N-CSR 1 d434404dncsr.htm BRANDYWINEGLOBAL - GLOBAL OPPORTUNITIES BOND FUND BrandywineGLOBAL - Global Opportunities Bond Fund

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22338

 

 

Legg Mason Global Asset Management Trust

(Exact name of registrant as specified in charter)

 

 

100 International Drive, Baltimore, MD, 21202

(Address of principal executive offices) (Zip code)

 

 

Marc A. De Oliveira

Franklin Templeton

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 877-6LM-FUND/656-3863

Date of fiscal year end: December 31

Date of reporting period: December 31, 2022

 

 

 


ITEM  1.

REPORT TO STOCKHOLDERS

The Annual Report to Stockholders is filed herewith.


LOGO

 

Annual Report   December 31, 2022

BrandywineGLOBAL —

GLOBAL OPPORTUNITIES

BOND FUND

 

 

 

 

LOGO

 

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE


What’s inside      
Letter from the president     II  
Fund overview     1  
Fund at a glance     8  
Fund expenses     9  
Fund performance     11  
Schedule of investments     13  
Statement of assets and liabilities     19  
Statement of operations     21  
Statements of changes in net assets     22  
Financial highlights     23  
Notes to financial statements     30  
Report of independent registered public accounting firm     47  
Additional information     48  
Important tax information     54  

Fund objective

The Fund’s investment objective is to maximize total return consisting of income and capital appreciation.

 

Letter from the president

 

LOGO

 

Dear Shareholder,

We are pleased to provide the annual report of BrandywineGLOBAL — Global Opportunities Bond Fund for the twelve-month reporting period ended December 31, 2022. Please read on for a detailed look at prevailing economic and market conditions during the Fund’s reporting period and to learn how those conditions have affected Fund performance.

As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.franklintempleton.com. Here you can gain immediate access to market and investment information, including:

 

 

Fund prices and performance,

 

 

Market insights and commentaries from our portfolio managers, and

 

 

A host of educational resources.

We look forward to helping you meet your financial goals.

Sincerely,

 

LOGO

Jane Trust, CFA

President and Chief Executive Officer

January 31, 2023

 

II    BrandywineGLOBAL — Global Opportunities Bond Fund


Fund overview

 

Q. What is the Fund’s investment strategy?

A. The Fund seeks to maximize total return consisting of income and capital appreciation. Under normal market conditions, the Fund will invest at least 80% of its net assets in fixed income securities of issuers located in developed market countries. Any country that, at the time of purchase, has a sovereign debt rating of A- or better from at least one nationally recognized statistical ratings organization (“NRSRO”) or is included in the FTSE World Government Bond Indexi is considered a developed country. The Fund will invest in both investment grade and below investment grade fixed income securities, and intends to invest less than 35% of its net assets in below investment grade fixed income securities (commonly known as “high yield debt” or “junk bonds”). We intend to maintain an average weighted portfolio quality of A- or better, whether composed of rated securities or unrated securities that we deemed to be of comparable quality. The Fund’s investments may include securities of sovereign governments and supranational organizations. The Fund may invest up to 25% of its net assets in convertible debt securities.

The Fund may invest in currency forwards in order to hedge its currency exposure in bond positions or to gain currency exposure. In addition, the Fund may engage in a variety of transactions using derivatives such as bond futures, interest rate futures, swaps, credit default swaps and options. The Fund may use derivatives to enhance total return, to hedge against fluctuations in securities prices, interest rates or currency exchange rates, to change the effective duration of its portfolio, to manage certain investment risks and/or as a substitute for the purchase or sale of securities or currencies. These investments may be significant at times. Although we have the flexibility to use these instruments for hedging purposes, we may choose not to for a variety of reasons, even under very volatile market conditions. Derivative instruments are taken into account when determining compliance with the Fund’s 80% investment policy. The Fund will normally hold a portfolio of fixed income securities of issuers located in a minimum of six countries.

Although the Fund invests primarily in issuers in developed market countries as defined above, the Fund may also invest in issuers in emerging market countries, and some of the countries that the Fund considers to be developed may still have certain economic or other characteristics that are considered developing and are similar to emerging market countries.

The Fund may invest in securities of any maturity. The weighted average effective duration of the Fund’s portfolio, including derivatives, is expected to range from one to ten years, but for individual markets may be greater or lesser depending on our view of the prospects for lower interest rates and potential capital gains.

We follow a value approach to investing and, therefore, seek to identify relative value in the global bond markets. We define as undervalued, those markets where we believe real interest rates are high and the currency is undervalued with the potential to appreciate. We will focus investments in those undervalued markets where we believe cyclical business conditions as well as secular economic and political trends provide the best opportunity for declining interest rates and a return to lower real rates over time.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       1  


Fund overview (cont’d)

 

Q. What were the overall market conditions during the Fund’s reporting period?

A. The global fixed income market generated a negative total return during the twelve-month reporting period ended December 31, 2022. Global yields moved sharply higher, which negatively impacted fixed income assets. Rising yields were driven by a number of factors, including elevated inflation that prompted most global central banks to aggressively raise interest rates. The market also experienced periods of volatility given the repercussions from the war in Ukraine, the impact from the COVID-19 pandemic and its variants, the weakening global economy, and concerns over the trajectory for corporate profits. Against this backdrop, most spread sectors (non-U.S. Treasuries) posted double-digit declines over the reporting period.

On the monetary policy front, the U.S. Federal Reserve Board (the “Fed”) initially characterized surging inflation as being transitory. This proved to be incorrect, as supply chain issues persisted and the war in Ukraine added fuel to the inflation fire. This left the central bank no choice but to abruptly reverse course and aggressively raise rates in an attempt to rein in a four-decade high in inflation, even if this could trigger a recession. The Fed raised rates seven times and a total of 4.25% in 2022, the most since 1980. While the central bank raised rates 50 basis points in December, versus 75 basis points hikes at its previous four meetings, the Fed remained hawkish and expects to make additional rate hikes in 2023. Both the European Central Bank and the Bank of England also aggressively raised rates, by 250 basis points and 325 basis points, respectively, in 2022. At the end of the reporting period, rates in both regions were the highest since 2008. The Bank of Japan kept rates on hold during the reporting period, but in December the central bank surprised the market by raising the target range for the ten-year bond from 0.25% to 0.50%. The market interpreted this as being the first step toward normalizing its ultra-easy monetary policy. Elsewhere, emerging market central banks generally raised rates as well in 2022 given high inflation, causing their yields to move higher and dragging down their bond markets.

Looking at the currency market, the major story in 2022 was the strength of the U.S. dollar. The greenback appreciated roughly 17% over the first nine months of the reporting period given the Fed’s rate hikes, the resilient U.S. economy, and Fed Chair Jerome Powell’s vow to continue tightening monetary policy “until the job is done.” However, after reaching a twenty-one-year high in late September 2022, the U.S. dollar gave back around half of its gain in the fourth quarter. This turnaround was partially driven by concerns the economy could fall into a recession. Still, the U.S. dollar gained 8.2% in 2022, its strongest return since 2014. For the year as a whole, most developed and emerging market currencies fell sharply versus the greenback.

All told, the Bloomberg Global Aggregate Bond Indexii returned -16.25% during the twelve months ended December 31, 2022. Investors who took on additional risk also generated poor results over the reporting period. Global high yield corporate bonds, as measured by the Bloomberg Global High Yield Index (USD Hedged)iii, returned -11.05%. Meanwhile, the JPMorgan Emerging Markets Bond Index Globaliv returned -16.45%. Within the currency markets, the U.S. dollar generally rose against most other currencies.

 

2     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

Q. How did we respond to these changing market conditions?

A. The global themes of 2022 were high inflation and extreme tightening of monetary conditions. We increased our U.S. dollar weighting, from a large underweight to slightly underweight the FTSE World Government Bond Index, as we believed the U.S. dollar’s strength was justified given the deteriorating economic landscape. In terms of the U.S. dollar, the currency was in high demand as the market’s sentiment quickly turned from risk-on to risk-adverse. Factors contributing to the U.S. dollar’s historic strength were a global growth in investor savings, relatively tight U.S. central bank monetary policy, and shifting investor demand towards U.S. assets. Other core developed market currencies, like the euro and yen, were underweighted, while we remained slightly overweight select emerging market currencies, like Chilean peso and Brazilian real. The yen underweight was reversed in the third quarter of the reporting period, as the currency hit historical lows and inflation pressure questioned the Bank of Japan’s yield curve control policy.

The Fund increased safety in the portfolio as inflation remained elevated. Total duration was underweight the benchmark until midway through the reporting period, which was advantageous in a period of unexpected yield acceleration. We saw an opportunity to overweight duration during the third quarter of 2022 because yields had climbed steadily and a soft economic landing in the U.S. was still a possibility. Our duration was predominantly long-dated U.S. Treasuries and select emerging market countries with attractive valuations and fundamentals.

Mortgage-backed securities (“MBS”), primarily composed of U.S. residential agency passthroughs, were added during the third and fourth quarter of 2022 as mortgage rates breached 7%. Despite pressures in the housing market, the pent-up demand for homes, as well as most American mortgages being fixed, kept housing market fundamentals solid. MBS was attractively valued relative to corporate credit.

The Fund used developed market sovereign bond futures to help manage its bond exposure. The use of these instruments detracted from performance. Currency forwards, which were used to help manage the Fund’s currency exposures, were also a headwind for results.

Performance review

For the twelve months ended December 31, 2022, Class IS shares of BrandywineGLOBAL — Global Opportunities Bond Fund returned -15.67%. The Fund’s unmanaged benchmark, the FTSE World Government Bond Index (USD) (Unhedged), returned -18.26% for the same period. The Lipper Global Income Funds Category Averagev returned -13.50% over the same time frame.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       3  


Fund overview (cont’d)

 

Performance Snapshot as of December 31, 2022 (unaudited)  
(excluding sales charges)   6 months     12 months  
BrandywineGLOBAL — Global Opportunities Bond Fund:    

Class A

    -2.45     -16.03

Class C

    -2.77     -16.60

Class C11

    -2.57     -16.36 % 

Class FI

    -2.49     -16.05

Class R

    -2.59     -16.19

Class I

    -2.31     -15.80

Class IS

    -2.23     -15.67
FTSE World Government Bond Index (USD) (Unhedged)     -4.08     -18.26
Lipper Global Income Funds Category Average     -1.20     -13.50

The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value, investment returns and yields will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.franklintempleton.com.

All share class returns assume the reinvestment of all distributions at net asset value and the deduction of all Fund expenses. Returns have not been adjusted to include sales charges that may apply or the deduction of taxes that a shareholder would pay on Fund distributions. If sales charges were reflected, the performance quoted would be lower. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.

Fund performance figures reflect fee waivers and/or expense reimbursements, without which the performance would have been lower.

The 30-Day SEC Yields for the period ended December 31, 2022 for Class A, Class C, Class C1, Class FI, Class R, Class I and Class IS shares were 4.64%, 4.34%, 5.30%, 4.73%, 4.57%, 5.14% and 5.29%, respectively. Absent fee waivers and/or expense reimbursements, the 30-Day SEC Yield for Class R shares would have been 4.50%. The 30-Day SEC Yield, calculated pursuant to the standard SEC formula, is based on the Fund’s investments over an annualized trailing 30-day period, and not on the distributions paid by the Fund, which may differ.

 

Total Annual Operating Expenses (unaudited)

As of the Fund’s current prospectus dated May 1, 2022, the gross total annual fund operating expense ratios for Class A, Class C, Class C1, Class FI, Class R, Class I and Class IS shares were 1.00%, 1.69%, 1.45%, 0.97%, 1.30%, 0.66% and 0.56%, respectively.

Actual expenses may be higher. For example, expenses may be higher than those shown if average net assets decrease. Net assets are more likely to decrease and Fund expense ratios are more likely to increase when markets are volatile.

 

1

Class C1 shares are not available for purchase by new or existing investors (except for certain retirement plan programs). Class C1 shares continue to be available for dividend reinvestment and incoming exchanges.

 

2

Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at December 31, 2022 for financial reporting purposes. Accordingly, adjusted total returns have been disclosed in the Financial Highlights and differ from those reported here.

 

4     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

As a result of expense limitation arrangements, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets will not exceed 1.00% for Class A shares, 1.75% for Class C shares, 1.45% for Class C1 shares, 1.00% for Class FI shares, 1.25% for Class R shares, 0.75% for Class I shares and 0.65% for Class IS shares. In addition, the ratio of total annual fund operating expenses for Class IS shares will not exceed the ratio of total annual fund operating expenses for Class I shares. These expense limitation arrangements cannot be terminated prior to December 31, 2024 without the Board of Trustees’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. This management fee waiver is not subject to the recapture provision discussed below.

The manager is permitted to recapture amounts waived and/or reimbursed to a class within three years after the fiscal year in which the manager earned the fee or incurred the expense if the class’ total annual fund operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expenses incurred. In no case will the manager recapture any amount that would result, on any particular business day of the Fund, in the class’ total annual fund operating expenses exceeding the expense cap or any other lower limit then in effect.

Q. What were the leading contributors to performance?

A. The Fed’s aggressive monetary tightening put upward pressure on developed market yields as other global central banks raced to stymie inflation. As a result, the Fund’s underweight of select developed market duration, like Germany and the U.K., was additive on a relative basis. Additionally, the Fund’s overweight yen position, which was initiated during the third quarter of 2022, was accretive as the currency bounced from its historical lows.

Overweight local Brazilian government bonds resulted in strong relative performance against the benchmark, from both a currency and bond perspective, as the country rallied from its diverse mix of commodity exports. An overweight Mexican peso position helped as the Latin American country was one of few currencies to outperform the U.S. dollar. Mexico remains a fortunate beneficiary from the U.S. – China trade war because of its competitiveness from low wages, proximity to the U.S., and strong diversified manufacturing sector anchored by the automotive industry.

Q. What were the leading detractors from performance?

A. Our U.S. dollar underweight detracted from performance as the currency remained in high demand given the heightened macroeconomic uncertainty. We believe the U.S. dollar has likely found a top and is expensively valued against historical valuations. An overweight of emerging market currency in peripheral Europe, like the Polish zloty and Hungarian forint, detracted from performance as the outbreak of war in Ukraine sent the currencies lower.

The largest detractor among our bond allocations was an overweight in South Korean sovereign bonds. The developed nation was adversely affected by persistent inflation and the growth slowdown from China’s zero COVID-19 policy. An overweight in Mexican bonos also detracted from performance as yields rose precipitously in the country.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       5  


Fund overview (cont’d)

 

Thank you for your investment in BrandywineGLOBAL — Global Opportunities Bond Fund. As always, we appreciate that you have chosen us to manage your assets and we remain focused on achieving the Fund’s investment goals.

Sincerely,

 

LOGO

David F. Hoffman, CFA

Portfolio Manager

Brandywine Global Investment Management, LLC

 

LOGO

John (“Jack”) P. McIntyre, CFA

Portfolio Manager

Brandywine Global Investment Management, LLC

 

LOGO

Anujeet Sareen, CFA

Portfolio Manager

Brandywine Global Investment Management, LLC

 

LOGO

Brian L. Kloss, JD, CPA

Portfolio Manager

Brandywine Global Investment Management, LLC

 

LOGO

Tracy Chen, CFA, CAIA

Portfolio Manager

Brandywine Global Investment Management, LLC

January 13, 2023

RISKS: Foreign securities involve special risks such as currency fluctuations and social, political, and economic uncertainties, which could increase volatility. These risks are magnified in emerging markets. Emerging market countries tend to have economic, political, and legal systems that are less developed and are less stable than those of more developed countries.

 

6     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

Sovereign government and supranational debt involve many of the risks of foreign and emerging markets investments as well as the risk of debt moratorium, repudiation or renegotiation and the Fund may be unable to enforce its rights against the issuers. Fixed income securities involve interest rate, credit, inflation, and reinvestment risks. The Fund’s share price may decline as interest rates rise. Below investment grade debt securities (commonly known as “high yield debt” or “junk bonds”) involve greater volatility than higher-rated securities. To the extent that the Fund invests in asset- and mortgage-backed securities, its exposure to prepayment and extension risks may be greater than investment in other fixed income securities. The Fund may engage in derivative transactions, which involve special risks and costs and may increase losses and have a potentially large impact on Fund performance. As a non-diversified fund, the Fund is permitted to invest a larger percentage of its assets in a smaller number of issuers than a diversified fund, which may magnify the Fund’s losses from events affecting a particular issuer. Please see the Fund’s prospectus for a more complete discussion of these and other risks and the Fund’s investment strategies.

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.

The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.

 

 

i

The FTSE World Government Bond Index (USD) (Unhedged) measures the performance of fixed-rate, local currency, investment-grade sovereign bonds and is stated in U.S. dollar terms.

 

ii

The Bloomberg Global Aggregate Bond Index measures the performance of the global investment-grade, fixed-rate bond markets. The benchmark includes government, government-related and corporate bonds, as well as asset-backed, mortgage-backed and commercial mortgage-backed securities from both developed and emerging markets issuers.

 

iii

The Bloomberg Global High Yield Index (USD Hedged) provides a broad-based measure of the global high-yield fixed income markets, representing the union of the U.S. High-Yield, Pan-European High-Yield, U.S. Emerging Markets High-Yield, CMBS High-Yield and Pan European Emerging Markets High-Yield Indices.

 

iv

The JPMorgan Emerging Markets Bond Index Global tracks total returns for U.S. dollar denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds and local market instruments.

 

v

Lipper, Inc., a wholly-owned subsidiary of Refinitiv, provides independent insight on global collective investments.Returns are based on the period ended December 31, 2022, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 249 funds for the six-month period and among the 243 funds for the twelve-month period in the Fund’s Lipper category, and excluding sales charges, if any.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       7  


Fund at a glance (unaudited)

 

Investment breakdown (%) as a percent of total investments

 

 

LOGO

 

The bar graph above represents the composition of the Fund’s investments as of December 31, 2022 and December 31, 2021 and does not include derivatives, such as futures contracts and forward foreign currency contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time.

 

*

Prior year percentages have been restated to reflect current classifications.

 

8     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


Fund expenses (unaudited)

 

Example

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, including front-end and back-end sales charges (loads) on purchase payments; and (2) ongoing costs, including management fees; service and/or distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This example is based on an investment of $1,000 invested on July 1, 2022 and held for the six months ended December 31, 2022.

Actual expenses

The table below titled “Based on actual total return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.

Hypothetical example for comparison purposes

The table below titled “Based on hypothetical total return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or back-end sales charges (loads). Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

 

Based on actual total return1           Based on hypothetical total return1  
    

Actual

Total Return

Without

Sales

Charge2

   

Beginning

Account

Value

   

Ending

Account

Value

   

Annualized

Expense

Ratio

   

Expenses

Paid

During

the

Period3

              

Hypothetical

Annualized

Total Return

   

Beginning

Account

Value

   

Ending

Account

Value

   

Annualized

Expense

Ratio

   

Expenses

Paid

During

the

Period3

 
Class A     -2.45   $ 1,000.00     $ 975.50       1.00   $ 4.98       Class A     5.00   $ 1,000.00     $ 1,020.16       1.00   $ 5.09  
Class C     -2.77       1,000.00       972.30       1.62       8.05       Class C     5.00       1,000.00       1,017.04       1.62       8.24  
Class C1     -2.57       1,000.00       974.30       1.45       7.22       Class C1     5.00       1,000.00       1,017.90       1.45       7.38  
Class FI     -2.49       1,000.00       975.10       1.03       5.13       Class FI     5.00       1,000.00       1,020.01       1.03       5.24  
Class R     -2.59       1,000.00       974.10       1.25       6.22       Class R     5.00       1,000.00       1,018.90       1.25       6.36  
Class I     -2.31       1,000.00       976.90       0.71       3.54       Class I     5.00       1,000.00       1,021.63       0.71       3.62  
Class IS     -2.23       1,000.00       977.70       0.57       2.84       Class IS     5.00       1,000.00       1,022.33       0.57       2.91  

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       9  


Fund expenses (unaudited) (cont’d)

 

1 

For the six months ended December 31, 2022.

 

2 

Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable sales charge with respect to Class A shares or the applicable contingent deferred sales charge (“CDSC”) with respect to Class C shares and Class C1 shares. Total return is not annualized, as it may not be representative of the total return for the year. Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

Expenses (net of compensating balance arrangements, fee waivers and/or expense reimbursements) are equal to each class’ respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), then divided by 365.

 

10     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


Fund performance (unaudited)

 

Average annual total returns  
Without sales charges1
  Class A     Class C     Class C12     Class FI     Class R     Class I     Class IS  
Twelve Months Ended 12/31/22     -16.03     -16.60     -16.36 %3      -16.05     -16.19     -15.80     -15.67
Five Years Ended 12/31/22     -1.74       -2.44       -1.63       -1.73       -2.01       -1.45       -1.34  
Ten Years Ended 12/31/22     -0.05       -0.78       -0.21       -0.06       -0.33       0.23       0.34  
With sales charges4   Class A     Class C     Class C12     Class FI     Class R     Class I     Class IS  
Twelve Months Ended 12/31/22     -19.59     -17.39     -17.15 %3      -16.05     -16.19     -15.80     -15.67
Five Years Ended 12/31/22     -2.59       -2.44       -1.63       -1.73       -2.01       -1.45       -1.34  
Ten Years Ended 12/31/22     -0.48       -0.78       -0.21       -0.06       -0.33       0.23       0.34  

 

Cumulative total returns       
Without sales charges1        
Class A (12/31/12 through 12/31/22)      -0.53
Class C (12/31/12 through 12/31/22)      -7.50  
Class C1 (12/31/12 through 12/31/22)      -2.07  
Class FI (12/31/12 through 12/31/22)      -0.63  
Class R (12/31/12 through 12/31/22)      -3.24  
Class I (12/31/12 through 12/31/22)      2.30  
Class IS (12/31/12 through 12/31/22)      3.48  

All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower.

 

1 

Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable sales charge with respect to Class A shares or the applicable contingent deferred sales charge (“CDSC”) with respect to Class C shares and Class C1 shares.

 

2 

On August 1, 2012, Class C shares were reclassified as Class C1 shares.

 

3 

Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at December 31, 2022 for financial reporting purposes. Accordingly, adjusted total returns have been disclosed in the Financial Highlights and differ from those reported here.

 

4 

Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. In addition, Class A shares reflect the deduction of the maximum initial sales charge of 3.75% (4.25% prior to August 15, 2022). Class C shares and Class C1 shares reflect the deduction of a 1.00% CDSC, which applies if shares are redeemed within one year from purchase payment.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       11  


Fund performance (unaudited) (cont’d)

 

Historical performance

Value of $1,000,000 invested in

Class IS Shares of BrandywineGLOBAL — Global Opportunities Bond Fund vs. FTSE World Government Bond Index (USD) (Unhedged)† — December 2012 - December 2022

 

LOGO

All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower.

 

Hypothetical illustration of $1,000,000 invested in Class IS shares of BrandywineGLOBAL — Global Opportunities Bond Fund on December 31, 2012 assuming the reinvestment of all distributions, including returns of capital, if any, at net asset value through December 31, 2022. The hypothetical illustration also assumes a $1,000,000 investment in the FTSE World Government Bond Index (USD) (Unhedged). The FTSE World Government Bond Index (the “Index”) measures the performance of fixed-rate, local currency, investment grade sovereign bonds. The Index is unmanaged and is not subject to the same management and trading expenses as a mutual fund. Please note that an investor cannot invest directly in an index. The performance of the Fund’s other classes may be greater or less than Class IS shares’ performance indicated on this chart, depending on whether greater or lesser charges and fees were incurred by shareholders investing in the other classes.

 

12     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


Schedule of investments

December 31, 2022

 

BrandywineGLOBAL — Global Opportunities Bond Fund

 

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

   

Face

Amount†

    Value  
Sovereign Bonds — 54.5%                                

Australia — 2.6%

                               

New South Wales Treasury Corp.

    4.000     4/20/23       14,375,000  AUD     $ 9,808,900  

Queensland Treasury Corp.

    4.250     7/21/23       28,885,000  AUD       19,752,660  (a) 

Western Australian Treasury Corp.

    6.000     10/16/23       30,940,000  AUD       21,448,696  

Total Australia

                            51,010,256  

Brazil — 5.6%

                               

Brazil Notas do Tesouro Nacional Serie F, Notes

    10.000     1/1/27       286,900,000  BRL       50,197,990  

Brazil Notas do Tesouro Nacional Serie F, Notes

    10.000     1/1/29       91,165,000  BRL       15,458,746  

Brazil Notas do Tesouro Nacional Serie F, Notes

    10.000     1/1/31       94,695,000  BRL       15,676,195  

Brazil Notas do Tesouro Nacional Serie F, Notes

    10.000     1/1/33       176,000,000  BRL       28,632,606  

Total Brazil

                            109,965,537  

Colombia — 4.3%

                               

Colombian TES, Bonds

    6.250     11/26/25       133,300,000,000  COP      23,564,745  

Colombian TES, Bonds

    6.000     4/28/28       205,550,000,000  COP      31,731,414  

Colombian TES, Bonds

    7.000     3/26/31       152,300,000,000  COP      22,251,133  

Colombian TES, Bonds

    7.250     10/26/50       68,890,000,000  COP      8,086,951  

Total Colombia

                            85,634,243  

France — 6.2%

                               

French Republic Government Bond OAT

    0.000     5/25/32       115,510,000  EUR       93,619,222  (a) 

French Republic Government Bond OAT

    0.750     5/25/52       50,180,000  EUR       28,907,792  (a) 

Total France

                            122,527,014  

Germany — 5.3%

                               

Bundesrepublik Deutschland Bundesanleihe, Bonds

    1.700     8/15/32       104,490,000  EUR       104,304,600  (a) 

Malaysia — 2.9%

                               

Malaysia Government Bond

    3.480     3/15/23       120,440,000  MYR       27,328,938  

Malaysia Government Bond

    3.955     9/15/25       49,290,000  MYR       11,247,433  

Malaysia Government Bond

    3.899     11/16/27       83,240,000  MYR       18,932,620  

Total Malaysia

                            57,508,991  

Mexico — 12.1%

                               

Mexican Bonos, Bonds

    8.000     11/7/47       794,800,000  MXN       36,404,218  

Mexican Bonos, Bonds

    8.000     7/31/53       875,600,000  MXN       40,073,660  

Mexican Bonos, Senior Notes

    8.500     5/31/29       1,093,700,000  MXN      54,628,032  

 

See Notes to Financial Statements.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       13  


Schedule of investments (cont’d)

December 31, 2022

 

BrandywineGLOBAL — Global Opportunities Bond Fund

 

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

   

Face

Amount†

    Value  

Mexico — continued

                               

Mexican Bonos, Senior Notes

    8.500     11/18/38       1,156,300,000  MXN    $ 56,201,289  

Mexican Bonos, Senior Notes

    7.750     11/13/42       1,138,300,000  MXN      51,028,248  

Total Mexico

                            238,335,447  

Poland — 4.1%

                               

Republic of Poland Government Bond

    1.750     4/25/32       546,300,000  PLN       81,969,626  

Russia — 0.2%

                               

Russian Federal Bond — OFZ

    7.650     4/10/30       859,000,000  RUB       3,144,814  *(b) 

South Africa — 4.1%

                               

Republic of South Africa Government

                               

Bond, Senior Notes

    6.500     2/28/41       1,069,200,000  ZAR      39,388,847  

Republic of South Africa Government

                               

Bond, Senior Notes

    8.750     2/28/48       885,500,000  ZAR       40,748,765  

Total South Africa

                            80,137,612  

South Korea — 7.1%

                               

Korea Treasury Bond, Senior Notes

    2.000     6/10/31       153,600,000,000  KRW      105,909,680  

Korea Treasury Bond, Senior Notes

    1.875     3/10/51       62,000,000,000  KRW      33,747,031  

Total South Korea

                            139,656,711  

Total Sovereign Bonds (Cost — $1,362,746,323)

 

                    1,074,194,851  
U.S. Government & Agency Obligations — 18.8%

 

                       

U.S. Government Obligations — 18.8%

                               

U.S. Treasury Bonds

    1.875     11/15/51       51,690,000       32,756,518  

U.S. Treasury Bonds

    2.250     2/15/52       139,270,000       96,901,455  

U.S. Treasury Bonds

    3.000     8/15/52       111,760,000       92,114,687  

U.S. Treasury Notes (3 mo. U.S. Treasury Money Market Yield - 0.075%)

    4.323     4/30/24       43,130,000       43,049,750  (c)  

U.S. Treasury Notes (3 mo. U.S. Treasury Money Market Yield + 0.037%)

    4.435     7/31/24       59,945,000       59,879,407  (c)  

U.S. Treasury Notes

    1.875     2/15/32       54,480,000       46,233,516  

Total U.S. Government & Agency Obligations (Cost — $430,254,007)

 

    370,935,333  
Mortgage-Backed Securities — 14.0%                                

FHLMC — 7.2%

                               

Federal Home Loan Mortgage Corp. (FHLMC)

    5.000     8/1/52-11/1/52       34,693,777       34,246,513  

Federal Home Loan Mortgage Corp. (FHLMC)

    4.500     9/1/52-10/1/52       54,952,354       52,947,021  

Federal Home Loan Mortgage Corp. (FHLMC)

    5.500     12/1/52       54,061,417       54,257,207  

Total FHLMC

                            141,450,741  

 

See Notes to Financial Statements.

 

14     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

 

BrandywineGLOBAL — Global Opportunities Bond Fund

 

(Percentages shown based on Fund net assets)

 

Securit\y   Rate     Maturity Date    

Face

Amount†

    Value  

FNMA — 6.8%

                               

Federal National Mortgage Association (FNMA)

    4.500     9/1/52       46,133,649     $ 44,450,624  

Federal National Mortgage Association (FNMA)

    5.000     10/1/52-12/1/52       50,587,993       49,935,824  

Federal National Mortgage Association (FNMA)

    5.500     12/1/52       39,156,337       39,298,147  

Total FNMA

                            133,684,595  

Total Mortgage-Backed Securities (Cost — $273,445,750)

 

            275,135,336  
Corporate Bonds & Notes — 8.2%                                
Financials — 8.2%                                

Banks — 2.1%

                               

Commonwealth Bank of Australia, Senior Notes (SOFR + 0.740%)

    5.046     3/14/25       42,300,000       42,137,844  (c)(d)  

Capital Markets — 6.1%

                               

Goldman Sachs Group Inc., Senior Notes

    5.700     11/1/24       39,900,000       40,403,861  

Jackson National Life Global Funding, Secured Notes (SOFR + 1.150%)

    5.473     6/28/24       38,470,000       38,485,899  (c)(d)  

Macquarie Group Ltd., Senior Notes

    6.207     11/22/24       41,040,000       41,337,061  (d)  

Total Capital Markets

                            120,226,821  

Total Corporate Bonds & Notes (Cost — $161,689,460)

 

            162,364,665  
Collateralized Mortgage Obligations (e) — 0.2%

 

                       

IM Pastor FTA, 4 A (3 mo. EURIBOR + 0.140%, 0.000% floor)
(Cost—$4,604,103)

    2.221     3/22/44       3,742,974  EUR      3,395,942  (a)(c)  

Total Investments before Short-Term Investments (Cost — $2,232,739,643)

 

    1,886,026,127  
                   Shares         
Short-Term Investments — 1.3%                                

Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares (Cost — $26,323,460)

    4.024             26,323,460       26,323,460  (f)(g)  

Total Investments — 97.0% (Cost — $2,259,063,103)

 

                    1,912,349,587  

Other Assets in Excess of Liabilities — 3.0%

                            59,562,489  

Total Net Assets — 100.0%

                          $ 1,971,912,076  

 

See Notes to Financial Statements.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       15  


Schedule of investments (cont’d)

December 31, 2022

 

BrandywineGLOBAL — Global Opportunities Bond Fund

 

Face amount denominated in U.S. dollars, unless otherwise noted.

 

*

Non-income producing security.

 

(a) 

Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

 

(b) 

The coupon payment on this security is currently in default as of December 31, 2022.

 

(c) 

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.

 

(d) 

Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

 

(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) 

Rate shown is one-day yield as of the end of the reporting period.

 

(g) 

In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At December 31, 2022, the total market value of investments in Affiliated Companies was $26,323,460 and the cost was $26,323,460 (Note 8).

 

Abbreviation(s) used in this schedule:

AUD   — Australian Dollar
BRL   — Brazilian Real
COP   — Colombian Peso
EUR   — Euro
EURIBOR   — Euro Interbank Offered Rate
KRW   — South Korean Won
MXN   — Mexican Peso
MYR   — Malaysian Ringgit
OAT   — Obligations Assimilables du Trésor (French Treasury Bonds)
OFZ   — Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
PLN   — Polish Zloty
RUB   — Russian Ruble
SOFR   — Secured Overnight Financing Rate
ZAR   — South African Rand

At December 31, 2022, the Fund had the following open futures contracts:

 

      Number of
Contracts
     Expiration
Date
    

Notional

Amount

    

Market

Value

     Unrealized
Depreciation
 
Contracts to Buy:                                             
U.S. Treasury Ultra Long-Term Bonds      1,071        3/23      $ 147,852,343      $ 143,848,688      $ (4,003,655)  

 

See Notes to Financial Statements.

 

16     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

 

BrandywineGLOBAL — Global Opportunities Bond Fund

 

At December 31, 2022, the Fund had the following open forward foreign currency contracts:

 

Currency

Purchased

    

Currency

Sold

     Counterparty      Settlement
Date
    

Unrealized

Appreciation
(Depreciation)

 
BRL      23,000,000        USD        4,385,547        HSBC Securities Inc.        1/19/23      $ (46,905)  
BRL      94,000,000        USD        18,037,033        HSBC Securities Inc.        1/19/23        (305,192)  
USD      68,746,623        BRL        368,970,000        HSBC Securities Inc.        1/19/23        (854,627)  
PLN      36,500,000        USD        7,270,772        Citibank N.A.        1/20/23        1,045,517  
MXN      930,000,000        USD        46,475,368        Citibank N.A.        1/24/23        1,018,076  
USD      236,390,351        MXN        4,826,500,000        Citibank N.A.        1/24/23        (10,090,410)  
MXN      330,000,000        USD        16,573,236        JPMorgan Chase & Co.        1/24/23        279,276  
USD      58,975,435        COP        295,060,000,000        JPMorgan Chase & Co.        1/27/23        (1,560,302)  
EUR      226,470,000        USD        227,388,359        Barclays Bank PLC        2/3/23        15,630,850  
EUR      3,440,000        USD        3,638,200        Citibank N.A.        2/3/23        53,176  
USD      101,473,933        EUR        94,670,000        Morgan Stanley & Co. Inc.        2/3/23        (114,041)  
USD      2,444,626        SEK        25,300,000        Citibank N.A.        2/6/23        14,646  
SEK      1,071,600,000        USD        97,782,644        HSBC Securities Inc.        2/6/23        5,140,919  
THB      782,100,000        USD        20,826,842        HSBC Securities Inc.        2/10/23        1,850,769  
USD      82,396,036        ZAR        1,435,100,000        HSBC Securities Inc.        2/15/23        (1,714,471)  
ZAR      137,200,000        USD        7,842,483        Morgan Stanley & Co. Inc.        2/15/23        198,742  
CLP      6,070,000,000        USD        6,679,468        HSBC Securities Inc.        3/6/23        416,047  
USD      48,519,923        AUD        71,320,000        JPMorgan Chase & Co.        3/7/23        (170,739)  
KRW      15,340,000,000        USD        11,818,182        Citibank N.A.        3/8/23        335,715  
USD      83,005,807        KRW        107,920,000,000        Citibank N.A.        3/8/23        (2,499,311)  
JPY      58,280,000,000        USD        431,902,059        JPMorgan Chase & Co.        3/14/23        16,653,489  
CLP      96,260,000,000        USD        110,760,167        HSBC Securities Inc.        3/20/23        1,493,338  
NOK      987,700,000        USD        101,800,111        Morgan Stanley & Co. Inc.        3/20/23        (626,064)  
USD      54,499,658        MYR        239,090,000        Barclays Bank PLC        3/21/23        34,018  
Total

 

                                       $ 26,182,516  

 

See Notes to Financial Statements.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       17  


Schedule of investments (cont’d)

December 31, 2022

 

BrandywineGLOBAL — Global Opportunities Bond Fund

 

Abbreviation(s) used in this table:

AUD   — Australian Dollar
BRL   — Brazilian Real
CLP   — Chilean Peso
COP   — Colombian Peso
EUR   — Euro
JPY   — Japanese Yen
KRW   — South Korean Won
MXN   — Mexican Peso
MYR   — Malaysian Ringgit
NOK   — Norwegian Krone
PLN   — Polish Zloty
SEK   — Swedish Krona
THB   — Thai Baht
USD   — United States Dollar
ZAR   — South African Rand

 

Summary of Investments by Country** (unaudited)       
United States      37.9
Mexico      12.5  
South Korea      7.3  
Australia      7.0  
France      6.4  
Brazil      5.7  
Germany      5.4  
Colombia      4.5  
Poland      4.3  
South Africa      4.2  
Malaysia      3.0  
Spain      0.2  
Russia      0.2  
Short-Term Investments      1.4  
       100.0

 

**

As a percentage of total investments. Please note that the Fund holdings are as of December 31, 2022 and are subject to change. For purposes of the Fund’s policy to invest at least 80% of its net assets in fixed income securities of issuers located in developed market countries, a country will be considered developed if, at the time of purchase, it has a sovereign debt rating of A- or better from at least one nationally recognized statistical ratings organization or is included in the FTSE World Government Bond Index.

 

See Notes to Financial Statements.

 

18     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


Statement of assets and liabilities

December 31, 2022

 

 

Assets:         

Investments in unaffiliated securities, at value (Cost — $2,232,739,643)

   $ 1,886,026,127  

Investments in affiliated securities, at value (Cost — $26,323,460)

     26,323,460  

Cash

     2,391,000  

Unrealized appreciation on forward foreign currency contracts

     44,164,578  

Interest receivable

     25,382,461  

Deposits with brokers for open futures contracts

     8,423,707  

Deposits with brokers for OTC derivatives

     4,300,000  

Receivable for Fund shares sold

     2,972,548  

Dividends receivable from affiliated investments

     231,182  

Prepaid expenses

     54,094  

Total Assets

     2,000,269,157  
Liabilities:         

Unrealized depreciation on forward foreign currency contracts

     17,982,062  

Payable for Fund shares repurchased

     7,878,644  

Investment management fee payable

     861,866  

Payable to brokers — net variation margin on open futures contracts

     535,500  

Deposits from brokers for OTC derivatives

     310,000  

Trustees’ fees payable

     34,243  

Service and/or distribution fees payable

     29,913  

Foreign currency due to custodian, at value (Cost — $62)

     62  

Accrued expenses

     724,791  

Total Liabilities

     28,357,081  
Total Net Assets    $ 1,971,912,076  
Net Assets:         

Par value (Note 7)

   $ 2,257  

Paid-in capital in excess of par value

     2,703,617,005  

Total distributable earnings (loss)

     (731,707,186)  
Total Net Assets    $ 1,971,912,076  

 

See Notes to Financial Statements.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       19  


Statement of assets and liabilities (cont’d)

December 31, 2022

 

 

Net Assets:         

Class A

     $98,888,029  

Class C

     $2,355,461  

Class C1

     $58,082  

Class FI

     $15,825,934  

Class R

     $6,500,036  

Class I

     $625,044,865  

Class IS

     $1,223,239,669  
Shares Outstanding:         

Class A

     11,286,417  

Class C

     275,660  

Class C1

     6,490  

Class FI

     1,831,623  

Class R

     748,806  

Class I

     71,640,499  

Class IS

     139,917,958  
Net Asset Value:         

Class A (and redemption price)

     $8.76  

Class C*

     $8.54  

Class C1*

     $8.95  

Class FI (and redemption price)

     $8.64  

Class R (and redemption price)

     $8.68  

Class I (and redemption price)

     $8.72  

Class IS (and redemption price)

     $8.74  
Maximum Public Offering Price Per Share:         

Class A (based on maximum initial sales charge of 3.75%; 4.25% prior to August 15, 2022)

     $9.10  

 

*

Redemption price per share is NAV of Class C and Class C1 shares reduced by a 1.00% CDSC if shares are redeemed within one year from purchase payment (Note 2).

 

See Notes to Financial Statements.

 

20     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

Statement of operations

For the Year Ended December 31, 2022

 

Investment Income:         

Interest

   $ 81,149,448  

Dividends from affiliated investments

     797,317  

Less: Foreign taxes withheld

     (685,062)  

Total Investment Income

     81,261,703  
Expenses:         

Investment management fee (Note 2)

     11,092,289  

Transfer agent fees (Note 5)

     1,196,123  

Custody fees

     511,213  

Service and/or distribution fees (Notes 2 and 5)

     405,908  

Registration fees

     179,865  

Trustees’ fees

     179,060  

Fund accounting fees

     89,205  

Legal fees

     79,022  

Audit and tax fees

     57,193  

Shareholder reports

     24,147  

Commitment fees (Note 9)

     17,268  

Insurance

     10,098  

Interest expense

     2,888  

Miscellaneous expenses

     25,394  

Total Expenses

     13,869,673  

Less: Fee waivers and/or expense reimbursements (Notes 2 and 5)

     (45,626)  

Net Expenses

     13,824,047  
Net Investment Income      67,437,656  
Realized and Unrealized Gain (Loss)on Investments, Futures Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions (Notes 1, 3 and 4):         

Net Realized Loss From:

        

Investment transactions in unaffiliated securities

     (48,372,433) † 

Futures contracts

     (84,173,936)  

Forward foreign currency contracts

     (199,851,897)  

Foreign currency transactions

     (2,239,226)  

Net Realized Loss

     (334,637,492)  

Change in Net Unrealized Appreciation (Depreciation) From:

        

Investments in unaffiliated securities

     (167,643,257) ‡ 

Futures contracts

     (647,745)  

Forward foreign currency contracts

     31,575,786  

Foreign currencies

     431,314  

Change in Net Unrealized Appreciation (Depreciation)

     (136,283,902)  
Net Loss on Investments, Futures Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions      (470,921,394)  
Decrease in Net Assets From Operations    $ (403,483,738)  

 

Net of foreign capital gains tax of $135,581.

Net of change in accrued foreign capital gains tax of $(337,557).

 

See Notes to Financial Statements.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       21  


Statements of changes in net assets

 

For the Years Ended December 31,    2022      2021  
Operations:                  

Net investment income

   $ 67,437,656      $ 51,550,384  

Net realized gain (loss)

     (334,637,492)        36,348,605  

Change in net unrealized appreciation (depreciation)

     (136,283,902)        (221,735,488)  

Decrease in Net Assets From Operations

     (403,483,738)        (133,836,499)  
Distributions to Shareholders From (Notes 1 and 6):                  

Total distributable earnings

     (128,000,392)        (54,850,370)  

Decrease in Net Assets From Distributions to Shareholders

     (128,000,392)        (54,850,370)  
Fund Share Transactions (Note 7):                  

Net proceeds from sale of shares

     645,954,602        1,085,517,436  

Reinvestment of distributions

     121,471,288        51,740,210  

Cost of shares repurchased

     (782,529,552)        (761,022,242)  

Increase (Decrease) in Net Assets From Fund Share Transactions

     (15,103,662)        376,235,404  

Increase (Decrease) in Net Assets

     (546,587,792)        187,548,535  
Net Assets:                  

Beginning of year

     2,518,499,868        2,330,951,333  

End of year

   $ 1,971,912,076      $ 2,518,499,868  

 

See Notes to Financial Statements.

 

22     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


Financial highlights

 

For a share of each class of beneficial interest outstanding throughout each year ended December 31:  
Class A Shares1   2022     2021     2020     2019     2018  
Net asset value, beginning of year     $11.08       $11.96       $10.68       $9.94       $10.85  
Income (loss) from operations:          

Net investment income

    0.26       0.20       0.27       0.32       0.32  

Net realized and unrealized gain (loss)

    (2.04)       (0.88)       1.03       0.55       (0.88)  

Total income (loss) from operations

    (1.78)       (0.68)       1.30       0.87       (0.56)  
Less distributions from:          

Net investment income

    (0.54)       (0.20)             (0.11)       (0.34)  

Net realized gains

                            (0.01)  

Return of capital

                (0.02)       (0.02)        

Total distributions

    (0.54)       (0.20)       (0.02)       (0.13)       (0.35)  
Net asset value, end of year     $8.76       $11.08       $11.96       $10.68       $9.94  

Total return2

    (16.03)     (5.68)     12.17     8.82     (5.28)
Net assets, end of year (000s)     $98,888       $130,976       $151,095       $160,399       $157,146  
Ratios to average net assets:          

Gross expenses

    1.00     1.00 %3       1.01     1.01 %3       0.97

Net expenses4

    1.00 5       1.00 3,5       1.00 5       1.00 3,5       0.97  

Net investment income

    2.66       1.72       2.51       3.16       3.06  
Portfolio turnover rate     90     51     99     103 %6       58

 

1 

Per share amounts have been calculated using the average shares method.

 

2 

Performance figures, exclusive of sales charges, may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

Reflects recapture of expenses waived/reimbursed from prior fiscal years.

 

4 

As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class A shares did not exceed 1.00%. This expense limitation arrangement cannot be terminated prior to December 31, 2024 without the Board of Trustees’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund.

 

5 

Reflects fee waivers and/or expense reimbursements.

 

6 

Excludes securities delivered as a result of a redemption in-kind.

 

See Notes to Financial Statements.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       23  


Financial highlights (cont’d)

 

For a share of each class of beneficial interest outstanding throughout each year ended December 31:  
Class C Shares1   2022     2021     2020     2019     2018  
Net asset value, beginning of year     $10.81       $11.67       $10.47       $9.77       $10.67  
Income (loss) from operations:          

Net investment income

    0.18       0.12       0.19       0.25       0.24  

Net realized and unrealized gain (loss)

    (1.98)       (0.86)       1.01       0.52       (0.87)  

Total income (loss) from operations

    (1.80)       (0.74)       1.20       0.77       (0.63)  
Less distributions from:          

Net investment income

    (0.47)       (0.12)             (0.06)       (0.26)  

Net realized gains

                            (0.01)  

Return of capital

                      (0.01)        

Total distributions

    (0.47)       (0.12)             (0.07)       (0.27)  
Net asset value, end of year     $8.54       $10.81       $11.67       $10.47       $9.77  

Total return2

    (16.60)     (6.31)     11.46     7.94     (5.98)
Net assets, end of year (000s)     $2,355       $6,198       $7,815       $10,447       $14,972  
Ratios to average net assets:          

Gross expenses

    1.67     1.69     1.69     1.73     1.71

Net expenses3

    1.66 4       1.69 4       1.69 4       1.73       1.71 4  

Net investment income

    1.85       1.03       1.82       2.45       2.33  
Portfolio turnover rate     90     51     99     103 %5       58

 

1 

Per share amounts have been calculated using the average shares method.

 

2 

Performance figures, exclusive of CDSC, may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class C shares did not exceed 1.75%. This expense limitation arrangement cannot be terminated prior to December 31, 2024 without the Board of Trustees’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund.

 

4 

Reflects fee waivers and/or expense reimbursements.

 

5 

Excludes securities delivered as a result of a redemption in-kind.

 

See Notes to Financial Statements.

 

24     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


    

 

For a share of each class of beneficial interest outstanding throughout each year ended December 31:  
Class C1 Shares1   2022     2021     2020     2019     2018  
Net asset value, beginning of year     $11.32       $11.80       $10.56       $9.84       $10.74  
Income (loss) from operations:          

Net investment income

    0.23       0.16       0.22       0.29       0.27  

Net realized and unrealized gain (loss)

    (2.09)       (0.60)       1.02       0.53       (0.87)  

Total income (loss) from operations

    (1.86)       (0.44)       1.24       0.82       (0.60)  
Less distributions from:          

Net investment income

    (0.51)       (0.04)             (0.08)       (0.29)  

Net realized gains

                            (0.01)  

Return of capital

                      (0.02)        

Total distributions

    (0.51)       (0.04)             (0.10)       (0.30)  
Net asset value, end of year     $8.95       $11.32       $11.80       $10.56       $9.84  

Total return2

    (16.38)     (3.70) %3      11.74     8.35     (5.64)
Net assets, end of year (000s)     $58       $64       $1,061       $2,562       $5,746  
Ratios to average net assets:          

Gross expenses

    1.53     1.45     1.41     1.39     1.38

Net expenses4

    1.45 5       1.45 5       1.41 5       1.39       1.38  

Net investment income

    2.28       1.37       2.11       2.82       2.64  
Portfolio turnover rate     90     51     99    
103
%
 
    58

 

1 

Per share amounts have been calculated using the average shares method.

 

2 

Performance figures, exclusive of CDSC, may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

The total return includes a payment by an affiliate to reimburse for an error. Absent this payment, total return would have been (6.25)% for the year ended December 31, 2021.

 

4 

As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class C1 shares did not exceed 1.45%. This expense limitation arrangement cannot be terminated prior to December 31, 2024 without the Board of Trustees’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund.

 

5 

Reflects fee waivers and/or expense reimbursements.

 

6 

Excludes securities delivered as a result of a redemption in-kind.

 

See Notes to Financial Statements.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       25  


Financial highlights (cont’d)

 

For a share of each class of beneficial interest outstanding throughout each year ended December 31:  
Class FI Shares1   2022     2021     2020     2019     2018  
Net asset value, beginning of year     $10.94       $11.81       $10.54       $9.82       $10.71  
Income (loss) from operations:          

Net investment income

    0.25       0.20       0.27       0.32       0.31  

Net realized and unrealized gain (loss)

    (2.01)       (0.86)       1.01       0.53       (0.86)  

Total income (loss) from operations

    (1.76)       (0.66)       1.28       0.85       (0.55)  
Less distributions from:          

Net investment income

    (0.54)       (0.21)             (0.11)       (0.33)  

Net realized gains

                            (0.01)  

Return of capital

                (0.01)       (0.02)        

Total distributions

    (0.54)       (0.21)       (0.01)       (0.13)       (0.34)  
Net asset value, end of year     $8.64       $10.94       $11.81       $10.54       $9.82  

Total return2

    (16.05)     (5.62)     12.23     8.74     (5.22)
Net assets, end of year (000s)     $15,826       $22,278       $16,906       $18,227       $27,623  
Ratios to average net assets:          

Gross expenses

    1.00     0.97     0.98     0.98     0.99

Net expenses3

    1.00 4       0.97 4       0.98 4       0.98       0.99 4  

Net investment income

    2.63       1.73       2.53       3.20       2.99  
Portfolio turnover rate     90     51     99     103 %5       58

 

1 

Per share amounts have been calculated using the average shares method.

 

2 

Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class FI shares did not exceed 1.00%. This expense limitation arrangement cannot be terminated prior to December 31, 2024 without the Board of Trustees’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund.

 

4 

Reflects fee waivers and/or expense reimbursements.

 

5 

Excludes securities delivered as a result of a redemption in-kind.

 

See Notes to Financial Statements.

 

26     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


    

 

For a share of each class of beneficial interest outstanding throughout each year ended December 31:  
Class R Shares1   2022     2021     2020     2019     2018  
Net asset value, beginning of year     $10.98       $11.86       $10.60       $9.88       $10.79  
Income (loss) from operations:          

Net investment income

    0.23       0.17       0.24       0.30       0.29  

Net realized and unrealized gain (loss)

    (2.01)       (0.87)       1.02       0.53       (0.88)  

Total income (loss) from operations

    (1.78)       (0.70)       1.26       0.83       (0.59)  
Less distributions from:          

Net investment income

    (0.52)       (0.18)             (0.09)       (0.31)  

Net realized gains

                            (0.01)  

Return of capital

                      (0.02)        

Total distributions

    (0.52)       (0.18)             (0.11)       (0.32)  
Net asset value, end of year     $8.68       $10.98       $11.86       $10.60       $9.88  

Total return2

    (16.19)     (5.95)     11.89     8.47     (5.55)
Net assets, end of year (000s)     $6,500       $8,083       $6,717       $9,658       $11,832  
Ratios to average net assets:          

Gross expenses

    1.26     1.30     1.31     1.30 %3      1.30 %3  

Net expenses4,5

    1.25       1.25       1.25       1.25 3       1.25 3  

Net investment income

    2.44       1.44       2.26       2.91       2.78  
Portfolio turnover rate     90     51     99     103 %6      58

 

1 

Per share amounts have been calculated using the average shares method.

 

2 

Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

Reflects recapture of expenses waived/reimbursed from prior fiscal years.

 

4 

As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class R shares did not exceed 1.25%. This expense limitation arrangement cannot be terminated prior to December 31, 2024 without the Board of Trustees’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund.

 

5 

Reflects fee waivers and/or expense reimbursements.

 

6 

Excludes securities delivered as a result of a redemption in-kind.

 

See Notes to Financial Statements.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       27  


Financial highlights (cont’d)

 

For a share of each class of beneficial interest outstanding throughout each year ended December 31:  
Class I Shares1   2022     2021     2020     2019     2018  
Net asset value, beginning of year     $11.04       $11.92       $10.63       $9.89       $10.80  
Income (loss) from operations:          

Net investment income

    0.29       0.24       0.30       0.36       0.35  

Net realized and unrealized gain (loss)

    (2.04)       (0.88)       1.02       0.54       (0.88)  

Total income (loss) from operations

    (1.75)       (0.64)       1.32       0.90       (0.53)  
Less distributions from:          

Net investment income

    (0.57)       (0.24)             (0.13)       (0.37)  

Net realized gains

                            (0.01)  

Return of capital

                (0.03)       (0.03)        

Total distributions

    (0.57)       (0.24)       (0.03)       (0.16)       (0.38)  
Net asset value, end of year     $8.72       $11.04       $11.92       $10.63       $9.89  

Total return2

    (15.80)     (5.36)     12.52     9.14     (4.99)
Net assets, end of year (millions)     $625       $772       $723       $851       $908  
Ratios to average net assets:          

Gross expenses

    0.67     0.66     0.68     0.68     0.67

Net expenses3

    0.67 4       0.65 4       0.68 4       0.68       0.67  

Net investment income

    3.00       2.05       2.83       3.48       3.38  
Portfolio turnover rate     90     51     99     103 %5      58

 

1 

Per share amounts have been calculated using the average shares method.

 

2

Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class I shares did not exceed 0.75%. This expense limitation arrangement cannot be terminated prior to December 31, 2024 without the Board of Trustees’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund.

 

4 

Reflects fee waivers and/or expense reimbursements.

 

5 

Excludes securities delivered as a result of a redemption in-kind.

 

See Notes to Financial Statements.

 

28     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


    

 

For a share of each class of beneficial interest outstanding throughout each year ended December 31:  
Class IS Shares1   2022     2021     2020     2019     2018  
Net asset value, beginning of year     $11.06       $11.94       $10.64       $9.90       $10.81  
Income (loss) from operations:          

Net investment income

    0.30       0.25       0.31       0.37       0.37  

Net realized and unrealized gain (loss)

    (2.03)       (0.88)       1.03       0.54       (0.89)  

Total income (loss) from operations

    (1.73)       (0.63)       1.34       0.91       (0.52)  
Less distributions from:          

Net investment income

    (0.59)       (0.25)             (0.14)       (0.38)  

Net realized gains

                            (0.01)  

Return of capital

                (0.04)       (0.03)        

Total distributions

    (0.59)       (0.25)       (0.04)       (0.17)       (0.39)  
Net asset value, end of year     $8.74       $11.06       $11.94       $10.64       $9.90  

Total return2

    (15.67)     (5.26)     12.66     9.21     (4.90)
Net assets, end of year (millions)     $1,223       $1,579       $1,411       $1,881       $2,039  
Ratios to average net assets:          

Gross expenses

    0.56     0.56     0.58     0.58     0.58

Net expenses3

    0.56 4       0.55 4       0.58 4       0.58       0.58  

Net investment income

    3.11       2.15       2.93       3.58       3.50  
Portfolio turnover rate     90     51     99    
103
%
 
    58

 

1 

Per share amounts have been calculated using the average shares method.

 

2 

Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

As a result of an expense limitation arrangement, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class IS shares did not exceed 0.65%. In addition, the ratio of total annual fund operating expenses for Class IS shares did not exceed the ratio of total annual fund operating expenses for Class I shares. These expense limitation arrangements cannot be terminated prior to December 31, 2024 without the Board of Trustees’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund.

 

4 

Reflects fee waivers and/or expense reimbursements.

 

5 

Excludes securities delivered as a result of a redemption in-kind.

 

See Notes to Financial Statements.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       29  


Notes to financial statements

 

1. Organization and significant accounting policies

BrandywineGLOBAL — Global Opportunities Bond Fund (the “Fund”) is a separate non-diversified investment series of Legg Mason Global Asset Management 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 Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946. Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee,

 

30     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

 

 

Level 1 — unadjusted quoted prices in active markets for identical investments

 

 

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

 

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       31  


Notes to financial statements (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†:                                    

Sovereign Bonds

          $ 1,074,194,851             $ 1,074,194,851  

U.S. Government & Agency

                                   

Obligations

            370,935,333               370,935,333  

Mortgage-Backed Securities

            275,135,336               275,135,336  

Corporate Bonds & Notes

            162,364,665               162,364,665  

Collateralized Mortgage Obligations

            3,395,942               3,395,942  
Total Long-Term Investments             1,886,026,127               1,886,026,127  
Short-Term Investments†    $ 26,323,460                      26,323,460  
Total Investments    $ 26,323,460      $ 1,886,026,127             $ 1,912,349,587  
Other Financial Instruments:                                    

Forward Foreign Currency Contracts††

          $ 44,164,578             $ 44,164,578  
Total    $ 26,323,460      $ 1,930,190,705             $ 1,956,514,165  
LIABILITIES  
Description    Quoted Prices
(Level 1)
    

Other Significant
Observable Inputs

(Level 2)

    

Significant
Unobservable
Inputs

(Level 3)

     Total  
Other Financial Instruments:                                    

Futures Contracts††

   $ 4,003,655                    $ 4,003,655  

Forward Foreign Currency Contracts††

          $ 17,982,062               17,982,062  
Total    $ 4,003,655      $ 17,982,062             $ 21,985,717  

 

See Schedule of Investments for additional detailed categorizations.

††

Reflects the unrealized appreciation (depreciation) of the instruments.

(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. 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 securities 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. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. The daily changes in

 

 

32     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

contract value are recorded as unrealized appreciation or depreciation in the Statement of Operations and the Fund recognizes a realized gain or loss when the contract is closed.

Futures contracts involve, to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. 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) Forward foreign currency contracts. The Fund enters into a forward foreign currency contract to hedge exposure of bond positions or in an attempt to increase the Fund’s return. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price with delivery and settlement at a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is closed, through either delivery or offset by entering into another forward foreign currency contract, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it is closed.

Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

(d) Foreign currency translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of,

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       33  


Notes to financial statements (cont’d)

 

among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

(e) Credit and market risk. The Fund invests in high-yield and emerging market instruments that are subject to certain credit and market risks. The yields of high-yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Fund’s investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Fund. The Fund’s investments in non-U.S. dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.

Investments in securities that are collateralized by real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of the full amount of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value and liquidity of these investments and may result in a lack of correlation between their credit ratings and values.

(f) Foreign investment risks. The Fund’s investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or may pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

(g) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other transactions where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund’s subadviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the subadviser. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.

With exchange traded and centrally cleared derivatives, there is less counterparty risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the

 

34     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default of the clearing broker or clearinghouse.

The Fund has entered into master agreements, such as an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement, with certain of its derivative counterparties that govern over-the-counter (“OTC”) derivatives and provide for general obligations, representations, agreements, collateral posting terms, netting provisions in the event of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or net asset value per share over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.

Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. However, absent an event of default by the counterparty or a termination of the agreement, the terms of the ISDA Master Agreements do not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.

Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearinghouse for exchange traded derivatives while collateral terms are contract specific for OTC traded derivatives. Cash collateral that has been pledged to cover obligations of the Fund under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Schedule of Investments.

As of December 31, 2022, the Fund held forward foreign currency contracts with credit related contingent features which had a liability position of $17,982,062. If a contingent feature in the master agreements would have been triggered, the Fund would have been required to pay this amount to its derivatives counterparties As of December 31, 2022, the Fund had posted with its counterparties cash and/or securities as collateral to cover the net liability of these derivatives amounting to $4,300,000 which could be used to reduce the required payment.

At December 31, 2022, the Fund held cash collateral from Barclays Bank PLC in the amount of $310,000. This amount could be used to reduce the Fund’s exposure to the counterparty in the event of default.

(h) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities), adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Paydown gains and losses on mortgage- and asset-backed securities are recorded as adjustments to interest income. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Foreign dividend income is recorded

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       35  


Notes to financial statements (cont’d)

 

on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.

(i) Distributions to shareholders. Distributions from net investment income of the Fund, if any, are declared and paid on a quarterly basis. Distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.

(j) Share class accounting. Investment income, common expenses and realized/ unrealized gains (losses) on investments are allocated to the various classes of the Fund on the basis of daily net assets of each class. Fees relating to a specific class are charged directly to that share class.

(k) Compensating balance arrangements. The Fund has an arrangement with its custodian bank whereby a portion of the custodian’s fees are paid indirectly by credits earned on the Fund’s cash on deposit with the bank.

(l) Federal and other taxes. It is the Fund’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the “Code”), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund’s financial statements.

Management has analyzed the Fund’s tax positions taken on income tax returns for all open tax years and has concluded that as of December 31, 2022, no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates. Realized gains upon disposition of securities issued in or by certain foreign countries are subject to capital gains tax imposed by those countries.

(m) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. During the current year, the following reclassifications have been made:

 

      Total Distributable
Earnings (Loss)
         Paid-in
Capital
(a)    $7,680,595         $(7,680,595)

 

(a) 

Reclassifications are due to a taxable overdistribution.

 

36     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

2. Investment management agreement and other transactions with affiliates

Legg Mason Partners Fund Advisor, LLC (“LMPFA”) is the Fund’s investment manager and Brandywine Global Investment Management, LLC (“Brandywine Global”) is the Fund’s subadviser. LMPFA and Brandywine Global are indirect, wholly-owned subsidiaries of Franklin Resources, Inc. (“Franklin Resources”).

LMPFA provides administrative and certain oversight services to the Fund. The Fund pays an investment management fee, calculated daily and paid monthly, at an annual rate of 0.50% of the Fund’s average daily net assets. LMPFA delegates to the subadviser the day-to-day portfolio management of the Fund. For its services, LMPFA pays Brandywine Global a fee monthly, at an annual rate equal to 90% of the net management fee it receives from the Fund.

As a result of expense limitation arrangements between the Fund and LMPFA, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, dividend expense on short sales, taxes, extraordinary expenses and acquired fund fees and expenses, to average net assets of Class A, Class C, Class C1, Class FI, Class R, Class I and Class IS shares did not exceed 1.00%, 1.75%, 1.45%, 1.00%, 1.25%, 0.75% and 0.65%, respectively. In addition, the ratio of total annual fund operating expenses for Class IS shares did not exceed the ratio of total annual fund operating expenses for Class I shares. These expense limitation arrangements cannot be terminated prior to December 31, 2024 without the Board of Trustees’ consent. In addition, the manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund (the “affiliated money market fund waiver”). The affiliated money market fund waiver is not subject to the recapture provision discussed below.

During the year ended December 31, 2022, fees waived and/or expenses reimbursed amounted to $45,626, which included an affiliated money market fund waiver of $41,085.

LMPFA is permitted to recapture amounts waived and/or reimbursed to a class within three years after the fiscal year in which LMPFA earned the fee or incurred the expense if the class’ total annual fund operating expenses have fallen to a level below the expense limitation (“expense cap”) in effect at the time the fees were earned or the expenses incurred. In no case will LMPFA recapture any amount that would result, on any particular business day of the Fund, in the class’ total annual fund operating expenses exceeding the expense cap or any other lower limit then in effect.

Pursuant to these arrangements, at December 31, 2022, the Fund had remaining fee waivers and/or expense reimbursements subject to recapture by LMPFA and respective dates of expiration as follows:

 

      Class A      Class C1      Class FI      Class R  
Expires December 31, 2023    $ 19,492                      $4,617  
Expires December 31, 2024           $ 7               3,421  
Expires December 31, 2025      1,491        50        $547        848  
Total fee waivers/expense reimbursements subject to recapture    $ 20,983      $ 57      $ 547      $ 8,886  

For the year ended December 31, 2022, LMPFA did not recapture any fees.

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       37  


Notes to financial statements (cont’d)

 

Franklin Distributors, LLC (“Franklin Distributors”) serves as the Fund’s sole and exclusive distributor. Franklin Distributors is an indirect, wholly-owned broker-dealer subsidiary of Franklin Resources.

There is a maximum initial sales charge of 3.75% (4.25% prior to August 15, 2022) for Class A shares. There is a contingent deferred sales charge (“CDSC”) of 1.00% on Class C and Class C1 shares, which applies if redemption occurs within 12 months from purchase payment. In certain cases, Class A shares have a 1.00% CDSC, which applies if redemption occurs within 18 months from purchase payment. This CDSC only applies to those purchases of Class A shares, which, when combined with current holdings of other shares of funds sold by Franklin Distributors, equal or exceed $500,000 ($1,000,000 prior to August 15, 2022) in the aggregate. These purchases do not incur an initial sales charge.

For the year ended December 31, 2022, sales charges retained by and CDSCs paid to Franklin Distributors and its affiliates, if any, were as follows:

 

      Class A  
Sales charges    $ 7,218  
CDSCs      452  

Under a Deferred Compensation Plan (the “Plan”), Trustees may have elected to defer receipt of all or a specified portion of their compensation. A participating Trustee selected one or more funds managed by LMPFA or an affiliate of LMPFA in which his or her deferred trustee’s fees were deemed to be invested. Deferred amounts remain in the Fund until distributed in accordance with the Plan. In May 2015, the Board of Trustees approved an amendment to the Plan so that effective January 1, 2016, no compensation earned after that date may be deferred under the Plan.

All officers and one Trustee of the Trust are employees of Franklin Resources or its affiliates and do not receive compensation from the Trust.

3. Investments

During the year ended December 31, 2022, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) and U.S. Government & Agency Obligations were as follows:

 

        Investments        U.S. Government &
Agency Obligations
 
Purchases      $ 781,531,663        $ 1,164,313,792  
Sales        820,325,660          1,445,138,372  

 

38     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

At December 31, 2022, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:

 

      Cost      Gross
Unrealized
Appreciation
     Gross
Unrealized
Depreciation
     Net
Unrealized
Appreciation
(Depreciation)
 
Securities    $ 2,261,753,223      $ 9,895,168      $ (359,298,804)      $ (349,403,636)  
Futures contracts                    (4,003,655)        (4,003,655)  
Forward foreign currency contracts             44,164,578        (17,982,062)        26,182,516  

4. Derivative instruments and hedging activities

Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Statement of Assets and Liabilities at December 31, 2022.

 

ASSET DERIVATIVES1  
                      Foreign
Exchange Risk
 
Forward foreign currency contracts                      $ 44,164,578  
LIABILITY DERIVATIVES1  
      Interest
Rate Risk
     Foreign
Exchange Risk
     Total  
Futures contracts2    $ 4,003,655             $ 4,003,655  
Forward foreign currency contracts           $ 17,982,062        17,982,062  
Total    $ 4,003,655      $ 17,982,062      $ 21,985,717  

 

1

Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for liability derivatives is payables/net unrealized depreciation.

 

2

Includes cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities.

The following tables provide information about the effect of derivatives and hedging activities on the Fund’s Statement of Operations for the year ended December 31, 2022. The first table provides additional detail about the amounts and sources of gains (losses) realized on derivatives during the period. The second table provides additional information about the change in net unrealized appreciation (depreciation) resulting from the Fund’s derivatives and hedging activities during the period.

 

AMOUNT OF NET REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED  
     

Interest

Rate Risk

    

Foreign

Exchange Risk

     Total  
Futures contracts    $ (84,173,936)             $ (84,173,936)  
Forward foreign currency contracts           $ (199,851,897)        (199,851,897)  
Total    $ (84,173,936)      $ (199,851,897)      $ (284,025,833)  

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       39  


Notes to financial statements (cont’d)

 

CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED  
      Interest
Rate Risk
     Foreign
Exchange Risk
     Total  
Futures contracts    $ (647,745)             $ (647,745)  
Forward foreign currency contracts           $ 31,575,786        31,575,786  
Total    $ (647,745)      $ 31,575,786      $ 30,928,041  

During the year ended December 31, 2022, the volume of derivative activity for the Fund was as follows:

 

        Average Market
Value
 
Futures contracts (to buy)      $ 305,105,096  
Forward foreign currency contracts (to buy)        1,830,177,142  
Forward foreign currency contracts (to sell)        1,135,650,964  

The following table presents the Fund’s OTC derivative assets and liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement and net of the related collateral pledged (received) by the Fund as of December 31, 2022.

 

Counterparty    Gross Assets
Subject to
Master
Agreements1
     Gross
Liabilities
Subject to
Master
Agreements1
     Net Assets
(Liabilities)
Subject to
Master
Agreements
     Collateral
Pledged
(Received)2,3
     Net
Amount4,5
 
Barclays Bank PLC    $ 15,664,868             $ 15,664,868      $ (310,000)      $ 15,354,868  
Citibank N.A.      2,467,130      $ (12,589,721)        (10,122,591)        2,140,000        (7,982,591)  
HSBC Securities Inc.      8,901,073        (2,921,195)        5,979,878        490,000        6,469,878  
JPMorgan Chase & Co.      16,932,765        (1,731,041)        15,201,724        1,670,000        16,871,724  
Morgan Stanley & Co. Inc.      198,742        (740,105)        (541,363)               (541,363)  
Total    $ 44,164,578      $ (17,982,062)      $ 26,182,516      $ 3,990,000      $ 30,172,516  

 

1

Absent an event of default or early termination, derivative assets and liabilities are presented gross and not offset in the Statement of Assets and Liabilities.

 

2

Gross amounts are not offset in the Statement of Assets and Liabilities.

 

3

In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization.

 

4

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 

5

Represents the net amount receivable (payable) from (to) the counterparty in the event of default.

5. Class specific expenses, waivers and/or expense reimbursements

The Fund has adopted a Rule 12b-1 shareholder services and distribution plan and under that plan the Fund pays service and/or distribution fees with respect to its Class A, Class C, Class C1, Class FI and Class R shares calculated at the annual rate of 0.25%, 1.00%, 0.70%, 0.25% and 0.50% of the average daily net assets of each class, respectively. Service and/or distribution fees are accrued daily and paid monthly.

 

40     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

For the year ended December 31, 2022, class specific expenses were as follows:

 

        Service and/or
Distribution Fees
       Transfer Agent
Fees
 
Class A      $ 278,616        $ 223,015  
Class C        44,655          5,118  
Class C1        416          169  
Class FI        47,028          37,717  
Class R        35,193          14,709  
Class I                 847,111  
Class IS                 68,284  
Total      $ 405,908        $ 1,196,123  

 

Amount shown is exclusive of expense reimbursements. For the year ended December 31, 2022, the service and/or distribution fees reimbursed amounted to $1,605 for Class A shares.

For the year ended December 31, 2022, waivers and/or expense reimbursements by class were as follows:

 

        Waivers/Expense
Reimbursements
 
Class A      $ 5,157  
Class C        80  
Class C1        50  
Class FI        893  
Class R        978  
Class I        13,057  
Class IS        25,411  
Total      $ 45,626  

6. Distributions to shareholders by class

 

        Year Ended
December 31, 2022
       Year Ended
December 31, 2021
 
Net Investment Income:                      
Class A      $ 5,919,454        $ 2,556,582  
Class A2                  
Class C        158,241          73,427  
Class C1        3,186          1,531  
Class FI        968,501          415,519  
Class R        378,136          117,506  
Class I        40,613,459          16,745,850  
Class IS        79,959,415          34,939,955  
Total      $ 128,000,392        $ 54,850,370  

7. Shares of beneficial interest

At December 31, 2022, the Trust had an unlimited number of shares of beneficial interest authorized with a par value of $0.00001 per share. The Fund has the ability to issue multiple classes of shares. Each class of shares represents an identical interest and has the same

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report       41  


Notes to financial statements (cont’d)

 

rights, except that each class bears certain direct expenses, including those specifically related to the distribution of its shares.

Transactions in shares of each class were as follows:

 

     Year Ended
December 31, 2022
     Year Ended
December 31, 2021
 
      Shares      Amount      Shares      Amount  
Class A                                    
Shares sold      3,200,290      $ 30,967,894        5,191,198      $ 60,315,766  
Shares issued on reinvestment      601,447        5,329,139        207,025        2,330,343  
Shares repurchased      (4,337,587)        (41,869,584)        (6,206,713)        (71,011,894)  
Net decrease      (535,850)      $ (5,572,551)        (808,490)      $ (8,365,785)  
Class A2                                    
Shares sold                    64,902      $ 761,658  
Shares issued on reinvestment                            
Shares repurchased                    (1,167,412)        (13,679,904)  
Net decrease                    (1,102,510)      $ (12,918,246)  
Class C                                    
Shares sold      33,986      $ 321,306        230,737      $ 2,644,078  
Shares issued on reinvestment      17,594        150,857        6,550        71,262  
Shares repurchased      (349,236)        (3,205,122)        (333,664)        (3,783,397)  
Net decrease      (297,656)      $ (2,732,959)        (96,377)      $ (1,068,057)  
Class C1                                    
Shares sold      763      $ 7,536        1,687      $ 20,821  
Shares issued on reinvestment      354        3,186        133        1,531  
Shares repurchased      (285)        (2,756)        (86,081)        (988,380)  
Net increase (decrease)      832      $ 7,966        (84,261)      $ (966,028)  
Class FI                                    
Shares sold      553,169      $ 5,254,816        1,276,416      $ 14,675,531  
Shares issued on reinvestment      108,250        947,506        37,015        410,260  
Shares repurchased      (866,980)        (8,072,723)        (707,312)        (8,056,867)  
Net increase (decrease)      (205,561)      $ (1,870,401)        606,119      $ 7,028,924  
Class R                                    
Shares sold      212,153      $ 2,073,863        472,158      $ 5,399,240  
Shares issued on reinvestment      43,153        377,645        10,609        117,371  
Shares repurchased      (242,416)        (2,310,147)        (312,958)        (3,599,165)  
Net increase      12,890      $ 141,361        169,809      $ 1,917,446  
Class I                                    
Shares sold      28,232,738      $ 275,004,016        30,632,171      $ 352,654,070  
Shares issued on reinvestment      4,141,221        36,666,274        1,318,817        14,757,307  
Shares repurchased      (30,648,176)        (289,914,829)        (22,691,357)        (259,244,600)  
Net increase      1,725,783      $ 21,755,461        9,259,631      $ 108,166,777  

 

42     BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report


 

     Year Ended
December 31, 2022
     Year Ended
December 31, 2021
 
      Shares      Amount      Shares      Amount  
Class IS                                    
Shares sold      33,859,911      $ 332,325,171        56,365,400      $ 649,046,272  
Shares issued on reinvestment      8,788,684        77,996,681        3,034,351        34,052,136  
Shares repurchased      (45,551,298)        (437,154,391)        (34,757,918)        (400,658,035)  
Net increase (decrease)      (2,902,703)      $ (26,832,539)        24,641,833      $ 282,440,373  

 

On June 24, 2021, the Fund converted 1,061,508 Class A2 shares into 1,056,854 Class A shares, valued at $12,439,181. These amounts are reflected in the Class A shares sold and Class A2 shares repurchased, respectively.

8. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the year ended December 31, 2022. The following transactions were effected in such company for the year ended December 31, 2022.

 

      Affiliate
Value at
December 31,
2021
     Purchased      Sold  
   Cost      Shares      Proceeds      Shares  
Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares    $ 53,872,477      $ 1,535,284,477        1,535,284,477      $ 1,562,833,494        1,562,833,494  

 

(cont’d)    Realized
Gain (Loss)
     Dividend
Income
     Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
    

Affiliate

Value at
December 31,
2022

 
Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares           $ 797,317             $ 26,323,460  

9. Redemption facility

The Fund and certain other participating funds within the Trust, together with other U.S. registered and foreign investment funds (collectively, the “Borrowers”) managed by LMPFA or Franklin Resources, are borrowers in a joint syndicated senior unsecured credit facility totaling $2.675 billion (the “Global Credit Facility”). The Global Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the ability to meet future unanticipated or unusually large redemption requests. Unless renewed, the Global Credit Facility will terminate on February 2, 2024.

Under the terms of the Global Credit Facility, the Fund shall, in addition to interest charged on any borrowings made by the Fund and other costs incurred by the Fund, pay its share of fees and expenses incurred in connection with the implementation and maintenance of the

 

BrandywineGLOBAL — Global Opportunities Bond Fund 2022 Annual Report