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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Enova Systems Inc (CE) | USOTC:ENVS | OTCMarkets | Common Stock |
Price Change | % Change | Share Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 0.0001 | 0.00 | 01:00:00 |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-04254
Legg Mason Partners Income Trust
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 49 th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrants telephone number, including area code: 1-877-721-1926
Date of fiscal year end: April 30
Date of reporting period: January 31, 2014
ITEM 1. | SCHEDULE OF INVESTMENTS |
LEGG MASON PARTNERS INCOME TRUST
WESTERN ASSET OREGON MUNICIPALS FUND
FORM N-Q
JANUARY 31, 2014
WESTERN ASSET OREGON MUNICIPALS FUND
Schedule of investments (unaudited) | January 31, 2014 |
SECURITY |
RATE |
MATURITY
DATE |
FACE
AMOUNT |
VALUE | ||||||||||||
MUNICIPAL BONDS - 95.4% | ||||||||||||||||
Education - 21.5% |
||||||||||||||||
Oregon Health & Sciences University Revenue |
5.750 | % | 7/1/39 | $ | 4,900,000 | $ | 5,285,777 | |||||||||
Oregon State Facilities Authority Revenue: |
||||||||||||||||
Linfield College Project |
5.000 | % | 10/1/25 | 500,000 | 506,945 | |||||||||||
Refunding, Willamette University Project |
5.000 | % | 10/1/16 | 510,000 | 544,175 | |||||||||||
Senior College in Student Housing Project A, SCA |
5.250 | % | 7/1/25 | 1,210,000 | 1,213,835 | |||||||||||
University Portland Projects |
5.000 | % | 4/1/32 | 3,545,000 | 3,507,246 | |||||||||||
Willamette University Project |
5.000 | % | 10/1/27 | 3,700,000 | 3,852,588 | |||||||||||
Puerto Rico Industrial, Tourist, Educational, Medical & Environmental Control Facilities Financing Authority Revenue, Ana G. Mendez University System Project |
5.125 | % | 4/1/32 | 1,000,000 | 720,240 | |||||||||||
|
|
|||||||||||||||
Total Education |
15,630,806 | |||||||||||||||
|
|
|||||||||||||||
Health Care - 21.4% |
||||||||||||||||
Deschutes County, OR, Hospital Facilities Authority Hospital Revenue, Cascade Healthcare, AMBAC |
5.375 | % | 1/1/35 | 4,300,000 | 4,530,738 | |||||||||||
Hillsboro Hospital Facility Authority Revenue, Tuality Healthcare Project, Radian |
5.375 | % | 10/1/31 | 1,000,000 | 1,000,220 | |||||||||||
Multnomah County, OR, Hospital Facilities Authority Revenue, Adventist Health |
5.125 | % | 9/1/40 | 2,500,000 | 2,584,875 | |||||||||||
Oregon State Facilities Authority Revenue, Peacehealth |
5.000 | % | 11/1/39 | 5,000,000 | 5,150,350 | |||||||||||
Umatilla County, OR, Hospital Facility Authority Revenue: |
||||||||||||||||
Catholic Health Initiatives |
5.500 | % | 3/1/22 | 175,000 | 175,676 | |||||||||||
Catholic Health Initiatives |
5.000 | % | 5/1/22 | 1,000,000 | 1,008,750 | |||||||||||
Catholic Health Initiatives |
5.000 | % | 5/1/32 | 1,065,000 | 1,069,824 | |||||||||||
|
|
|||||||||||||||
Total Health Care |
15,520,433 | |||||||||||||||
|
|
|||||||||||||||
Housing - 2.0% |
||||||||||||||||
Oregon State Housing & Community Services Department, Mortgage Revenue: |
||||||||||||||||
Single-Family Mortgage Program |
5.050 | % | 7/1/26 | 995,000 | 1,017,149 | (a) | ||||||||||
Single-Family Mortgage Program |
5.400 | % | 7/1/27 | 450,000 | 463,239 | (a) | ||||||||||
|
|
|||||||||||||||
Total Housing |
1,480,388 | |||||||||||||||
|
|
|||||||||||||||
Industrial Revenue - 8.2% |
||||||||||||||||
Port Morrow, OR, PCR, Portland General Electric Co. |
5.000 | % | 5/1/33 | 2,500,000 | 2,629,000 | (b) | ||||||||||
Portland, OR, Economic Development Revenue, Broadway Housing LLC Project |
6.500 | % | 4/1/35 | 3,000,000 | 3,346,320 | |||||||||||
|
|
|||||||||||||||
Total Industrial Revenue |
5,975,320 | |||||||||||||||
|
|
|||||||||||||||
Leasing - 1.9% |
||||||||||||||||
Oregon State Department of Administrative Services, COP |
5.000 | % | 5/1/29 | 1,300,000 | 1,405,456 | (c) | ||||||||||
|
|
|||||||||||||||
Local General Obligation - 0.5% |
||||||||||||||||
Rogue, OR, Community College District, GO |
5.000 | % | 6/15/25 | 350,000 | 370,055 | |||||||||||
|
|
|||||||||||||||
Other - 2.9% |
||||||||||||||||
Portland, OR, River District Urban Renewal & Redevelopment |
5.000 | % | 6/15/29 | 1,000,000 | 1,074,100 | |||||||||||
Portland, OR, Urban Renewal & Redevelopment, AMBAC |
5.000 | % | 6/15/18 | 1,000,000 | 1,061,540 | |||||||||||
|
|
|||||||||||||||
Total Other |
2,135,640 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
1
WESTERN ASSET OREGON MUNICIPALS FUND
Schedule of investments (unaudited) (contd) | January 31, 2014 |
See Notes to Schedule of Investments.
2
WESTERN ASSET OREGON MUNICIPALS FUND
Schedule of investments (unaudited) (contd) | January 31, 2014 |
SECURITY |
RATE |
MATURITY
DATE |
FACE
AMOUNT |
VALUE | ||||||||||||
Industrial Revenue - 0.1% |
||||||||||||||||
Liberty County, FL, IDR, Georgia Pacific Corp. Project |
0.300 | % | 10/1/28 | $ | 100,000 | $ | 100,000 | (a)(e)(f) | ||||||||
|
|
|||||||||||||||
Water & Sewer - 0.6% |
||||||||||||||||
New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue, SPA-Dexia Credit Local |
0.300 | % | 6/15/32 | 400,000 | 400,000 | (e)(f) | ||||||||||
|
|
|||||||||||||||
TOTAL SHORT-TERM INVESTMENTS
|
2,700,000 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS - 99.1%
|
71,939,293 | |||||||||||||||
Other Assets in Excess of Liabilities - 0.9% |
667,225 | |||||||||||||||
|
|
|||||||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 72,606,518 | ||||||||||||||
|
|
(a) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
(b) | Variable rate security. Interest rate disclosed is as of the most recent information available. |
(c) | All or a portion of this security is held at the broker as collateral for open futures contracts. |
(d) | Pre-Refunded bonds are escrowed with U.S. government obligations and/or U.S. government agency securities and are considered by the manager to be triple-A rated even if issuer has not applied for new ratings. |
(e) | Variable rate demand obligations have a demand feature under which the Fund can tender them back to the issuer or liquidity provider on no more than 7 days notice. |
(f) | Maturity date shown is the final maturity date. The security may be sold back to the issuer before final maturity. |
# | Aggregate cost for federal income tax purposes is substantially the same. |
Abbreviations used in this schedule:
AGM | Assured Guaranty Municipal Corporation - Insured Bonds | |
AMBAC | American Municipal Bond Assurance Corporation - Insured Bonds | |
COP | Certificates of Participation | |
FGIC | Financial Guaranty Insurance Company - Insured Bonds | |
GO | General Obligation | |
IDR | Industrial Development Revenue | |
LIQ | Liquidity Facility | |
LOC | Letter of Credit | |
NATL | National Public Finance Guarantee Corporation - Insured Bonds | |
PCR | Pollution Control Revenue | |
Radian | Radian Asset Assurance - Insured Bonds | |
SCA | Syncora Capital Assurance Inc. - Insured Bonds | |
SPA | Standby Bond Purchase Agreement - Insured Bonds | |
TFA | Transitional Finance Authority |
See Notes to Schedule of Investments.
3
WESTERN ASSET OREGON MUNICIPALS FUND
Schedule of investments (unaudited) (contd) | January 31, 2014 |
Ratings Table* |
||||
Standard & Poors/Moodys/Fitch** | ||||
AAA/Aaa |
7.2 | % | ||
AA/Aa |
34.8 | |||
A |
40.5 | |||
BBB/Baa |
10.8 | |||
A-1/VMIG 1 |
3.7 | |||
NR |
3.0 | |||
|
||||
100.0 | % | |||
|
* | As a percentage of total investments. |
** | The ratings shown are based on each portfolio securitys rating as determined by Standard & Poors, Moodys or Fitch, each a Nationally Recognized Statistical Rating Organization (NRSRO). These ratings are the opinions of the NRSRO and are not measures of quality or guarantees of performance. Securities may be rated by other NRSROs, and these ratings may be higher or lower. In the event that a security is rated by multiple NRSROs and receives different ratings, the Fund will treat the security as being rated in the highest rating category received from a NRSRO. |
See Notes to Schedule of Investments.
4
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Oregon Municipals Fund (the Fund) is a separate non-diversified investment series of Legg Mason Partners Income 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.
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. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investments fair value. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. 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 Funds Board of Trustees.
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 American 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 Funds 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 issuers 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.
5
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 Funds 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 Funds 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 | ||||||||||||
Municipal bonds |
| $ | 69,239,293 | | $ | 69,239,293 | ||||||||||
Short-term investments |
| 2,700,000 | | 2,700,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total investments |
| $ | 71,939,293 | | $ | 71,939,293 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
DESCRIPTION |
QUOTED PRICES
(LEVEL 1) |
OTHER SIGNIFICANT
OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT
UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Other financial instruments: |
||||||||||||||||
Futures contracts |
$ | 72,391 | | | $ | 72,391 | ||||||||||
|
|
|
|
|
|
|
|
| See Schedule of Investments for additional detailed categorizations. |
(b) Futures contracts. The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. During the period ended January 31, 2014, the Fund employed short U.S. Treasury futures to manage duration and in expectation of underperformance by Treasuries. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount equal to a certain percentage of the contract amount. This is known as the initial margin and subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract.
Futures contracts involve, to varying degrees, risk of loss. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(c) Fund concentration. Since the Fund invests primarily in obligations of issuers within Oregon, it is subject to possible risks associated with economic, political, credit or legal developments or industrial or regional matters specifically affecting Oregon.
(d) | Security transactions. Security transactions are accounted for on a trade date basis. |
2. Investments
At January 31, 2014, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
Gross unrealized appreciation |
$ | 3,329,126 | ||
Gross unrealized depreciation |
(896,996 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 2,432,130 | ||
|
|
6
Notes to Schedule of Investments (unaudited) (continued)
At January 31, 2014, the Fund had the following open futures contracts:
Number of
Contracts |
Expiration
Date |
Basis
Value |
Market
Value |
Unrealized
Loss |
||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
U.S. Treasury 30-Year Bonds |
24 | 3/14 | $ | 3,133,859 | $ | 3,206,250 | $ | (72,391 | ) |
3. Derivative instruments and hedging activities
GAAP requires enhanced disclosure about an entitys derivative and hedging activities.
The following is a summary of the Funds derivative instruments categorized by risk exposure at January 31, 2014.
Futures Contracts | ||||
Primary Underlying Risk |
Unrealized
Depreciation |
|||
Interest Rate Risk |
$ | (72,391 | ) |
During the period ended January 31, 2014, the volume of derivative activity for the Fund was as follows:
Average Market value | ||||
Futures contracts (to sell) |
$ | 1,658,288 |
7
ITEM 2. | CONTROLS AND PROCEDURES. |
(a) | The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are likely to materially affect the registrants internal control over financial reporting. |
ITEM 3. | EXHIBITS. |
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Legg Mason Partners Income Trust
By |
/ S / K ENNETH D. F ULLER | |
Kenneth D. Fuller | ||
Chief Executive Officer | ||
Date: March 21, 2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By |
/ S / K ENNETH D. F ULLER | |
Kenneth D. Fuller | ||
Chief Executive Officer | ||
Date: March 21, 2014 |
By |
/ S / R ICHARD F. S ENNETT | |
Richard F. Sennett | ||
Principal Financial Officer | ||
Date: March 21, 2014 |
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