WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| MORTGAGE-BACKED SECURITIES - 46.3% | | | | | | | | | | | | | | | | |
FHLMC - 4.9% | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 3.000 | % | | | 9/1/32-9/1/50 | | | $ | 56,576,577 | | | $ | 59,849,896 | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 6.000 | % | | | 10/1/36 | | | | 24,705 | | | | 29,589 | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 5.500 | % | | | 12/1/38 | | | | 170,786 | | | | 202,628 | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 3.500 | % | | | 10/1/42-5/1/50 | | | | 4,187,479 | | | | 4,493,407 | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 4.500 | % | | | 7/1/45-5/1/50 | | | | 11,416,741 | | | | 12,538,787 | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 4.000 | % | | | 7/1/47-3/1/50 | | | | 5,463,203 | | | | 5,922,207 | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 4.000 | % | | | 1/1/48 | | | | 18,331,960 | | | | 19,617,804 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 5.000 | % | | | 10/1/48-3/1/50 | | | | 4,970,497 | | | | 5,499,770 | |
Federal Home Loan Mortgage Corp. (FHLMC) (5 year Treasury Constant Maturity Rate + 1.286%) | | | 2.342 | % | | | 3/1/47 | | | | 2,584,851 | | | | 2,678,586 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 5.500 | % | | | 11/1/35 | | | | 19,980 | | | | 23,646 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 3.000 | % | | | 2/1/38-4/1/47 | | | | 12,296,400 | | | | 12,877,902 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 7.000 | % | | | 3/1/39 | | | | 23,347 | | | | 27,336 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 6.500 | % | | | 9/1/39 | | | | 70,434 | | | | 80,863 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 6.000 | % | | | 11/1/39 | | | | 136,025 | | | | 161,123 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 3.500 | % | | | 3/1/43 | | | | 508,921 | | | | 554,217 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 4.000 | % | | | 4/1/43-7/1/43 | | | | 1,223,795 | | | | 1,343,561 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 4.500 | % | | | 4/1/47-4/1/49 | | | | 4,178,481 | | | | 4,585,942 | |
| | | | | | | | | | | | | | | | |
Total FHLMC | | | | | | | | | | | | | | | 130,487,264 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2020 Quarterly Report | | 1 |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
FNMA - 28.8% | | | | | | | | | | | | | | | | |
Federal National Mortgage Association (FNMA) | | | 2.500 | % | | | 6/1/28 | | | $ | 628,720 | | | $ | 659,628 | |
Federal National Mortgage Association (FNMA) | | | 1.210 | % | | | 11/1/30 | | | | 400,000 | | | | 400,159 | |
Federal National Mortgage Association (FNMA) | | | 2.400 | % | | | 10/1/31 | | | | 3,511,000 | | | | 3,825,652 | |
Federal National Mortgage Association (FNMA) | | | 2.560 | % | | | 11/1/31 | | | | 4,672,000 | | | | 5,134,361 | |
Federal National Mortgage Association (FNMA) | | | 4.500 | % | | | 11/1/31-9/1/57 | | | | 138,052,331 | | | | 152,671,848 | |
Federal National Mortgage Association (FNMA) | | | 6.000 | % | | | 4/1/33-11/1/37 | | | | 101,619 | | | | 121,374 | |
Federal National Mortgage Association (FNMA) | | | 5.000 | % | | | 7/1/33-3/1/50 | | | | 25,408,107 | | | | 28,323,682 | |
Federal National Mortgage Association (FNMA) | | | 1.500 | % | | | 12/1/35 | | | | 62,500,000 | | | | 64,094,238 | (c) |
Federal National Mortgage Association (FNMA) | | | 2.000 | % | | | 12/1/35-12/1/50 | | | | 181,800,000 | | | | 189,297,704 | (c) |
Federal National Mortgage Association (FNMA) | | | 5.500 | % | | | 11/1/36-8/1/37 | | | | 24,427 | | | | 28,821 | |
Federal National Mortgage Association (FNMA) | | | 3.000 | % | | | 12/1/36-9/1/50 | | | | 76,934,374 | | | | 82,018,908 | |
Federal National Mortgage Association (FNMA) | | | 6.500 | % | | | 11/1/37-5/1/40 | | | | 382,734 | | | | 443,149 | |
Federal National Mortgage Association (FNMA) | | | 7.000 | % | | | 2/1/39 | | | | 29,229 | | | | 33,829 | |
Federal National Mortgage Association (FNMA) | | | 4.000 | % | | | 10/1/42-6/1/57 | | | | 37,426,092 | | | | 40,550,933 | |
Federal National Mortgage Association (FNMA) | | | 3.500 | % | | | 4/1/45-8/1/50 | | | | 55,807,619 | | | | 60,007,148 | |
Federal National Mortgage Association (FNMA) | | | 4.000 | % | | | 1/1/49-7/1/50 | | | | 132,392,176 | | | | 141,810,927 | (a) |
| | | | | | | | | | | | | | | | |
Total FNMA | | | | | | | | | | | | | | | 769,422,361 | |
| | | | | | | | | | | | | | | | |
GNMA - 12.6% | | | | | | | | | | | | | | | | |
Government National Mortgage Association (GNMA) | | | 3.000 | % | | | 9/15/42-11/15/42 | | | | 57,592,822 | | | | 60,347,946 | |
Government National Mortgage Association (GNMA) | | | 3.500 | % | | | 6/15/48-5/15/50 | | | | 8,151,526 | | | | 8,751,119 | |
Government National Mortgage Association (GNMA) | | | 4.000 | % | | | 3/15/50 | | | | 188,681 | | | | 200,122 | |
Government National Mortgage Association (GNMA) II | | | 6.000 | % | | | 8/20/37-12/20/41 | | | | 951,787 | | | | 1,096,927 | |
See Notes to Schedule of Investments.
| | | | |
2 | | Western Asset SMASh Series M Fund 2020 Quarterly Report | | |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
GNMA - (continued) | | | | | | | | | | | | | | | | |
Government National Mortgage Association (GNMA) II | | | 4.500 | % | | | 1/20/40-3/20/50 | | | $ | 34,365,320 | | | $ | 37,329,058 | |
Government National Mortgage Association (GNMA) II | | | 5.000 | % | | | 7/20/40-4/20/50 | | | | 30,331,821 | | | | 33,213,941 | |
Government National Mortgage Association (GNMA) II | | | 3.500 | % | | | 6/20/44-2/20/50 | | | | 15,366,050 | | | | 16,398,365 | |
Government National Mortgage Association (GNMA) II | | | 4.000 | % | | | 9/20/45-4/20/50 | | | | 43,750,597 | | | | 47,282,460 | |
Government National Mortgage Association (GNMA) II | | | 3.000 | % | | | 9/20/47-1/20/50 | | | | 1,162,233 | | | | 1,220,935 | |
Government National Mortgage Association (GNMA) II | | | 2.000 | % | | | 12/20/50 | | | | 40,800,000 | | | | 42,687,221 | (c) |
Government National Mortgage Association (GNMA) II | | | 2.500 | % | | | 12/20/50 | | | | 82,000,000 | | | | 86,417,553 | (c) |
| | | | | | | | | | | | | | | | |
Total GNMA | | | | | | | | | | | | | | | 334,945,647 | |
| | | | | | | | | | | | | | | | |
TOTAL MORTGAGE-BACKED SECURITIES
(Cost - $1,213,696,818) | | | | | | | | | | | | | | | 1,234,855,272 | |
| | | | | | | | | | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS(d) - 17.3% | | | | | | | | | | | | | |
Alternative Loan Trust, 2005-24 1A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.310%) | | | 2.053 | % | | | 7/20/35 | | | | 387,457 | | | | 333,944 | (b) |
Alternative Loan Trust, 2005-57CB 4A3 | | | 5.500 | % | | | 12/25/35 | | | | 329,071 | | | | 272,429 | |
American Home Mortgage Investment Trust, 2005-1 1A3 (1 mo. USD LIBOR + 0.620%) | | | 0.769 | % | | | 6/25/45 | | | | 2,802,484 | | | | 2,761,590 | (b) |
Benchmark Mortgage Trust, 2020-B21 B | | | 2.458 | % | | | 12/15/53 | | | | 13,020,000 | | | | 13,527,402 | |
BHMS, 2018-ATLS A (1 mo. USD LIBOR + 1.250%) | | | 1.391 | % | | | 7/15/35 | | | | 11,150,000 | | | | 10,837,212 | (b)(e) |
Chevy Chase Funding LLC Mortgage- Backed Certificates, 2003-4A A1 (1 mo. USD LIBOR + 0.680%) | | | 0.830 | % | | | 10/25/34 | | | | 2,552,598 | | | | 2,507,938 | (b)(e) |
CHL Mortgage Pass-Through Trust, 2005-9 1A1 (1 mo. USD LIBOR + 0.600%) | | | 0.750 | % | | | 5/25/35 | | | | 35,499 | | | | 30,187 | (b) |
Commercial Mortgage Trust, 2013-CR12 AM | | | 4.300 | % | | | 10/10/46 | | | | 180,000 | | | | 188,088 | |
Commercial Mortgage Trust, 2013-CR12 B | | | 4.762 | % | | | 10/10/46 | | | | 160,000 | | | | 162,589 | (b) |
Commercial Mortgage Trust, 2013-CR12 C | | | 5.240 | % | | | 10/10/46 | | | | 80,000 | | | | 79,354 | (b) |
Commercial Mortgage Trust, 2014-CR20 B | | | 4.239 | % | | | 11/10/47 | | | | 1,680,000 | | | | 1,779,967 | (b) |
CSMC Trust, 2014-USA A2 | | | 3.953 | % | | | 9/15/37 | | | | 3,290,000 | | | | 3,372,999 | (e) |
CSMC Trust, 2017-RPL3 A1 | | | 4.000 | % | | | 8/1/57 | | | | 22,717,620 | | | | 23,643,158 | (b)(e) |
CSMC Trust, 2017-RPL3 B2 | | | 4.719 | % | | | 8/1/57 | | | | 19,211,208 | | | | 21,561,334 | (b)(e) |
CSMC Trust, 2019-UVIL A | | | 3.160 | % | | | 12/15/41 | | | | 10,000,000 | | | | 9,921,747 | (e) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2020 Quarterly Report | | 3 |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | | | | | | | | | | | | | | | | |
CSMC Trust, 2020-TMIC A (1 mo. USD LIBOR + 3.000%, 3.250% floor) | | | 3.250 | % | | | 12/15/35 | | | $ | 8,060,000 | | | $ | 8,106,861 | (a)(b)(e) |
Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020- RR07 AX, IO | | | 2.468 | % | | | 9/27/28 | | | | 6,000,000 | | | | 1,021,620 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, 1517 X1, IO | | | 1.444 | % | | | 7/25/35 | | | | 3,079,509 | | | | 447,445 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K064 X1, IO | | | 0.741 | % | | | 3/25/27 | | | | 51,606,986 | | | | 1,750,235 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K091 X1, IO | | | 0.704 | % | | | 3/25/29 | | | | 6,578,684 | | | | 279,595 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K093 X1, IO | | | 1.092 | % | | | 5/25/29 | | | | 5,984,742 | | | | 416,290 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K108 X1, IO | | | 1.810 | % | | | 3/25/30 | | | | 7,200,000 | | | | 968,849 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K118 X1, IO | | | 1.055 | % | | | 9/25/30 | | | | 11,473,434 | | | | 917,728 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K720 X1, IO | | | 0.635 | % | | | 8/25/22 | | | | 77,421,606 | | | | 416,730 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K723 X1, IO | | | 1.071 | % | | | 8/25/23 | | | | 119,899,847 | | | | 2,409,220 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, K740 X1, IO | | | 0.761 | % | | | 9/25/27 | | | | 35,950,000 | | | | 1,645,748 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass- Through Certificates, KSG1 X1, IO | | | 1.258 | % | | | 9/25/30 | | | | 8,199,542 | | | | 757,646 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA | | | 6.000 | % | | | 5/15/36 | | | | 23,232 | | | | 27,616 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG, IO (-1.000 x 1 mo. USD LIBOR + 5.950%) | | | 5.809 | % | | | 10/15/41 | | | | 324,380 | | | | 58,040 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4298 PI, IO, PAC | | | 4.000 | % | | | 4/15/43 | | | | 548,504 | | | | 27,569 | |
See Notes to Schedule of Investments.
| | | | |
4 | | Western Asset SMASh Series M Fund 2020 Quarterly Report | | |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ | | | 3.000 | % | | | 8/15/48 | | | $ | 1,506,668 | | | $ | 1,556,949 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5018 MI, IO | | | 2.000 | % | | | 10/25/50 | | | | 1,491,012 | | | | 188,844 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5040 IB, IO | | | 2.500 | % | | | 11/25/50 | | | | 499,045 | | | | 58,403 | |
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 328 S4, IO | | | 2.868 | % | | | 2/15/38 | | | | 1,587,456 | | | | 94,782 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2014-DN1 M2 (1 mo. USD LIBOR + 2.200%) | | | 2.350 | % | | | 2/25/24 | | | | 813,323 | | | | 813,952 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2014-HQ2 M2 (1 mo. USD LIBOR + 2.200%) | | | 2.350 | % | | | 9/25/24 | | | | 456,402 | | | | 456,510 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-DNA3 M3F (1 mo. USD LIBOR + 3.700%) | | | 3.850 | % | | | 4/25/28 | | | | 6,719,961 | | | | 6,946,585 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-HQA3 M2 (1 mo. USD LIBOR + 1.350%) | | | 1.500 | % | | | 3/25/29 | | | | 1,780,571 | | | | 1,781,396 | (b) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2020-DNA5 M1 (SOFR30A + 1.300%) | | | 1.388 | % | | | 10/25/50 | | | | 18,550,000 | | | | 18,633,282 | (b)(e) |
Federal National Mortgage Association (FNMA) - CAS, 2013-C01 M2 (1 mo. USD LIBOR + 5.250%) | | | 5.400 | % | | | 10/25/23 | | | | 15,147,719 | | | | 15,201,945 | (b) |
Federal National Mortgage Association (FNMA) - CAS, 2014-C01 M2 (1 mo. USD LIBOR + 4.400%) | | | 4.550 | % | | | 1/25/24 | | | | 23,264,087 | | | | 22,637,373 | (b) |
Federal National Mortgage Association (FNMA) - CAS, 2017-C01 1ED1 (1 mo. USD LIBOR + 1.250%) | | | 1.400 | % | | | 7/25/29 | | | | 22,793,517 | | | | 22,709,696 | (b)(e) |
Federal National Mortgage Association (FNMA) ACES, 2020-M10 X6, IO | | | 1.497 | % | | | 8/25/28 | | | | 2,000,000 | | | | 186,740 | (b) |
Federal National Mortgage Association (FNMA) ACES, 2018-M15 1A2 | | | 3.700 | % | | | 1/25/36 | | | | 3,000,000 | | | | 3,590,577 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2020 Quarterly Report | | 5 |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | | | | | | | | | | | | | | | | |
Federal National Mortgage Association (FNMA) ACES, 2019-M19 A2 | | | 2.560 | % | | | 9/25/29 | | | $ | 1,499,491 | | | $ | 1,651,517 | |
Federal National Mortgage Association (FNMA) ACES, 2019-M27 A2 | | | 2.700 | % | | | 11/25/40 | | | | 6,600,000 | | | | 7,381,942 | |
Federal National Mortgage Association (FNMA) ACES, 2019-M28 AV | | | 2.232 | % | | | 2/25/27 | | | | 2,353,564 | | | | 2,515,803 | |
Federal National Mortgage Association (FNMA) ACES, 2020-M36 X1, IO | | | 1.563 | % | | | 9/25/34 | | | | 3,094,449 | | | | 334,532 | (b) |
Federal National Mortgage Association (FNMA) REMIC, 2010-150 SK, IO (-1.000 x 1 mo. USD LIBOR + 6.530%) | | | 6.380 | % | | | 1/25/41 | | | | 145,541 | | | | 37,556 | (b) |
Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ | | | 5.500 | % | | | 7/25/41 | | | | 334,129 | | | | 376,445 | |
Federal National Mortgage Association (FNMA) REMIC, 2012-28 B | | | 6.500 | % | | | 6/25/39 | | | | 4,741 | | | | 5,197 | |
Federal National Mortgage Association (FNMA) REMIC, 2012-75 AO, PO | | | 0.000 | % | | | 3/25/42 | | | | 18,419 | | | | 17,599 | |
Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 1 mo. USD LIBOR + 6.600%) | | | 6.450 | % | | | 7/25/42 | | | | 68,411 | | | | 15,369 | (b) |
Federal National Mortgage Association (FNMA) REMIC, 2012-93 UI, IO | | | 3.000 | % | | | 9/25/27 | | | | 488,327 | | | | 28,141 | |
Federal National Mortgage Association (FNMA) REMIC, 2012-118 CI, IO | | | 3.500 | % | | | 12/25/39 | | | | 189,792 | | | | 4,970 | |
Federal National Mortgage Association (FNMA) REMIC, 2012-134 SK, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | | | 6.000 | % | | | 12/25/42 | | | | 532,367 | | | | 115,387 | (b) |
Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB | | | 5.500 | % | | | 4/25/42 | | | | 102,775 | | | | 118,766 | |
Federal National Mortgage Association (FNMA) REMIC, 2013-14 IG, IO | | | 4.000 | % | | | 3/25/43 | | | | 287,703 | | | | 34,352 | |
Federal National Mortgage Association (FNMA) REMIC, 2013-29 QI, IO | | | 4.000 | % | | | 4/25/43 | | | | 762,459 | | | | 97,722 | |
Federal National Mortgage Association (FNMA) REMIC, 2013-73 IB, IO | | | 3.500 | % | | | 7/25/28 | | | | 1,147,461 | | | | 75,578 | |
Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO | | | 2.507 | % | | | 8/25/44 | | | | 1,224,578 | | | | 76,055 | (b) |
Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ | | | 2.000 | % | | | 7/25/50 | | | | 907,525 | | | | 919,732 | |
Federal National Mortgage Association (FNMA) STRIPS, 390 C3, IO | | | 6.000 | % | | | 7/25/38 | | | | 16,005 | | | | 2,957 | |
See Notes to Schedule of Investments.
| | | | |
6 | | Western Asset SMASh Series M Fund 2020 Quarterly Report | | |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | | | | | | | | | |
Federal National Mortgage Association (FNMA) STRIPS, 407 22, IO | | | 5.000 | % | | | 1/25/39 | | | $ | 10,450 | | | $ | 1,769 | |
Federal National Mortgage Association (FNMA) STRIPS, 407 23, IO | | | 5.000 | % | | | 1/25/39 | | | | 5,738 | | | | 778 | (b) |
Federal National Mortgage Association (FNMA) STRIPS, 407 27, IO | | | 5.500 | % | | | 1/25/39 | | | | 5,936 | | | | 854 | (b) |
Federal National Mortgage Association (FNMA) STRIPS, 407 34, IO | | | 5.000 | % | | | 1/25/38 | | | | 9,222 | | | | 1,328 | |
Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO | | | 6.000 | % | | | 1/25/38 | | | | 13,301 | | | | 2,522 | |
Federal National Mortgage Association (FNMA) STRIPS, 407 C10, IO | | | 5.000 | % | | | 1/25/38 | | | | 50,536 | | | | 8,587 | |
Federal National Mortgage Association (FNMA) STRIPS, 409 C2, IO | | | 3.000 | % | | | 4/25/27 | | | | 148,888 | | | | 8,192 | |
Federal National Mortgage Association (FNMA) STRIPS, 409 C13, IO | | | 3.500 | % | | | 11/25/41 | | | | 106,260 | | | | 9,457 | |
Flagstar Mortgage Trust, 2018-2 A4 | | | 3.500 | % | | | 4/25/48 | | | | 13,017,003 | | | | 13,222,132 | (b)(e) |
FREMF Mortgage Trust, 2012-K20 X2A, IO | | | 0.200 | % | | | 5/25/45 | | | | 19,791,708 | | | | 45,345 | (e) |
FRESB Mortgage Trust, 2015-SB7 A10 (2.950% to 11/25/25 then 1 mo. USD LIBOR + 0.700%) | | | 2.950 | % | | | 9/25/35 | | | | 4,333,878 | | | | 4,510,140 | (b) |
GMACM Mortgage Loan Trust, 2006-AR1 1A1 | | | 3.589 | % | | | 4/19/36 | | | | 505,879 | | | | 445,359 | (b) |
Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. USD LIBOR + 6.650%) | | | 6.504 | % | | | 1/20/40 | | | | 20,899 | | | | 1,757 | (b) |
Government National Mortgage Association (GNMA), 2011-140 AI, IO | | | 4.000 | % | | | 10/16/26 | | | | 79,285 | | | | 5,144 | |
Government National Mortgage Association (GNMA), 2011-H01 AF (1 mo. USD LIBOR + 0.450%) | | | 0.590 | % | | | 11/20/60 | | | | 699,799 | | | | 700,905 | (b) |
Government National Mortgage Association (GNMA), 2011-H11 FB (1 mo. USD LIBOR + 0.500%) | | | 0.640 | % | | | 4/20/61 | | | | 938,161 | | | | 940,630 | (b) |
Government National Mortgage Association (GNMA), 2012-43 SN, IO (-1.000 x 1 mo. USD LIBOR + 6.600%) | | | 6.459 | % | | | 4/16/42 | | | | 2,320,213 | | | | 656,833 | (b) |
Government National Mortgage Association (GNMA), 2014-134 IA, IO | | | 0.438 | % | | | 1/16/55 | | | | 77,971,739 | | | | 1,133,721 | (b) |
Government National Mortgage Association (GNMA), 2014-157 IO, IO | | | 0.504 | % | | | 5/16/55 | | | | 27,075,638 | | | | 668,208 | (b) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2020 Quarterly Report | | 7 |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | | | | | | | | | | | | | |
Government National Mortgage Association (GNMA), 2014-176 IA, IO | | | 4.000 | % | | | 11/20/44 | | | $ | 825,649 | | | $ | 108,501 | |
Government National Mortgage Association (GNMA), 2015-36 MI, IO | | | 5.500 | % | | | 3/20/45 | | | | 999,477 | | | | 196,997 | |
Government National Mortgage Association (GNMA), 2015-167 OI, IO | | | 4.000 | % | | | 4/16/45 | | | | 321,178 | | | | 45,631 | |
Government National Mortgage Association (GNMA), 2017-28 IO, IO | | | 0.662 | % | | | 2/16/57 | | | | 1,498,664 | | | | 76,882 | (b) |
Government National Mortgage Association (GNMA), 2018-H7 FD (1 mo. USD LIBOR + 0.300%) | | | 0.440 | % | | | 5/20/68 | | | | 1,665,995 | | | | 1,662,397 | (b) |
Government National Mortgage Association (GNMA), 2019-90 AB | | | 3.000 | % | | | 7/20/49 | | | | 9,401,918 | | | | 9,757,989 | |
Government National Mortgage Association (GNMA), 2019-123 A | | | 3.000 | % | | | 10/20/49 | | | | 1,009,049 | | | | 1,038,760 | |
Government National Mortgage Association (GNMA), 2020-47 MI, IO | | | 3.500 | % | | | 4/20/50 | | | | 2,225,702 | | | | 372,212 | |
Government National Mortgage Association (GNMA), 2020-47 NI, IO | | | 3.500 | % | | | 4/20/50 | | | | 773,660 | | | | 133,263 | |
Government National Mortgage Association (GNMA), 2020-127 IN, IO | | | 2.500 | % | | | 8/20/50 | | | | 795,554 | | | | 104,871 | |
Government National Mortgage Association (GNMA), 2020-129 IE, IO | | | 2.500 | % | | | 9/20/50 | | | | 794,238 | | | | 106,396 | |
Government National Mortgage Association (GNMA), 2020-160 IH | | | 2.500 | % | | | 10/20/50 | | | | 498,561 | | | | 70,024 | |
Government National Mortgage Association (GNMA), 2020-160 VI, IO | | | 2.500 | % | | | 10/20/50 | | | | 695,779 | | | | 97,979 | |
Government National Mortgage Association (GNMA), 2020-160 YI, IO | | | 2.500 | % | | | 10/20/50 | | | | 2,594,693 | | | | 364,642 | |
Government National Mortgage Association (GNMA), 2020-H9 FL (1 mo. USD LIBOR + 1.150%) | | | 1.297 | % | | | 5/20/70 | | | | 2,600,461 | | | | 2,729,602 | (b) |
Government National Mortgage Association (GNMA), 2020-H9 NF (1 mo. USD LIBOR + 1.250%) | | | 1.397 | % | | | 4/20/70 | | | | 3,777,756 | | |
| 3,896,169
| (b)
|
Government National Mortgage Association (GNMA), 2020-H12 F (1 mo. USD LIBOR + 0.500%) | | | 0.647 | % | | | 7/20/70 | | | | 495,999 | | | | 498,074 | (b) |
Government National Mortgage Association (GNMA), 2020-H13 FC (1 mo. USD LIBOR + 0.450%) | | | 0.597 | % | | | 7/20/70 | | | | 191,214 | | | | 191,496 | (b) |
See Notes to Schedule of Investments.
| | | | |
8 | | Western Asset SMASh Series M Fund 2020 Quarterly Report | | |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | | | | | | | | | | | | | |
Government National Mortgage Association (GNMA), 2020-H13 FM (1 mo. USD LIBOR + 0.400%) | | | 0.547 | % | | | 8/20/70 | | | $ | 4,968,699 | | | $ | 4,972,273 | (b) |
GreenPoint Mortgage Funding Trust, 2005- HY1 1A1B (1 mo. USD LIBOR + 0.360%) | | | 0.510 | % | | | 7/25/35 | | | | 7,166,135 | | | | 7,190,885 | (b) |
GS Mortgage Securities Corp. Trust, 2013- GC16 B | | | 5.161 | % | | | 11/10/46 | | | | 500,000 | | | | 528,657 | (b) |
GS Mortgage Securities Corp. Trust, 2018- GS9 B | | | 4.321 | % | | | 3/10/51 | | | | 1,725,000 | | | | 1,934,470 | (b) |
GS Mortgage Securities Corp. Trust, 2018- RPL1 A1A | | | 3.750 | % | | | 10/25/57 | | | | 24,616,794 | | | | 26,314,102 | (e) |
GS Mortgage Securities Corp. Trust, 2019- SOHO A (1 mo. USD LIBOR + 0.900%) | | | 1.041 | % | | | 6/15/36 | | | | 13,100,000 | | | | 13,033,916 | (b)(e) |
HomeBanc Mortgage Trust, 2004-2 A1 (1 mo. USD LIBOR + 0.740%) | | | 0.890 | % | | | 12/25/34 | | | | 2,387,432 | | | | 2,465,326 | (b) |
IMPAC CMB Trust, 2004-7 1A1 (1 mo. USD LIBOR + 0.740%) | | | 0.890 | % | | | 11/25/34 | | | | 5,500,356 | | | | 5,518,101 | (b) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2014-C20, C | | | 4.752 | % | | | 7/15/47 | | | | 700,000 | | | | 695,846 | (b) |
JPMorgan Mortgage Trust, 2005-S3 1A1 | | | 6.500 | % | | | 1/25/36 | | | | 544,951 | | | | 440,825 | |
JPMorgan Mortgage Trust, 2015-5 A9 | | | 2.578 | % | | | 5/25/45 | | | | 1,250,796 | | | | 1,295,288 | (b)(e) |
JPMorgan Mortgage Trust, 2018-4 A1 | | | 3.500 | % | | | 10/25/48 | | | | 8,765,186 | | | | 9,034,810 | (b)(e) |
JPMorgan Resecuritization Trust, 2014-6 1A2 (1 mo. USD LIBOR + 0.210%) | | | 0.359 | % | | | 7/27/36 | | | | 6,716,434 | | | | 5,282,542 | (b)(e) |
La Hipotecaria Panamanian Mortgage Trust, 2007-1GA A (Panamanian Mortgage Reference Rate - 1.250%) | | | 4.500 | % | | | 12/23/36 | | | | 97,590 | | | | 98,253 | (b)(e) |
Legacy Mortgage Asset Trust, 2020-GS5 A1 | | | 3.250 | % | | | 6/25/60 | | | | 7,872,756 | | | | 7,937,064 | (e) |
MASTR Adjustable Rate Mortgages Trust, 2005-7 3A1 | | | 2.874 | % | | | 9/25/35 | | | | 64,611 | | | | 46,347 | (b) |
Merrill Lynch Mortgage Investors Trust, 2006-A1 1A1 | | | 3.413 | % | | | 3/25/36 | | | | 453,068 | | | | 352,885 | (b) |
Mortgage Repurchase Agreement Financing Trust, 2020-5 A2 (1 mo. USD LIBOR + 1.000%) | | | 1.153 | % | | | 8/10/23 | | | | 23,060,000 | | | | 23,229,745 | (b)(e) |
New Residential Mortgage Loan Trust, 2016-3A A1B | | | 3.250 | % | | | 9/25/56 | | | | 4,895,933 | | | | 5,170,994 | (b)(e) |
New Residential Mortgage Loan Trust, 2016-4A A1 | | | 3.750 | % | | | 11/25/56 | | | | 6,276,440 | | | | 6,711,202 | (b)(e) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2020 Quarterly Report | | 9 |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS(d) - (continued) | | | | | | | | | |
New Residential Mortgage Loan Trust, 2017-4A A1 | | | 4.000 | % | | | 5/25/57 | | | $ | 22,383,195 | | | $ | 24,390,282 | (b)(e) |
New Residential Mortgage Loan Trust, 2019-2A A1 | | | 4.250 | % | | | 12/25/57 | | | | 27,678,413 | | | | 29,936,846 | (b)(e) |
RALI Trust, 2006-QO7 3A2 (1 mo. USD LIBOR + 0.205%) | | | 0.355 | % | | | 9/25/46 | | | | 468,701 | | | | 439,288 | (b) |
RAMP Trust, 2005-SL1 A7 | | | 8.000 | % | | | 5/25/32 | | | | 28,917 | | | | 23,054 | |
Regal Trust IV (11th District Cost of Funds + 1.500%) | | | 2.153 | % | | | 9/29/31 | | | | 191 | | | | 186 | (b)(e) |
Residential Asset Securitization Trust, 2005-A15 1A4 | | | 5.750 | % | | | 2/25/36 | | | | 847,127 | | | | 874,942 | |
Rosslyn Portfolio Trust, 2017-ROSS A (1 mo. USD LIBOR + 0.950%, 1.939% floor) | | | 1.939 | % | | | 6/15/33 | | | | 8,411,342 | | | | 8,414,748 | (b)(e) |
Silverstone Master Issuer PLC, 2018-1A 1A (3 mo. USD LIBOR + 0.390%) | | | 0.599 | % | | | 1/21/70 | | | | 4,480,000 | | | | 4,488,503 | (b)(e) |
Structured Adjustable Rate Mortgage Loan Trust, 2004-2 4A1 | | | 2.873 | % | | | 3/25/34 | | | | 142,644 | | | | 138,376 | (b) |
Structured Asset Mortgage Investments II Trust, 2005-AR7 4A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 2.150%) | | | 2.893 | % | | | 3/25/46 | | | | 239,865 | | | | 249,083 | (b) |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2003-9A 2A2 | | | 2.546 | % | | | 3/25/33 | | | | 127,739 | | | | 132,999 | (b) |
VNDO Mortgage Trust, 2012-6AVE A | | | 2.996 | % | | | 11/15/30 | | | | 100,000 | | | | 103,046 | (e) |
WaMu Mortgage Pass-Through Certificates Trust, 2004-AR13 A1B2 (1 mo. USD LIBOR + 0.980%) | | | 1.130 | % | | | 11/25/34 | | | | 6,447,046 | | | | 6,413,593 | (b) |
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR9 A1A (1 mo. USD LIBOR + 0.640%) | | | 0.790 | % | | | 7/25/45 | | | | 60,489 | | | | 59,582 | (b) |
WFRBS Commercial Mortgage Trust, 2012-C7 XA, IO | | | 1.463 | % | | | 6/15/45 | | | | 396,856 | | | | 4,923 | (b)(e) |
WFRBS Commercial Mortgage Trust, 2014- C24 B | | | 4.204 | % | | | 11/15/47 | | | | 1,670,000 | | | | 1,545,203 | (b) |
| | | | | | | | | | | | | | | | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost - $456,589,678) | | | | | | | | | | | | | | | 462,181,515 | |
| | | | | | | | | | | | | | | | |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS - 13.5% | | | | | | | | | | | | | | | | |
U.S. Government Obligations - 13.5% | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds | | | 2.500 | % | | | 2/15/45 | | | | 25,450,000 | | | | 30,773,623 | |
U.S. Treasury Bonds | | | 2.250 | % | | | 8/15/49 | | | | 25,060,000 | | | | 29,142,039 | |
U.S. Treasury Bonds | | | 1.250 | % | | | 5/15/50 | | | | 187,010,000 | | | | 172,589,775 | |
See Notes to Schedule of Investments.
| | | | |
10 | | Western Asset SMASh Series M Fund 2020 Quarterly Report | | |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
U.S. Government Obligations - (continued) | | | | | | | | | |
U.S. Treasury Bonds | | | 1.375 | % | | | 8/15/50 | | | $ | 133,040,000 | | | $ | 126,710,207 | |
U.S. Treasury Notes | | | 0.375 | % | | | 4/30/25 | | | | 170,000 | | | | 170,491 | |
U.S. Treasury Notes | | | 0.250 | % | | | 6/30/25 | | | | 160,000 | | | | 159,438 | |
| | | | | | | | | | | | | | | | |
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost - $362,854,771) | | | | 359,545,573 | |
| | | | | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES - 8.4% | | | | | | | | | | | | | | | | |
Applebee’s Funding LLC, 2019-1A A2I | | | 4.194 | % | | | 6/7/49 | | | | 5,000,000 | | | | 4,913,495 | (e) |
Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. USD LIBOR + 0.900%) | | | 2.561 | % | | | 3/25/37 | | | | 446,342 | | | | 423,731 | (b)(e) |
Blackbird Capital Aircraft Lease Securitization Ltd., 2016-1A A | | | 4.213 | % | | | 12/16/41 | | | | 18,447,708 | | | | 17,627,409 | (e) |
Countrywide Asset-Backed Certificates Trust, 2004-5 2A (1 mo. USD LIBOR + 0.500%) | | | 0.649 | % | | | 10/25/34 | | | | 2,333,450 | | | | 2,235,217 | (b) |
Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. USD LIBOR + 0.330%) | | | 0.480 | % | | | 7/25/36 | | | | 31,973 | | | | 30,764 | (b)(e) |
CSMC Trust, 2017-RPL1 A1 | | | 2.750 | % | | | 7/25/57 | | | | 20,304,916 | | | | 21,329,445 | (b)(e) |
CSMC Trust, 2017-RPL1 M1 | | | 3.060 | % | | | 7/25/57 | | | | 20,370,000 | | | | 18,780,835 | (b)(e) |
Hertz Vehicle Financing II LP, 2018-1A A | | | 3.290 | % | | | 2/25/24 | | | | 2,064,652 | | | | 2,068,150 | (e) |
MASTR Asset-Backed Securities Trust, 2007-NCW A1 (1 mo. USD LIBOR + 0.300%) | | | 0.450 | % | | | 5/25/37 | | | | 5,588,082 | | | | 5,153,519 | (b)(e) |
Merrill Lynch Mortgage Investors Trust, 2006-FF1 M5 (1 mo. USD LIBOR + 0.390%) | | | 0.540 | % | | | 8/25/36 | | | | 20,305,000 | | | | 20,228,834 | (b) |
Morgan Stanley Mortgage Loan Trust, 2007-2AX 2A1 (1 mo. USD LIBOR + 0.090%) | | | 0.240 | % | | | 12/25/36 | | | | 28,699 | | | | 16,759 | (b) |
Navient Private Education Refi Loan Trust, 2019-FA A2 | | | 2.600 | % | | | 8/15/68 | | | | 26,620,000 | | | | 27,505,956 | (e) |
Navient Student Loan Trust, 2015-1 A2 (1 mo. USD LIBOR + 0.600%) | | | 0.750 | % | | | 4/25/40 | | | | 3,169,191 | | | | 3,141,451 | (b) |
Navient Student Loan Trust, 2016-6A A3 (1 mo. USD LIBOR + 1.300%) | | | 1.450 | % | | | 3/25/66 | | | | 3,310,000 | | | | 3,353,176 | (b)(e) |
Navient Student Loan Trust, 2019-BA A2A | | | 3.390 | % | | | 12/15/59 | | | | 7,610,000 | | | | 7,989,400 | (e) |
OHA Loan Funding Ltd., 2015-1A A1R2 (3 mo. USD LIBOR + 1.340%) | | | 1.561 | % | | | 11/15/32 | | | | 550,000 | | | | 550,367 | (b)(e) |
Origen Manufactured Housing Contract Trust, 2007-A A2 | | | 2.516 | % | | | 4/15/37 | | | | 473,371 | | | | 446,728 | (b) |
Pretium Mortgage Credit Partners LLC | | | 3.179 | % | | | 6/27/69 | | | | 30,258,796 | | | | 30,477,567 | (e) |
RAAC Trust, 2006-RP3 A (1 mo. USD LIBOR + 0.270%) | | | 0.420 | % | | | 5/25/36 | | | | 127,188 | | | | 125,899 | (b)(e) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2020 Quarterly Report | | 11 |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| ASSET-BACKED SECURITIES - (continued) | | | | | | | | | | | | | | | | |
RAAC Trust, 2006-SP1 M1 (1 mo. USD LIBOR + 0.400%) | | | 0.550 | % | | | 9/25/45 | | | $ | 1,263,549 | | | $ | 1,246,316 | (b) |
RAMP Trust, 2006-RZ4 A3 (1 mo. USD LIBOR + 0.270%) | | | 0.420 | % | | | 10/25/36 | | | | 621,609 | | | | 616,654 | (b) |
Renaissance Home Equity Loan Trust, 2003-2 A (1 mo. USD LIBOR + 0.880%) | | | 1.029 | % | | | 8/25/33 | | | | 704,658 | | | | 679,211 | (b) |
Renaissance Home Equity Loan Trust, 2007-3 AV2 (1 mo. USD LIBOR + 1.000%) | | | 1.149 | % | | | 9/25/37 | | | | 227,726 | | | | 202,918 | (b) |
Renaissance Home Equity Loan Trust, 2007-3 AV3 (1 mo. USD LIBOR + 1.800%) | | | 1.949 | % | | | 9/25/37 | | | | 997,036 | | | | 896,221 | (b) |
Residential Funding Securities Corp., 2002- RP2 A1 (1 mo. USD LIBOR + 1.500%) | | | 1.650 | % | | | 10/25/32 | | | | 2,589 | | | | 2,330 | (b)(e) |
SLM Student Loan Trust, 2006-10 A6 (3 mo. USD LIBOR + 0.150%) | | | 0.365 | % | | | 3/25/44 | | | | 8,300,831 | | | | 7,896,301 | (b) |
Small Business Administration, 2017-10A 1 | | | 2.845 | % | | | 3/10/27 | | | | 2,125,410 | | | | 2,263,110 | |
SMB Private Education Loan Trust, 2020-A A2A | | | 2.230 | % | | | 9/15/37 | | | | 20,000,000 | | | | 20,781,756 | (e) |
Structured Asset Securities Corp., 2004- SC1 A | | | 8.081 | % | | | 12/25/29 | | | | 11,090 | | | | 11,077 | (b)(e) |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2001-SB1 A2 | | | 3.375 | % | | | 8/25/31 | | | | 191,876 | | | | 185,441 | |
Towd Point Mortgage Trust, 2016-3 A1 | | | 2.250 | % | | | 4/25/56 | | | | 4,109,462 | | | | 4,162,977 | (b)(e) |
Towd Point Mortgage Trust, 2019-HY2 A1 (1 mo. USD LIBOR + 1.000%) | | | 1.150 | % | | | 5/25/58 | | | | 16,086,813 | | | | 16,147,254 | (b)(e) |
UCFC Manufactured Housing Contract, 1998-2 A4 | | | 6.587 | % | | | 10/15/29 | | | | 2,937,543 | | | | 3,085,903 | |
| | | | | | | | | | | | | | | | |
TOTAL ASSET-BACKED SECURITIES
(Cost - $222,113,863) | | | | | | | | | | | | | | | 224,576,171 | |
| | | | | | | | | | | | | | | | |
| U.S. TREASURY INFLATION PROTECTED SECURITIES - 7.7% | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds, Inflation Indexed | | | 2.125 | % | | | 2/15/40 | | | | 25,806,435 | | | | 39,814,730 | |
U.S. Treasury Bonds, Inflation Indexed | | | 2.125 | % | | | 2/15/41 | | | | 15,355,937 | | | | 23,968,477 | |
U.S. Treasury Bonds, Inflation Indexed | | | 1.375 | % | | | 2/15/44 | | | | 29,818,560 | | | | 42,816,670 | (f)(g) |
U.S. Treasury Bonds, Inflation Indexed | | | 0.750 | % | | | 2/15/45 | | | | 26,317,431 | | | | 33,819,362 | (f) |
U.S. Treasury Bonds, Inflation Indexed | | | 1.000 | % | | | 2/15/46 | | | | 43,939,600 | | | | 59,726,332 | |
U.S. Treasury Notes, Inflation Indexed | | | 0.375 | % | | | 7/15/25 | | | | 6,245,116 | | | | 6,771,030 | |
U.S. Treasury Notes, Inflation Indexed | | | 0.625 | % | | | 1/15/26 | | | | 109,540 | | | | 120,551 | |
| | | | | | | | | | | | | | | | |
TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES
(Cost - $171,748,083) | | | | | | | | 207,037,152 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
12 | | Western Asset SMASh Series M Fund 2020 Quarterly Report | | |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| SOVEREIGN BONDS - 2.3% | | | | | | | | | | | | | | | | |
Kuwait - 0.4% | | | | | | | | | | | | | | | | |
Kuwait International Government Bond, Senior Notes | | | 3.500 | % | | | 3/20/27 | | | $ | 8,660,000 | | | $ | 9,872,227 | (e) |
| | | | | | | | | | | | | | | | |
Mexico - 0.5% | | | | | | | | | | | | | | | | |
Mexico Government International Bond, Senior Notes | | | 4.600 | % | | | 2/10/48 | | | | 6,810,000 | | | | 7,768,882 | |
Mexico Government International Bond, Senior Notes | | | 5.750 | % | | | 10/12/2110 | | | | 3,430,000 | | | | 4,306,554 | |
| | | | | | | | | | | | | | | | |
Total Mexico | | | | | | | | | | | | | | | 12,075,436 | |
| | | | | | | | | | | | | | | | |
Qatar - 0.8% | | | | | | | | | | | | | | | | |
Qatar Government International Bond, Senior Notes | | | 3.875 | % | | | 4/23/23 | | | | 18,110,000 | | | | 19,475,367 | (h) |
Qatar Government International Bond, Senior Notes | | | 3.250 | % | | | 6/2/26 | | | | 1,580,000 | | | | 1,757,086 | (h) |
| | | | | | | | | | | | | | | | |
Total Qatar | | | | | | | | | | | | | | | 21,232,453 | |
| | | | | | | | | | | | | | | | |
Saudi Arabia - 0.1% | | | | | | | | | | | | | | | | |
Saudi Government International Bond, Senior Notes | | | 2.875 | % | | | 3/4/23 | | | | 3,600,000 | | | | 3,771,702 | (e) |
| | | | | | | | | | | | | | | | |
United Arab Emirates - 0.5% | | | | | | | | | | | | | | | | |
Abu Dhabi Government International Bond, Senior Notes | | | 1.700 | % | | | 3/2/31 | | | | 14,000,000 | | | | 14,053,088 | (e) |
| | | | | | | | | | | | | | | | |
TOTAL SOVEREIGN BONDS
(Cost - $56,139,482) | | | | | | | | | | | | | | | 61,004,906 | |
| | | | | | | | | | | | | | | | |
| CORPORATE BONDS & NOTES - 1.9% | | | | | | | | | | | | | | | | |
| COMMUNICATION SERVICES - 0.0%†† | | | | | | | | | | | | | | | | |
Wireless Telecommunication Services - 0.0%†† | | | | | | | | | | | | | | | | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes | | | 4.738 | % | | | 3/20/25 | | | | 1,240,000 | | | | 1,339,975 | (e) |
| | | | | | | | | | | | | | | | |
| ENERGY - 0.1% | | | | | | | | | | | | | | | | |
Oil, Gas & Consumable Fuels - 0.1% | | | | | | | | | | | | | | | | |
CNOOC Finance 2015 USA LLC, Senior Notes | | | 3.500 | % | | | 5/5/25 | | | | 1,610,000 | | | | 1,743,110 | |
| | | | | | | | | | | | | | | | |
| FINANCIALS - 0.5% | | | | | | | | | | | | | | | | |
Banks - 0.5% | | | | | | | | | | | | | | | | |
BAC Capital Trust XIV, Junior Subordinated Notes (the greater of 3 mo. USD LIBOR + 0.400% or 4.000%) | | | 4.000 | % | | | 12/16/20 | | | | 200,000 | | | | 197,964 | (b)(i) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2020 Quarterly Report | | 13 |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
Banks - (continued) | | | | | | | | | | | | | | | | |
Bank of Montreal, Senior Secured Notes | | | 1.750 | % | | | 6/15/21 | | | $ | 12,200,000 | | | $ | 12,299,107 | (e) |
Wachovia Capital Trust III Ltd., Junior Subordinated Bonds (the greater of 3 mo. USD LIBOR + 0.930% or 5.570%) | | | 5.570 | % | | | 12/31/20 | | | | 1,670,000 | | | | 1,693,162 | (b)(i) |
| | | | | | | | | | | | | | | | |
Total Banks | | | | | | | | | | | | | | | 14,190,233 | |
| | | | | | | | | | | | | | | | |
Insurance - 0.0%†† | | | | | | | | | | | | | | | | |
Ambac Assurance Corp., Subordinated Notes | | | 5.100 | % | | | 6/7/21 | | | | 8,944 | | | | 12,186 | (e)(i) |
Ambac LSNI LLC, Senior Secured Notes (3 mo. USD LIBOR + 5.000%) | | | 6.000 | % | | | 2/12/23 | | | | 32,888 | | | | 32,806 | (b)(e) |
| | | | | | | | | | | | | | | | |
Total Insurance | | | | | | | | | | | | | | | 44,992 | |
| | | | | | | | | | | | | | | | |
TOTAL FINANCIALS | | | | | | | | | | | | | | | 14,235,225 | |
| | | | | | | | | | | | | | | | |
| INDUSTRIALS - 1.2% | | | | | | | | | | | | | | | | |
Airlines - 0.2% | | | | | | | | | | | | | | | | |
Delta Air Lines Inc., Senior Notes | | | 3.400 | % | | | 4/19/21 | | | | 1,360,000 | | | | 1,361,828 | |
Delta Air Lines Inc., Senior Notes | | | 3.625 | % | | | 3/15/22 | | | | 4,655,000 | | | | 4,719,049 | |
| | | | | | | | | | | | | | | | |
Total Airlines | | | | | | | | | | | | | | | 6,080,877 | |
| | | | | | | | | | | | | | | | |
Transportation Infrastructure - 1.0% | | | | | | | | | | | | | | | | |
DP World PLC, Senior Notes | | | 5.625 | % | | | 9/25/48 | | | | 20,510,000 | | | | 25,089,986 | (e) |
| | | | | | | | | | | | | | | | |
TOTAL INDUSTRIALS | | | | | | | | | | | | | | | 31,170,863 | |
| | | | | | | | | | | | | | | | |
| MATERIALS - 0.1% | | | | | | | | | | | | | | | | |
Chemicals - 0.1% | | | | | | | | | | | | | | | | |
OCP SA, Senior Notes | | | 4.500 | % | | | 10/22/25 | | | | 1,980,000 | | | | 2,136,580 | (e) |
| | | | | | | | | | | | | | | | |
TOTAL CORPORATE BONDS & NOTES
(Cost - $44,776,315) | | | | | | | | | | | | | | | 50,625,753 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $2,527,919,010) | | | | | | | | 2,599,826,342 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | SHARES | | | | |
| SHORT-TERM INVESTMENTS - 21.2% | | | | | | | | | | | | | | | | |
BNY Mellon Cash Reserve Fund
(Cost - $566,467,500) | | | 0.010 | % | | | | | | | 566,467,500 | | | | 566,467,500 | |
| | | | | | | | | | | | | |
TOTAL INVESTMENTS - 118.6%
(Cost - $3,094,386,510) | | | | | | | | | | | | | | | 3,166,293,842 | |
Liabilities in Excess of Other Assets - (18.6)% | | | | | | | | | | | | (497,360,832 | ) |
| | | | | | | | | | | | | |
TOTAL NET ASSETS - 100.0% | | | | | | | | | | | | | | $ | 2,668,933,010 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
14 | | Western Asset SMASh Series M Fund 2020 Quarterly Report | | |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| †† | Represents less than 0.1%. |
| (a) | Securities traded on a when-issued or delayed delivery basis. |
| (b) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (c) | This security is traded on a to-be-announced (“TBA”) basis. At November 30, 2020, the Fund held TBA securities with a total cost of $379,678,224. |
| (d) | 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. |
| (e) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
| (f) | All or a portion of this security is held at the broker as collateral for open futures contracts and exchange-traded options. |
| (g) | All or a portion of this security is held at the broker as collateral for open swap contracts. |
| (h) | 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 Trustees. |
| (i) | Security has no maturity date. The date shown represents the next call date. |
Abbreviation(s) used in this schedule:
| | |
| ACES | | — Alternative Credit Enhancement Securities |
| CAS | | — Connecticut Avenue Securities |
| CMT | | — Constant Maturity Treasury |
| IO | | — Interest Only |
| LIBOR | | — London Interbank Offered Rate |
| PAC | | — Planned Amortization Class |
| PO | | — Principal Only |
| REMIC | | — Real Estate Mortgage Investment Conduit |
| STRIPS | | — Separate Trading of Registered Interest and Principal Securities |
| USD | | — United States Dollar |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2020 Quarterly Report | | 15 |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
At November 30, 2020, the Fund had the following open futures contracts:
| | | | | | | | | | | | | | | | | | | | |
| | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| Contracts to Buy: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2-Year Notes | | | 2,685 | | | | 3/21 | | | $ | 592,687,606 | | | $ | 592,986,444 | | | $ | 298,838 | |
U.S. Treasury 5-Year Notes | | | 23,539 | | | | 3/21 | | | | 2,962,410,577 | | | | 2,966,649,594 | | | | 4,239,017 | |
U.S. Treasury 10-Year Notes | | | 4,203 | | | | 3/21 | | | | 579,495,896 | | | | 580,736,411 | | | | 1,240,515 | |
U.S. Treasury Long- Term Bonds | | | 2,129 | | | | 3/21 | | | | 371,064,565 | | | | 372,375,406 | | | | 1,310,841 | |
U.S. Treasury Ultra Long-Term Bonds | | | 1,015 | | | | 3/21 | | | | 218,351,967 | | | | 219,271,719 | | | | 919,752 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 8,008,963 | |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
90-Day Eurodollar | | | 6,346 | | | | 3/21 | | | | 1,581,670,398 | | | | 1,583,168,350 | | | | (1,497,952 | ) |
90-Day Eurodollar | | | 7,261 | | | | 6/21 | | | | 1,787,022,152 | | | | 1,811,528,737 | | | | (24,506,585 | ) |
90-Day Eurodollar | | | 7,605 | | | | 12/21 | | | | 1,885,092,692 | | | | 1,896,687,000 | | | | (11,594,308 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (37,598,845 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation on open futures contracts | | | | | | | $ | (29,589,882 | ) |
| | | | | | | | | | | | | | | | | | | | |
At November 30, 2020, the Fund had the following open swap contracts:
| | | | | | | | | | | | | | | | | | | | | | |
CENTRALLY CLEARED INTEREST RATE SWAPS | |
| | | NOTIONAL
AMOUNT | | | TERMINATION
DATE | | | PAYMENTS
MADE BY
THE FUND† | | PAYMENTS
RECEIVED BY
THE FUND† | | | UPFRONT
PREMIUMS PAID
(RECEIVED) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| | $ | 567,771,000 | | | | 6/15/22 | | | 3-Month LIBOR quarterly | | | 0.190% semi-annually | | | $ | (2,118 | ) | | $ | (313,661 | ) |
| | | 440,105,000 | | | | 11/30/24 | | | Daily U.S. Federal Funds
Intraday Effective Rate
annually | | | 0.100% annually | | | | 249,094 | | | | (1,450,058 | ) |
| | | 145,220,000 | | | | 5/15/27 | | | 0.450% semi-annually | | | 3-Month LIBOR quarterly | | | | (289,896 | ) | | | 1,381,415 | |
| | | 389,440,000 | | | | 5/15/27 | | | 0.260% annually | |
| Daily U.S. Federal Funds
Intraday Effective Rate
annually |
| | | 50,000 | | | | 3,145,650 | |
| | | 429,328,000 | | | | 11/15/45 | | | 0.800% semi-annually | | | 3-Month LIBOR quarterly | | | | (987,199 | ) | | | 44,425,519 | |
| | | 44,444,000 | | | | 3/17/50 | | | 0.900% semi-annually | | | 3-Month LIBOR quarterly | | | | 753,967 | | | | 3,346,676 | |
| | | 24,556,000 | | | | 10/7/50 | | | 1.200% semi-annually | | | 3-Month LIBOR quarterly | | | | (10,740 | ) | | | 461,485 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Total | | $ | 2,040,864,000 | | | | | | | | | | | | | $ | (236,892 | ) | | $ | 50,997,026 | |
| | | | | | | | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
16 | | Western Asset SMASh Series M Fund 2020 Quarterly Report | | |
WESTERN ASSET SMASh SERIES M FUND
| | |
| Schedule of investments (unaudited) (cont’d) | | November 30, 2020 |
| | | | | | | | | | | | | | |
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1 |
REFERENCE
ENTITY | | NOTIONAL
AMOUNT2 | | TERMINATION
DATE | | | PERIODIC
PAYMENTS
RECEIVED BY
THE FUND† | | MARKET
VALUE3 | | UPFRONT
PREMIUMS PAID
(RECEIVED) | | UNREALIZED
APPRECIATION |
| Markit CDX.NA.IG.34 Index | | $ 180,131,000 | | | 6/20/25 | | | 1.000% quarterly | | $ 2,943,341 | | $(1,158,704) | | $4,102,045 |
| Markit CDX.NA.IG.35 Index | | 18,785,000 | | | 12/20/25 | | | 1.000% quarterly | | 466,826 | | 444,731 | | 22,095 |
| | | | | | | | | | | | | | |
| Total | | $ 198,916,000 | | | | | | | | $ 3,410,167 | | $(713,973) | | $4,124,140 |
| | | | | | | | | | | | | | |
| 1 | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| 2 | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| 3 | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| † | Percentage shown is an annual percentage rate. |
Abbreviation(s) used in this table:
| | |
| LIBOR | | — London Interbank Offered Rate |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2020 Quarterly Report | | 17 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset SMASh Series M Fund (the “Fund”) is a separate diversified investment series of Legg Mason Partners Institutional Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
Shares of the Fund may be purchased only by or on behalf of separately managed account clients where an affiliate of Legg Mason Partners Fund Advisor, LLC (“LMPFA”) has an agreement to serve as investment adviser or subadviser (each affiliate, a “Managed Account Adviser”) to the account with the managed account program sponsor (the “Program Sponsor”) (typically, a registered investment adviser or broker/dealer) or directly with the client. Shareholders of the Fund pay fees to their separately managed account sponsor, some of which are paid to affiliates of LMPFA. LMPFA and the subadvisers do not charge investment management fees to the Fund.
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 in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
Notes to Schedule of Investments (unaudited) (continued)
The Board of Trustees 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 Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
Notes to Schedule of Investments (unaudited) (continued)
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.
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 | | | — | | | $ | 1,234,855,272 | | | | — | | | $ | 1,234,855,272 | |
Collateralized Mortgage Obligations | | | — | | | | 462,181,515 | | | | — | | | | 462,181,515 | |
U.S. Government & Agency Obligations | | | — | | | | 359,545,573 | | | | — | | | | 359,545,573 | |
Asset-Backed Securities | | | — | | | | 224,576,171 | | | | — | | | | 224,576,171 | |
U.S. Treasury Inflation Protected Securities | | | — | | | | 207,037,152 | | | | — | | | | 207,037,152 | |
Sovereign Bonds | | | — | | | | 61,004,906 | | | | — | | | | 61,004,906 | |
Corporate Bonds & Notes | | | — | | | | 50,625,753 | | | | — | | | | 50,625,753 | |
| | | | | | | | | | | | | | | | |
Total Long-Term Investments | | | — | | | | 2,599,826,342 | | | | — | | | | 2,599,826,342 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments† | | | — | | | | 566,467,500 | | | | — | | | | 566,467,500 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | — | | | $ | 3,166,293,842 | | | | — | | | $ | 3,166,293,842 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 8,008,963 | | | | — | | | | — | | | $ | 8,008,963 | |
Centrally Cleared Interest Rate Swaps | | | — | | | $ | 52,760,745 | | | | — | | | | 52,760,745 | |
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection | | | — | | | | 4,124,140 | | | | — | | | | 4,124,140 | |
| | | | | | | | | | | | | | | | |
Total Other Financial Instruments | | $ | 8,008,963 | | | $ | 56,884,885 | | | | — | | | $ | 64,893,848 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 8,008,963 | | | $ | 3,223,178,727 | | | | — | | | $ | 3,231,187,690 | |
| | | | | | | | | | | | | | | | |
Notes to Schedule of Investments (unaudited) (continued)
| | | | | | | | | | | | | | | | |
LIABILITIES | |
DESCRIPTION | | QUOTED PRICES
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTAL | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | 37,598,845 | | | | — | | | | — | | | $ | 37,598,845 | |
Centrally Cleared Interest Rate Swaps | | | — | | | $ | 1,763,719 | | | | — | | | | 1,763,719 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 37,598,845 | | | $ | 1,763,719 | | | | — | | | $ | 39,362,564 | |
| | | | | | | | | | | | | | | | |
| † | See Schedule of Investments for additional detailed categorizations. |
