653			(33,515,431	)
	403,650,000		6/30/26	1.550% semi-annually	3-Month LIBOR quarterly		455,513			(1,967,126	)
	908,412,000		6/30/26	1.250% annually	Daily U.S. Federal Funds Intraday Effective Rate annually		(963,649	)		297,538
	3,851,130,000MXN		7/18/29	28-Day MXN TIIE - Banxico every 28 days	7.450% every 28 days		1,587,423			7,983,198
	3,847,470,000MXN		7/20/29	28-Day MXN TIIE - Banxico every 28 days	7.440% every 28 days		1,929,351			7,400,122
	434,265,000		2/15/36	3-Month LIBOR quarterly	3.000% semi-annually		239,637			84,262,454
	333,129,000		2/15/44	3.330% semi-annually	3-Month LIBOR quarterly		(13,532	)		(110,189,021	)
	322,196,000		5/15/44	3.000% semi-annually	3-Month LIBOR quarterly		251,183			(85,721,095	)
	321,941,000		8/15/44	2.750% semi-annually	3-Month LIBOR quarterly		(1,514,240	)		(67,748,550	)
	92,170,000		11/15/44	1.810% semi-annually	3-Month LIBOR quarterly		123,347			(1,891,063	)
	174,864,000		11/15/44	1.850% semi-annually	3-Month LIBOR quarterly		(1,577,939	)		(3,247,242	)

See Notes to Schedule of Investments.

96

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

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)
	12,221,800,000JPY		5/9/46	0.641% semi-annually	6-Month JPY LIBOR semi-annually	$	1		$	(9,334,855	)
	25,980,000EUR		8/23/47	1.498% annually	6-Month EURIBOR semi-annually		(28,595	)		(10,097,040	)
	Total					$	(22,347,967	)	$	(310,843,715	)

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.		241,219,004	BRL		1/2/20		BRL-CDI**		8.410%**		$	45,950		$	1,771,216
Citibank N.A.		359,599,996	BRL		1/2/20		BRL-CDI**		8.410%**			34,773			2,674,188
Citibank N.A.		374,400,000	BRL		1/2/20		BRL-CDI**		8.410%**			15,655			2,807,763
Citibank N.A.		637,200,000	BRL		1/2/20		BRL-CDI**		8.410%**			99,299			4,918,093
Citibank N.A.		1,838,341,000	BRL		1/2/20		BRL-CDI**		8.410%**			—			13,848,704
Citibank N.A.		292,400,000	BRL		1/4/27		BRL-CDI**		7.024%**			—			984,728
Citibank N.A.		346,800,000	BRL		1/4/27		BRL-CDI**		7.024%**			178,023			989,910
Citibank N.A.		370,331,000	BRL		1/4/27		BRL-CDI**		7.024%**			221,593			1,025,587
JPMorgan Chase & Co.		240,800,000	BRL		1/4/27		BRL-CDI**		7.044%**			—			864,030
Total											$	595,293		$	29,884,219
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2			TERMINATION DATE		PERIODIC PAYMENTS RECEIVED BY THE FUND†		MARKET VALUE4			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION
Markit CDX.NA.HY.32 Index	$	15,416,280			6/20/24		5.000% quarterly	$	1,099,520		$	685,318		$	414,202
Markit CDX.NA.IG.23 Index		191,694,080			12/20/19		1.000% quarterly		378,021			303,602			74,419
Markit CDX.NA.IG.25 Index		137,411,840			12/20/20		1.000% quarterly		1,379,752			1,095,017			284,735
Markit CDX.NA.IG.33 Index		2,541,215,000			12/20/24		1.000% quarterly		50,519,354			50,441,102			78,252
Markit CDX.NA.IG.33 Index		106,010,000			12/20/29		1.000% quarterly		(633,940	)		(689,004	)		55,064
Total	$	2,991,747,200						$	52,742,707		$	51,836,035		$	906,672

See Notes to Schedule of Investments.

97

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION5
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		PERIODIC PAYMENTS MADE BY THE FUND†	MARKET VALUE4			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED DEPRECIATION
Markit CDX.NA.HY.33 Index	$	26,480,000		12/20/24	5.000% quarterly	$	(1,776,199	)	$	(1,761,849	)	$	(14,350	)

¹  If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

²  The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³  Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.

⁴  The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

⁵  If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index.

† Percentage shown is an annual percentage rate.

* Notional amount denominated in U.S. dollars, unless otherwise noted.

** One time payment made at termination date.

See Notes to Schedule of Investments.

98

WESTERN ASSET CORE PLUS BOND FUND

Schedule of investments (unaudited) (cont’d) September 30, 2019

Abbreviations used in this table:

BRL	— Brazilian Real
BRL-CDI	— Brazil Cetip InterBank Deposit Rate
EUR	— Euro
JPY	— Japanese Yen
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
TIIE	— Equilibrium Interbanking Interest Rate (Tasa de Intere’s Interbancaria de Equilibrio)

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

See Notes to Schedule of Investments.

99

Notes to Schedule of Investments (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 anopen-end management investment company.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

(a) Investment valuation.The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments inopen-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.

The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of 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.

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Notes to Schedule of Investments (unaudited) (continued)

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

• Level 1 – quoted prices in active markets for identical investments

• Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

• Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

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Notes to Schedule of Investments (unaudited) (continued)

The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:

ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Long-Term Investments†:
Mortgage-Backed Securities		—	$	8,976,381,824	$	6,103,971	$	8,982,485,795
Corporate Bonds & Notes:
Financials		—		2,980,837,928		68,954,014		3,049,791,942
Other Corporate Bonds & Notes		—		5,062,123,805		—		5,062,123,805
U.S. Government & Agency Obligations		—		5,115,095,456		—		5,115,095,456
Collateralized Mortgage Obligations		—		2,605,553,567		—		2,605,553,567
Sovereign Bonds		—		2,067,785,438		—		2,067,785,438
Asset-Backed Securities		—		1,033,501,219		—		1,033,501,219
Senior Loans:
Consumer Discretionary		—		223,011,608		3,754,348		226,765,956
Financials		—		130,877,092		21,216,965		152,094,057
Health Care		—		163,810,663		17,341,650		181,152,313
Industrials		—		57,472,866		12,544,745		70,017,611
Other Senior Loans		—		315,331,773		—		315,331,773
U.S. Treasury Inflation Protected Securities		—		541,370,983		—		541,370,983
Non-U.S. Treasury Inflation Protected Securities		—		90,457,284		—		90,457,284
Purchased Options:
Exchange-Traded Purchased Options	$	10,923,938		—		—		10,923,938
OTC Purchased Options		—		40,521,982		—		40,521,982
Preferred Stocks		11,304,792		—		—		11,304,792
Total Long-Term Investments		22,228,730		29,404,133,488		129,915,693		29,556,277,911
Short-Term Investments†:
Commercial Paper		—		98,407,498		—		98,407,498
Money Market Funds		—		1,071,591,691		—		1,071,591,691
Total Short-Term Investments		—		1,169,999,189		—		1,169,999,189
Total Investments	$	22,228,730	$	30,574,132,677	$	129,915,693	$	30,726,277,100

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Notes to Schedule of Investments (unaudited) (continued)

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	$	102,620,274		—		—	$	102,620,274
Forward Foreign Currency Contracts		—	$	85,555,193		—		85,555,193
OTC Credit Default Swaps on Corporate Issues — Sell Protection‡		—		511,349		—		511,349
Centrally Cleared Interest Rate Swaps		—		113,601,596		—		113,601,596
OTC Interest Rate Swaps‡		—		30,479,512		—		30,479,512
Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection		—		906,672		—		906,672
Total Other Financial Instruments	$	102,620,274	$	231,054,322		—	$	333,674,596
Total	$	124,849,004	$	30,805,186,999	$	129,915,693	$	31,059,951,696
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	$	22,246,477		—		—	$	22,246,477
OTC Written Options		—	$	1,583,361		—		1,583,361
Futures Contracts		127,422,987		—		—		127,422,987
Forward Foreign Currency Contracts		—		105,784,768		—		105,784,768
Centrally Cleared Interest Rate Swaps		—		424,445,311		—		424,445,311
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection		—		14,350		—		14,350
Total	$	149,669,464	$	531,827,790		—	$	681,497,254
Total	$	149,669,464	$	531,827,790		—	$	681,497,254

† See Schedule of Investments for additional detailed categorizations.

‡ Value includes any premium paid or received with respect to swap contracts.

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Notes to Schedule of Investments (unaudited) (continued)

2. Transactions with affiliated companies

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. The Fund may invest in Western Asset Government Cash Management Portfolio, LLC (“Cash Management Portfolio”), an affiliated private money market fund managed by Western Asset Management Company, LLC, the Fund’s subadviser. Cash Management Portfolio is available as a cash management vehicle for certain proprietary investment companies affiliated with Legg Mason, Inc. While Cash Management Portfolio is not a registered money market fund, it conducts all of its investment activities in accordance with the requirements of Rule2a-7 under the 1940 Act. Based on the Fund’s relative ownership, the following companies were considered affiliated companies for all or some portion of the period ended September 30, 2019. The following transactions were effected in shares of such companies for the period ended September 30, 2019.

	Affiliate Value at December 31, 2018		Purchased				Sold				Realized Gain (Loss)		Interest Income		Net Increase (Decrease) in Unrealized Appreciation (Depreciation)		Affiliate Value at September 30, 2019
			Cost		Shares		Cost		Shares
Western Asset Government Cash Management Portfolio LLC	$	845,554,311	$	7,877,137,380		7,877,137,380	$	7,651,100,000		7,651,100,000		—	$	21,638,206		—	$	1,071,591,691

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