NPORT-EX 2 LMF5500LM123123.htm HTML

WESTERN ASSET NEW YORK MUNICIPALS FUND

 

Schedule of investments (unaudited)

(Percentages shown based on Fund net assets)

    December 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
MUNICIPAL BONDS - 96.3%           

Education - 9.0%

           

Buffalo & Erie County, NY, Industrial Land Development Corp. Revenue:

           

Tapestry Charter School Project, Series A

      5.000 %      8/1/37      $ 500,000      $ 491,759  

Tapestry Charter School Project, Series A

      5.000 %      8/1/47        2,040,000        1,885,640  

Build NYC Resource Corp., NY, Revenue:

           

East Harlem Scholars Academy Charter School Project

      5.750 %      6/1/62        750,000        760,377 (a) 

Manhattan College Project, Refunding

      5.000 %      8/1/47        1,500,000        1,523,502  

Hempstead Town, NY, Local Development Corp. Revenue:

           

Hofstra University Project, Refunding

      5.000 %      7/1/42        1,100,000        1,146,426  

Hofstra University Project, Refunding

      5.000 %      7/1/47        4,000,000        4,140,249  

Madison County, NY, Capital Resource Corp. Revenue, Colgate University, Refunding

      5.000 %      7/1/40        4,000,000        4,071,711  

New York State Dormitory Authority Revenue:

           

New York University, NATL, Series A

      5.750 %      7/1/27        3,895,000        4,089,599  

Non-State Supported Debt, Fordham University

      4.000 %      7/1/50        5,000,000        5,000,796  

Non-State Supported Debt, Rochester Institute of Technology, Series A, Refunding

      5.000 %      7/1/40        1,265,000        1,368,746  

Troy, NY, Capital Resource Corp. Revenue:

           

Rensselaer Polytechnic Institute Project, Series A, Refunding

      5.000 %      9/1/34        3,125,000        3,480,475  

Rensselaer Polytechnic Institute Project, Series A, Refunding

      5.000 %      9/1/36        500,000        548,384  

Westchester County, NY, Local Development Corp. Revenue, Purchase Housing Corp. II Project

      5.000 %      6/1/47        1,000,000        1,003,696  
          

 

 

  

Total Education

              29,511,360  
          

 

 

  

Health Care - 3.0%

           

Brookhaven Local Development Corp., NY, Revenue, Long Island Community Hospital Project, Series A, Refunding

      5.000 %      10/1/50        2,750,000        2,909,063  

Build NYC Resource Corp., NY, Revenue, The Children’s Aid Society Project

      4.000 %      7/1/49        1,000,000        968,702  

New York City, NY, Health & Hospital Corp. Revenue:

           

Health Systems, Series A, Refunding

      4.000 %      2/15/45        1,775,000        1,776,241  

Health Systems, Series A, Refunding

      4.000 %      2/15/48        880,000        864,670  

 

See Notes to Schedule of Investments.

 

 

Western Asset New York Municipals Fund 2023 Quarterly Report 

  

 

 

1

WESTERN ASSET NEW YORK MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)

(Percentages shown based on Fund net assets)

    December 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Health Care - (continued)

           

Oneida County, NY, Local Development Corp. Revenue:

           

Mohawk Valley Health System Project, Series A, Refunding, AGM

      5.000 %      12/1/31      $ 1,490,000      $ 1,652,910  

Mohawk Valley Health System Project, Series A, Refunding, AGM

      4.000 %      12/1/46        1,800,000        1,723,539  
          

 

 

  

Total Health Care

              9,895,125  
          

 

 

  

Housing - 1.3%

           

New York City, NY, HDC Revenue, Green Bond, Series A, HUD Section 8

      4.600 %      8/1/48        4,000,000        4,048,231  
          

 

 

  

Industrial Revenue - 7.5%

           

Build NYC Resource Corp., NY, Solid Waste Disposal Revenue, Pratt Paper Inc. Project, Refunding

      5.000 %      1/1/35        1,400,000        1,404,030 (a)(b) 

New York City, NY, Industrial Development Agency Revenue, Yankee Stadium Project, Refunding

      4.000 %      3/1/45        4,000,000        3,982,924  

New York State Liberty Development Corp., Revenue:

           

3 World Trade Center Project, Class 1, Refunding

      5.000 %      11/15/44        2,095,000        2,084,131 (a) 

Goldman Sachs Headquarters

      5.500 %      10/1/37        9,000,000        10,759,848  

New York State Transportation Development Corp., Special Facilities Revenue:

           

American Airlines Inc., John F. Kennedy International Airport Project 2021, Refunding

      3.000 %      8/1/31        1,900,000        1,708,884 (b) 

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

      5.000 %      1/1/30        1,700,000        1,746,629 (b) 

Niagara Area Development Corp., NY, Solid Waste Disposal Facility Revenue, Covanta Project, Series A, Refunding

      4.750 %      11/1/42        3,500,000        2,985,490 (a)(b) 
          

 

 

  

Total Industrial Revenue

              24,671,936  
          

 

 

  

Local General Obligation - 0.6%

           

County of Nassau, NY, GO, General Improvement Bonds, Series B, AGM

      5.000 %      7/1/45        1,000,000        1,060,222  

New York City, NY, GO, Series A

      4.125 %      8/1/53        1,000,000        1,011,876  
          

 

 

  

Total Local General Obligation

              2,072,098  
          

 

 

  

Other - 2.9%

           

New York City, NY, TFA, Building Aid Revenue, Series S-1, State Withholding

      5.000 %      7/15/43        9,000,000        9,623,811  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

2

  

 Western Asset New York Municipals Fund 2023 Quarterly Report

  

WESTERN ASSET NEW YORK MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)

(Percentages shown based on Fund net assets)

    December 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Power - 3.3%

           

Long Island, NY, Power Authority, Electric System Revenue:

           

Series B, Refunding

      0.850 %      9/1/25      $ 2,500,000      $ 2,394,455 (c)(d) 

Series B, Refunding

      5.000 %      9/1/46        7,000,000        7,240,297  

Puerto Rico Electric Power Authority Revenue:

           

Series A

      5.000 %      7/1/42        1,500,000        393,750 *(e) 

Series A

      5.050 %      7/1/42        230,000        60,375 *(e) 

Series XX

      5.250 %      7/1/40        2,320,000        609,000 *(e) 

Series ZZ

      —        7/1/18        600,000        156,000 *(f) 
          

 

 

  

Total Power

              10,853,877  
          

 

 

  

Pre-Refunded/Escrowed to Maturity - 0.0%††

           

New York State Dormitory Authority Revenue:

           

School Districts Financial Program Bonds, Series A, AGM

      5.000 %      10/1/31        10,000        11,163 (g) 

Series B, Refunding

      5.000 %      2/15/43        10,000        10,855 (g) 
          

 

 

  

Total Pre-Refunded/Escrowed to Maturity

              22,018  
          

 

 

  

Solid Waste/Resource Recovery - 1.8%

           

Rockland County, NY, Solid Waste Management Authority Revenue:

           

Green Bonds, Series A

      4.000 %      12/15/41        1,115,000        1,110,111 (b) 

Green Bonds, Series A

      4.000 %      12/15/46        2,500,000        2,501,503 (b) 

Green Bonds, Series A

      4.000 %      12/15/51        2,500,000        2,357,356 (b) 
          

 

 

  

Total Solid Waste/Resource Recovery

              5,968,970  
          

 

 

  

Special Tax Obligation - 23.1%

           

New York City, NY, TFA Future Tax Secured Revenue:

           

Fiscal 2017

      4.000 %      5/1/36        1,500,000        1,525,996  

Series A-3

      4.000 %      5/1/43        10,000,000        10,090,615  

Series B-1

      4.000 %      11/1/41        14,300,000        14,577,976  

Subordinated, Series F, Subseries F-1

      5.000 %      2/1/47        5,000,000        5,516,351  

New York State Convention Center Development Corp. Revenue, CAB, Subordinated Lien, Hotel Unit Fee Secured

      0.000 %      11/15/36        2,610,000        1,598,617  

New York State Dormitory Authority, Sales Tax Revenue:

           

Bidding Group 1, Series C, Refunding

      5.000 %      3/15/39        9,500,000        10,167,505  

Bidding Group 4, Series A, Refunding

      5.000 %      3/15/45        9,000,000        9,537,450  

New York State Dormitory Authority, State Personal Income Tax Revenue, Bidding Group 4, Series A, Refunding

      5.000 %      3/15/44        5,315,000        5,719,101  

 

See Notes to Schedule of Investments.

 

 

Western Asset New York Municipals Fund 2023 Quarterly Report 

  

 

 

3

WESTERN ASSET NEW YORK MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)

(Percentages shown based on Fund net assets)

    December 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Special Tax Obligation - (continued)

           

New York State Urban Development Corp. Revenue:

           

Personal Income Tax, Series C, Refunding

      5.000 %      3/15/42      $ 7,030,000      $ 7,419,049  

Personal Income Tax, Series C, Refunding

      3.000 %      3/15/48        1,000,000        807,230  

Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue:

           

CAB, Restructured, Series A-1

      0.000 %      7/1/27        720,000        627,586  

CAB, Restructured, Series A-1

      0.000 %      7/1/46        680,000        214,046  

Restructured, Series A-1

      4.550 %      7/1/40        150,000        151,103  

Restructured, Series A-1

      4.750 %      7/1/53        3,300,000        3,274,100  

Restructured, Series A-2

      4.329 %      7/1/40        1,000,000        995,214  

Triborough Bridge & Tunnel Authority, NY, Revenue, MTA Bridges & Tunnels, Senior Lien, Series A-1, Refunding

      5.000 %      5/15/51        3,450,000        3,740,085  
          

 

 

  

Total Special Tax Obligation

              75,962,024  
          

 

 

  

State General Obligation - 0.7%

           

Puerto Rico Commonwealth, GO:

           

CAB, Restructured, Series A-1

      0.000 %      7/1/24        4,879        4,784  

CAB, Restructured, Series A-1

      0.000 %      7/1/33        38,702        24,180  

Restructured, Series A-1

      5.375 %      7/1/25        33,493        34,247  

Restructured, Series A-1

      5.625 %      7/1/27        33,190        35,132  

Restructured, Series A-1

      5.625 %      7/1/29        32,651        35,463  

Restructured, Series A-1

      5.750 %      7/1/31        31,714        35,342  

Restructured, Series A-1

      4.000 %      7/1/33        30,073        29,514  

Restructured, Series A-1

      4.000 %      7/1/35        412,032        399,457  

Restructured, Series A-1

      4.000 %      7/1/37        1,470,000        1,407,747  

Restructured, Series A-1

      4.000 %      7/1/41        241,544        222,343  

Restructured, Series A-1

      4.000 %      7/1/46        32,805        29,343  

Subseries CW

      0.000 %      11/1/43        132,960        72,630 (d) 
          

 

 

  

Total State General Obligation

              2,330,182  
          

 

 

  

Transportation - 39.3%

           

MTA, NY, Dedicated Tax Fund Revenue, Green Bonds, Subseries A-2

      5.000 %      11/15/47        10,000,000        10,359,716  

MTA, NY, Hudson Rail Yards Trust Obligations Revenue, Series A

      5.000 %      11/15/51        2,500,000        2,499,958  

MTA, NY, Transportation Revenue:

           

Green Bonds, Series B, Refunding

      5.000 %      11/15/26        2,085,000        2,208,079  

Green Bonds, Series C-1, Refunding

      4.000 %      11/15/31        1,500,000        1,541,037  

Green Bonds, Series D

      4.000 %      11/15/48        500,000        480,887  

Green Bonds, Series E, Refunding

      5.000 %      11/15/32        2,250,000        2,533,400  

 

See Notes to Schedule of Investments.

 

 

 

4

  

 Western Asset New York Municipals Fund 2023 Quarterly Report

  

WESTERN ASSET NEW YORK MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)

(Percentages shown based on Fund net assets)

    December 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Transportation - (continued)

           

Green Bonds, Series E, Refunding

      4.000 %      11/15/45      $ 3,000,000      $ 2,932,277  

Series A-2

      5.000 %      5/15/30        4,000,000        4,339,956 (c)(d) 

Series B, Refunding

      5.000 %      11/15/37        285,000        292,834  

New York State Thruway Authority General Revenue, Junior Indebtedness Obligations, Junior Lien, Series A

      5.250 %      1/1/56        5,000,000        5,106,817  

New York State Transportation Development Corp., Special Facilities Revenue:

           

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

      5.000 %      1/1/32        6,455,000        6,608,167 (b) 

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

      5.000 %      1/1/33        4,325,000        4,417,997 (b) 

John F. Kennedy International Airport New Terminal One Project, Green Bonds

      6.000 %      6/30/54        250,000        276,227 (b) 

John F. Kennedy International Airport New Terminal One Project, Green Bonds

      5.375 %      6/30/60        4,000,000        4,152,367 (b) 

John F. Kennedy International Airport New Terminal One Project, Green Bonds, AGM

      5.000 %      6/30/49        2,000,000        2,090,563 (b) 

John F. Kennedy International Airport Terminal 4 Project, Series A, Refunding

      5.000 %      12/1/34        900,000        983,675 (b) 

John F. Kennedy International Airport Terminal 4 Project, Series A, Refunding

      5.000 %      12/1/36        1,800,000        1,944,759 (b) 

John F. Kennedy International Airport Terminal 4 Project, Series A, Refunding

      4.000 %      12/1/38        600,000        592,644 (b) 

LaGuardia Airport Terminal B Redevelopment Project, Series A

      5.000 %      7/1/41        9,615,000        9,625,277 (b) 

LaGuardia Airport Terminal B Redevelopment Project, Series A

      5.000 %      7/1/46        1,885,000        1,884,214 (b) 

Terminal 4 John F. Kennedy International Airport Project, Series C, Refunding

      5.000 %      12/1/37        3,925,000        4,231,652  

Port Authority of New York & New Jersey Revenue:

           

Consolidated Series 189, Refunding

      5.000 %      5/1/45        5,000,000        5,064,897  

Consolidated Series 221

      4.000 %      7/15/45        4,500,000        4,421,501 (b) 

Series 193, Refunding

      5.000 %      10/15/32        7,000,000        7,121,652 (b) 

Series 193, Refunding

      5.000 %      10/15/33        10,530,000        10,711,181 (b) 

Series 193, Refunding

      5.000 %      10/15/35        6,665,000        6,765,895 (b) 

Triborough Bridge & Tunnel Authority, NY, Revenue:

           

CAB, Subordinated Series A, Refunding

      0.000 %      11/15/29        16,235,000        13,303,792  

 

See Notes to Schedule of Investments.

 

 

Western Asset New York Municipals Fund 2023 Quarterly Report 

  

 

 

5

WESTERN ASSET NEW YORK MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)

(Percentages shown based on Fund net assets)

    December 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Transportation - (continued)

           

General-MTA Bridges & Tunnels, Series A

      5.000 %      11/15/45      $ 5,000,000      $ 5,292,988  

General-MTA Bridges & Tunnels, Series A

      5.000 %      11/15/49        2,400,000        2,595,596  

General-MTA Bridges & Tunnels, Series A

      5.000 %      11/15/51        4,400,000        4,769,963  
          

 

 

  

Total Transportation

              129,149,968  
          

 

 

  

Water & Sewer - 3.8%

           

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue:

           

Second General Resolution Fiscal 2023, Series DD, Refunding

      4.125 %      6/15/46        4,000,000        4,053,453  

Second General Resolution, Series CC

      5.000 %      6/15/48        5,000,000        5,230,867  

Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue, Senior Lien, Series A, Refunding

      5.000 %      7/1/47        1,500,000        1,479,592 (a) 

Western Nassau County, NY, Water Authority Revenue, Green Bonds, Series A

      4.000 %      4/1/51        1,500,000        1,501,683  
          

 

 

  

Total Water & Sewer

              12,265,595  
          

 

 

  

TOTAL MUNICIPAL BONDS

(Cost - $314,999,557)

              316,375,195  
          

 

 

  
MUNICIPAL BONDS DEPOSITED IN TENDER OPTION BOND TRUSTS(h) - 4.0%           

Leasing - 1.1%

           

New York State Urban Development Corp., State Sales Tax Revenue Bonds, Series A

      5.000 %      3/15/47        3,400,000        3,797,195  
          

 

 

  

Special Tax Obligation - 1.7%

           

New York State Dormitory Authority, State Personal Income Tax Revenue, General Purpose Bonds, Series A

      4.000 %      3/15/45        5,455,000        5,475,297  
          

 

 

  

Water & Sewer - 1.2%

           

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue, Second General Resolution Fiscal 2023, Subseries AA-1

      5.250 %      6/15/52        3,550,000        3,987,008  
          

 

 

  

TOTAL MUNICIPAL BONDS DEPOSITED IN TENDER OPTION BOND TRUSTS

(Cost - $12,661,051)

              13,259,500  
          

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS

(Cost - $327,660,608)

              329,634,695  
          

 

 

  
SHORT-TERM INVESTMENTS - 0.9%           
MUNICIPAL BONDS - 0.9%           

General Obligations - 0.2%

           

New York City, NY, GO, Subseries I-4, Refunding, LOC - TD Bank N.A.

      4.000 %      4/1/36        800,000        800,000 (i)(j) 
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

6

  

 Western Asset New York Municipals Fund 2023 Quarterly Report

  

WESTERN ASSET NEW YORK MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)

(Percentages shown based on Fund net assets)

    December 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Water & Sewer - 0.7%

           

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue:

           

Second General Resolution Fiscal 2014, Series AA-1, Refunding, SPA - JPMorgan Chase & Co.

      4.050 %      6/15/50      $ 1,800,000      $ 1,800,000 (i)(j) 

Second General Resolution Fiscal 2014, Series AA-5, Refunding, SPA - Mizuho Bank Ltd.

      4.000 %      6/15/48        400,000        400,000 (i)(j) 
          

 

 

  

Total Water & Sewer

              2,200,000  
          

 

 

  

TOTAL SHORT-TERM INVESTMENTS

(Cost - $3,000,000)

              3,000,000  
          

 

 

  

TOTAL INVESTMENTS - 101.2%

(Cost - $330,660,608)

              332,634,695  

TOB Floating Rate Notes - (2.1)%

              (6,790,000 ) 

Other Assets in Excess of Other Liabilities - 0.9%

              2,829,679  
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 328,674,374  
          

 

 

  

 

††

Represents less than 0.1%.

 

*

Non-income producing security.

 

(a)

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

 

(b)

Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (“AMT”).

 

(c)

Maturity date shown represents the mandatory tender date.

 

(d)

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.

 

(e)

The coupon payment on this security is currently in default as of December 31, 2023.

 

(f)

The maturity principal is currently in default as of December 31, 2023.

 

(g)

Pre-Refunded bonds are generally escrowed with U.S. government obligations and/or U.S. government agency securities.

 

(h)

Represents securities deposited into a special purpose entity, referred to as a Tender Option Bond (“TOB”) trust.

 

(i)

Variable rate demand obligations (“VRDOs”) have a demand feature under which the Fund can tender them back to the issuer or liquidity provider on no more than 7 days notice. The interest rate generally resets on a daily or weekly basis and is determined on the specific interest rate reset date by the remarketing agent, pursuant to a formula specified in official documents for the VRDO, or set at the highest rate allowable as specified in official documents for the VRDO. VRDOs are benchmarked to the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index. The SIFMA Municipal Swap Index is compiled from weekly interest rate resets of tax-exempt VRDOs reported to the Municipal Securities Rulemaking Board’s Short-term Obligation Rate Transparency System.

 

(j)

Maturity date shown is the final maturity date. The security may be sold back to the issuer before final maturity.

 

See Notes to Schedule of Investments.

 

 

Western Asset New York Municipals Fund 2023 Quarterly Report 

  

 

 

7

WESTERN ASSET NEW YORK MUNICIPALS FUND

 

Schedule of investments (unaudited) (cont’d)

(Percentages shown based on Fund net assets)

    December 31, 2023

 

Abbreviation(s) used in this schedule:

 

AGM    — Assured Guaranty Municipal Corporation — Insured Bonds
CAB    — Capital Appreciation Bonds
GO    — General Obligation
HDC    — Housing Development Corporation
HUD    — Housing & Urban Development
LOC    — Letter of Credit
MTA    — Metropolitan Transportation Authority
NATL    — National Public Finance Guarantee Corporation — Insured Bonds
SPA    — Standby Bond Purchase Agreement — Insured Bonds
TFA    — Transitional Finance Authority

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedule of Investments.

 

 

 

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 Western Asset New York Municipals Fund 2023 Quarterly Report

  

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset New York Municipals Fund (the “Fund”) is a separate non-diversified investment series of Legg Mason Partners Income Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in openend funds are valued at the closing net asset value per share of each fund on the day of valuation. 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, 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

 

 

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9

Notes to Schedule of Investments (unaudited) (continued)

 

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.

 

 

 

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 Western Asset New York Municipals Fund 2023 Quarterly Report

  

Notes to Schedule of Investments (unaudited) (continued)

 

The following is a summary of the inputs used in valuing the Fund’s assets 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†:

            

Municipal Bonds

      —       $ 316,375,195        —       $ 316,375,195  

Municipal Bonds Deposited in Tender Option Bond Trusts

      —         13,259,500        —         13,259,500  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —         329,634,695        —         329,634,695  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      —         3,000,000        —         3,000,000  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      —       $ 332,634,695        —       $ 332,634,695  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

 

Western Asset New York Municipals Fund 2023 Quarterly Report 

  

 

 

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