WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Corporate Bonds & Notes - 44.1% | ||||||||||||||||
| Communication Services - 5.3% | ||||||||||||||||
| Diversified Telecommunication Services - 1.7% |
||||||||||||||||
| AT&T Inc., Senior Notes |
3.600 | % | 2/17/23 | 810,000 | $ | 870,037 | (a) | |||||||||
| Verizon Communications Inc., Senior Notes |
3.376 | % | 2/15/25 | 30,000 | 33,401 | |||||||||||
| Verizon Communications Inc., Senior Notes (3 mo. USD LIBOR + 1.100%) |
1.492 | % | 5/15/25 | 380,000 | 384,891 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
1,288,329 | |||||||||||||||
|
|
|
|||||||||||||||
| Media - 1.1% |
||||||||||||||||
| Charter Communications Operating LLC/ |
||||||||||||||||
| Charter Communications Operating Capital |
||||||||||||||||
| Corp., Senior Secured Notes |
4.908 | % | 7/23/25 | 240,000 | 275,239 | |||||||||||
| Comcast Corp., Senior Notes |
3.950 | % | 10/15/25 | 10,000 | 11,468 | |||||||||||
| Comcast Corp., Senior Notes |
3.150 | % | 3/1/26 | 20,000 | 22,362 | |||||||||||
| DISH DBS Corp., Senior Notes |
5.875 | % | 7/15/22 | 190,000 | 193,615 | |||||||||||
| DISH DBS Corp., Senior Notes |
5.875 | % | 11/15/24 | 270,000 | 269,113 | |||||||||||
| DISH DBS Corp., Senior Notes |
7.750 | % | 7/1/26 | 75,000 | 79,640 | |||||||||||
| Fox Corp., Senior Notes |
4.030 | % | 1/25/24 | 40,000 | 44,367 | |||||||||||
|
|
|
|||||||||||||||
| Total Media |
895,804 | |||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 2.5% |
||||||||||||||||
| Sprint Corp., Senior Notes |
7.250 | % | 9/15/21 | 530,000 | 556,238 | |||||||||||
| Sprint Corp., Senior Notes |
7.625 | % | 2/15/25 | 740,000 | 855,373 | |||||||||||
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes |
3.360 | % | 9/20/21 | 171,875 | 174,237 | (c) | ||||||||||
| T-Mobile USA Inc., Senior Secured Notes |
3.500 | % | 4/15/25 | 100,000 | 109,027 | (c) | ||||||||||
| Vodafone Group PLC, Senior Notes (3 mo. USD LIBOR + 0.990%) |
2.166 | % | 1/16/24 | 220,000 | 219,090 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
1,913,965 | |||||||||||||||
|
|
|
|||||||||||||||
| Total Communication Services |
4,098,098 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Discretionary - 3.7% | ||||||||||||||||
| Auto Components - 0.3% |
||||||||||||||||
| ZF North America Capital Inc., Senior Notes |
4.750 | % | 4/29/25 | 200,000 | 200,726 | (c) | ||||||||||
| Automobiles - 2.2% |
||||||||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
5.875 | % | 8/2/21 | 250,000 | 252,930 | |||||||||||
| General Motors Financial Co. Inc., Senior Notes |
4.375 | % | 9/25/21 | 400,000 | 410,910 | (a) | ||||||||||
| General Motors Financial Co. Inc., Senior Notes |
4.250 | % | 5/15/23 | 1,000,000 | 1,045,051 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Automobiles |
1,708,891 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
1 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Hotels, Restaurants & Leisure - 0.1% |
||||||||||||||||
| McDonald’s Corp., Senior Notes |
3.300 | % | 7/1/25 | 90,000 | $ | 100,099 | ||||||||||
| McDonald’s Corp., Senior Notes |
1.450 | % | 9/1/25 | 10,000 | 10,264 | |||||||||||
|
|
|
|||||||||||||||
| Total Hotels, Restaurants & Leisure |
110,363 | |||||||||||||||
|
|
|
|||||||||||||||
| Internet & Direct Marketing Retail - 0.5% |
||||||||||||||||
| Amazon.com Inc., Senior Notes |
1.900 | % | 8/21/20 | 370,000 | 370,887 | |||||||||||
| Specialty Retail - 0.4% |
||||||||||||||||
| Home Depot Inc., Senior Notes (3 mo. USD LIBOR + 0.310%) |
0.660 | % | 3/1/22 | 200,000 | 200,253 | (a)(b) | ||||||||||
| Target Corp., Senior Notes |
2.250 | % | 4/15/25 | 70,000 | 74,949 | |||||||||||
| TJX Cos. Inc., Senior Notes |
3.500 | % | 4/15/25 | 10,000 | 11,144 | |||||||||||
|
|
|
|||||||||||||||
| Total Specialty Retail |
286,346 | |||||||||||||||
|
|
|
|||||||||||||||
| Textiles, Apparel & Luxury Goods - 0.2% |
||||||||||||||||
| NIKE Inc., Senior Notes |
2.400 | % | 3/27/25 | 170,000 | 182,948 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Consumer Discretionary |
2,860,161 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Staples - 2.9% | ||||||||||||||||
| Beverages - 0.6% |
||||||||||||||||
| Anheuser-Busch InBev Finance Inc., Senior Notes (3 mo. USD LIBOR + 1.260%) |
1.816 | % | 2/1/21 | 440,000 | 442,745 | (b) | ||||||||||
| Coca-Cola Co., Senior Notes |
2.950 | % | 3/25/25 | 20,000 | 22,025 | |||||||||||
| PepsiCo Inc., Senior Notes |
2.250 | % | 3/19/25 | 10,000 | 10,694 | |||||||||||
|
|
|
|||||||||||||||
| Total Beverages |
475,464 | |||||||||||||||
|
|
|
|||||||||||||||
| Food & Staples Retailing - 0.8% |
||||||||||||||||
| Walmart Inc., Senior Notes |
1.900 | % | 12/15/20 | 560,000 | 563,771 | (a) | ||||||||||
| Walmart Inc., Senior Notes |
3.400 | % | 6/26/23 | 20,000 | 21,800 | |||||||||||
|
|
|
|||||||||||||||
| Total Food & Staples Retailing |
585,571 | |||||||||||||||
|
|
|
|||||||||||||||
| Food Products - 0.8% |
||||||||||||||||
| Kraft Heinz Foods Co., Senior Notes |
3.950 | % | 7/15/25 | 576,000 | 611,555 | |||||||||||
| Mondelez International Inc., Senior Notes |
2.125 | % | 4/13/23 | 10,000 | 10,364 | |||||||||||
|
|
|
|||||||||||||||
| Total Food Products |
621,919 | |||||||||||||||
|
|
|
|||||||||||||||
| Household Products - 0.0%†† |
||||||||||||||||
| Procter & Gamble Co., Senior Notes |
2.450 | % | 3/25/25 | 10,000 | 10,860 | |||||||||||
| Procter & Gamble Co., Senior Notes |
2.800 | % | 3/25/27 | 10,000 | 11,131 | |||||||||||
|
|
|
|||||||||||||||
| Total Household Products |
21,991 | |||||||||||||||
|
|
|
|||||||||||||||
| Tobacco - 0.7% |
||||||||||||||||
| BAT Capital Corp., Senior Notes |
2.764 | % | 8/15/22 | 450,000 | 466,142 | (a) | ||||||||||
| Cargill Inc., Senior Notes |
1.375 | % | 7/23/23 | 20,000 | 20,353 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Tobacco |
486,495 | |||||||||||||||
|
|
|
|||||||||||||||
| Total Consumer Staples | 2,191,440 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
2 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Energy - 4.6% | ||||||||||||||||
| Energy Equipment & Services - 0.2% |
||||||||||||||||
| Halliburton Co., Senior Notes |
3.250 | % | 11/15/21 | 170,000 | $ | 173,748 | (a) | |||||||||
|
|
|
|||||||||||||||
| Oil, Gas & Consumable Fuels - 4.4% |
||||||||||||||||
| Anadarko Petroleum Corp., Senior Notes |
4.850 | % | 3/15/21 | 351,000 | 347,490 | |||||||||||
| BP Capital Markets PLC, Senior Notes |
3.561 | % | 11/1/21 | 190,000 | 197,623 | (a) | ||||||||||
| BP Capital Markets PLC, Senior Notes |
3.062 | % | 3/17/22 | 10,000 | 10,413 | |||||||||||
| Chevron Corp., Senior Notes |
2.100 | % | 5/16/21 | 330,000 | 334,561 | (a) | ||||||||||
| Cimarex Energy Co., Senior Notes |
4.375 | % | 6/1/24 | 120,000 | 126,735 | |||||||||||
| Continental Resources Inc., Senior Notes |
5.000 | % | 9/15/22 | 344,000 | 338,453 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
1.571 | % | 4/15/23 | 190,000 | 195,133 | |||||||||||
| Exxon Mobil Corp., Senior Notes |
2.992 | % | 3/19/25 | 10,000 | 10,870 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
4.100 | % | 2/1/21 | 40,000 | 40,360 | |||||||||||
| Petrobras Global Finance BV, Senior Notes |
6.125 | % | 1/17/22 | 418,000 | 439,324 | |||||||||||
| Shell International Finance BV, Senior Notes |
1.875 | % | 5/10/21 | 600,000 | 606,460 | (a) | ||||||||||
| Shell International Finance BV, Senior Notes |
1.750 | % | 9/12/21 | 120,000 | 121,774 | (a) | ||||||||||
| Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
7.850 | % | 2/1/26 | 210,000 | 273,658 | (a) | ||||||||||
| Williams Cos. Inc., Senior Notes |
4.550 | % | 6/24/24 | 250,000 | 277,506 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
3,320,360 | |||||||||||||||
|
|
|
|||||||||||||||
| Total Energy |
3,494,108 | |||||||||||||||
|
|
|
|||||||||||||||
| Financials - 22.1% | ||||||||||||||||
| Banks - 16.2% |
||||||||||||||||
| ABN AMRO Bank NV, Senior Notes (3 mo. USD LIBOR + 0.570%) |
0.939 | % | 8/27/21 | 430,000 | 432,235 | (a)(b)(c) | ||||||||||
| Banco Santander Chile, Senior Notes |
2.500 | % | 12/15/20 | 210,000 | 211,725 | (c) | ||||||||||
| Banco Santander SA, Senior Notes |
3.125 | % | 2/23/23 | 200,000 | 208,405 | (a) | ||||||||||
| Bank of America Corp., Junior Subordinated Notes (6.250% to 9/5/24 then 3 mo. USD LIBOR + 3.705%) |
6.250 | % | 9/5/24 | 650,000 | 674,100 | (b)(d) | ||||||||||
| Bank of America Corp., Subordinated Notes |
4.000 | % | 1/22/25 | 660,000 | 729,333 | (a) | ||||||||||
| Bank of Montreal, Senior Notes |
1.850 | % | 5/1/25 | 60,000 | 62,161 | |||||||||||
| BNP Paribas SA, Senior Notes (4.705% to 1/10/24 then 3 mo. USD LIBOR + 2.235%) |
4.705 | % | 1/10/25 | 200,000 | 221,579 | (a)(b)(c) | ||||||||||
| Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%) |
6.300 | % | 5/15/24 | 570,000 | 571,388 | (b)(d) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
3 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Banks - continued |
||||||||||||||||
| Citigroup Inc., Senior Notes (3.106% to 4/8/25 then SOFR + 2.750%) |
3.106 | % | 4/8/26 | 20,000 | $ | 21,550 | (b) | |||||||||
| Citigroup Inc., Subordinated Notes |
4.400 | % | 6/10/25 | 900,000 | 1,008,502 | (a) | ||||||||||
| Cooperatieve Rabobank UA, Senior Notes (3 mo. USD LIBOR + 0.430%) |
1.421 | % | 4/26/21 | 600,000 | 601,816 | (a)(b) | ||||||||||
| Fifth Third Bancorp, Senior Notes |
3.650 | % | 1/25/24 | 40,000 | 43,681 | |||||||||||
| JPMorgan Chase & Co., Junior Subordinated Notes (5.150% to 5/1/23 then 3 mo. USD LIBOR + 3.250%) |
5.150 | % | 5/1/23 | 1,320,000 | 1,289,248 | (b)(d) | ||||||||||
| Lloyds Banking Group PLC, Senior Notes (3.870% to 7/9/24 then 1 year Treasury Constant Maturity Rate + 3.500%) |
3.870 | % | 7/9/25 | 210,000 | 228,383 | (a)(b) | ||||||||||
| M&T Bank Corp., Junior Subordinated Notes (6.450% to 2/15/24 then 3 mo. USD LIBOR + 3.610%) |
6.450 | % | 2/15/24 | 1,190,000 | 1,232,477 | (b)(d) | ||||||||||
| Mitsubishi UFJ Financial Group Inc., Senior Notes |
3.218 | % | 3/7/22 | 380,000 | 396,479 | (a) | ||||||||||
| Nordea Bank Abp, Subordinated Notes |
4.875 | % | 5/13/21 | 310,000 | 320,499 | (a)(c) | ||||||||||
| PNC Financial Services Group Inc., Junior Subordinated Notes (4.850% to 6/1/23 then 3 mo. USD LIBOR + 3.040%) |
4.850 | % | 6/1/23 | 990,000 | 956,425 | (b)(d) | ||||||||||
| Royal Bank of Canada, Senior Notes |
1.600 | % | 4/17/23 | 50,000 | 51,313 | |||||||||||
| Santander UK Group Holdings PLC, Senior Notes |
3.571 | % | 1/10/23 | 200,000 | 207,622 | (a) | ||||||||||
| U.S. Bank N.A., Senior Notes (3 mo. USD LIBOR + 0.320%) |
1.311 | % | 4/26/21 | 640,000 | 641,376 | (a)(b) | ||||||||||
| Wachovia Capital Trust III Ltd., Junior Subordinated Bonds (the greater of 3 mo. USD LIBOR + 0.930% or 5.570%) |
5.570 | % | 7/31/20 | 1,800,000 | 1,789,776 | (b)(d) | ||||||||||
| Wells Fargo & Co., Senior Notes |
3.500 | % | 3/8/22 | 450,000 | 471,451 | (a) | ||||||||||
| Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%) |
2.188 | % | 4/30/26 | 60,000 | 62,109 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
12,433,633 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 3.5% |
||||||||||||||||
| Bank of New York Mellon Corp., Junior Subordinated Notes (4.500% to 6/20/23 then 3 mo. USD LIBOR + 2.460%) |
4.500 | % | 6/20/23 | 1,340,000 | 1,287,479 | (b)(d) | ||||||||||
| Bank of New York Mellon Corp., Senior Notes |
1.600 | % | 4/24/25 | 20,000 | 20,734 | |||||||||||
| Credit Suisse AG, Senior Notes |
2.950 | % | 4/9/25 | 250,000 | 271,624 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
4 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Capital Markets - continued |
||||||||||||||||
| Goldman Sachs Capital III Ltd. (3 mo. USD LIBOR + 0.770%, 4.000% floor) |
4.000 | % | 7/31/20 | 43,000 | $ | 35,848 | (b)(d) | |||||||||
| Goldman Sachs Group Inc., Senior Notes |
3.625 | % | 2/20/24 | 650,000 | 707,610 | (a) | ||||||||||
| Goldman Sachs Group Inc., Senior Notes |
3.500 | % | 4/1/25 | 20,000 | 21,954 | |||||||||||
| Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) |
2.188 | % | 4/28/26 | 110,000 | 114,664 | (b) | ||||||||||
| UBS AG, Senior Notes |
1.750 | % | 4/21/22 | 200,000 | 203,876 | (a)(c) | ||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
2,663,789 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Finance - 0.7% |
||||||||||||||||
| American Express Co., Senior Notes |
2.650 | % | 12/2/22 | 517,000 | 541,693 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services - 0.9% |
||||||||||||||||
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
4.875 | % | 1/16/24 | 150,000 | 149,162 | |||||||||||
| International Lease Finance Corp., Senior Notes |
8.625 | % | 1/15/22 | 290,000 | 311,687 | (a) | ||||||||||
| International Lease Finance Corp., Senior Notes |
5.875 | % | 8/15/22 | 190,000 | 199,986 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Financial Services |
660,835 | |||||||||||||||
|
|
|
|||||||||||||||
| Insurance - 0.8% |
||||||||||||||||
| Ambac Assurance Corp., Subordinated Notes |
5.100 | % | 6/7/21 | 4,066 | 5,459 | (c)(d) | ||||||||||
| Ambac LSNI LLC, Senior Secured Notes (3 mo. USD LIBOR + 5.000%) |
6.000 | % | 2/12/23 | 15,290 | 15,147 | (b)(c) | ||||||||||
| MetLife Inc., Junior Subordinated Notes (3 mo. USD LIBOR + 3.575%) |
3.888 | % | 7/31/20 | 680,000 | 614,975 | (b)(d) | ||||||||||
|
|
|
|||||||||||||||
| Total Insurance |
635,581 | |||||||||||||||
|
|
|
|||||||||||||||
| Total Financials |
16,935,531 | |||||||||||||||
|
|
|
|||||||||||||||
| Health Care - 1.8% | ||||||||||||||||
| Biotechnology - 0.0%†† |
||||||||||||||||
| AbbVie Inc., Senior Notes |
3.750 | % | 11/14/23 | 10,000 | 10,876 | |||||||||||
|
|
|
|||||||||||||||
| Health Care Equipment & Supplies - 0.8% |
||||||||||||||||
| Becton Dickinson and Co., Senior Notes |
3.734 | % | 12/15/24 | 139,000 | 153,427 | |||||||||||
| Becton Dickinson and Co., Senior Notes (3 mo. USD LIBOR + 1.030%) |
1.348 | % | 6/6/22 | 250,000 | 250,698 | (b) | ||||||||||
| Medtronic Inc., Senior Notes |
3.500 | % | 3/15/25 | 196,000 | 221,322 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Health Care Equipment & Supplies |
625,447 | |||||||||||||||
|
|
|
|||||||||||||||
| Health Care Providers & Services - 0.7% |
||||||||||||||||
| Cigna Corp., Senior Notes |
3.750 | % | 7/15/23 | 10,000 | 10,861 | |||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
5 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Health Care Providers & Services - continued |
||||||||||||||||
| CVS Health Corp., Senior Notes |
3.350 | % | 3/9/21 | 478,000 | $ | 487,517 | (a) | |||||||||
| UnitedHealth Group Inc., Senior Notes |
3.500 | % | 6/15/23 | 20,000 | 21,800 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
520,178 | |||||||||||||||
|
|
|
|||||||||||||||
| Pharmaceuticals - 0.3% |
||||||||||||||||
| Bristol-Myers Squibb Co., Senior Notes |
2.900 | % | 7/26/24 | 10,000 | 10,830 | (c) | ||||||||||
| Bristol-Myers Squibb Co., Senior Notes |
3.875 | % | 8/15/25 | 20,000 | 22,767 | (c) | ||||||||||
| Teva Pharmaceutical Finance Co. BV, Senior Notes |
2.950 | % | 12/18/22 | 100,000 | 96,722 | |||||||||||
| Teva Pharmaceutical Finance IV BV, Senior Notes |
3.650 | % | 11/10/21 | 30,000 | 30,037 | |||||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
2.200 | % | 7/21/21 | 60,000 | 58,915 | |||||||||||
|
|
|
|||||||||||||||
| Total Pharmaceuticals |
219,271 | |||||||||||||||
|
|
|
|||||||||||||||
| Total Health Care |
1,375,772 | |||||||||||||||
|
|
|
|||||||||||||||
| Industrials - 1.9% | ||||||||||||||||
| Aerospace & Defense - 0.5% |
||||||||||||||||
| General Dynamics Corp., Senior Notes (3 mo. USD LIBOR + 0.380%) |
0.828 | % | 5/11/21 | 370,000 | 370,924 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Airlines - 0.0%†† |
||||||||||||||||
| Delta Air Lines Pass-Through Certificates Trust |
8.021 | % | 8/10/22 | 20,003 | 18,812 | |||||||||||
|
|
|
|||||||||||||||
| Industrial Conglomerates - 1.4% |
||||||||||||||||
| General Electric Co., Junior Subordinated Notes (5.000% to 1/21/21 then 3 mo. USD LIBOR + 3.330%) |
5.000 | % | 1/21/21 | 1,312,000 | 1,026,787 | (b)(d) | ||||||||||
|
|
|
|||||||||||||||
| Trading Companies & Distributors - 0.0%†† |
||||||||||||||||
| United Rentals North America Inc., Senior Notes |
6.500 | % | 12/15/26 | 20,000 | 21,038 | |||||||||||
|
|
|
|||||||||||||||
| Total Industrials |
1,437,561 | |||||||||||||||
|
|
|
|||||||||||||||
| Information Technology - 0.6% | ||||||||||||||||
| Semiconductors & Semiconductor Equipment - 0.2% |
||||||||||||||||
| Broadcom Inc., Senior Notes |
4.700 | % | 4/15/25 | 80,000 | 90,238 | (c) | ||||||||||
| Micron Technology Inc., Senior Notes |
2.497 | % | 4/24/23 | 30,000 | 31,204 | |||||||||||
|
|
|
|||||||||||||||
| Total Semiconductors & Semiconductor Equipment |
|
121,442 | ||||||||||||||
|
|
|
|||||||||||||||
| Technology Hardware, Storage & Peripherals - 0.4% |
||||||||||||||||
| Dell International LLC/EMC Corp., Senior Secured Notes |
4.420 | % | 6/15/21 | 340,000 | 349,533 | (a)(c) | ||||||||||
|
|
|
|||||||||||||||
| Total Information Technology |
470,975 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
6 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Materials - 0.8% | ||||||||||||||||
| Chemicals - 0.4% |
||||||||||||||||
| Equate Petrochemical BV, Senior Notes |
3.000 | % | 3/3/22 | 280,000 | $ | 283,682 | (c) | |||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 0.4% |
||||||||||||||||
| Anglo American Capital PLC, Senior Notes |
4.125 | % | 4/15/21 | 320,000 | 325,459 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total Materials |
609,141 | |||||||||||||||
|
|
|
|||||||||||||||
| Utilities - 0.4% | ||||||||||||||||
| Electric Utilities - 0.4% |
||||||||||||||||
| FirstEnergy Corp., Senior Notes |
2.850 | % | 7/15/22 | 290,000 | 300,966 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Corporate Bonds & Notes (Cost - $32,447,138) |
|
33,773,753 | ||||||||||||||
|
|
|
|||||||||||||||
| Collateralized Mortgage Obligations(e) - 41.0% | ||||||||||||||||
| Adjustable Rate Mortgage Trust, 2005-11 5A1 (1 mo. USD LIBOR + 0.540%) |
0.725 | % | 2/25/36 | 72,792 | 46,358 | (b) | ||||||||||
| Alternative Loan Trust, 2004-6CB A (1 mo. USD LIBOR + 0.580%) |
0.765 | % | 5/25/34 | 6,946 | 6,951 | (b) | ||||||||||
| Banc of America Funding Corp., 2015-R3 2A2 |
0.298 | % | 2/27/37 | 1,634,303 | 1,396,950 | (b)(c) | ||||||||||
| Banc of America Funding Trust, 2004-B 6A1 |
2.466 | % | 12/20/34 | 264,520 | 207,191 | (b) | ||||||||||
| Banc of America Funding Trust, 2005-E 8A1 (Cost of Funds for the 11th District of San Francisco + 1.430%, min. coupon of 1.430%) |
2.170 | % | 6/20/35 | 184,424 | 135,106 | (b) | ||||||||||
| Bear Stearns ALT-A Trust, 2004-3 A1 (1 mo. USD LIBOR + 0.640%) |
0.825 | % | 4/25/34 | 179,379 | 176,396 | (b) | ||||||||||
| BHMS, 2018-ATLS A (1 mo. USD LIBOR + 1.250%) |
1.435 | % | 7/15/35 | 100,000 | 95,190 | (b)(c) | ||||||||||
| BHMS, 2018-ATLS D (1 mo. USD LIBOR + 2.250%) |
2.435 | % | 7/15/35 | 280,000 | 243,199 | (b)(c) | ||||||||||
| BX Commercial Mortgage Trust, 2020-BXLP A (1 mo. USD LIBOR + 0.800%) |
0.985 | % | 12/15/36 | 320,000 | 317,632 | (b)(c) | ||||||||||
| BXMT Ltd., 2020-FL2 A (1 mo. USD LIBOR + 0.900%) |
1.094 | % | 2/16/37 | 290,000 | 282,097 | (b)(c) | ||||||||||
| CD Mortgage Trust, 2016-CD2 A4 |
3.526 | % | 11/10/49 | 250,000 | 278,107 | (b) | ||||||||||
| CD Mortgage Trust, 2017-CD6 XA, IO |
1.098 | % | 11/13/50 | 6,486,043 | 277,488 | (b) | ||||||||||
| CFK Trust, 2020-MF2 F |
3.573 | % | 3/15/39 | 210,000 | 184,708 | (b)(c) | ||||||||||
| CGDB Commercial Mortgage Trust, 2019- MOB A (1 mo. USD LIBOR + 0.950%) |
1.135 | % | 11/15/36 | 210,000 | 210,291 | (b)(c) | ||||||||||
| Chevy Chase Funding LLC Mortgage- Backed Certificates, 2004-2A A1 (1 mo. USD LIBOR + 0.270%) |
0.455 | % | 5/25/35 | 132,512 | 126,384 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
7 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Collateralized Mortgage Obligations(e) - continued |
|
|||||||||||||||
| Chevy Chase Funding LLC Mortgage- Backed Certificates, 2004-3A A1 (1 mo. USD LIBOR + 0.250%) |
0.435 | % | 8/25/35 | 115,302 | $ | 111,617 | (b)(c) | |||||||||
| CHL Mortgage Pass-Through Trust, 2004-20 2A1 |
3.084 | % | 9/25/34 | 193,277 | 147,948 | (b) | ||||||||||
| CHL Mortgage Pass-Through Trust, 2004-29 2A1 (1 mo. USD LIBOR + 0.660%) |
0.845 | % | 2/25/35 | 13,886 | 12,346 | (b) | ||||||||||
| CHL Mortgage Pass-Through Trust, 2005- HYB9 3A1A (12 mo. USD LIBOR + 1.750%) |
3.711 | % | 2/20/36 | 160,022 | 140,708 | (b) | ||||||||||
| Citigroup Commercial Mortgage Trust, 2013-375P A |
3.251 | % | 5/10/35 | 340,000 | 354,859 | (c) | ||||||||||
| Citigroup Commercial Mortgage Trust, 2019-SST2 A (1 mo. USD LIBOR + 0.920%) |
1.105 | % | 12/15/36 | 270,000 | 265,083 | (b)(c) | ||||||||||
| Countrywide Home Loans Reperforming REMIC Trust, 2004-R1 2A |
6.500 | % | 11/25/34 | 22,518 | 22,406 | (c) | ||||||||||
| Countrywide Home Loans Reperforming REMIC Trust, 2005-R2 2A1 |
7.000 | % | 6/25/35 | 67,761 | 71,592 | (c) | ||||||||||
| Countrywide Home Loans Reperforming REMIC Trust, 2006-R2 AF1 (1 mo. USD LIBOR + 0.420%) |
0.605 | % | 7/25/36 | 53,175 | 46,901 | (b)(c) | ||||||||||
| CSMC Trust, 2015-2R 7A2 |
3.482 | % | 8/27/36 | 1,108,621 | 850,475 | (b)(c) | ||||||||||
| CSMC Trust, 2015-10R 3A2 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 0.840%) |
2.531 | % | 10/27/46 | 1,110,000 | 1,087,437 | (b)(c) | ||||||||||
| CSMC Trust, 2018-J1 B2 |
3.662 | % | 2/25/48 | 825,340 | 832,693 | (b)(c) | ||||||||||
| CSMC Trust, 2019-NQM1 A2 |
2.860 | % | 10/25/59 | 279,572 | 285,304 | (c) | ||||||||||
| CSMC Trust, 2019-UVIL A |
3.160 | % | 12/15/41 | 490,000 | 474,302 | (c) | ||||||||||
| DBJPM Mortgage Trust, 2016-C1 ASB |
3.038 | % | 5/10/49 | 250,000 | 262,416 | |||||||||||
| Deutsche Mortgage Securities Inc. Mortgage Loan Trust, 2004-4 3AR1 |
3.875 | % | 6/25/34 | 155,259 | 151,630 | (b) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2013-DN1 M2 (1 mo. USD LIBOR + 7.150%) |
7.335 | % | 7/25/23 | 309,670 | 276,609 | (b) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-HQ1 M3 (1 mo. USD LIBOR + 3.800%) |
3.985 | % | 3/25/25 | 107,197 | 109,146 | (b) | ||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
8 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Collateralized Mortgage Obligations(e) - continued |
|
|||||||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2016-DNA4 M2 (1 mo. USD LIBOR + 1.300%) |
1.485 | % | 3/25/29 | 34,960 | $ | 34,934 | (b) | |||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 B2 (1 mo. USD LIBOR + 11.250%) |
11.435 | % | 10/25/29 | 367,175 | 351,164 | (b) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (1 mo. USD LIBOR + 11.750%) |
11.935 | % | 4/25/43 | 244,600 | 234,199 | (b)(c) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP2 B2 (1 mo. USD LIBOR + 10.500%) |
10.685 | % | 2/25/47 | 520,000 | 500,801 | (b)(c) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2013-C01 M2 (1 mo. USD LIBOR + 5.250%) |
5.435 | % | 10/25/23 | 226,889 | 207,865 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2014-C01 M2 (1 mo. USD LIBOR + 4.400%) |
4.585 | % | 1/25/24 | 293,247 | 262,316 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2014-C03 1M1 (1 mo. USD LIBOR + 3.000%) |
3.185 | % | 7/25/24 | 219,077 | 193,784 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2014-C04 1M2 (1 mo. USD LIBOR + 4.900%) |
5.085 | % | 11/25/24 | 298,926 | 309,610 | (b)(c) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2016-C01 1B (1 mo. USD LIBOR + 11.750%) |
11.935 | % | 8/25/28 | 257,328 | 285,241 | (b)(c) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2016-C02 1M2 (1 mo. USD LIBOR + 6.000%) |
6.185 | % | 9/25/28 | 186,229 | 194,565 | (b)(c) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2016-C04 1B (1 mo. USD LIBOR + 10.250%) |
10.435 | % | 1/25/29 | 895,338 | 975,080 | (b)(c) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2016-C04 1M2 (1 mo. USD LIBOR + 4.250%) |
4.435 | % | 1/25/29 | 783,187 | 817,353 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
9 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Collateralized Mortgage Obligations(e) - continued |
|
|||||||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2016-C06 1B (1 mo. USD LIBOR + 9.250%) |
9.435 | % | 4/25/29 | 1,007,371 | $ | 1,083,207 | (b)(c) | |||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1M1 (1 mo. USD LIBOR + 0.800%) |
0.985 | % | 1/25/40 | 243,566 | 243,169 | (b)(c) | ||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2013-25 BI, IO |
3.000 | % | 3/25/33 | 4,775,882 | 408,295 | |||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2013-62 AI, IO |
3.000 | % | 6/25/33 | 3,726,895 | 328,982 | |||||||||||
| Federal National Mortgage Association (FNMA) REMIC, 2019-38 CF (1 mo. USD LIBOR + 0.450%) |
0.635 | % | 7/25/49 | 757,879 | 759,919 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) STRIPS, 347 2, IO |
5.000 | % | 1/25/34 | 507,963 | 92,023 | |||||||||||
| Galton Funding Mortgage Trust, 2017-1 A22 |
3.000 | % | 7/25/56 | 85,226 | 87,273 | (b)(c) | ||||||||||
| GMACM Mortgage Loan Trust, 2005-AF2 A1 |
6.000 | % | 12/25/35 | 628,157 | 591,663 | |||||||||||
| Government National Mortgage Association (GNMA), 2010-H03 FA (1 mo. USD LIBOR + 0.550%) |
0.724 | % | 3/20/60 | 77,519 | 77,590 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA), 2010-H10 FC (1 mo. USD LIBOR + 1.000%) |
1.174 | % | 5/20/60 | 61,391 | 62,093 | (b) | ||||||||||
| Government National Mortgage Association (GNMA), 2010-H11 FA (1 mo. USD LIBOR + 1.000%) |
|
1.174 |
% |
|
6/20/60 |
|
|
443,146 |
|
|
449,235 |
(a)(b) | ||||
| Government National Mortgage Association (GNMA), 2011-H01 AF (1 mo. USD LIBOR + 0.450%) |
0.753 | % | 11/20/60 | 837,780 | 836,526 | (b) | ||||||||||
| Government National Mortgage Association (GNMA), 2011-H03 FA (1 mo. USD LIBOR + 0.500%) |
0.803 | % | 1/20/61 | 85,669 | 85,650 | (b) | ||||||||||
| Government National Mortgage Association (GNMA), 2011-H05 FA (1 mo. USD LIBOR + 0.500%) |
0.803 | % | 12/20/60 | 148,418 | 148,391 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA), 2011-H05 FB (1 mo. USD LIBOR + 0.500%) |
0.803 | % | 12/20/60 | 153,051 | 153,013 | (a)(b) | ||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
10 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Collateralized Mortgage Obligations(e) - continued |
|
|||||||||||||||
| Government National Mortgage Association (GNMA), 2011-H6 FA (1 mo. USD LIBOR + 0.450%) |
0.753 | % | 2/20/61 | 361,903 | $ | 361,356 | (a)(b) | |||||||||
| Government National Mortgage Association (GNMA), 2011-H07 FA (1 mo. USD LIBOR + 0.500%) |
0.803 | % | 2/20/61 | 207,556 | 207,533 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA), 2011-H08 FD (1 mo. USD LIBOR + 0.500%) |
0.803 | % | 2/20/61 | 211,870 | 211,825 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA), 2011-H9 AF (1 mo. USD LIBOR + 0.500%) |
0.803 | % | 3/20/61 | 420,223 | 420,147 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA), 2011-H11 FB (1 mo. USD LIBOR + 0.500%) |
0.803 | % | 4/20/61 | 92,431 | 92,413 | (b) | ||||||||||
| Government National Mortgage Association (GNMA), 2012-H18 NA (1 mo. USD LIBOR + 0.520%) |
0.823 | % | 8/20/62 | 344,178 | 344,290 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA), 2012-H23 SA (1 mo. USD LIBOR + 0.530%) |
0.833 | % | 10/20/62 | 323,046 | 323,394 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA), 2012-H23 WA (1 mo. USD LIBOR + 0.520%) |
0.823 | % | 10/20/62 | 396,943 | 397,050 | (b) | ||||||||||
| GSMPS Mortgage Loan Trust, 2006-RP2 1AF1 (1 mo. USD LIBOR + 0.400%) |
0.585 | % | 4/25/36 | 183,164 | 149,484 | (b)(c) | ||||||||||
| HarborView Mortgage Loan Trust, 2004-10 4A |
3.634 | % | 1/19/35 | 71,266 | 67,506 | (b) | ||||||||||
| HarborView Mortgage Loan Trust, 2005-14 3A1A |
4.138 | % | 12/19/35 | 32,022 | 30,008 | (b) | ||||||||||
| IndyMac INDX Mortgage Loan Trust, 2004- AR7 A2 (1 mo. USD LIBOR + 0.860%) |
1.045 | % | 9/25/34 | 102,291 | 94,871 | (b) | ||||||||||
| JPMBB Commercial Mortgage Securities Trust, 2013-C17 ASB |
3.705 | % | 1/15/47 | 107,799 | 112,285 | |||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN FFL (1 mo. USD LIBOR + 2.500%) |
2.695 | % | 1/16/37 | 400,000 | 356,592 | (b)(c) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFL (1 mo. USD LIBOR + 3.000%) |
3.195 | % | 1/16/37 | 400,000 | 335,405 | (b)(c) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX |
4.688 | % | 1/16/37 | 390,000 | 346,681 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
11 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Collateralized Mortgage Obligations(e) - continued |
|
|||||||||||||||
| JPMorgan Mortgage Trust, 2005-A3 3A4 |
3.513 | % | 6/25/35 | 67,892 | $ | 66,978 | (b) | |||||||||
| Lanark Master Issuer PLC, 2018-1A 1A (3 mo. USD LIBOR + 0.420%) |
0.778 | % | 12/22/69 | 361,800 | 358,902 | (b)(c) | ||||||||||
| MASTR Adjustable Rate Mortgages Trust, 2003-6 2A1 |
3.385 | % | 12/25/33 | 31,843 | 30,254 | (b) | ||||||||||
| MASTR Reperforming Loan Trust, 2005-2 1A1F (1 mo. USD LIBOR + 0.350%) |
0.535 | % | 5/25/35 | 623,890 | 293,265 | (b)(c) | ||||||||||
| MASTR Reperforming Loan Trust, 2006-2 2A1 |
3.865 | % | 5/25/36 | 62,207 | 56,951 | (b)(c) | ||||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, 2016-C32 ASB |
3.514 | % | 12/15/49 | 350,000 | 377,094 | |||||||||||
| Morgan Stanley Capital I Trust, 2017-ASHF A (1 mo. USD LIBOR + 0.850%) |
1.035 | % | 11/15/34 | 112,564 | 105,145 | (b)(c) | ||||||||||
| Morgan Stanley Capital I Trust, 2019-BPR A (1 mo. USD LIBOR + 1.400%) |
1.585 | % | 5/15/36 | 160,000 | 142,632 | (b)(c) | ||||||||||
| Morgan Stanley Mortgage Loan Trust, 2006-6AR 2A |
3.597 | % | 5/25/36 | 249,680 | 227,976 | (b) | ||||||||||
| Morgan Stanley Re-REMIC Trust, 2015-R2 1A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 0.710%) |
2.401 | % | 12/27/46 | 86,856 | 90,753 | (b)(c) | ||||||||||
| Morgan Stanley Re-REMIC Trust, 2015-R2 1B (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 0.710%) |
2.401 | % | 12/27/46 | 1,436,841 | 1,118,061 | (b)(c) | ||||||||||
| Morgan Stanley Re-REMIC Trust, 2015-R6 1A1 (1 mo. USD LIBOR + 0.260%) |
0.688 | % | 7/26/45 | 93,062 | 90,610 | (b)(c) | ||||||||||
| MortgageIT Trust, 2005-3 A1 (1 mo. USD LIBOR + 0.600%) |
0.785 | % | 8/25/35 | 132,607 | 128,440 | (b) | ||||||||||
| Natixis Commercial Mortgage Securities Trust, 2019-TRUE A (1 mo. USD LIBOR + 2.011%) |
2.204 | % | 4/18/24 | 410,000 | 402,923 | (b)(c) | ||||||||||
| New Residential Mortgage Loan Trust, 2015-1A A3 |
3.750 | % | 5/28/52 | 233,637 | 251,173 | (b)(c) | ||||||||||
| New Residential Mortgage Loan Trust, 2017-1A A1 |
4.000 | % | 2/25/57 | 367,992 | 396,928 | (b)(c) | ||||||||||
| Nomura Asset Acceptance Corp. Alternative Loan Trust, 2007-1 1A4 |
6.138 | % | 3/25/47 | 259,796 | 264,104 | |||||||||||
| Nomura Resecuritization Trust, 2015-1R 2A2 |
2.072 | % | 10/26/36 | 122,474 | 123,676 | (b)(c) | ||||||||||
| One Market Plaza Trust, 2017-1MKT A |
3.614 | % | 2/10/32 | 320,000 | 335,808 | (c) | ||||||||||
| PMT Credit Risk Transfer Trust, 2019-1R A (1 mo. USD LIBOR + 2.000%) |
2.184 | % | 3/27/24 | 355,772 | 350,638 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
12 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Collateralized Mortgage Obligations(e) - continued |
|
|||||||||||||||
| Prime Mortgage Trust, 2006-DR1 2A2 |
6.000 | % | 5/25/35 | 352,155 | $ | 289,395 | (c) | |||||||||
| Structured Asset Mortgage Investments II Trust, 2004-AR3 1A1 (1 mo. USD LIBOR + 0.600%) |
0.794 | % | 7/19/34 | 122,043 | 117,472 | (b) | ||||||||||
| Structured Asset Securities Corp., 2005- RF2 A (1 mo. USD LIBOR + 0.350%) |
0.535 | % | 4/25/35 | 116,984 | 105,446 | (b)(c) | ||||||||||
| Tharaldson Hotel Portfolio Trust, 2018-THL D (1 mo. USD LIBOR + 2.000%) |
2.175 | % | 11/11/34 | 267,327 | 230,763 | (b)(c) | ||||||||||
| UBS Commercial Mortgage Trust, 2017-C4 A4 |
3.563 | % | 10/15/50 | 410,000 | 454,306 | |||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2004-AR11 A |
4.088 | % | 10/25/34 | 56,037 | 54,757 | (b) | ||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2004-AR12 A2A (1 mo. USD LIBOR + 0.780%) |
0.965 | % | 10/25/44 | 55,832 | 53,958 | (b) | ||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2005-4 CB9 (1 mo. USD LIBOR + 0.400%) |
0.585 | % | 6/25/35 | 301,181 | 240,263 | (b) | ||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2005-AR1 A2A3 (1 mo. USD LIBOR + 0.800%) |
0.985 | % | 1/25/45 | 47,872 | 47,304 | (b) | ||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2005-AR6 2A1A (1 mo. USD LIBOR + 0.460%) |
0.645 | % | 4/25/45 | 235,463 | 229,792 | (b) | ||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2005-AR8 2AB3 (1 mo. USD LIBOR + 0.720%) |
0.905 | % | 7/25/45 | 367,402 | 335,155 | (b) | ||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1B3 (1 mo. USD LIBOR + 0.360%) |
0.545 | % | 10/25/45 | 216,595 | 208,301 | (b) | ||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2005-AR13 A1C3 (1 mo. USD LIBOR + 0.490%) |
0.675 | % | 10/25/45 | 92,373 | 87,317 | (b) | ||||||||||
| WaMu Mortgage Pass-Through Certificates Trust, 2006-AR13 2A (Cost of Funds for the 11th District of San Francisco + 1.500%, min. coupon of 1.500%) |
2.240 | % | 10/25/46 | 210,310 | 186,802 | (b) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
13 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Collateralized Mortgage Obligations(e) - continued |
|
|||||||||||||||
| Wells Fargo Commercial Mortgage Trust, 2015-C31 D |
3.852 | % | 11/15/48 | 364,630 | $ | 258,592 | ||||||||||
| Wells Fargo Commercial Mortgage Trust, 2015-NXS3 ASB |
3.371 | % | 9/15/57 | 140,000 | 147,178 | |||||||||||
|
|
|
|||||||||||||||
| Total Collateralized Mortgage Obligations (Cost - $31,670,964) |
31,371,413 | |||||||||||||||
|
|
|
|||||||||||||||
| Asset-Backed Securities - 26.0% | ||||||||||||||||
| ACIS CLO Ltd., 2014-3A A1A (3 mo. USD LIBOR + 1.510%) |
2.197 | % | 2/1/26 | 41,459 | 41,459 | (b)(c) | ||||||||||
| ACIS CLO Ltd., 2014-3A A2A (3 mo. USD LIBOR + 1.550%) |
2.237 | % | 2/1/26 | 13,653 | 13,655 | (b)(c) | ||||||||||
| ACIS CLO Ltd., 2015-6A A1 (3 mo. USD LIBOR + 1.590%) |
2.277 | % | 5/1/27 | 180,305 | 180,318 | (b)(c) | ||||||||||
| Allegro CLO II-S Ltd., 2014-1RA A1 (3 mo. USD LIBOR + 1.080%) |
2.189 | % | 10/21/28 | 250,000 | 245,607 | (b)(c) | ||||||||||
| Ameriquest Mortgage Securities Inc., Asset-Backed Pass-Through Certificates, 2002-AR1 M1 (1 mo. USD LIBOR + 1.065%) |
1.239 | % | 9/25/32 | 55,185 | 55,357 | (b) | ||||||||||
| Ameriquest Mortgage Securities Inc., Asset-Backed Pass-Through Certificates, 2005-R7 M2 (1 mo. USD LIBOR + 0.500%) |
0.685 | % | 9/25/35 | 175,702 | 175,395 | (b) | ||||||||||
| Apex Credit CLO Ltd., 2017-1A A1 (3 mo. USD LIBOR + 1.470%) |
2.490 | % | 4/24/29 | 198,522 | 195,860 | (b)(c) | ||||||||||
| Ares XLIV CLO Ltd., 2017-44A C (3 mo. USD LIBOR + 3.450%) |
4.669 | % | 10/15/29 | 250,000 | 239,869 | (b)(c) | ||||||||||
| Argent Securities Inc., Asset-Backed Pass- Through Certificates, 2003-W3 M1 (1 mo. USD LIBOR + 1.125%) |
1.310 | % | 9/25/33 | 24,093 | 22,235 | (b) | ||||||||||
| Avis Budget Rental Car Funding AESOP LLC, 2019-1A C |
4.530 | % | 3/20/23 | 108,000 | 101,610 | (c) | ||||||||||
| Bear Stearns Asset-Backed Securities Trust, 2007-SD1 1A2A |
6.000 | % | 10/25/36 | 436,234 | 310,804 | |||||||||||
| Bowman Park CLO Ltd., 2014-1A AR (3 mo. USD LIBOR + 1.180%) |
1.540 | % | 11/23/25 | 72,895 | 72,701 | (b)(c) | ||||||||||
| Canyon CLO Ltd., 2020-1A A (3 mo. USD LIBOR + 1.920%) |
2.319 | % | 7/15/28 | 250,000 | 250,625 | (b)(c) | ||||||||||
| Carlyle Global Market Strategies CLO Ltd., 2014-3RA A1A (3 mo. USD LIBOR + 1.050%) |
2.041 | % | 7/27/31 | 248,021 | 240,641 | (b)(c) | ||||||||||
| Carlyle US CLO Ltd., 2017-2A A1B (3 mo. USD LIBOR + 1.220%) |
2.355 | % | 7/20/31 | 250,000 | 241,139 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
14 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Asset-Backed Securities - continued | ||||||||||||||||
| Carlyle US CLO Ltd., 2017-2A C (3 mo. USD LIBOR + 3.700%) |
4.835 | % | 7/20/31 | 250,000 | $ | 234,667 | (b)(c) | |||||||||
| Chase Funding Trust, 2004-1 1A7 |
4.985 | % | 11/25/33 | 150,928 | 156,750 | |||||||||||
| Citigroup Mortgage Loan Trust Inc., 2005- OPT1 M1 (1 mo. USD LIBOR + 0.630%) |
0.815 | % | 2/25/35 | 193,303 | 184,598 | (b) | ||||||||||
| Conseco Finance Corp., 1997-4 M1 |
7.220 | % | 2/15/29 | 234,828 | 224,682 | (b) | ||||||||||
| Countrywide Asset-Backed Certificates Trust, 2007-13 2A1 (1 mo. USD LIBOR + 0.900%) |
1.085 | % | 10/25/47 | 491,815 | 464,232 | (b) | ||||||||||
| Countrywide Home Equity Loan Trust, 2006-HW 2A1B (1 mo. USD LIBOR + 0.150%) |
0.335 | % | 11/15/36 | 253,976 | 219,019 | (b) | ||||||||||
| Credit-Based Asset Servicing & Securitization LLC, 2007-SP1 A4 |
5.184 | % | 12/25/37 | 132,004 | 135,155 | (c) | ||||||||||
| Domino’s Pizza Master Issuer LLC, 2017-1A A2I (3 mo. USD LIBOR + 1.250%) |
2.241 | % | 7/25/47 | 487,500 | 485,609 | (b)(c) | ||||||||||
| GoldenTree Loan Opportunities IX Ltd., 2014-9A AR2 (3 mo. USD LIBOR + 1.110%) |
1.951 | % | 10/29/29 | 250,000 | 246,898 | (b)(c) | ||||||||||
| GreenPoint Home Equity Loan Trust, 2004-4 A (1 mo. USD LIBOR + 0.280%) |
0.465 | % | 8/15/30 | 16,820 | 16,377 | (b) | ||||||||||
| Grippen Park CLO Ltd., 2017-1A D (3 mo. USD LIBOR + 3.300%) |
4.435 | % | 1/20/30 | 500,000 | 469,464 | (b)(c) | ||||||||||
| GSAA Home Equity Trust, 2006-5 2A3 (1 mo. USD LIBOR + 0.270%) |
0.455 | % | 3/25/36 | 597,879 | 374,805 | (b) | ||||||||||
| GSAMP Trust, 2004-OPT B1 (1 mo. USD LIBOR + 2.400%) |
2.585 | % | 11/25/34 | 47,651 | 38,168 | (b) | ||||||||||
| GSRPM Mortgage Loan Trust, 2007-1 A (1 mo. USD LIBOR + 0.400%) |
0.585 | % | 10/25/46 | 216,955 | 192,627 | (b)(c) | ||||||||||
| Halcyon Loan Advisors Funding Ltd., 2015-2A AR (3 mo. USD LIBOR + 1.080%) |
2.071 | % | 7/25/27 | 153,705 | 151,762 | (b)(c) | ||||||||||
| Home Equity Loan Trust, 2006-HSA3 A (1 mo. USD LIBOR + 0.130%) |
0.315 | % | 5/25/36 | 284,751 | 277,458 | (b) | ||||||||||
| Home Equity Mortgage Loan Asset-Backed Trust, 2005-C M2 (1 mo. USD LIBOR + 0.500%) |
0.685 | % | 10/25/35 | 790,000 | 744,256 | (b) | ||||||||||
| Home Equity Mortgage Loan Asset-Backed Trust, 2006-A A (1 mo. USD LIBOR + 0.260%) |
0.445 | % | 6/25/36 | 1,966,468 | 169,685 | (b) | ||||||||||
| Jamestown CLO X Ltd., 2017-10A A2 (3 mo. USD LIBOR + 1.850%) |
2.985 | % | 7/17/29 | 250,000 | 241,513 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
15 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Asset-Backed Securities - continued | ||||||||||||||||
| LCM XVIII LP, 19A AR (3 mo. USD LIBOR + 1.240%) |
2.459 | % | 7/15/27 | 250,000 | $ | 248,246 | (b)(c) | |||||||||
| LCM XX LP, 20A AR (3 mo. USD LIBOR + 1.040%) |
2.175 | % | 10/20/27 | 250,000 | 246,792 | (b)(c) | ||||||||||
| Legacy Mortgage Asset Trust, 2019-GS1 A1 |
4.000 | % | 1/25/59 | 601,620 | 617,065 | (c) | ||||||||||
| Lehman XS Trust, 2006-8 2A4A (1 mo. USD LIBOR + 0.260%) |
0.445 | % | 6/25/36 | 992,254 | 860,883 | (b) | ||||||||||
| Long Beach Mortgage Loan Trust, 2001-3 M1 (1 mo. USD LIBOR + 0.825%) |
1.010 | % | 9/25/31 | 8,591 | 8,544 | (b) | ||||||||||
| Long Beach Mortgage Loan Trust, 2002-1 2M1 (1 mo. USD LIBOR + 1.125%) |
1.310 | % | 5/25/32 | 43,008 | 43,044 | (b) | ||||||||||
| Monroe Capital BSL CLO Ltd., 2015-1A BR (3 mo. USD LIBOR + 1.750%) |
2.108 | % | 5/22/27 | 100,000 | 97,821 | (b)(c) | ||||||||||
| Navient Student Loan Trust, 2015-1 A2 (1 mo. USD LIBOR + 0.600%) |
0.785 | % | 4/25/40 | 110,874 | 106,445 | (b) | ||||||||||
| New Century Home Equity Loan Trust, 2004-3 M1 (1 mo. USD LIBOR + 0.930%) |
1.115 | % | 11/25/34 | 541,605 | 515,824 | (b) | ||||||||||
| NovaStar Mortgage Funding Trust, 2004-1 M3 (1 mo. USD LIBOR + 0.825%) |
1.010 | % | 6/25/34 | 413,190 | 406,717 | (b) | ||||||||||
| Octagon Investment Partners 45 Ltd., 2019-1A A (3 mo. USD LIBOR + 1.330%) |
2.549 | % | 10/15/32 | 250,000 | 247,038 | (b)(c) | ||||||||||
| OneMain Financial Issuance Trust, 2016-3A A |
3.830 | % | 6/18/31 | 925,000 | 942,647 | (c) | ||||||||||
| Option One Mortgage Loan Trust, 2005-3 M4 (1 mo. USD LIBOR + 0.930%) |
1.115 | % | 8/25/35 | 520,000 | 379,933 | (b) | ||||||||||
| Origen Manufactured Housing Contract Trust, 2007-A A2 |
2.704 | % | 4/15/37 | 244,681 | 213,167 | (b) | ||||||||||
| RAAC Trust, 2006-RP3 A (1 mo. USD LIBOR + 0.270%) |
0.455 | % | 5/25/36 | 252,086 | 248,655 | (b)(c) | ||||||||||
| RAMP Trust, 2003-RS7 MII1 (1 mo. USD LIBOR + 1.125%) |
1.310 | % | 8/25/33 | 16,211 | 15,831 | (b) | ||||||||||
| RAMP Trust, 2006-NC3 M1 (1 mo. USD LIBOR + 0.340%) |
0.525 | % | 3/25/36 | 800,000 | 739,909 | (b) | ||||||||||
| RASC Trust, 2005-KS12 M4 (1 mo. USD LIBOR + 0.640%) |
0.825 | % | 1/25/36 | 460,000 | 364,733 | (b) | ||||||||||
| RASC Trust, 2006-KS2 M3 (1 mo. USD LIBOR + 0.410%) |
0.595 | % | 3/25/36 | 1,260,000 | 1,084,335 | (b) | ||||||||||
| Recette CLO Ltd., 2015-1A AR (3 mo. USD LIBOR + 0.920%) |
2.055 | % | 10/20/27 | 167,706 | 165,856 | (b)(c) | ||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
16 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Asset-Backed Securities - continued | ||||||||||||||||
| Renaissance Home Equity Loan Trust, 2003-2 A (1 mo. USD LIBOR + 0.880%) |
1.065 | % | 8/25/33 | 51,624 | $ | 48,331 | (b) | |||||||||
| SACO I Trust, 2006-3 A3 (1 mo. USD LIBOR + 0.460%) |
0.645 | % | 4/25/36 | 62,888 | 62,185 | (b) | ||||||||||
| SACO I Trust, 2006-4 A1 (1 mo. USD LIBOR + 0.340%) |
0.525 | % | 3/25/36 | 53,559 | 53,317 | (b) | ||||||||||
| Seneca Park CLO Ltd., 2014-1A AR (3 mo. USD LIBOR + 1.120%) |
2.255 | % | 7/17/26 | 32,532 | 32,493 | (b)(c) | ||||||||||
| SLM Private Credit Student Loan Trust, 2007-A A4A (3 mo. USD LIBOR + 0.240%) |
0.553 | % | 12/16/41 | 452,515 | 429,169 | (b) | ||||||||||
| SLM Student Loan Trust, 2006-10 A6 (3 mo. USD LIBOR + 0.150%) |
1.141 | % | 3/25/44 | 960,000 | 897,487 | (b) | ||||||||||
| SMB Private Education Loan Trust, 2016-C A2A |
2.340 | % | 9/15/34 | 490,294 | 498,459 | (c) | ||||||||||
| Structured Asset Investment Loan Trust, 2004-9 M4 (1 mo. USD LIBOR + 1.950%) |
2.135 | % | 10/25/34 | 117,619 | 110,876 | (b) | ||||||||||
| Structured Asset Securities Corp. Mortgage Loan Trust, 2006-GEL4 M1 (1 mo. USD LIBOR + 0.570%) |
0.755 | % | 10/25/36 | 804,356 | 777,516 | (b)(c) | ||||||||||
| Sudbury Mill CLO Ltd., 2013-1A A1R (3 mo. USD LIBOR + 1.150%) |
2.285 | % | 1/17/26 | 209,435 | 208,784 | (b)(c) | ||||||||||
| Terwin Mortgage Trust, 2004-5HE M1 (1 mo. USD LIBOR + 0.885%) |
1.070 | % | 6/25/35 | 394,642 | 379,906 | (b) | ||||||||||
| THL Credit Wind River CLO Ltd., 2016-1A BR (3 mo. USD LIBOR + 1.650%) |
2.869 | % | 7/15/28 | 250,000 | 245,183 | (b)(c) | ||||||||||
| Tralee CLO III Ltd., 2014-3A AR (3 mo. USD LIBOR + 1.030%) |
2.165 | % | 10/20/27 | 204,555 | 202,526 | (b)(c) | ||||||||||
| Tryon Park CLO Ltd., 2013-1A A1SR (3 mo. USD LIBOR + 0.890%) |
2.109 | % | 4/15/29 | 500,000 | 492,134 | (b)(c) | ||||||||||
| Venture XXVIII CLO Ltd., 2017-28A A2 (3 mo. USD LIBOR + 1.110%) |
2.245 | % | 7/20/30 | 300,000 | 292,717 | (b)(c) | ||||||||||
| ZAIS CLO 13 Ltd., 2019-13A A1A (3 mo. USD LIBOR + 1.490%) |
2.709 | % | 7/15/32 | 250,000 | 243,604 | (b)(c) | ||||||||||
|
|
|
|||||||||||||||
| Total Asset-Backed Securities (Cost - $20,174,392) |
19,943,172 | |||||||||||||||
|
|
|
|||||||||||||||
| Senior Loans - 4.8% | ||||||||||||||||
| Communication Services - 1.6% | ||||||||||||||||
| Diversified Telecommunication Services - 0.3% |
||||||||||||||||
| Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%) |
2.685 | % | 1/31/28 | 257,809 | 247,368 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
17 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Media - 1.3% |
||||||||||||||||
| Charter Communications Operating LLC, Term Loan B1 (1 mo. USD LIBOR + 1.750%) |
1.930 | % | 4/30/25 | 119,388 | $ | 115,524 | (b)(f)(g) | |||||||||
| Nexstar Broadcasting Inc., Term Loan B4 (1 mo. USD LIBOR + 2.750%) |
2.923 | % | 9/18/26 | 115,564 | 110,219 | (b)(f)(g) | ||||||||||
| Terrier Media Buyer Inc., Term Loan (1 mo. USD LIBOR + 4.250%) |
4.428 | % | 12/17/26 | 109,450 | 104,799 | (b)(f)(g) | ||||||||||
| Univision Communications Inc., 2020 Replacement New First Lien Term Loan (1 mo. USD LIBOR + 3.750%) |
4.750 | % | 3/16/26 | 674,122 | 626,372 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Total Media |
956,914 | |||||||||||||||
|
|
|
|||||||||||||||
| Total Communication Services |
1,204,282 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Discretionary - 0.6% | ||||||||||||||||
| Hotels, Restaurants & Leisure - 0.3% |
||||||||||||||||
| Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%) |
1.935 | % | 6/22/26 | 120,000 | 112,500 | (b)(f)(g) | ||||||||||
| Scientific Games International Inc., Initial Term Loan B5 |
2.928-3.612 | % | 8/14/24 | 119,389 | 105,839 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Total Hotels, Restaurants & Leisure |
218,339 | |||||||||||||||
|
|
|
|||||||||||||||
| Specialty Retail - 0.3% |
||||||||||||||||
| Michaels Stores Inc., 2018 New Replacement Term Loan B |
3.500-3.568 | % | 1/30/23 | 232,506 | 213,711 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Total Consumer Discretionary |
432,050 | |||||||||||||||
|
|
|
|||||||||||||||
| Financials - 0.7% | ||||||||||||||||
| Capital Markets - 0.3% |
||||||||||||||||
| First Eagle Holdings Inc., 2018 Refinancing Term Loan B (3 mo. USD LIBOR + 2.500%) |
2.808 | % | 2/1/27 | 119,400 | 115,271 | (b)(f)(g) | ||||||||||
| Focus Financial Partners LLC, Term Loan B3 (1 mo. USD LIBOR + 2.000%) |
2.178 | % | 7/3/24 | 119,391 | 114,615 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
229,886 | |||||||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services - 0.3% |
||||||||||||||||
| RPI 2019 Intermediate Finance Trust, Term Loan B1 (1 mo. USD LIBOR + 1.750%) |
1.928 | % | 2/5/27 | 109,450 | 107,238 | (b)(f)(g) | ||||||||||
| Trans Union LLC, Term Loan B5 (1 mo. USD LIBOR + 1.750%) |
1.928 | % | 11/16/26 | 119,382 | 114,930 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Financial Services |
222,168 | |||||||||||||||
|
|
|
|||||||||||||||
| Insurance - 0.1% |
||||||||||||||||
| Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%) |
3.178 | % | 11/3/24 | 119,391 | 115,623 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Total Financials |
567,677 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
18 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Health Care - 0.8% | ||||||||||||||||
| Health Care Providers & Services - 0.6% |
||||||||||||||||
| Elanco Animal Health Inc., Term Loan B |
— | 2/4/27 | 140,000 | $ | 134,050 | (h) | ||||||||||
| Grifols Worldwide Operations USA Inc., Term Loan B (1 week USD LIBOR + 2.000%) |
2.109 | % | 11/15/27 | 119,400 | 115,304 | (b)(f)(g) | ||||||||||
| LifePoint Health Inc., First Lien Term Loan B (1 mo. USD LIBOR + 3.750%) |
3.928 | % | 11/17/25 | 120,000 | 112,425 | (b)(f)(g) | ||||||||||
| Sotera Health Holdings LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 4.500%) |
5.500 | % | 12/11/26 | 119,700 | 117,343 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
479,122 | |||||||||||||||
|
|
|
|||||||||||||||
| Health Care Technology - 0.2% |
||||||||||||||||
| Change Healthcare Holdings LLC, Closing Date Term Loan (3 mo. USD LIBOR + 2.500%) |
3.500 | % | 3/1/24 | 119,686 | 115,247 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Total Health Care |
594,369 | |||||||||||||||
|
|
|
|||||||||||||||
| Industrials - 0.9% | ||||||||||||||||
| Airlines - 0.4% |
||||||||||||||||
| American Airlines Inc., 2017 Replacement Term Loan B (1 mo. USD LIBOR + 2.000%) |
2.185 | % | 12/14/23 | 272,193 | 222,032 | (b)(f)(g) | ||||||||||
| American Airlines Inc., 2017 Term Loan B (1 mo. USD LIBOR + 2.000%) |
2.184 | % | 4/28/23 | 118,763 | 96,622 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Total Airlines |
318,654 | |||||||||||||||
|
|
|
|||||||||||||||
| Commercial Services & Supplies - 0.2% |
||||||||||||||||
| APi Group DE Inc., Initial Term Loan (1 mo. USD LIBOR + 2.500%) |
2.678 | % | 10/1/26 | 119,400 | 115,893 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Electrical Equipment - 0.1% |
||||||||||||||||
| Brookfield WEC Holdings Inc., Refinancing Term Loan (1 mo. USD LIBOR + 3.000%) |
3.750 | % | 8/1/25 | 119,394 | 115,663 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Road & Rail - 0.2% |
||||||||||||||||
| Genesee & Wyoming Inc., Initial Term Loan (3 mo. USD LIBOR + 2.000%) |
2.308 | % | 12/30/26 | 119,700 | 115,720 | (b)(f)(g) | ||||||||||
|
|
|
|||||||||||||||
| Total Industrials |
665,930 | |||||||||||||||
|
|
|
|||||||||||||||
| Information Technology - 0.1% | ||||||||||||||||
| Software - 0.1% |
||||||||||||||||
| DCert Buyer Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.000%) |
4.178 | % | 10/16/26 | 119,700 | 116,234 | (b)(f)(g) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
19 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Materials - 0.1% | ||||||||||||||||
| Containers & Packaging - 0.1% |
||||||||||||||||
| Reynolds Consumer Products LLC, Initial Term Loan (1 mo. USD LIBOR + 1.750%) |
1.928 | % | 2/4/27 | 119,700 | $ | 115,436 | (b)(f)(g) | |||||||||
|
|
|
|||||||||||||||
| Total Senior Loans (Cost - $3,932,707) |
3,695,978 | |||||||||||||||
|
|
|
|||||||||||||||
| Sovereign Bonds - 3.7% | ||||||||||||||||
| Brazil - 0.8% |
||||||||||||||||
| Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/21 | 1,885,000 | BRL | 359,838 | ||||||||||
| Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/23 | 1,233,000 | BRL | 257,686 | ||||||||||
| Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/27 | 108,000 | BRL | 23,597 | ||||||||||
|
|
|
|||||||||||||||
| Total Brazil |
641,121 | |||||||||||||||
|
|
|
|||||||||||||||
| Mexico - 1.4% |
||||||||||||||||
| Mexican Bonos, Senior Notes |
8.500 | % | 5/31/29 | 13,670,000 | MXN | 704,581 | ||||||||||
| Mexico Government International Bond, Senior Notes |
6.750 | % | 9/27/34 | 85,000 | 111,972 | (a) | ||||||||||
| Mexico Government International Bond, Senior Notes |
5.550 | % | 1/21/45 | 210,000 | 248,264 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Mexico |
1,064,817 | |||||||||||||||
|
|
|
|||||||||||||||
| Qatar - 0.3% |
||||||||||||||||
| Qatar Government International Bond, Senior Notes |
3.875 | % | 4/23/23 | 200,000 | 214,978 | (i) | ||||||||||
|
|
|
|||||||||||||||
| Russia - 0.6% |
||||||||||||||||
| Russian Foreign Bond - Eurobond, Senior Notes |
12.750 | % | 6/24/28 | 254,000 | 437,674 | (i) | ||||||||||
|
|
|
|||||||||||||||
| United Arab Emirates - 0.6% |
||||||||||||||||
| Abu Dhabi Government International Bond, Senior Notes |
2.500 | % | 10/11/22 | 270,000 | 279,415 | (c) | ||||||||||
| Abu Dhabi Government International Bond, Senior Notes |
2.125 | % | 9/30/24 | 210,000 | 217,098 | (c) | ||||||||||
|
|
|
|||||||||||||||
| Total United Arab Emirates |
496,513 | |||||||||||||||
|
|
|
|||||||||||||||
| Total Sovereign Bonds (Cost - $3,045,622) |
2,855,103 | |||||||||||||||
|
|
|
|||||||||||||||
| Mortgage-Backed Securities - 2.7% | ||||||||||||||||
| FHLMC - 0.1% |
||||||||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
4.000 | % | 5/1/49 | 53,244 | 56,427 | (a) | ||||||||||
|
|
|
|||||||||||||||
| FNMA - 1.0% |
||||||||||||||||
| Federal National Mortgage Association (FNMA) |
4.500 | % | 8/1/48 | 256,190 | 275,231 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
20 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| FNMA - continued |
||||||||||||||||
| Federal National Mortgage Association (FNMA) |
3.500 | % | 4/1/49 | 150,158 | $ | 158,131 | (a) | |||||||||
| Federal National Mortgage Association (FNMA) |
3.000 | % | |
11/1/49- 1/1/50 |
|
281,788 | 297,159 | (a) | ||||||||
|
|
|
|||||||||||||||
| Total FNMA |
730,521 | |||||||||||||||
|
|
|
|||||||||||||||
| GNMA - 1.6% |
||||||||||||||||
| Government National Mortgage Association (GNMA) |
6.500 | % | 8/15/34 | 67,049 | 78,517 | (a) | ||||||||||
| Government National Mortgage Association (GNMA) II |
5.000 | % | 1/20/49 | 41,901 | 45,579 | |||||||||||
| Government National Mortgage Association (GNMA) II (1 mo. USD LIBOR + 1.158%) |
2.123 | % | 7/20/60 | 68,218 | 69,613 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA) II (UST Yield Curve CMT 1 year + 1.086%) |
1.261 | % | 8/20/58 | 78,351 | 79,142 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA) II (UST Yield Curve CMT 1 year + 1.224%) |
1.398 | % | 7/20/60 | 78,835 | 79,995 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA) II (UST Yield Curve CMT 1 year + 1.374%) |
1.543 | % | 12/20/59 | 87,122 | 88,583 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA) II (UST Yield Curve CMT 1 year + 1.410%) |
1.580 | % | 12/20/59 | 391,620 | 398,310 | (a)(b) | ||||||||||
| Government National Mortgage Association (GNMA) II (UST Yield Curve CMT 1 year + 1.440%) |
1.610 | % | |
10/20/59- 1/20/60 |
|
393,181 | 400,659 | (a)(b) | ||||||||
|
|
|
|||||||||||||||
| Total GNMA |
1,240,398 | |||||||||||||||
|
|
|
|||||||||||||||
| Total Mortgage-Backed Securities (Cost - $1,997,908) |
2,027,346 | |||||||||||||||
|
|
|
|||||||||||||||
| Shares | ||||||||||||||||
| Preferred Stocks - 1.7% | ||||||||||||||||
| Financials - 1.7% | ||||||||||||||||
| Capital Markets - 1.7% |
||||||||||||||||
| State Street Corp. (5.900% to 3/15/24 then 3 mo. USD LIBOR + 3.108%) (Cost - $1,275,960) |
5.900 | % | 49,000 | 1,285,270 | (b) | |||||||||||
|
|
|
|||||||||||||||
| Total Investments before Short-Term Investments (Cost - $94,544,691) |
94,952,035 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
21 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
| SECURITY |
RATE | SHARES | VALUE | |||||||||
| Short-Term Investments - 0.6% | ||||||||||||
| Dreyfus Government Cash Management, Institutional Shares (Cost - $454,217) |
0.085 | % | 454,217 | $ | 454,217 | |||||||
|
|
|
|||||||||||
| Total Investments - 124.6% (Cost - $94,998,908) |
95,406,252 | |||||||||||
|
|
|
|||||||||||
| Liabilities in Excess of Other Assets - (24.6)% |
(18,806,640 | ) | ||||||||||
|
|
|
|||||||||||
| Total Net Assets - 100.0% |
$ | 76,599,612 | ||||||||||
|
|
|
|||||||||||
| † | Face amount denominated in U.S. dollars, unless otherwise noted. |
| †† | Represents less than 0.1%. |
| (a) | All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements. |
| (b) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (c) | 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. |
| (d) | Security has no maturity date. The date shown represents the next call date. |
| (e) | 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. |
| (f) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| (g) | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (h) | All or a portion of this loan is unfunded as of June 30, 2020. The interest rate for fully unfunded term loans is to be determined. |
| (i) | 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. |
See Notes to Schedule of Investments.
|
|
||||
|
22 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
Abbreviation(s) used in this schedule:
| BRL | — Brazilian Real | |
| CAS | — Connecticut Avenue Securities | |
| CLO | — Collateralized Loan Obligation | |
| CMT | — Constant Maturity Treasury | |
| IO | — Interest Only | |
| LIBOR | — London Interbank Offered Rate | |
| MXN | — Mexican Peso | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| Re-REMIC | — Resecuritization of Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Financing Rate | |
| STRIPS | — Separate Trading of Registered Interest and Principal Securities | |
| USD | — United States Dollar | |
| UST | — United States Treasury |
At June 30, 2020, the Fund had the following open reverse repurchase agreements:
| COUNTERPARTY |
RATE | EFFECTIVE DATE |
MATURITY DATE |
FACE AMOUNT OF REVERSE REPURCHASE AGREEMENTS |
ASSET CLASS OF COLLATERAL* |
COLLATERAL VALUE |
||||||||||||||||
| Bank of America N.A. |
0.380 | % | 6/22/2020 | 7/21/2020 | $ | 970,000 | Mortgage-Backed Securities |
$ | 1,037,160 | |||||||||||||
| Bank of America N.A. |
0.380 | % | 6/4/2020 | 7/2/2020 | 1,023,000 | Collateralized Mortgage Obligations |
1,154,881 | |||||||||||||||
| Bank of America N.A. |
0.400 | % | 6/19/2020 | 7/20/2020 | 786,000 | Collateralized Mortgage Obligations |
929,084 | |||||||||||||||
| Bank of America N.A. |
0.450 | % | 6/5/2020 | 9/4/2020 | 600,000 | Collateralized Mortgage Obligations Mortgage- Backed Securities |
|
612,809
79,142 |
| |||||||||||||
| Barclays Bank PLC |
2.600 | % | 6/14/2018 | TBD** | 265,819 | Sovereign Bonds | 360,236 | |||||||||||||||
| RBC Capital Markets |
0.330 | % | 5/22/2020 | 8/21/2020 | 854,000 | Mortgage-Backed Securities |
865,464 | |||||||||||||||
| RBC Capital Markets |
0.850 | % | 6/2/2020 | 8/27/2020 | 3,147,637 | Corporate Bonds & Notes |
3,316,524 | |||||||||||||||
| RBC Capital Markets |
0.850 | % | 5/29/2020 | 8/27/2020 | 11,762,855 | Corporate Bonds & Notes |
12,446,321 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $ | 19,409,311 | $ | 20,801,621 | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| * | Refer to the Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements. |
| ** | TBD — To Be Determined; These reverse repurchase agreements have no maturity dates because they are renewed daily and can be terminated by either the Fund or the counterparty in accordance with the terms of the agreements. The rates for these agreements are variable. The rate disclosed is the rate as of June 30, 2020. |
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
23 |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
At June 30, 2020, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| 90-Day Eurodollar |
17 | 12/20 | $ | 4,165,027 | $ | 4,237,675 | $ | 72,648 | ||||||||||||
| U.S. Treasury 5-Year Notes |
17 | 9/20 | 2,132,283 | 2,137,617 | 5,334 | |||||||||||||||
| U.S. Treasury 10-Year Notes |
151 | 9/20 | 20,942,281 | 21,014,954 | 72,673 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 150,655 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| 30-Day Federal Funds |
8 | 6/21 | 3,335,252 | 3,333,934 | 1,318 | |||||||||||||||
| 90-Day Eurodollar |
122 | 3/21 | 30,399,756 | 30,439,000 | (39,244 | ) | ||||||||||||||
| U.S. Treasury 2-Year Notes |
33 | 9/20 | 7,287,271 | 7,287,328 | (57 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds |
17 | 9/20 | 3,030,860 | 3,035,562 | (4,702 | ) | ||||||||||||||
| (42,685 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open futures contracts | $ | 107,970 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
At June 30, 2020, the Fund had the following open forward foreign currency contracts:
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| CAD |
820,000 | USD | 587,780 | BNP Paribas SA | 7/16/20 | $ | 16,256 | |||||||||||||||
| USD |
131,491 | CAD | 180,000 | BNP Paribas SA | 7/16/20 | (1,103 | ) | |||||||||||||||
| USD |
372,556 | CAD | 510,000 | BNP Paribas SA | 7/16/20 | (3,124 | ) | |||||||||||||||
| USD |
86,134 | GBP | 69,377 | Citibank N.A. | 7/16/20 | 160 | ||||||||||||||||
| MXN |
14,070,000 | USD | 571,568 | Goldman Sachs Group Inc. | 7/16/20 | 39,261 | ||||||||||||||||
| USD |
23,083 | BRL | 122,330 | Goldman Sachs Group Inc. | 7/16/20 | 606 | ||||||||||||||||
| CAD |
30,000 | USD | 21,281 | Morgan Stanley & Co. Inc. | 7/16/20 | 818 | ||||||||||||||||
| CAD |
261,353 | USD | 185,393 | Morgan Stanley & Co. Inc. | 7/16/20 | 7,127 | ||||||||||||||||
| CAD |
180,000 | USD | 131,510 | BNP Paribas SA | 10/16/20 | 1,105 | ||||||||||||||||
| CAD |
510,000 | USD | 372,613 | BNP Paribas SA | 10/16/20 | 3,132 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total | $ | 64,238 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Abbreviation(s) used in this table:
| BRL | — Brazilian Real | |
| CAD | — Canadian Dollar | |
| GBP | — British Pound | |
| MXN | — Mexican Peso | |
| USD | — United States Dollar |
See Notes to Schedule of Investments.
|
|
||||
|
24 |
Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
WESTERN ASSET VARIABLE RATE STRATEGIC FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2020 |
At June 30, 2020, the Fund had the following open swap contracts:
| CENTRALLY CLEARED INTEREST RATE SWAPS |
||||||||||||||||||||||||
| NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND† |
PAYMENTS RECEIVED BY THE FUND† |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED DEPRECIATION |
|||||||||||||||||||
| $ | 2,500,000 | 6/28/23 | 1.238% semi-annually | 3-Month LIBOR quarterly | $ | (2,348 | ) | $ | (72,852 | ) | ||||||||||||||
| 3,860,000 | 7/9/23 | 2.902% semi-annually | 3-Month LIBOR quarterly | (20,893 | ) | (289,841 | ) | |||||||||||||||||
| 1,869,000 | 6/30/26 | 1.550% semi-annually | 3-Month LIBOR quarterly | 5,905 | (135,342 | ) | ||||||||||||||||||
| 19,100,000 | 7/5/28 | 3.000% semi-annually | 3-Month LIBOR quarterly | (108,943 | ) | (3,644,793 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total | $ | 27,329,000 | $ | (126,279 | ) | $ | (4,142,828 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| † | Percentage shown is an annual percentage rate. |
Abbreviation(s) used in this table:
| LIBOR | — London Interbank Offered Rate |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
|
| ||||
| Western Asset Variable Rate Strategic Fund Inc. 2020 Quarterly Report |
25 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Variable Rate Strategic Fund Inc. (the “Fund”) was incorporated in Maryland on August 3, 2004 and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Board of Directors authorized 100 million shares of $0.001 par value common stock. The Fund’s investment objective is to maintain a high level of current income. The Fund invests primarily in variable rate instruments of U.S. and non-U.S. issuers, including U.S. and non-U.S. investment grade and high-yield debt, senior loans, emerging market debt and derivatives related to these securities. On October 31, 2019 and April 1, 2020, the Board of Directors of the Fund approved amendments to the Fund’s bylaws. The amended and restated bylaws were subsequently filed on Form 8-K and are available on the Securities and Exchange Commission’s website at www.sec.gov.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.
The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments
|
|
||||
|
26 |
Notes to Schedule of Investments (unaudited) (cont’d)
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 Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
|
| ||||
|
27 |
Notes to Schedule of Investments (unaudited) (cont’d)
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†: |
||||||||||||||||
| Corporate Bonds & Notes |
— | $ | 33,773,753 | — | $ | 33,773,753 | ||||||||||
| Collateralized Mortgage Obligations |
— | 31,371,413 | — | 31,371,413 | ||||||||||||
| Asset-Backed Securities |
— | 19,943,172 | — | 19,943,172 | ||||||||||||
| Senior Loans |
— | 3,695,978 | — | 3,695,978 | ||||||||||||
| Sovereign Bonds |
— | 2,855,103 | — | 2,855,103 | ||||||||||||
| Mortgage-Backed Securities |
— | 2,027,346 | — | 2,027,346 | ||||||||||||
| Preferred Stocks |
$ | 1,285,270 | — | — | 1,285,270 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
1,285,270 | 93,666,765 | — | 94,952,035 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
454,217 | — | — | 454,217 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments | $ | 1,739,487 | $ | 93,666,765 | — | $ | 95,406,252 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts |
$ | 151,973 | — | — | $ | 151,973 | ||||||||||
| Forward Foreign Currency Contracts |
— | $ | 68,465 | — | 68,465 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments | $ | 151,973 | $ | 68,465 | — | $ | 220,438 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total | $ | 1,891,460 | $ | 93,735,230 | — | $ | 95,626,690 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts |
$ | 44,003 | — | — | $ | 44,003 | ||||||||||
| Forward Foreign Currency Contracts |
— | $ | 4,227 | — | 4,227 | |||||||||||
| Centrally Cleared Interest Rate Swaps |
— | 4,142,828 | — | 4,142,828 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total | $ | 44,003 | $ | 4,147,055 | — | $ | 4,191,058 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
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|
28 |