Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| MORTGAGE-BACKED SECURITIES - 40.5% | | | | | | | | | | | | | | | | |
FHLMC - 5.3% | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 6.000 | % | | | 10/1/36 | | | $ | 13,645 | | | $ | 14,145 | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 5.500 | % | | | 12/1/38 | | | | 100,074 | | | | 103,078 | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 3.500 | % | | | 10/1/42-3/1/43 | | | | 275,307 | | | | 258,296 | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 5.000 | % | | | 10/1/48 | | | | 163,982 | | | | 164,213 | |
Federal Home Loan Mortgage Corp. (FHLMC) | | | 2.000 | % | | | 2/1/51-10/1/51 | | | | 78,838,783 | | | | 64,966,080 | |
Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.619%) | | | 2.877 | % | | | 11/1/47 | | | | 1,228,090 | | | | 1,170,173 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.621%) | | | 3.098 | % | | | 2/1/50 | | | | 2,308,603 | | | | 2,206,123 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.628%) | | | 3.006 | % | | | 11/1/48 | | | | 6,214,485 | | | | 5,876,516 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) (5 year Treasury Constant Maturity Rate + 1.285%) | | | 2.101 | % | | | 3/1/47 | | | | 1,053,916 | | | | 996,514 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 5.500 | % | | | 11/1/35 | | | | 11,746 | | | | 12,028 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 7.000 | % | | | 3/1/39 | | | | 11,938 | | | | 12,738 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 6.500 | % | | | 9/1/39 | | | | 39,120 | | | | 40,758 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 6.000 | % | | | 11/1/39 | | | | 79,812 | | | | 83,227 | |
Federal Home Loan Mortgage Corp. (FHLMC) Gold | | | 4.000 | % | | | 4/1/43-7/1/43 | | | | 595,065 | | | | 576,104 | |
| | | | | | | | | | | | | | | | |
Total FHLMC | | | | | | | | | | | | | | | 76,479,993 | |
| | | | | | | | | | | | | | | | |
FNMA - 4.9% | | | | | | | | | | | | | | | | |
Federal National Mortgage Association (FNMA) | | | 2.560 | % | | | 11/1/31 | | | | 4,552,494 | | | | 3,999,539 | |
Federal National Mortgage Association (FNMA) | | | 5.500 | % | | | 11/1/36-8/1/37 | | | | 13,808 | | | | 14,169 | |
Federal National Mortgage Association (FNMA) | | | 4.500 | % | | | 6/1/37-8/1/58 | | | | 6,448,135 | | | | 6,286,339 | |
Federal National Mortgage Association (FNMA) | | | 6.000 | % | | | 11/1/37 | | | | 15,565 | | | | 16,194 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2023 Quarterly Report | | 1 |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
FNMA - continued | | | | | | | | | | | | | | | | |
Federal National Mortgage Association (FNMA) | | | 6.500 | % | | | 11/1/37-5/1/40 | | | $ | 216,603 | | | $ | 228,074 | |
Federal National Mortgage Association (FNMA) | | | 5.000 | % | | | 6/1/38-12/1/47 | | | | 1,181,571 | | | | 1,192,959 | |
Federal National Mortgage Association (FNMA) | | | 7.000 | % | | | 2/1/39 | | | | 16,226 | | | | 17,282 | |
Federal National Mortgage Association (FNMA) | | | 4.000 | % | | | 10/1/42-6/1/57 | | | | 4,514,216 | | | | 4,350,885 | |
Federal National Mortgage Association (FNMA) | | | 3.000 | % | | | 6/1/43-11/1/48 | | | | 7,766,161 | | | | 7,077,357 | |
Federal National Mortgage Association (FNMA) | | | 2.000 | % | | | 8/1/50-3/1/52 | | | | 44,108,286 | | | | 36,538,224 | |
Federal National Mortgage Association (FNMA) | | | 2.500 | % | | | 10/1/51-3/1/52 | | | | 9,796,856 | | | | 8,390,999 | (b) |
Federal National Mortgage Association (FNMA) | | | 2.500 | % | | | 6/1/52 | | | | 1,600,000 | | | | 1,368,156 | (c) |
Federal National Mortgage Association (FNMA) | | | 2.500 | % | | | 9/1/61 | | | | 1,739,318 | | | | 1,441,090 | |
| | | | | | | | | | | | | | | | |
Total FNMA | | | | | | | | | | | | | | | 70,921,267 | |
| | | | | | | | | | | | | | | | |
GNMA - 30.3% | | | | | | | | | | | | | | | | |
Government National Mortgage Association (GNMA) | | | 3.000 | % | | | 9/15/42-11/15/42 | | | | 31,443,073 | | | | 28,823,519 | |
Government National Mortgage Association (GNMA) | | | 3.500 | % | | | 6/15/48-5/15/50 | | | | 4,030,450 | | | | 3,847,339 | |
Government National Mortgage Association (GNMA) | | | 4.000 | % | | | 3/15/50 | | | | 64,242 | | | | 61,763 | |
Government National Mortgage Association (GNMA) II | | | 6.000 | % | | | 8/20/37-12/20/41 | | | | 548,554 | | | | 575,741 | |
Government National Mortgage Association (GNMA) II | | | 4.500 | % | | | 1/20/40-9/20/52 | | | | 46,493,471 | | | | 45,569,837 | |
Government National Mortgage Association (GNMA) II | | | 5.000 | % | | | 7/20/40-10/20/52 | | | | 7,343,842 | | | | 7,353,750 | |
Government National Mortgage Association (GNMA) II | | | 3.500 | % | | | 6/20/44-12/20/52 | | | | 33,855,737 | | | | 31,707,929 | |
Government National Mortgage Association (GNMA) II | | | 4.000 | % | | | 9/20/45-6/20/52 | | | | 67,319,664 | | | | 64,451,182 | |
Government National Mortgage Association (GNMA) II | | | 3.000 | % | | | 8/20/46-3/20/52 | | | | 9,533,155 | | | | 8,626,514 | |
Government National Mortgage Association (GNMA) II | | | 2.000 | % | | | 12/20/50-3/20/51 | | | | 14,211,362 | | | | 11,869,723 | |
See Notes to Schedule of Investments.
| | | | |
2 | | Western Asset SMASh Series M Fund 2023 Quarterly Report | | |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
GNMA - continued | | | | | | | | | | | | | | | | |
Government National Mortgage Association (GNMA) II | | | 2.500 | % | | | 12/20/50-11/20/52 | | | $ | 124,349,911 | | | $ | 108,434,952 | |
Government National Mortgage Association (GNMA) II | | | 2.500 | % | | | 6/1/52 | | | | 14,100,000 | | | | 12,338,877 | (c) |
Government National Mortgage Association (GNMA) II | | | 3.000 | % | | | 6/1/52 | | | | 45,300,000 | | | | 40,779,733 | (c) |
Government National Mortgage Association (GNMA) II | | | 3.500 | % | | | 6/1/52 | | | | 21,300,000 | | | | 19,761,574 | (c) |
Government National Mortgage Association (GNMA) II | | | 4.000 | % | | | 6/1/52 | | | | 1,800,000 | | | | 1,710,844 | (c) |
Government National Mortgage Association (GNMA) II | | | 4.500 | % | | | 6/1/52 | | | | 39,100,000 | | | | 37,996,494 | (c) |
Government National Mortgage Association (GNMA) II | | | 5.000 | % | | | 6/1/52 | | | | 7,600,000 | | | | 7,506,039 | (c) |
Government National Mortgage Association (GNMA) II | | | 5.500 | % | | | 6/1/52 | | | | 9,100,000 | | | | 9,095,024 | (c) |
| | | | | | | | | | | | | | | | |
Total GNMA | | | | | | | | | | | | | | | 440,510,834 | |
| | | | | | | | | | | | | | | | |
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $610,164,703) | | | | | | | | | | | | | | | 587,912,094 | |
| | | | | | | | | | | | | | | | |
| COLLATERALIZED MORTGAGE OBLIGATIONS (d) - 38.0% | | | | | | | | | | | | | | | | |
Alternative Loan Trust, 2005-24 1A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.310%) | | | 5.053 | % | | | 7/20/35 | | | | 203,069 | | | | 172,904 | (a) |
Alternative Loan Trust, 2005-57CB 4A3 | | | 5.500 | % | | | 12/25/35 | | | | 215,929 | | | | 131,614 | |
American Home Mortgage Investment Trust, 2005-1 1A3 (1 mo. USD LIBOR + 0.620%) | | | 5.640 | % | | | 6/25/45 | | | | 260,692 | | | | 258,979 | (a) |
AREIT Trust, 2021-CRE5 A (1 mo. USD LIBOR + 1.080%) | | | 6.188 | % | | | 11/17/38 | | | | 5,827,218 | | | | 5,692,714 | (a)(e) |
BDS, 2021-FL8 A (1 mo. USD LIBOR + 0.920%) | | | 6.031 | % | | | 1/18/36 | | | | 976,527 | | | | 960,048 | (a)(e) |
Benchmark Mortgage Trust, 2020-B21 B | | | 2.458 | % | | | 12/17/53 | | | | 13,020,000 | | | | 9,654,270 | |
BHMS, 2018-ATLS A (1 mo. USD LIBOR + 1.250%) | | | 6.357 | % | | | 7/15/35 | | | | 11,150,000 | | | | 10,849,826 | (a)(e) |
BX, 2021-MFM1 A (1 mo. Term SOFR + 0.814%) | | | 5.873 | % | | | 1/15/34 | | | | 2,712,736 | | | | 2,649,193 | (a)(e) |
BX Commercial Mortgage Trust, 2021-VOLT A (1 mo. USD LIBOR + 0.700%) | | | 5.807 | % | | | 9/15/36 | | | | 22,570,000 | | | | 21,840,167 | (a)(e) |
BX Commercial Mortgage Trust, 2021-XL2 A (1 mo. USD LIBOR + 0.689%) | | | 5.796 | % | | | 10/15/38 | | | | 41,127,614 | | | | 39,789,815 | (a)(e) |
BX Mortgage Trust, 2021-PAC A (1 mo. USD LIBOR + 0.689%) | | | 5.797 | % | | | 10/15/36 | | | | 35,380,000 | | | | 34,204,393 | (a)(e) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2023 Quarterly Report | | 3 |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued | | | | | | | | | | | | | | | | |
BX Trust, 2019-OC11 B | | | 3.605 | % | | | 12/9/41 | | | $ | 3,200,000 | | | $ | 2,795,469 | (e) |
BX Trust, 2021-ARIA A (1 mo. USD LIBOR + 0.899%) | | | 6.006 | % | | | 10/15/36 | | | | 19,205,000 | | | | 18,600,893 | (a)(e) |
Chevy Chase Funding LLC Mortgage-Backed Certificates, 2003-4A A1 (1 mo. USD LIBOR + 0.680%) | | | 5.860 | % | | | 10/25/34 | | | | 1,080,731 | | | | 1,023,703 | (a)(e) |
Commercial Mortgage Trust, 2013-CR12 AM | | | 4.300 | % | | | 10/10/46 | | | | 180,000 | | | | 157,872 | |
Commercial Mortgage Trust, 2013-CR12 B | | | 4.762 | % | | | 10/10/46 | | | | 160,000 | | | | 120,556 | (a) |
Commercial Mortgage Trust, 2013-CR12 C | | | 5.040 | % | | | 10/10/46 | | | | 80,000 | | | | 39,640 | (a) |
Commercial Mortgage Trust, 2014-CR20 B | | | 4.239 | % | | | 11/10/47 | | | | 1,680,000 | | | | 1,539,970 | (a) |
CSMC Trust, 2014-USA A2 | | | 3.953 | % | | | 9/15/37 | | | | 3,290,000 | | | | 2,831,465 | (e) |
CSMC Trust, 2017-RPL3 A1 | | | 4.000 | % | | | 8/1/57 | | | | 12,481,250 | | | | 11,534,526 | (a)(e) |
CSMC Trust, 2017-RPL3 B2 | | | 4.431 | % | | | 8/1/57 | | | | 16,603,930 | | | | 15,393,245 | (a)(e) |
CSMC Trust, 2019-UVIL A | | | 3.160 | % | | | 12/15/41 | | | | 10,000,000 | | | | 8,279,048 | (e) |
CSMC Trust, 2020-TMIC A (1 mo. USD LIBOR + 3.500%) | | | 8.607 | % | | | 12/15/35 | | | | 8,060,000 | | | | 8,002,315 | (a)(e) |
CSMC Trust, 2021-AFC1 A1 | | | 0.830 | % | | | 3/25/56 | | | | 4,931,102 | | | | 3,826,457 | (a)(e) |
CSMC Trust, 2021-RPL1 A1 | | | 1.668 | % | | | 9/27/60 | | | | 12,635,709 | | | | 11,808,791 | (a)(e) |
CSMC Trust, 2021-RPL3 A1 | | | 2.000 | % | | | 1/25/60 | | | | 8,542,895 | | | | 7,327,890 | (a)(e) |
CSMC Trust, 2021-RPL4 A1 | | | 1.796 | % | | | 12/27/60 | | | | 6,578,185 | | | | 6,129,967 | (a)(e) |
CSMC Trust, 2021-RPL6 A1 | | | 2.000 | % | | | 10/25/60 | | | | 9,723,428 | | | | 8,656,049 | (a)(e) |
CSMC Trust, 2022-7R 1A1 (30 Day Average SOFR + 2.500%) | | | 7.121 | % | | | 10/25/66 | | | | 19,307,700 | | | | 18,986,070 | (a)(e) |
Extended Stay America Trust, 2021-ESH A (1 mo. USD LIBOR + 1.080%) | | | 6.188 | % | | | 7/15/38 | | | | 8,462,061 | | | | 8,292,405 | (a)(e) |
Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR07 AX, IO | | | 2.468 | % | | | 9/27/28 | | | | 6,000,000 | | | | 638,440 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K064 X1, IO | | | 0.600 | % | | | 3/25/27 | | | | 47,962,561 | | | | 920,694 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K091 X1, IO | | | 0.561 | % | | | 3/25/29 | | | | 6,470,523 | | | | 179,222 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K093 X1, IO | | | 0.952 | % | | | 5/25/29 | | | | 5,942,247 | | | | 268,100 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K118 X1, IO | | | 0.958 | % | | | 9/25/30 | | | | 11,412,685 | | | | 624,889 | (a) |
See Notes to Schedule of Investments.
| | | | |
4 | | Western Asset SMASh Series M Fund 2023 Quarterly Report | | |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K121 X1, IO | | | 1.023 | % | | | 10/25/30 | | | $ | 54,246,757 | | | $ | 3,104,553 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K122 X1, IO | | | 0.880 | % | | | 11/25/30 | | | | 9,947,393 | | | | 503,609 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K723 X1, IO | | | 0.882 | % | | | 8/25/23 | | | | 68,742,998 | | | | 43,920 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K740 X1, IO | | | 0.747 | % | | | 9/25/27 | | | | 35,492,689 | | | | 932,897 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1515 X1, IO | | | 1.511 | % | | | 2/25/35 | | | | 45,237,230 | | | | 5,292,236 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1516 X1, IO | | | 1.510 | % | | | 5/25/35 | | | | 29,778,318 | | | | 3,551,856 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1517 X1, IO | | | 1.323 | % | | | 7/25/35 | | | | 40,222,890 | | | | 4,387,147 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA | | | 6.000 | % | | | 5/15/36 | | | | 12,808 | | | | 13,379 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG, IO (-1.000 x 1 mo. USD LIBOR + 5.950%) | | | 0.843 | % | | | 10/15/41 | | | | 130,076 | | | | 11,720 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4298 PI, IO, PAC | | | 4.000 | % | | | 4/15/43 | | | | 74,676 | | | | 2,705 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ | | | 3.000 | % | | | 8/15/48 | | | | 447,411 | | | | 393,738 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5018 MI, IO | | | 2.000 | % | | | 10/25/50 | | | | 1,272,503 | | | | 170,465 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5040 IB, IO | | | 2.500 | % | | | 11/25/50 | | | | 361,630 | | | | 52,654 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5274 IO, IO | | | 2.500 | % | | | 1/25/51 | | | | 22,702,292 | | | | 3,547,145 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA2 M2 (1 mo. USD LIBOR + 1.850%) | | | 6.988 | % | | | 2/25/50 | | | | 3,346,151 | | | | 3,361,918 | (a)(e) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2023 Quarterly Report | | 5 |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued | | | | | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA3 M2 (30 Day Average SOFR + 2.100%) | | | 7.073 | % | | | 10/25/33 | | | $ | 25,300,000 | | | $ | 24,846,791 | (a)(e) |
Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 328 S4, IO | | | 0.000 | % | | | 2/15/38 | | | | 855,171 | | | | 46,518 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-DNA3 M3F (1 mo. USD LIBOR + 3.700%) | | | 8.838 | % | | | 4/25/28 | | | | 2,502,406 | | | | 2,590,398 | (a) |
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2021-DNA2 M2 (30 Day Average SOFR + 2.300%) | | | 7.273 | % | | | 8/25/33 | | | | 16,699,297 | | | | 16,666,531 | (a)(e) |
Federal National Mortgage Association (FNMA) - CAS, 2013-C01 M2 (1 mo. USD LIBOR + 5.250%) | | | 10.388 | % | | | 10/25/23 | | | | 5,755,885 | | | | 5,842,523 | (a) |
Federal National Mortgage Association (FNMA) - CAS, 2014-C01 M2 (1 mo. USD LIBOR + 4.400%) | | | 9.538 | % | | | 1/25/24 | | | | 9,780,373 | | | | 9,953,207 | (a) |
Federal National Mortgage Association (FNMA) - CAS, 2021-R01 1M2 (30 Day Average SOFR + 1.550%) | | | 6.523 | % | | | 10/25/41 | | | | 11,940,000 | | | | 11,678,583 | (a)(e) |
Federal National Mortgage Association (FNMA) ACES, 2018-M15 1A2 | | | 3.700 | % | | | 1/25/36 | | | | 3,000,000 | | | | 2,774,754 | |
Federal National Mortgage Association (FNMA) ACES, 2019-M19 A2 | | | 2.560 | % | | | 9/25/29 | | | | 531,062 | | | | 481,741 | |
Federal National Mortgage Association (FNMA) ACES, 2019-M19 X2, IO | | | 0.634 | % | | | 9/25/29 | | | | 34,078,929 | | | | 1,070,886 | (a) |
Federal National Mortgage Association (FNMA) ACES, 2019-M22 A2 | | | 2.522 | % | | | 8/25/29 | | | | 11,591,524 | | | | 10,399,172 | |
Federal National Mortgage Association (FNMA) ACES, 2019-M28 AV | | | 2.232 | % | | | 2/25/27 | | | | 705,571 | | | | 660,138 | |
Federal National Mortgage Association (FNMA) ACES, 2019-M28 XA2, IO | | | 0.542 | % | | | 2/25/30 | | | | 9,098,651 | | | | 240,523 | (a) |
Federal National Mortgage Association (FNMA) ACES, 2019-M28 XA3, IO | | | 0.928 | % | | | 2/25/30 | | | | 16,359,679 | | | | 708,526 | (a) |
Federal National Mortgage Association (FNMA) ACES, 2020-M4 1X2, IO | | | 0.740 | % | | | 2/25/28 | | | | 5,563,879 | | | | 160,234 | (a) |
Federal National Mortgage Association (FNMA) ACES, 2020-M4 1X3, IO | | | 1.020 | % | | | 2/25/28 | | | | 30,215,138 | | | | 1,168,265 | (a) |
See Notes to Schedule of Investments.
| | | | |
6 | | Western Asset SMASh Series M Fund 2023 Quarterly Report | | |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued | | | | | | | | | | | | | | | | |
Federal National Mortgage Association (FNMA) ACES, 2020-M26 X3, IO | | | 1.713 | % | | | 1/25/28 | | | $ | 8,264,901 | | | $ | 410,087 | (a) |
Federal National Mortgage Association (FNMA) ACES, 2020-M36 X1, IO | | | 1.445 | % | | | 9/25/34 | | | | 2,759,741 | | | | 164,662 | (a) |
Federal National Mortgage Association (FNMA) ACES, 2020-M51 X3, IO | | | 0.070 | % | | | 12/25/30 | | | | 74,520,000 | | | | 389,419 | (a) |
Federal National Mortgage Association (FNMA) ACES, 2020-M54 X, IO | | | 1.511 | % | | | 12/25/33 | | | | 37,274,722 | | | | 2,950,973 | (a) |
Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ | | | 5.500 | % | | | 7/25/41 | | | | 192,725 | | | | 197,303 | |
Federal National Mortgage Association (FNMA) REMIC, 2012-28 B | | | 6.500 | % | | | 6/25/39 | | | | 924 | | | | 942 | |
Federal National Mortgage Association (FNMA) REMIC, 2012-75 AO, PO | | | 0.000 | % | | | 3/25/42 | | | | 9,668 | | | | 8,604 | |
Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 1 mo. USD LIBOR + 6.600%) | | | 1.462 | % | | | 7/25/42 | | | | 32,339 | | | | 3,758 | (a) |
Federal National Mortgage Association (FNMA) REMIC, 2012-93 UI, IO | | | 3.000 | % | | | 9/25/27 | | | | 176,249 | | | | 6,965 | |
Federal National Mortgage Association (FNMA) REMIC, 2012-134 SK, IO (-1.000 x 1 mo. USD LIBOR + 6.150%) | | | 1.012 | % | | | 12/25/42 | | | | 278,415 | | | | 32,278 | (a) |
Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB | | | 5.500 | % | | | 4/25/42 | | | | 58,188 | | | | 59,342 | |
Federal National Mortgage Association (FNMA) REMIC, 2013-14 IG, IO | | | 4.000 | % | | | 3/25/43 | | | | 129,740 | | | | 21,300 | |
Federal National Mortgage Association (FNMA) REMIC, 2013-29 QI, IO | | | 4.000 | % | | | 4/25/43 | | | | 416,199 | | | | 71,099 | |
Federal National Mortgage Association (FNMA) REMIC, 2013-73 IB, IO | | | 3.500 | % | | | 7/25/28 | | | | 432,880 | | | | 20,799 | |
Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO | | | 0.000 | % | | | 8/25/44 | | | | 648,138 | | | | 29,204 | (a) |
Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ | | | 2.000 | % | | | 7/25/50 | | | | 954,015 | | | | 580,739 | |
Federal National Mortgage Association (FNMA) STRIPS, 390 C3, IO | | | 6.000 | % | | | 7/25/38 | | | | 8,953 | | | | 1,937 | |
Federal National Mortgage Association (FNMA) STRIPS, 407 22, IO | | | 5.000 | % | | | 1/25/39 | | | | 6,025 | | | | 1,195 | |
Federal National Mortgage Association (FNMA) STRIPS, 407 23, IO | | | 5.000 | % | | | 1/25/39 | | | | 3,157 | | | | 627 | (a) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2023 Quarterly Report | | 7 |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued | | | | | | | | | | | | | | | | |
Federal National Mortgage Association (FNMA) STRIPS, 407 27, IO | | | 5.500 | % | | | 1/25/39 | | | $ | 3,211 | | | $ | 693 | (a) |
Federal National Mortgage Association (FNMA) STRIPS, 407 34, IO | | | 5.000 | % | | | 1/25/38 | | | | 5,289 | | | | 901 | |
Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO | | | 6.000 | % | | | 1/25/38 | | | | 7,617 | | | | 1,651 | |
Federal National Mortgage Association (FNMA) STRIPS, 407 C10, IO | | | 5.000 | % | | | 1/25/38 | | | | 28,913 | | | | 4,947 | |
Federal National Mortgage Association (FNMA) STRIPS, 409 C2, IO | | | 3.000 | % | | | 4/25/27 | | | | 53,809 | | | | 2,085 | |
Federal National Mortgage Association (FNMA) STRIPS, 409 C13, IO | | | 3.500 | % | | | 11/25/41 | | | | 48,668 | | | | 7,727 | |
FRESB Mortgage Trust, 2015-SB7 A10 (2.950% to 11/25/25 then 1 mo. USD LIBOR + 0.700%) | | | 2.950 | % | | | 9/25/35 | | | | 1,743,830 | | | | 1,671,408 | (a) |
GMACM Mortgage Loan Trust, 2006-AR1 1A1 | | | 3.281 | % | | | 4/19/36 | | | | 344,323 | | | | 269,313 | (a) |
Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. USD LIBOR + 6.650%) | | | 1.502 | % | | | 1/20/40 | | | | 2,890 | | | | 23 | (a) |
Government National Mortgage Association (GNMA), 2011-140 AI, IO | | | 4.000 | % | | | 10/16/26 | | | | 24,409 | | | | 2 | |
Government National Mortgage Association (GNMA), 2011-H01 AF (1 mo. USD LIBOR + 0.450%) | | | 5.308 | % | | | 11/20/60 | | | | 356,742 | | | | 354,786 | (a) |
Government National Mortgage Association (GNMA), 2011-H11 FB (1 mo. USD LIBOR + 0.500%) | | | 5.358 | % | | | 4/20/61 | | | | 475,917 | | | | 473,291 | (a) |
Government National Mortgage Association (GNMA), 2012-43 SN, IO (-1.000 x 1 mo. USD LIBOR + 6.600%) | | | 1.495 | % | | | 4/16/42 | | | | 1,406,945 | | | | 185,388 | (a) |
Government National Mortgage Association (GNMA), 2013-105 IO, IO | | | 0.195 | % | | | 6/16/54 | | | | 14,506,620 | | | | 21,729 | (a) |
Government National Mortgage Association (GNMA), 2014-134 IA, IO | | | 0.148 | % | | | 1/16/55 | | | | 53,142,771 | | | | 245,833 | (a) |
Government National Mortgage Association (GNMA), 2014-157 IO, IO | | | 0.191 | % | | | 5/16/55 | | | | 7,770,140 | | | | 55,478 | (a) |
Government National Mortgage Association (GNMA), 2014-176 IA, IO | | | 4.000 | % | | | 11/20/44 | | | | 404,808 | | | | 66,678 | |
Government National Mortgage Association (GNMA), 2015-36 MI, IO | | | 5.500 | % | | | 3/20/45 | | | | 551,343 | | | | 96,359 | |
See Notes to Schedule of Investments.
| | | | |
8 | | Western Asset SMASh Series M Fund 2023 Quarterly Report | | |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued | | | | | | | | | | | | | | | | |
Government National Mortgage Association (GNMA), 2015-167 OI, IO | | | 4.000 | % | | | 4/16/45 | | | $ | 225,292 | | | $ | 39,964 | |
Government National Mortgage Association (GNMA), 2017-28 IO, IO | | | 0.681 | % | | | 2/16/57 | | | | 900,658 | | | | 32,140 | (a) |
Government National Mortgage Association (GNMA), 2018-H07 FD (1 mo. USD LIBOR + 0.300%) | | | 5.158 | % | | | 5/20/68 | | | | 776,103 | | | | 772,965 | (a) |
Government National Mortgage Association (GNMA), 2019-90 AB | | | 3.000 | % | | | 7/20/49 | | | | 3,737,632 | | | | 3,373,096 | |
Government National Mortgage Association (GNMA), 2020-47 MI, IO, PAC | | | 3.500 | % | | | 4/20/50 | | | | 1,506,594 | | | | 247,262 | |
Government National Mortgage Association (GNMA), 2020-47 NI, IO, PAC | | | 3.500 | % | | | 4/20/50 | | | | 575,929 | | | | 94,889 | |
Government National Mortgage Association (GNMA), 2020-127 IN, IO | | | 2.500 | % | | | 8/20/50 | | | | 619,020 | | | | 85,336 | |
Government National Mortgage Association (GNMA), 2020-129 IE, IO | | | 2.500 | % | | | 9/20/50 | | | | 641,625 | | | | 88,172 | |
Government National Mortgage Association (GNMA), 2020-160 IH, IO | | | 2.500 | % | | | 10/20/50 | | | | 409,928 | | | | 56,498 | |
Government National Mortgage Association (GNMA), 2020-160 VI, IO | | | 2.500 | % | | | 10/20/50 | | | | 640,815 | | | | 92,497 | |
Government National Mortgage Association (GNMA), 2020-160 YI, IO | | | 2.500 | % | | | 10/20/50 | | | | 2,101,563 | | | | 262,189 | |
Government National Mortgage Association (GNMA), 2020-171 IO, IO | | | 0.958 | % | | | 10/16/60 | | | | 84,450,230 | | | | 5,679,717 | (a) |
Government National Mortgage Association (GNMA), 2020-H09 FL (1 mo. USD LIBOR + 1.150%) | | | 4.340 | % | | | 5/20/70 | | | | 1,627,067 | | | | 1,609,008 | (a) |
Government National Mortgage Association (GNMA), 2020-H09 NF (1 mo. USD LIBOR + 1.250%) | | | 6.108 | % | | | 4/20/70 | | | | 2,306,210 | | | | 2,322,721 | (a) |
Government National Mortgage Association (GNMA), 2020-H12 F (1 mo. USD LIBOR + 0.500%) | | | 4.054 | % | | | 7/20/70 | | | | 244,569 | | | | 237,216 | (a) |
Government National Mortgage Association (GNMA), 2020-H13 FC (1 mo. USD LIBOR + 0.450%) | | | 4.162 | % | | | 7/20/70 | | | | 99,583 | | | | 96,051 | (a) |
Government National Mortgage Association (GNMA), 2020-H13 FM (1 mo. USD LIBOR + 0.400%) | | | 5.258 | % | | | 8/20/70 | | | | 2,516,975 | | | | 2,490,377 | (a) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2023 Quarterly Report | | 9 |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued | | | | | | | | | | | | | | | | |
GS Mortgage Securities Corp. Trust, 2021- ROSS C (1 mo. USD LIBOR + 2.000%) | | | 7.108 | % | | | 5/15/26 | | | $ | 5,190,000 | | | $ | 4,488,064 | (a)(e) |
GS Mortgage Securities Corp. Trust, 2021- ROSS D (1 mo. USD LIBOR + 2.500%) | | | 7.608 | % | | | 5/15/26 | | | | 8,660,000 | | | | 7,324,264 | (a)(e) |
GS Mortgage Securities Trust, 2013-GC16 B | | | 5.161 | % | | | 11/10/46 | | | | 500,000 | | | | 491,219 | (a) |
GS Mortgage Securities Trust, 2018-GS9 B | | | 4.321 | % | | | 3/10/51 | | | | 1,725,000 | | | | 1,540,191 | (a) |
GS Mortgage-Backed Securities Corp. Trust, 2021-RPL1 A2 | | | 2.000 | % | | | 12/25/60 | | | | 16,090,000 | | | | 13,017,713 | (a)(e) |
GS Mortgage-Backed Securities Trust, 2018-RPL1 A1A | | | 3.750 | % | | | 10/25/57 | | | | 11,318,298 | | | | 10,869,093 | (e) |
HomeBanc Mortgage Trust, 2004-2 A1 (1 mo. USD LIBOR + 0.740%) | | | 5.878 | % | | | 12/25/34 | | | | 1,200,037 | | | | 1,125,305 | (a) |
IMPAC CMB Trust, 2004-7 1A1 (1 mo. USD LIBOR + 0.740%) | | | 5.878 | % | | | 11/25/34 | | | | 2,239,335 | | | | 2,187,873 | (a) |
JPMorgan Chase Commercial Mortgage Securities Trust, 2014-C20, C | | | 4.526 | % | | | 7/15/47 | | | | 700,000 | | | | 527,193 | (a) |
JPMorgan Mortgage Trust, 2005-S3 1A1 | | | 6.500 | % | | | 1/25/36 | | | | 436,892 | | | | 240,926 | |
JPMorgan Mortgage Trust, 2015-5 A9 | | | 6.163 | % | | | 5/25/45 | | | | 364,428 | | | | 356,715 | (a)(e) |
JPMorgan Mortgage Trust, 2018-4 A1 | | | 3.500 | % | | | 10/25/48 | | | | 1,936,331 | | | | 1,745,243 | (a)(e) |
JPMorgan Resecuritization Trust, 2014-6 1A2 (1 mo. USD LIBOR + 0.210%) | | | 3.340 | % | | | 7/27/36 | | | | 4,401,915 | | | | 4,032,419 | (a)(e) |
Legacy Mortgage Asset Trust, 2020-GS5 A1, Step bond (3.250% to 8/25/23, 6.250% to 8/25/24 then 7.250%) | | | 3.250 | % | | | 6/25/60 | | | | 5,710,364 | | | | 5,682,677 | (e) |
MASTR Adjustable Rate Mortgages Trust, 2005-7 3A1 | | | 3.479 | % | | | 9/25/35 | | | | 55,772 | | | | 35,184 | (a) |
Merrill Lynch Mortgage Investors Trust, 2006-A1 1A1 | | | 3.819 | % | | | 3/25/36 | | | | 307,200 | | | | 192,397 | (a) |
New Residential Mortgage Loan Trust, 2016-3A A1B | | | 3.250 | % | | | 9/25/56 | | | | 2,558,810 | | | | 2,339,474 | (a)(e) |
New Residential Mortgage Loan Trust, 2016-4A A1 | | | 3.750 | % | | | 11/25/56 | | | | 3,387,513 | | | | 3,130,212 | (a)(e) |
New Residential Mortgage Loan Trust, 2017-4A A1 | | | 4.000 | % | | | 5/25/57 | | | | 10,340,769 | | | | 9,622,282 | (a)(e) |
New Residential Mortgage Loan Trust, 2019-2A A1 | | | 4.250 | % | | | 12/25/57 | | | | 13,495,489 | | | | 12,913,370 | (a)(e) |
New Residential Mortgage Loan Trust, 2021-NQM3 A1 | | | 1.156 | % | | | 11/27/56 | | | | 5,217,328 | | | | 4,304,175 | (a)(e) |
OPG Trust, 2021-PORT D (1 mo. USD LIBOR + 1.131%) | | | 6.238 | % | | | 10/15/36 | | | | 2,510,227 | | | | 2,364,236 | (a)(e) |
See Notes to Schedule of Investments.
| | | | |
10 | | Western Asset SMASh Series M Fund 2023 Quarterly Report | | |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued | | | | | | | | | | | | | | | | |
PFP Ltd., 2021-8 A (1 mo. USD LIBOR + 1.000%) | | | 6.105 | % | | | 8/9/37 | | | $ | 3,838,154 | | | $ | 3,738,466 | (a)(e) |
PRKCM Trust, 2021-AFC1 A1 | | | 1.510 | % | | | 8/25/56 | | | | 16,992,025 | | | | 13,534,306 | (a)(e) |
RALI Trust, 2006-QO7 3A2 (1 mo. USD LIBOR + 0.410%) | | | 5.430 | % | | | 9/25/46 | | | | 265,538 | | | | 251,701 | (a) |
RAMP Trust, 2005-SL1 A7 | | | 8.000 | % | | | 5/25/32 | | | | 16,453 | | | | 11,028 | |
Residential Asset Securitization Trust, 2005-A15 1A4 | | | 5.750 | % | | | 2/25/36 | | | | 473,947 | | | | 443,695 | |
SFO Commercial Mortgage Trust, 2021-555 A (1 mo. USD LIBOR + 1.150%) | | | 6.257 | % | | | 5/15/38 | | | | 9,120,000 | | | | 8,099,735 | (a)(e) |
SREIT Trust, 2021-PALM A (1 mo. USD LIBOR + 0.590%) | | | 5.697 | % | | | 10/15/34 | | | | 12,605,000 | | | | 12,140,042 | (a)(e) |
Structured Adjustable Rate Mortgage Loan Trust, 2004-2 4A1 | | | 4.974 | % | | | 3/25/34 | | | | 72,226 | | | | 67,443 | (a) |
Structured Asset Mortgage Investments II Trust, 2005-AR7 4A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 2.150%) | | | 5.893 | % | | | 3/25/46 | | | | 165,584 | | | | 165,862 | (a) |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2003-9A 2A2 | | | 5.521 | % | | | 3/25/33 | | | | 61,223 | | | | 58,860 | (a) |
Towd Point Mortgage Trust, 2019-HY2 A1 (1 mo. USD LIBOR + 1.000%) | | | 6.138 | % | | | 5/25/58 | | | | 6,712,451 | | | | 6,690,577 | (a)(e) |
Towd Point Mortgage Trust, 2020-2 M1B | | | 3.000 | % | | | 4/25/60 | | | | 8,740,000 | | | | 6,706,996 | (a)(e) |
WaMu Mortgage Pass-Through Certificates Trust, 2004-AR13 A1B2 (1 mo. USD LIBOR + 0.980%) | | | 6.118 | % | | | 11/25/34 | | | | 4,164,152 | | | | 3,833,711 | (a) |
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR9 A1A (1 mo. USD LIBOR + 0.640%) | | | 5.778 | % | | | 7/25/45 | | | | 34,687 | | | | 32,544 | (a) |
WFRBS Commercial Mortgage Trust, 2014- C24 B | | | 4.204 | % | | | 11/15/47 | | | | 1,670,000 | | | | 1,536,085 | (a) |
| | | | | | | | | | | | | | | | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $598,210,027) | | | | 550,671,230 | |
| | | | | | | | | | | | | | | | |
| ASSET-BACKED SECURITIES - 16.1% | | | | | | | | | | | | | | | | |
Arbor Realty Commercial Real Estate Notes Ltd., 2021-FL3 A (1 mo. USD LIBOR + 1.070%) | | | 6.177 | % | | | 8/15/34 | | | | 3,000,000 | | | | 2,931,966 | (a)(e) |
Avis Budget Rental Car Funding AESOP LLC, 2021-1A A | | | 1.380 | % | | | 8/20/27 | | | | 6,654,000 | | | | 5,882,723 | (e) |
Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. USD LIBOR + 0.900%) | | | 6.038 | % | | | 3/25/37 | | | | 315,519 | | | | 318,375 | (a)(e) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2023 Quarterly Report | | 11 |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| ASSET-BACKED SECURITIES - continued | | | | | | | | | | | | | | | | |
Blackbird Capital Aircraft Lease Securitization Ltd., 2016-1A A, Step bond (4.213% to 12/16/24 then 6.500%) | | | 4.213 | % | | | 12/16/41 | | | $ | 15,329,905 | | | $ | 14,083,182 | (e) |
BRSP Ltd., 2021-FL1 A (1 mo. Term SOFR + 1.264%) | | | 6.338 | % | | | 8/19/38 | | | | 5,490,000 | | | | 5,306,030 | (a)(e) |
Countrywide Asset-Backed Certificates Trust, 2004-5 2A (1 mo. USD LIBOR + 0.500%) | | | 5.638 | % | | | 10/25/34 | | | | 1,837,655 | | | | 1,749,961 | (a) |
Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. USD LIBOR + 0.660%) | | | 5.798 | % | | | 7/25/36 | | | | 11,480 | | | | 11,208 | (a)(e) |
CSMC Trust, 2017-RPL1 A1 | | | 2.750 | % | | | 7/25/57 | | | | 7,778,726 | | | | 7,446,775 | (a)(e) |
CSMC Trust, 2017-RPL1 M1 | | | 2.957 | % | | | 7/25/57 | | | | 20,370,000 | | | | 16,918,012 | (a)(e) |
Dividend Solar Loans LLC, 2019-1 A | | | 3.670 | % | | | 8/22/39 | | | | 235,676 | | | | 207,871 | (e) |
Foundation Finance Trust, 2021-1A A | | | 1.270 | % | | | 5/15/41 | | | | 3,435,447 | | | | 3,047,918 | (e) |
Goodgreen Trust, 2021-1A A | | | 2.660 | % | | | 10/15/56 | | | | 8,551,943 | | | | 7,136,457 | (e) |
Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. Term SOFR + 1.134%) | | | 6.194 | % | | | 7/15/39 | | | | 3,880,000 | | | | 3,791,286 | (a)(e) |
Hardee’s Funding LLC, 2021-1A A2 | | | 2.865 | % | | | 6/20/51 | | | | 8,528,100 | | | | 6,829,228 | (e) |
Hertz Vehicle Financing LLC, 2021-1A A | | | 1.210 | % | | | 12/26/25 | | | | 3,690,000 | | | | 3,445,761 | (e) |
Hertz Vehicle Financing LLC, 2021-1A B | | | 1.560 | % | | | 12/26/25 | | | | 8,690,000 | | | | 8,116,630 | (e) |
Hertz Vehicle Financing LP, 2021-2A A | | | 1.680 | % | | | 12/27/27 | | | | 16,380,000 | | | | 14,439,825 | (e) |
Hertz Vehicle Financing LP, 2021-2A B | | | 2.120 | % | | | 12/27/27 | | | | 8,690,000 | | | | 7,635,211 | (e) |
KREF Ltd., 2021-FL2 A (1 mo. USD LIBOR + 1.070%) | | | 6.178 | % | | | 2/15/39 | | | | 4,360,000 | | | | 4,213,675 | (a)(e) |
MASTR Asset-Backed Securities Trust, 2007-NCW A1 (1 mo. USD LIBOR + 0.300%) | | | 5.438 | % | | | 5/25/37 | | | | 4,173,702 | | | | 3,533,457 | (a)(e) |
MF1 Ltd., 2021-FL7 A (1 mo. USD LIBOR + 1.080%) | | | 6.191 | % | | | 10/16/36 | | | | 3,560,000 | | | | 3,476,169 | (a)(e) |
Morgan Stanley Mortgage Loan Trust, 2007-2AX 2A1 (1 mo. USD LIBOR + 0.180%) | | | 5.318 | % | | | 12/25/36 | | | | 18,856 | | | | 7,552 | (a) |
Navient Private Education Refi Loan Trust, 2019-FA A2 | | | 2.600 | % | | | 8/15/68 | | | | 10,154,997 | | | | 9,417,792 | (e) |
Navient Student Loan Trust, 2017-2A A (1 mo. USD LIBOR + 1.050%) | | | 6.188 | % | | | 12/27/66 | | | | 23,437,263 | | | | 23,219,817 | (a)(e) |
Navient Student Loan Trust, 2021-1A A1B (1 mo. USD LIBOR + 0.600%) | | | 5.738 | % | | | 12/26/69 | | | | 2,301,237 | | | | 2,246,094 | (a)(e) |
Nelnet Student Loan Trust, 2021-A B1 | | | 2.850 | % | | | 4/20/62 | | | | 17,500,000 | | | | 14,508,711 | (e) |
See Notes to Schedule of Investments.
| | | | |
12 | | Western Asset SMASh Series M Fund 2023 Quarterly Report | | |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
| ASSET-BACKED SECURITIES - continued | | | | | | | | | | | | | | | | |
Origen Manufactured Housing Contract Trust, 2007-A A2 | | | 7.341 | % | | | 4/15/37 | | | $ | 219,692 | | | $ | 203,404 | (a) |
RAAC Trust, 2006-RP3 A (1 mo. USD LIBOR + 0.270%) | | | 5.408 | % | | | 5/25/36 | | | | 12,199 | | | | 12,116 | (a)(e) |
RAAC Trust, 2006-SP1 M1 (1 mo. USD LIBOR + 0.600%) | | | 5.738 | % | | | 9/25/45 | | | | 600,049 | | | | 575,726 | (a) |
Renaissance Home Equity Loan Trust, 2003-2 A (1 mo. USD LIBOR + 0.880%) | | | 4.129 | % | | | 8/25/33 | | | | 590,570 | | | | 532,554 | (a) |
Renaissance Home Equity Loan Trust, 2007-3 AV2 (1 mo. USD LIBOR + 1.000%) | | | 6.138 | % | | | 9/25/37 | | | | 166,585 | | | | 142,515 | (a) |
Renaissance Home Equity Loan Trust, 2007-3 AV3 (1 mo. USD LIBOR + 1.800%) | | | 6.938 | % | | | 9/25/37 | | | | 729,347 | | | | 627,502 | (a) |
Residential Funding Securities Corp., 2002- RP2 A1 (1 mo. USD LIBOR + 1.500%) | | | 6.638 | % | | | 10/25/32 | | | | 1,981 | | | | 1,958 | (a)(e) |
SBA Small Business Investment Cos., 2017-10A 1 | | | 2.845 | % | | | 3/10/27 | | | | 654,414 | | | | 619,916 | |
SLM Student Loan Trust, 2003-10A A4 (3 mo. USD LIBOR + 0.670%) | | | 5.536 | % | | | 12/17/68 | | | | 7,429,918 | | | | 7,197,093 | (a)(e) |
SMB Private Education Loan Trust, 2020-A A2A | | | 2.230 | % | | | 9/15/37 | | | | 12,412,300 | | | | 11,466,672 | (e) |
SMB Private Education Loan Trust, 2021-A A2B | | | 1.590 | % | | | 1/15/53 | | | | 15,314,870 | | | | 13,430,139 | (e) |
SMB Private Education Loan Trust, 2021-A B | | | 2.310 | % | | | 1/15/53 | | | | 8,500,000 | | | | 7,701,208 | (e) |
SMB Private Education Loan Trust, 2021-C D | | | 3.930 | % | | | 1/15/53 | | | | 6,233,000 | | | | 5,758,376 | (e) |
SMB Private Education Loan Trust, 2023-B A1B (30 Day Average SOFR + 1.800%) | | | 6.841 | % | | | 10/16/56 | | | | 6,326,068 | | | | 6,341,686 | (a)(e) |
Structured Asset Securities Corp., 2004-SC1 A | | | 8.125 | % | | | 12/25/29 | | | | 7,337 | | | | 6,371 | (a)(e) |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2001-SB1 A2 | | | 3.375 | % | | | 8/25/31 | | | | 59,485 | | | | 59,114 | |
Sunrun Vulcan Issuer LLC, 2021-1A A | | | 2.460 | % | | | 1/30/52 | | | | 3,190,712 | | | | 2,659,327 | (e) |
Thrust Engine Leasing, 2021-1A A | | | 4.163 | % | | | 7/15/40 | | | | 7,895,002 | | | | 6,651,855 | (e) |
| | | | | | | | | | | | | | | | |
TOTAL ASSET-BACKED SECURITIES (Cost - $257,424,394) | | | | 233,909,218 | |
| | | | | | | | | | | | | | | | |
| CORPORATE BONDS & NOTES - 3.5% | | | | | | | | | | | | | | | | |
| COMMUNICATION SERVICES - 0.9% | | | | | | | | | | | | | | | | |
Diversified Telecommunication Services - 0.3% | | | | | | | | | | | | | | | | |
AT&T Inc., Senior Notes | | | 2.250 | % | | | 2/1/32 | | | | 1,100,000 | | | | 881,214 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2023 Quarterly Report | | 13 |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
Diversified Telecommunication Services - continued | | | | | | | | | | | | | | | | |
Verizon Communications Inc., Senior Notes | | | 2.355 | % | | | 3/15/32 | | | $ | 2,210,000 | | | $ | 1,783,429 | |
Verizon Communications Inc., Senior Notes | | | 4.500 | % | | | 8/10/33 | | | | 2,160,000 | | | | 2,042,015 | |
| | | | | | | | | | | | | | | | |
Total Diversified Telecommunication Services | | | | | | | | 4,706,658 | |
| | | | | | | | | | | | | | | | |
Media - 0.3% | | | | | | | | | | | | | | | | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | | | 5.375 | % | | | 5/1/47 | | | | 900,000 | | | | 718,839 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | | | 5.125 | % | | | 7/1/49 | | | | 2,890,000 | | | | 2,203,211 | |
Comcast Corp., Senior Notes | | | 3.969 | % | | | 11/1/47 | | | | 1,460,000 | | | | 1,196,727 | |
Comcast Corp., Senior Notes | | | 2.887 | % | | | 11/1/51 | | | | 1,170,000 | | | | 771,130 | |
| | | | | | | | | | | | | | | | |
Total Media | | | | | | | | 4,889,907 | |
| | | | | | | | | | | | | | | | |
Wireless Telecommunication Services - 0.3% | | | | | | | | | | | | | | | | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes | | | 4.738 | % | | | 3/20/25 | | | | 620,000 | | | | 613,989 | (e) |
T-Mobile USA Inc., Senior Notes | | | 3.875 | % | | | 4/15/30 | | | | 3,410,000 | | | | 3,164,942 | |
| | | | | | | | | | | | | | | | |
Total Wireless Telecommunication Services | | | | | | | | 3,778,931 | |
| | | | | | | | | | | | | | | | |
TOTAL COMMUNICATION SERVICES | | | | | | | | | | | | | | | 13,375,496 | |
| | | | | | | | | | | | | | | | |
| ENERGY - 0.5% | | | | | | | | | | | | | | | | |
Oil, Gas & Consumable Fuels - 0.5% | | | | | | | | | | | | | | | | |
EOG Resources Inc., Senior Notes | | | 3.900 | % | | | 4/1/35 | | | | 2,210,000 | | | | 1,997,557 | |
EQT Corp., Senior Notes | | | 7.000 | % | | | 2/1/30 | | | | 5,000,000 | | | | 5,180,250 | |
| | | | | | | | | | | | | | | | |
TOTAL ENERGY | | | | | | | | | | | | | | | 7,177,807 | |
| | | | | | | | | | | | | | | | |
| FINANCIALS - 0.5% | | | | | | | | | | | | | | | | |
Banks - 0.4% | | | | | | | | | | | | | | | | |
BAC Capital Trust XIV, Junior Subordinated Notes (3 mo. USD LIBOR + 0.400%) | | | 5.266 | % | | | 6/16/23 | | | | 200,000 | | | | 148,484 | (a)(f) |
Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%) | | | 4.175 | % | | | 3/24/28 | | | | 800,000 | | | | 752,784 | (a) |
Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%) | | | 4.588 | % | | | 5/4/37 | | | | 4,420,000 | | | | 3,843,482 | (a) |
Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant Maturity Rate + 1.420%) | | | 3.758 | % | | | 4/6/33 | | | | 880,000 | | | | 775,097 | (a)(e) |
| | | | | | | | | | | | | | | | |
Total Banks | | | | | | | | | | | | | | | 5,519,847 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
14 | | Western Asset SMASh Series M Fund 2023 Quarterly Report | | |
Western Asset SMASh Series M Fund
(Percentages shown based on Fund net assets)
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT | | | VALUE | |
Capital Markets - 0.1% | | | | | | | | | | | | | | | | |
Credit Suisse AG, Senior Notes | | | 3.700 | % | | | 2/21/25 | | | $ | 2,250,000 | | | $ | 2,139,266 | |
| | | | | | | | | | | | | | | | |
TOTAL FINANCIALS | | | | | | | | | | | | | | | 7,659,113 | |
| | | | | | | | | | | | | | | | |
| INDUSTRIALS - 1.3% | | | | | | | | | | | | | | | | |
Air Freight & Logistics - 1.3% | | | | | | | | | | | | | | | | |
DP World Ltd., Senior Notes | | | 5.625 | % | | | 9/25/48 | | | | 20,510,000 | | | | 19,053,277 | (e) |
| | | | | | | | | | | | | | | | |
| MATERIALS - 0.3% | | | | | | | | | | | | | | | | |
Chemicals - 0.2% | | | | | | | | | | | | | | | | |
OCP SA, Senior Notes | | | 4.500 | % | | | 10/22/25 | | | | 1,980,000 | | | | 1,926,160 | (e) |
| | | | | | | | | | | | | | | | |
Metals & Mining - 0.1% | | | | | | | | | | | | | | | | |
Freeport-McMoRan Inc., Senior Notes | | | 5.450 | % | | | 3/15/43 | | | | 1,550,000 | | | | 1,407,051 | |
| | | | | | | | | | | | | | | | |
TOTAL MATERIALS | | | | | | | | | | | | | | | 3,333,211 | |
| | | | | | | | | | | | | | | | |
TOTAL CORPORATE BONDS & NOTES (Cost - $54,646,610) | | | | 50,598,904 | |
| | | | | | | | | | | | | | | | |
| SOVEREIGN BONDS - 0.8% | | | | | | | | | | | | | | | | |
Mexico - 0.6% | | | | | | | | | | | | | | | | |
Mexico Government International Bond, Senior Notes | | | 4.600 | % | | | 2/10/48 | | | | 6,810,000 | | | | 5,535,613 | |
Mexico Government International Bond, Senior Notes | | | 5.750 | % | | | 10/12/2110 | | | | 3,430,000 | | | | 3,000,716 | |
| | | | | | | | | | | | | | | | |
Total Mexico | | | | | | | | | | | | | | | 8,536,329 | |
| | | | | | | | | | | | | | | | |
Qatar - 0.2% | | | | | | | | | | | | | | | | |
Qatar Government International Bond, Senior Notes | | | 3.250 | % | | | 6/2/26 | | | | 1,580,000 | | | | 1,531,161 | (g) |
Qatar Government International Bond, Senior Notes | | | 4.817 | % | | | 3/14/49 | | | | 1,880,000 | | | | 1,794,317 | (e) |
| | | | | | | | | | | | | | | | |
Total Qatar | | | | | | | | | | | | | | | 3,325,478 | |
| | | | | | | | | | | | | | | | |
TOTAL SOVEREIGN BONDS (Cost - $14,155,375) | | | | | | | | 11,861,807 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $1,534,601,109) | | | | 1,434,953,253 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | SHARES | | | | |
| SHORT-TERM INVESTMENTS - 6.8% | | | | | | | | | | | | | | | | |
BNY Mellon Cash Reserve Fund (Cost - $99,146,853) | | | 2.250 | % | | | | | | | 99,146,853 | | | | 99,146,853 | (h) |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS - 105.7% (Cost - $1,633,747,962) | | | | | | | | | | | | 1,534,100,106 | |
Liabilities in Excess of Other Assets - (5.7)% | | | | | | | | | | | | | | | (83,141,180 | ) |
| | | | | | | | | | | | | | | | |
TOTAL NET ASSETS - 100.0% | | | | | | | | | | | | | | $ | 1,450,958,926 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2023 Quarterly Report | | 15 |
Western Asset SMASh Series M Fund
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| (a) | 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. |
| (b) | Securities traded on a when-issued or delayed delivery basis. |
| (c) | This security is traded on a to-be-announced (“TBA”) basis. At May 31, 2023, the Fund held TBA securities with a total cost of $131,910,625. |
| (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) | Security has no maturity date. The date shown represents the next call date. |
| (g) | 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. |
| (h) | Rate shown is one-day yield as of the end of the reporting period. |
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 |
| SOFR | | — Secured Overnight Financing Rate |
| STRIPS | | — Separate Trading of Registered Interest and Principal Securities |
| USD | | — United States Dollar |
See Notes to Schedule of Investments.
| | | | |
16 | | Western Asset SMASh Series M Fund 2023 Quarterly Report | | |
Western Asset SMASh Series M Fund
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
At May 31, 2023, 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 | | | 2,061 | | | | 9/23 | | | $ | 424,921,036 | | | $ | 424,211,768 | | | $ | (709,268 | ) |
U.S. Treasury 5-Year Notes | | | 14,653 | | | | 9/23 | | | | 1,609,159,779 | | | | 1,598,321,839 | | | | (10,837,940 | ) |
U.S. Treasury Long- Term Bonds | | | 38 | | | | 9/23 | | | | 4,874,620 | | | | 4,877,063 | | | | 2,443 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (11,544,765 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 10-Year Notes | | | 1,504 | | | | 9/23 | | | | 172,384,157 | | | | 172,161,000 | | | | 223,157 | |
U.S. Treasury Ultra 10-Year Notes | | | 19 | | | | 9/23 | | | | 2,283,086 | | | | 2,288,610 | | | | (5,524 | ) |
U.S. Treasury Ultra Long-Term Bonds | | | 301 | | | | 9/23 | | | | 40,625,073 | | | | 41,199,375 | | | | (574,302 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (356,669 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation on open futures contracts | | | $ | (11,901,434 | ) |
| | | | | | | | | | | | | | | | | | | | |
At May 31, 2023, 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† | | | MARKET
VALUE | | | UPFRONT
PREMIUMS PAID
(RECEIVED) | | | UNREALIZED
DEPRECIATION | |
$609,454,000 | | | 11/30/27 | | | Daily SOFR Compound annually | | | 2.980% annually | | | $ | (11,333,197 | ) | | $ | 116,849 | | | $ | (11,450,046 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
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.40 Index | | $ | 163,614,000 | | | | 6/20/28 | | | | 1.000% quarterly | | | $ | 1,835,629 | | | $ | 1,215,736 | | | $ | 619,893 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset SMASh Series M Fund 2023 Quarterly Report | | 17 |
Western Asset SMASh Series M Fund
| | |
| Schedule of investments (unaudited) (cont’d) | | May 31, 2023 |
| 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:
| | |
| SOFR | | — Secured Overnight Financing 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.
| | | | |
18 | | Western Asset SMASh Series M Fund 2023 Quarterly Report | | |
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 Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
Notes to Schedule of Investments (unaudited) (cont’d)
Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third 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) (cont’d)
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| | • | | Level 1 – unadjusted quoted prices in active markets for identical investments |
| | • | | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| | • | | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
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 | | | — | | | $ | 587,912,094 | | | | — | | | $ | 587,912,094 | |
Collateralized Mortgage Obligations | | | — | | | | 550,671,230 | | | | — | | | | 550,671,230 | |
Asset-Backed Securities | | | — | | | | 233,909,218 | | | | — | | | | 233,909,218 | |
Corporate Bonds & Notes | | | — | | | | 50,598,904 | | | | — | | | | 50,598,904 | |
Sovereign Bonds | | | — | | | | 11,861,807 | | | | — | | | | 11,861,807 | |
| | | | | | | | | | | | | | | | |
Total Long-Term Investments | | | — | | | | 1,434,953,253 | | | | — | | | | 1,434,953,253 | |
| | �� | | | | | | | | | | | | | | |
Short-Term Investments† | | | — | | | | 99,146,853 | | | | — | | | | 99,146,853 | |
| | | | | | | | | | | | | | | | |
Total Investments | | | — | | | $ | 1,534,100,106 | | | | — | | | $ | 1,534,100,106 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Futures Contracts†† | | $ | 225,600 | | | | — | | | | — | | | $ | 225,600 | |
Centrally Cleared Credit Default Swaps on Credit Indices – Sell Protection†† | | | — | | | $ | 619,893 | | | | — | | | | 619,893 | |
| | | | | | | | | | | | | | | | |
Total Other Financial Instruments | | $ | 225,600 | | | $ | 619,893 | | | | — | | | $ | 845,493 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 225,600 | | | $ | 1,534,719,999 | | | | — | | | $ | 1,534,945,599 | |
| | | | | | | | | | | | | | | | |
Notes to Schedule of Investments (unaudited) (cont’d)
| | | | | | | | | | | | | | | | |
LIABILITIES | |
DESCRIPTION | | QUOTED PRICES
(LEVEL 1) | | | OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2) | | | SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) | | | TOTAL | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Futures Contracts†† | | $ | 12,127,034 | | | | — | | | | — | | | $ | 12,127,034 | |
Centrally Cleared Interest Rate Swaps†† | | | — | | | $ | 11,450,046 | | | | — | | | | 11,450,046 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 12,127,034 | | | $ | 11,450,046 | | | | — | | | $ | 23,577,080 | |
| | | | | | | | | | | | | | | | |
| † | See Schedule of Investments for additional detailed categorizations. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
