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| Share Name | Share Symbol | Market | Type |
|---|---|---|---|
| BrandywineGlobal Global Income Opportunities Fund Inc | NYSE:BWG | NYSE | Common Stock |
| Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
|---|---|---|---|---|---|---|---|---|
| 0.0164 | 0.21% | 7.9864 | 8.04 | 7.9556 | 7.99 | 54,464 | 16:25:35 |
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Corporate Bonds & Notes — 95.7%
|
|||||
|
Communication Services — 8.9%
|
|||||
|
Diversified Telecommunication Services — 0.5%
|
|||||
|
Consolidated Communications Inc., Senior Secured Notes
|
5.000%
|
10/1/28
|
890,000
|
$771,170
(a)(b)
|
|
|
Interactive Media & Services — 3.6%
|
|||||
|
ANGI Group LLC, Senior Notes
|
3.875%
|
8/15/28
|
2,200,000
|
1,917,482
(a)(b)
|
|
|
GrubHub Holdings Inc., Senior Notes
|
5.500%
|
7/1/27
|
4,000,000
|
3,689,959
(a)(b)
|
|
|
Total Interactive Media & Services
|
5,607,441
|
||||
|
Media — 4.8%
|
|||||
|
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
|
4.500%
|
5/1/32
|
3,000,000
|
2,514,201
(b)
|
|
|
Colombia Telecomunicaciones SA ESP, Senior Notes
|
4.950%
|
7/17/30
|
775,000
|
663,721
(a)(b)
|
|
|
DISH Network Corp., Senior Secured Notes
|
11.750%
|
11/15/27
|
1,000,000
|
1,001,619
(a)
|
|
|
Liberty Interactive LLC, Senior Notes
|
8.250%
|
2/1/30
|
725,000
|
375,679
(b)
|
|
|
Univision Communications Inc., Senior Secured Notes
|
6.625%
|
6/1/27
|
3,000,000
|
2,988,481
(a)(b)
|
|
|
Total Media
|
7,543,701
|
||||
|
|
|||||
|
Total Communication Services
|
13,922,312
|
||||
|
Consumer Discretionary — 12.9%
|
|||||
|
Hotels, Restaurants & Leisure — 12.3%
|
|||||
|
Affinity Interactive, Senior Secured Notes
|
6.875%
|
12/15/27
|
3,000,000
|
2,617,835
(a)(b)
|
|
|
GPS Hospitality Holding Co. LLC/GPS Finco Inc., Senior Secured Notes
|
7.000%
|
8/15/28
|
1,225,000
|
895,354
(a)(b)
|
|
|
Grupo Posadas SAB de CV, Senior Secured Notes, Step bond (7.000% PIK to
12/30/25 then 8.000% Cash)
|
7.000%
|
12/30/27
|
3,000,000
|
2,732,300
(c)(d)
|
|
|
Lindblad Expeditions LLC, Senior Secured Notes
|
6.750%
|
2/15/27
|
1,000,000
|
1,000,118
(a)(b)
|
|
|
Marriott Ownership Resorts Inc., Senior Notes
|
4.500%
|
6/15/29
|
580,000
|
539,784
(a)(b)
|
|
|
Melco Resorts Finance Ltd., Senior Notes
|
5.250%
|
4/26/26
|
3,000,000
|
2,905,225
(a)(b)
|
|
|
Mohegan Tribal Gaming Authority, Secured Notes
|
8.000%
|
2/1/26
|
1,450,000
|
1,359,375
(a)(b)
|
|
|
Studio City Co. Ltd., Senior Secured Notes
|
7.000%
|
2/15/27
|
3,000,000
|
3,007,500
(a)
|
|
|
Viking Cruises Ltd., Senior Notes
|
6.250%
|
5/15/25
|
645,000
|
646,131
(a)(b)
|
|
|
Viking Cruises Ltd., Senior Notes
|
5.875%
|
9/15/27
|
3,600,000
|
3,581,442
(a)(b)
|
|
|
Total Hotels, Restaurants & Leisure
|
19,285,064
|
||||
|
Specialty Retail — 0.6%
|
|||||
|
Michaels Cos. Inc., Senior Secured Notes
|
5.250%
|
5/1/28
|
1,400,000
|
1,037,123
(a)(b)
|
|
|
|
|||||
|
Total Consumer Discretionary
|
20,322,187
|
||||
|
Consumer Staples — 4.8%
|
|||||
|
Food Products — 2.6%
|
|||||
|
Minerva Luxembourg SA, Senior Notes
|
4.375%
|
3/18/31
|
2,630,000
|
2,214,220
(a)(b)
|
|
|
Simmons Foods Inc./Simmons Prepared Foods Inc./Simmons Pet Food Inc./
Simmons Feed Ingredients Inc., Secured Notes
|
4.625%
|
3/1/29
|
2,115,000
|
1,906,946
(a)(b)
|
|
|
Total Food Products
|
4,121,166
|
||||
|
Tobacco — 2.2%
|
|||||
|
Turning Point Brands Inc., Senior Secured Notes
|
5.625%
|
2/15/26
|
1,480,000
|
1,462,460
(a)(b)
|
|
|
Vector Group Ltd., Senior Secured Notes
|
5.750%
|
2/1/29
|
2,000,000
|
1,920,734
(a)(b)
|
|
|
Total Tobacco
|
3,383,194
|
||||
|
|
|||||
|
Total Consumer Staples
|
7,504,360
|
||||
|
Energy — 22.8%
|
|||||
|
Oil, Gas & Consumable Fuels — 22.8%
|
|||||
|
Aethon United BR LP/Aethon United Finance Corp., Senior Notes
|
8.250%
|
2/15/26
|
2,000,000
|
2,027,544
(a)(b)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Oil, Gas & Consumable Fuels — continued
|
|||||
|
CITGO Petroleum Corp., Senior Secured Notes
|
6.375%
|
6/15/26
|
1,425,000
|
$1,426,796
(a)
|
|
|
CNX Resources Corp., Senior Notes
|
6.000%
|
1/15/29
|
1,310,000
|
1,297,647
(a)(b)
|
|
|
Diamondback Energy Inc., Senior Notes
|
6.250%
|
3/15/53
|
1,000,000
|
1,057,288
(b)
|
|
|
Energean Israel Finance Ltd., Senior Secured Notes
|
5.375%
|
3/30/28
|
2,500,000
|
2,246,612
(b)(d)
|
|
|
Geopark Ltd., Senior Notes
|
5.500%
|
1/17/27
|
1,620,000
|
1,521,822
(a)(b)
|
|
|
Greenfire Resources Ltd., Senior Secured Notes
|
12.000%
|
10/1/28
|
1,594,000
|
1,714,060
(a)(b)
|
|
|
Leviathan Bond Ltd., Senior Secured Notes
|
6.125%
|
6/30/25
|
2,000,000
|
1,952,928
(b)(d)
|
|
|
Leviathan Bond Ltd., Senior Secured Notes
|
6.500%
|
6/30/27
|
1,000,000
|
946,458
(b)(d)
|
|
|
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., Senior
Notes
|
6.000%
|
8/1/26
|
2,315,000
|
2,309,621
(a)(b)
|
|
|
New Fortress Energy Inc., Senior Secured Notes
|
6.750%
|
9/15/25
|
445,000
|
437,774
(a)(b)
|
|
|
New Fortress Energy Inc., Senior Secured Notes
|
6.500%
|
9/30/26
|
2,500,000
|
2,326,300
(a)(b)
|
|
|
Petroleos Mexicanos, Senior Notes
|
5.350%
|
2/12/28
|
5,290,000
|
4,793,516
(b)
|
|
|
SierraCol Energy Andina LLC, Senior Notes
|
6.000%
|
6/15/28
|
1,420,000
|
1,277,922
(a)(b)
|
|
|
SM Energy Co., Senior Notes
|
6.625%
|
1/15/27
|
3,000,000
|
3,005,693
(b)
|
|
|
Teine Energy Ltd., Senior Notes
|
6.875%
|
4/15/29
|
4,000,000
|
3,969,391
(a)(b)
|
|
|
YPF SA, Senior Notes
|
8.500%
|
7/28/25
|
2,600,000
|
2,595,435
(d)
|
|
|
YPF SA, Senior Secured Notes
|
9.000%
|
2/12/26
|
786,153
|
799,003
(d)
|
|
|
|
|||||
|
Total Energy
|
35,705,810
|
||||
|
Financials — 31.0%
|
|||||
|
Banks — 10.6%
|
|||||
|
Bank of America Corp., Subordinated Notes
|
7.750%
|
5/14/38
|
6,345,000
|
7,835,017
(b)
|
|
|
Societe Generale SA, Subordinated Notes
|
7.367%
|
1/10/53
|
5,000,000
|
5,069,924
(a)(b)
|
|
|
Societe Generale SA, Subordinated Notes (7.132% to 1/19/54 then 1 year
Treasury Constant Maturity Rate + 2.950%)
|
7.132%
|
1/19/55
|
2,740,000
|
2,706,732
(a)(b)(e)
|
|
|
Texas Capital Bancshares Inc., Subordinated Notes (4.000% to 5/6/26 then 5
year Treasury Constant Maturity Rate + 3.150%)
|
4.000%
|
5/6/31
|
1,000,000
|
927,386
(b)(e)
|
|
|
Total Banks
|
16,539,059
|
||||
|
Capital Markets — 7.1%
|
|||||
|
Blue Owl Technology Finance Corp., Senior Notes
|
4.750%
|
12/15/25
|
3,385,000
|
3,302,273
(a)(b)
|
|
|
Goldman Sachs Group Inc., Subordinated Notes
|
6.750%
|
10/1/37
|
7,000,000
|
7,794,890
(b)
|
|
|
Total Capital Markets
|
11,097,163
|
||||
|
Consumer Finance — 10.2%
|
|||||
|
Ally Financial Inc., Junior Subordinated Notes (4.700% to 5/15/26 then 5 year
Treasury Constant Maturity Rate + 3.868%)
|
4.700%
|
5/15/26
|
3,150,000
|
2,897,792
(b)(e)(f)
|
|
|
Credit Acceptance Corp., Senior Notes
|
6.625%
|
3/15/26
|
1,920,000
|
1,922,906
(b)
|
|
|
goeasy Ltd., Senior Notes
|
9.250%
|
12/1/28
|
4,000,000
|
4,292,999
(a)(b)
|
|
|
PRA Group Inc., Senior Notes
|
5.000%
|
10/1/29
|
3,700,000
|
3,290,334
(a)(b)
|
|
|
World Acceptance Corp., Senior Notes
|
7.000%
|
11/1/26
|
3,800,000
|
3,658,695
(a)(b)
|
|
|
Total Consumer Finance
|
16,062,726
|
||||
|
Financial Services — 3.1%
|
|||||
|
Freedom Mortgage Corp., Senior Notes
|
7.625%
|
5/1/26
|
2,470,000
|
2,474,876
(a)(b)
|
|
|
Freedom Mortgage Corp., Senior Notes
|
6.625%
|
1/15/27
|
2,500,000
|
2,452,714
(a)(b)
|
|
|
Total Financial Services
|
4,927,590
|
||||
|
|
|||||
|
Total Financials
|
48,626,538
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Industrials — 4.2%
|
|||||
|
Commercial Services & Supplies — 0.3%
|
|||||
|
Deluxe Corp., Senior Notes
|
8.000%
|
6/1/29
|
565,000
|
$533,624
(a)(b)
|
|
|
Construction & Engineering — 0.2%
|
|||||
|
ATP Tower Holdings LLC/Andean Tower Partners Colombia SAS/Andean
Telecom Par, Senior Secured Notes
|
4.050%
|
4/27/26
|
300,000
|
290,630
(a)
|
|
|
Marine Transportation — 0.7%
|
|||||
|
Navios South American Logistics Inc./Navios Logistics Finance U.S. Inc., Senior
Secured Notes
|
10.750%
|
7/1/25
|
1,140,000
|
1,138,771
(a)(b)
|
|
|
Passenger Airlines — 1.2%
|
|||||
|
US Airways Pass-Through Trust
|
4.625%
|
6/3/25
|
1,823,989
|
1,809,509
(b)
|
|
|
Professional Services — 1.8%
|
|||||
|
Concentrix Corp., Senior Notes
|
6.850%
|
8/2/33
|
2,700,000
|
2,757,476
(b)
|
|
|
|
|||||
|
Total Industrials
|
6,530,010
|
||||
|
Information Technology — 5.5%
|
|||||
|
Communications Equipment — 3.0%
|
|||||
|
CommScope LLC, Senior Secured Notes
|
6.000%
|
3/1/26
|
1,370,000
|
1,287,702
(a)(b)
|
|
|
Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes
|
6.750%
|
10/1/26
|
2,200,000
|
2,164,457
(a)(b)
|
|
|
Viasat Inc., Senior Secured Notes
|
5.625%
|
4/15/27
|
1,300,000
|
1,222,928
(a)(b)
|
|
|
Total Communications Equipment
|
4,675,087
|
||||
|
IT Services — 1.6%
|
|||||
|
Sabre GLBL Inc., Senior Secured Notes
|
9.250%
|
4/15/25
|
628,000
|
627,017
(a)(b)
|
|
|
Sabre GLBL Inc., Senior Secured Notes
|
8.625%
|
6/1/27
|
2,000,000
|
1,870,871
(a)(b)
|
|
|
Total IT Services
|
2,497,888
|
||||
|
Software — 0.9%
|
|||||
|
MicroStrategy Inc., Senior Secured Notes
|
6.125%
|
6/15/28
|
1,410,000
|
1,395,763
(a)(b)
|
|
|
|
|||||
|
Total Information Technology
|
8,568,738
|
||||
|
Materials — 3.8%
|
|||||
|
Chemicals — 2.0%
|
|||||
|
Braskem Idesa SAPI, Senior Secured Notes
|
7.450%
|
11/15/29
|
1,340,000
|
1,079,507
(a)(b)
|
|
|
Braskem Netherlands Finance BV, Senior Notes
|
8.500%
|
1/12/31
|
2,000,000
|
2,069,614
(a)(b)
|
|
|
Total Chemicals
|
3,149,121
|
||||
|
Metals & Mining — 1.8%
|
|||||
|
First Quantum Minerals Ltd., Senior Notes
|
6.875%
|
10/15/27
|
2,920,000
|
2,873,508
(a)
|
|
|
|
|||||
|
Total Materials
|
6,022,629
|
||||
|
Real Estate — 0.5%
|
|||||
|
Hotel & Resort REITs — 0.5%
|
|||||
|
XHR LP, Senior Secured Notes
|
4.875%
|
6/1/29
|
850,000
|
802,816
(a)(b)
|
|
|
|
|||||
|
Utilities — 1.3%
|
|||||
|
Water Utilities — 1.3%
|
|||||
|
Solaris Midstream Holdings LLC, Senior Notes
|
7.625%
|
4/1/26
|
2,000,000
|
2,014,546
(a)(b)
|
|
|
|
|||||
|
Total Corporate Bonds & Notes (Cost — $146,962,379)
|
150,019,946
|
||||
|
Sovereign Bonds — 28.0%
|
|||||
|
Brazil — 7.3%
|
|||||
|
Brazil Notas do Tesouro Nacional Serie F, Notes
|
10.000%
|
1/1/31
|
70,715,000
BRL
|
11,468,926
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Mexico — 11.5%
|
|||||
|
Mexican Bonos, Bonds
|
8.000%
|
11/7/47
|
170,400,000
MXN
|
$7,504,760
(b)
|
|
|
Mexican Bonos, Bonds
|
8.000%
|
7/31/53
|
146,000,000
MXN
|
6,346,820
(b)
|
|
|
Mexican Bonos, Senior Notes
|
7.750%
|
11/13/42
|
94,100,000
MXN
|
4,115,675
(b)
|
|
|
Total Mexico
|
17,967,255
|
||||
|
Panama — 3.6%
|
|||||
|
Panama Government International Bond, Senior Notes
|
3.870%
|
7/23/60
|
4,855,000
|
2,877,590
(b)
|
|
|
Panama Government International Bond, Senior Notes
|
4.500%
|
1/19/63
|
4,120,000
|
2,710,656
(b)
|
|
|
Total Panama
|
5,588,246
|
||||
|
South Africa — 5.6%
|
|||||
|
Republic of South Africa Government Bond, Senior Notes
|
8.750%
|
2/28/48
|
206,300,000
ZAR
|
8,846,121
|
|
|
|
|||||
|
Total Sovereign Bonds (Cost — $48,897,613)
|
43,870,548
|
||||
|
Mortgage-Backed Securities — 17.9%
|
|||||
|
FHLMC — 5.0%
|
|||||
|
Federal Home Loan Mortgage Corp. (FHLMC)
|
5.000%
|
9/1/52
|
2,437,663
|
2,405,717
(b)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC)
|
6.000%
|
11/1/53-
7/1/54
|
5,286,570
|
5,362,476
|
|
|
Total FHLMC
|
7,768,193
|
||||
|
FNMA — 1.7%
|
|||||
|
Federal National Mortgage Association (FNMA)
|
6.000%
|
11/1/53
|
2,629,284
|
2,667,623
|
|
|
GNMA — 11.2%
|
|||||
|
Government National Mortgage Association (GNMA) II
|
5.500%
|
6/20/53-
12/20/53
|
17,513,656
|
17,575,383
(b)
|
|
|
|
|||||
|
Total Mortgage-Backed Securities (Cost — $27,675,133)
|
28,011,199
|
||||
|
Collateralized Mortgage Obligations(g) — 13.5%
|
|||||
|
Banc of America Merrill Lynch Commercial Mortgage Trust, 2017-BNK3 XA, IO
|
1.005%
|
2/15/50
|
38,097,113
|
745,199
(e)
|
|
|
BANK, 2017-BNK4 XA, IO
|
1.333%
|
5/15/50
|
3,769,328
|
110,030
(e)
|
|
|
Eagle RE Ltd., 2021-2 M1B (30 Day Average SOFR + 2.050%)
|
7.397%
|
4/25/34
|
886,667
|
888,154
(a)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5411 SC, IO (-1.000 x 30
Day Average SOFR + 7.092%)
|
1.745%
|
5/25/54
|
61,700,595
|
5,834,464
(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit
Risk Debt Notes, 2022-DNA1 M1A (30 Day Average SOFR + 1.000%)
|
6.347%
|
1/25/42
|
1,226,576
|
1,227,901
(a)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit
Risk Debt Notes, 2022-DNA2 M1B (30 Day Average SOFR + 2.400%)
|
7.747%
|
2/25/42
|
1,800,000
|
1,851,119
(a)(b)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit
Risk Debt Notes, 2023-HQA1 M1A (30 Day Average SOFR + 2.000%)
|
7.347%
|
5/25/43
|
1,188,881
|
1,204,472
(a)(e)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk
Debt Notes, 2019-DNA2 M2 (30 Day Average SOFR + 2.564%)
|
7.912%
|
3/25/49
|
732,367
|
743,962
(a)(e)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2018-C06 2B1 (30 Day
Average SOFR + 4.214%)
|
9.562%
|
3/25/31
|
1,300,000
|
1,446,165
(b)(e)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2024-R02 1M1 (30
Day Average SOFR + 1.100%)
|
6.447%
|
2/25/44
|
878,256
|
878,988
(a)(b)(e)
|
|
|
Federal National Mortgage Association (FNMA) REMIC, 2023-67 SC, IO (-1.000
x 30 Day Average SOFR + 7.000%)
|
1.653%
|
1/25/54
|
38,515,589
|
3,345,379
(e)
|
|
|
Oaktown RE Ltd., 2021-1A M1B (30 Day Average SOFR + 2.050%)
|
7.397%
|
10/25/33
|
124,409
|
124,604
(a)(e)
|
|
|
RMAC Securities No 1 PLC, 2006-NS1X B1C (3 mo. EURIBOR + 0.880%)
|
4.623%
|
6/12/44
|
1,143,345
EUR
|
1,191,281
(d)(e)
|
|
|
Wells Fargo Commercial Mortgage Trust, 2019-C51 D
|
3.000%
|
6/15/52
|
1,500,000
|
1,065,545
(a)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized Mortgage Obligations(g) — continued
|
|||||
|
Western Alliance Bank, 2022-CL4 M1 (30 Day Average SOFR + 2.250%)
|
7.597%
|
10/25/52
|
483,650
|
$502,030
(a)(e)
|
|
|
WFRBS Commercial Mortgage Trust, 2013-C15 XA, IO
|
0.000%
|
8/15/46
|
3,335,669
|
33
(e)
|
|
|
|
|||||
|
Total Collateralized Mortgage Obligations (Cost — $21,516,662)
|
21,159,326
|
||||
|
Convertible Bonds & Notes — 2.6%
|
|||||
|
Communication Services — 2.6%
|
|||||
|
Media — 2.6%
|
|||||
|
Cable One Inc., Senior Notes
|
1.125%
|
3/15/28
|
3,000,000
|
2,271,300
|
|
|
DISH Network Corp., Senior Notes
|
3.375%
|
8/15/26
|
3,070,000
|
1,880,091
|
|
|
|
|||||
|
Total Convertible Bonds & Notes (Cost — $5,292,806)
|
4,151,391
|
||||
|
Senior Loans — 1.9%
|
|||||
|
Communication Services — 1.9%
|
|||||
|
Diversified Telecommunication Services — 1.9%
|
|||||
|
Numericable U.S. LLC, USD Term Loan B14 (Cost — $3,000,000)
|
—
|
8/15/28
|
4,000,000
|
3,064,000
(h)
|
|
|
Total Investments before Short-Term Investments (Cost — $253,344,593)
|
250,276,410
|
||||
|
Short-Term Investments — 9.1%
|
|||||
|
Sovereign Bonds — 1.7%
|
|||||
|
Egypt Treasury Bills (Cost — $2,650,414)
|
27.189%
|
1/28/25
|
145,000,000
EGP
|
2,651,158
(i)
|
|
|
|
|
|
|
Shares
|
|
|
Money Market Funds — 7.4%
|
|||||
|
Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares
(Cost — $11,681,348)
|
5.238%
|
|
11,681,348
|
11,681,348
(j)(k)
|
|
|
|
|||||
|
Total Short-Term Investments (Cost — $14,331,762)
|
14,332,506
|
||||
|
Total Investments — 168.7% (Cost — $267,676,355)
|
264,608,916
|
||||
|
Mandatory Redeemable Preferred Stock, at Liquidation Value — (31.9)%
|
(50,000,000
)
|
||||
|
Other Liabilities in Excess of Other Assets — (36.8)%
|
(57,793,129
)
|
||||
|
Total Net Assets Applicable to Common Shareholders — 100.0%
|
$156,815,787
|
||||
|
†
|
Face amount denominated in U.S. dollars, unless otherwise noted.
|
|
(a)
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933.
This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed
liquid pursuant to guidelines approved by the Board of Directors.
|
|
(b)
|
All or a portion of this security is pledged as collateral pursuant to the loan agreement.
|
|
(c)
|
Payment-in-kind security for which the issuer has the option at each interest payment
date of making interest payments in cash or additional securities.
|
|
(d)
|
Security is exempt from registration under Regulation S of the Securities Act of 1933.
Regulation S applies to securities offerings that are made outside of
the United States and do not involve direct selling efforts in the United States.
This security has been deemed liquid pursuant to guidelines approved by the
Board of Directors.
|
|
(e)
|
Variable rate security. Interest rate disclosed is as of the most recent information
available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based
on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
|
|
(f)
|
Security has no maturity date. The date shown represents the next call date.
|
|
(g)
|
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.
|
|
(h)
|
All or a portion of this loan has not settled as of July 31, 2024. Interest rates
are not effective until settlement date. Interest rates shown, if any, are for the
settled portion of the loan.
|
|
(i)
|
Rate shown represents yield-to-maturity.
|
|
(j)
|
Rate shown is one-day yield as of the end of the reporting period.
|
|
(k)
|
In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding
voting securities of an issuer, or a company which is under common ownership or control
with the Fund. At July 31, 2024, the total market value of
investments in Affiliated Companies was $11,681,348 and the cost was $11,681,348 (Note 2).
|
|
Abbreviation(s) used in this schedule:
|
||
|
BRL
|
—
|
Brazilian Real
|
|
CAS
|
—
|
Connecticut Avenue Securities
|
|
EGP
|
—
|
Egyptian Pound
|
|
EUR
|
—
|
Euro
|
|
EURIBOR
|
—
|
Euro Interbank Offered Rate
|
|
IO
|
—
|
Interest Only
|
|
MXN
|
—
|
Mexican Peso
|
|
PIK
|
—
|
Payment-In-Kind
|
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
USD
|
—
|
United States Dollar
|
|
ZAR
|
—
|
South African Rand
|
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
|
|
Contracts to Buy:
|
|
|
|
|
|
|
U.S. Treasury 5-Year Notes
|
276
|
9/24
|
$29,112,891
|
$29,777,814
|
$664,923
|
|
U.S. Treasury 10-Year Notes
|
242
|
9/24
|
26,448,191
|
27,058,625
|
610,434
|
|
|
|
|
|
|
1,275,357
|
|
Contracts to Sell:
|
|
|
|
|
|
|
E-mini Nasdaq 100 Index
|
6
|
9/24
|
2,468,876
|
2,340,630
|
128,246
|
|
Net unrealized appreciation on open futures contracts
|
$1,403,603
|
||||
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
EUR
|
990,000
|
USD
|
1,071,299
|
JPMorgan Chase & Co.
|
8/7/24
|
$471
|
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
USD
|
1,062,059
|
EUR
|
990,000
|
JPMorgan Chase & Co.
|
8/7/24
|
$(9,711)
|
|
CLP
|
3,770,000,000
|
USD
|
4,077,174
|
HSBC Securities Inc.
|
8/14/24
|
(74,966)
|
|
USD
|
774,043
|
CLP
|
730,000,000
|
HSBC Securities Inc.
|
8/14/24
|
(920)
|
|
USD
|
3,227,176
|
CLP
|
3,040,000,000
|
HSBC Securities Inc.
|
8/14/24
|
(69)
|
|
USD
|
7,732,122
|
ZAR
|
143,800,000
|
Barclays Bank PLC
|
8/15/24
|
(152,784)
|
|
AUD
|
11,760,000
|
USD
|
7,822,634
|
Morgan Stanley & Co. Inc.
|
9/6/24
|
(124,642)
|
|
GBP
|
8,490,000
|
USD
|
10,859,432
|
Citibank N.A.
|
9/10/24
|
59,062
|
|
USD
|
7,881,484
|
CHF
|
6,980,000
|
Goldman Sachs Group Inc.
|
9/12/24
|
(112,057)
|
|
CHF
|
6,980,000
|
USD
|
7,941,329
|
UBS Securities LLC
|
9/12/24
|
52,212
|
|
CLP
|
3,870,000,000
|
USD
|
4,185,263
|
HSBC Securities Inc.
|
9/17/24
|
(77,810)
|
|
USD
|
4,065,382
|
CLP
|
3,870,000,000
|
HSBC Securities Inc.
|
9/17/24
|
(42,071)
|
|
USD
|
6,717,392
|
BRL
|
37,080,000
|
HSBC Securities Inc.
|
10/22/24
|
221,207
|
|
USD
|
18,197,909
|
MXN
|
339,300,000
|
Citibank N.A.
|
10/29/24
|
251,652
|
|
MXN
|
50,700,000
|
USD
|
2,683,690
|
Morgan Stanley & Co. Inc.
|
10/29/24
|
(2,066)
|
|
MXN
|
50,700,000
|
USD
|
2,677,853
|
Morgan Stanley & Co. Inc.
|
10/29/24
|
3,772
|
|
COP
|
38,510,000,000
|
USD
|
9,298,226
|
JPMorgan Chase & Co.
|
10/30/24
|
83,480
|
|
COP
|
69,000,000,000
|
USD
|
16,803,244
|
JPMorgan Chase & Co.
|
10/30/24
|
6,357
|
|
USD
|
26,088,961
|
COP
|
107,510,000,000
|
JPMorgan Chase & Co.
|
10/30/24
|
(102,346)
|
|
USD
|
499,981
|
EUR
|
460,000
|
JPMorgan Chase & Co.
|
11/7/24
|
(219)
|
|
Net unrealized depreciation on open forward foreign currency contracts
|
$(21,448)
|
|||||
|
Abbreviation(s) used in this table:
|
||
|
AUD
|
—
|
Australian Dollar
|
|
BRL
|
—
|
Brazilian Real
|
|
CHF
|
—
|
Swiss Franc
|
|
CLP
|
—
|
Chilean Peso
|
|
COP
|
—
|
Colombian Peso
|
|
EUR
|
—
|
Euro
|
|
GBP
|
—
|
British Pound
|
|
MXN
|
—
|
Mexican Peso
|
|
USD
|
—
|
United States Dollar
|
|
ZAR
|
—
|
South African Rand
|
|
OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES — SELL PROTECTION1
|
|||||||
|
Swap Counterparty
(Reference Entity)
|
Notional
Amount2
|
Termination
Date
|
Implied
Credit
Spread at
July 31,
20243
|
Periodic
Payments
Received by
the Fund†
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Depreciation
|
|
Morgan Stanley & Co. Inc. (Lumen
Technologies Inc., 5.625%, due
4/1/25)
|
$1,625,000
|
6/20/25
|
7.939%
|
1.000% quarterly
|
$(95,936)
|
$(30,170)
|
$(65,766)
|
|
1
|
If the Fund is a seller of protection and a credit event occurs, as defined under
the terms of that particular swap agreement, the Fund will either (i) pay to
the buyer of protection an amount equal to the notional amount of the swap and take
delivery of the referenced obligation or underlying securities
comprising the referenced index or (ii) pay a net settlement amount in the form of
cash or securities equal to the notional amount of the swap less the
recovery value of the referenced obligation or underlying securities comprising the
referenced index.
|
|
2
|
The maximum potential amount the Fund could be required to pay as a seller of credit
protection or receive as a buyer of credit protection if a credit event
occurs as defined under the terms of that particular swap agreement.
|
|
3
|
Implied credit spreads, utilized in determining the market value of credit default
swap agreements on corporate or sovereign issues as of period end, serve
as an indicator of the current status of the payment/performance risk and represent
the likelihood or risk of default for the credit derivative. The implied
credit spread of a particular referenced entity reflects the cost of buying/selling
protection and may include upfront payments required to be made to enter
into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or
other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for
the referenced entity or obligation.
|
|
†
|
Percentage shown is an annual percentage rate.
|
|
ASSETS
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Long-Term Investments†:
|
|
|
|
|
|
Corporate Bonds & Notes
|
—
|
$150,019,946
|
—
|
$150,019,946
|
|
Sovereign Bonds
|
—
|
43,870,548
|
—
|
43,870,548
|
|
Mortgage-Backed Securities
|
—
|
28,011,199
|
—
|
28,011,199
|
|
Collateralized Mortgage Obligations
|
—
|
21,159,326
|
—
|
21,159,326
|
|
Convertible Bonds & Notes
|
—
|
4,151,391
|
—
|
4,151,391
|
|
Senior Loans
|
—
|
3,064,000
|
—
|
3,064,000
|
|
Total Long-Term Investments
|
—
|
250,276,410
|
—
|
250,276,410
|
|
Short-Term Investments†:
|
|
|
|
|
|
Sovereign Bonds
|
—
|
2,651,158
|
—
|
2,651,158
|
|
Money Market Funds
|
$11,681,348
|
—
|
—
|
11,681,348
|
|
Total Short-Term Investments
|
11,681,348
|
2,651,158
|
—
|
14,332,506
|
|
Total Investments
|
$11,681,348
|
$252,927,568
|
—
|
$264,608,916
|
|
Other Financial Instruments:
|
|
|
|
|
|
Futures Contracts††
|
$1,403,603
|
—
|
—
|
$1,403,603
|
|
Forward Foreign Currency Contracts††
|
—
|
$678,213
|
—
|
678,213
|
|
Total Other Financial Instruments
|
$1,403,603
|
$678,213
|
—
|
$2,081,816
|
|
Total
|
$13,084,951
|
$253,605,781
|
—
|
$266,690,732
|
|
LIABILITIES
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Other Financial Instruments:
|
|
|
|
|
|
Forward Foreign Currency Contracts††
|
—
|
$699,661
|
—
|
$699,661
|
|
OTC Credit Default Swaps on Corporate Issues — Sell
Protection‡
|
—
|
95,936
|
—
|
95,936
|
|
Total
|
—
|
$795,597
|
—
|
$795,597
|
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
|
††
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
|
‡
|
Value includes any premium paid or received with respect to swap contracts.
|
|
|
Affiliate
Value at
October 31, 2023
|
Purchased
|
Sold
|
||
|
Cost
|
Shares
|
Proceeds
|
Shares
|
||
|
Western Asset Premier
Institutional U.S.
Treasury Reserves,
Premium Shares
|
$12,286,239
|
$92,969,475
|
92,969,475
|
$93,574,366
|
93,574,366
|
|
(cont’d)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
July 31,
2024
|
|
Western Asset Premier
Institutional U.S. Treasury
Reserves, Premium Shares
|
—
|
$273,125
|
—
|
$11,681,348
|
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