N-CSR 1 d433414dncsr.htm WESTERN ASSET CORE BOND FUND Western Asset Core 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 811-06110

 

 

Western Asset Funds, Inc.

(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

WESTERN ASSET

CORE 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     6  
Fund expenses     7  
Fund performance     9  
Schedule of investments     11  
Statement of assets and liabilities     84  
Statement of operations     86  
Statements of changes in net assets     87  
Financial highlights     88  
Notes to financial statements     95  
Report of independent registered public accounting firm     119  
Additional information     120  
Important tax information     127  

 

Fund objective

The Fund seeks to maximize total return, consistent with prudent investment management and liquidity needs, by investing to obtain an average effective duration which is expected to range within 20% of the average duration of the domestic bond market as a whole as estimated by the Fund’s subadviser.

 

Letter from the president

 

LOGO

Dear Shareholder,

We are pleased to provide the annual report of Western Asset Core 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

   Western Asset Core Bond Fund


Fund overview

 

Q. What is the Fund’s investment strategy?

A. The Fund seeks to maximize total return, consistent with prudent investment management and liquidity needs, by investing to obtain the average duration specified below. The Fund invests in a portfolio of fixed income securities of various maturities and, under normal market conditions, will invest at least 80% of its net assets, including the amount of borrowing for investment purposes, if any, in debt and fixed income securities. Although the Fund may invest in debt and fixed income securities of any maturity, under normal market conditions, the target dollar-weighted average effective duration for the Fund is expected to range within 20% of the average duration of the domestic bond market as a whole as estimated by Western Asset Management Company, LLC (“Western Asset”), the Fund’s subadviser.

The Fund presently intends to limit its investments to U.S. dollar-denominated securities and currently anticipates that it will generally only purchase debt securities that are rated in the Baa or BBB categories or above at the time of purchase by one or more Nationally Recognized Statistical Rating Organizations (“NRSROs”) or unrated securities that we determined to be of comparable quality at the time of purchase. These securities are known as “investment grade securities.” The Fund may invest up to 25% of its total assets in the securities of non-U.S. issuers. The Fund may invest a substantial portion of its assets in mortgage-backed and asset-backed securities.

The Fund may also enter into various exchange-traded and over-the-counter derivative transactions for both hedging and non-hedging purposes, including for purposes of enhancing returns. These derivative transactions include, but are not limited to, futures, options and swaps. In particular, the Fund may use interest rate swaps, credit default swaps (including buying and selling credit default swaps on individual securities and/or baskets of securities), options (including options on credit default swaps) and futures contracts to a significant extent, although the amounts invested in these instruments may change from time to time. Other instruments may also be used to a significant extent from time to time.

At Western Asset, we utilize a fixed income team approach, with decisions derived from interaction among various investment management sector specialists. The sector teams are comprised of Western Asset’s senior portfolio management personnel, research analysts and an in-house economist. Under this team approach, management of client fixed income portfolios will reflect a consensus of interdisciplinary views within the Western Asset organization.

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

A. Fixed income markets experienced periods of volatility and fell sharply over the twelve-month reporting period ended December 31, 2022. The market’s decline was driven by a number of factors, including elevated and persistent inflation, aggressive Federal Reserve Board (the “Fed”) monetary policy tightening, the repercussions from the COVID-19 pandemic and its variants, the weakening global economy, and the war in Ukraine.

 

 

Western Asset Core Bond Fund 2022 Annual Report    

 

1


Fund overview (cont’d)

 

Short-term U.S. Treasury yields moved sharply higher as the Fed began to raise interest rates in March 2022 in attempt to rein in inflation. Over the next nine months, the central bank hiked rates an additional six times, bringing the federal funds rate to a range between 4.25% and 4.50% — the highest level since 2008. The yield for the two-year Treasury note began the reporting period at 0.73% (the low for the reporting period) and ended the period at 4.41%. The peak of 4.72% took place on November 7, 2022. The yield for the ten-year Treasury note began the reporting period at 1.52% (the low for the reporting period) and ended the period at 3.88%. The peak of 4.25% took place on October 24, 2022. All told, the overall bond market, as measured by the Bloomberg U.S. Aggregate Index,i returned -13.01% during the twelve months reporting period ended December 31, 2022.

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

A. A number of adjustments were made to the Fund during the reporting period. We tactically managed the Fund’s duration as yields fluctuated over the reporting period, maintaining an overall long position relative to the Bloomberg U.S. Aggregate Index. Additionally, the Fund gradually added investment-grade credit as their spreads widened. The Fund also added agency mortgage-backed securities (“MBS”), reducing its underweight exposure to a slight overweight versus the Bloomberg U.S. Aggregate Index, as spreads widened due to quantitative tightening and increased rate volatility. The Fund added high-quality commercial mortgage-backed securities (“CMBS”) exposure as their spreads widened. In terms of reductions, the Fund tactically pared its emerging markets exposure, mostly during the first half of the year.

During the reporting period, the Fund used interest rate futures, options and swaps to manage its duration and yield curve exposure, which detracted from results. Credit default swaps on both investment-grade and high-yield issuers and indices were used to manage the Fund’s credit exposures. They modestly contributed to results during the reporting period.

Performance review

For the twelve months ended December 31, 2022, Class I shares of Western Asset Core Bond Fund returned -16.93%. The Fund’s unmanaged benchmark, the Bloomberg U.S. Aggregate Index, returned -13.01% for the same period. The Lipper Core Bond Funds Category Averageii returned -13.53% over the same time frame.

 

 

2

    Western Asset Core Bond Fund 2022 Annual Report


 

Performance Snapshot as of December 31, 2022 (unaudited)  
(excluding sales charges)   6 months     12 months  
Western Asset Core Bond Fund:    

Class A

    -3.87     -17.24

Class C

    -4.10     -17.73

Class C1

    -4.05     -17.58

Class FI

    -3.86     -17.22

Class R

    -3.99     -17.47

Class I

    -3.69     -16.93

Class IS

    -3.67     -16.87
Bloomberg U.S. Aggregate Index     -2.97     -13.01
Lipper Core Bond Funds Category Average     -2.92     -13.53

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 3.63%, 3,12%, 3.57%, 3.77%, 3.51%, 4.14% and 4.16%, respectively. Absent fee waivers and/or expense reimbursements, the 30-Day SEC Yield for Class I shares would have been 4.09%. 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 0.83%, 1.53%, 1.27%, 0.81%, 1.16%, 0.54% and 0.43%, 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.

As a result of expense limitation arrangements, the ratio of total annual fund operating expenses, other than interest, brokerage commissions, taxes, extraordinary expenses, deferred organizational expenses and acquired fund fees and expenses, to average net assets will not exceed 0.82% for Class A shares, 1.65% for Class C shares, 1.42% for Class C1 shares, 0.85% for Class FI shares, 1.15%

 

Western Asset Core Bond Fund 2022 Annual Report    

 

3


Fund overview (cont’d)

 

for Class R shares, 0.45% for Class I shares and 0.42% 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. Total annual fund operating expenses, after waiving fees and/or reimbursing expenses, exceed the expense limitation (“expense cap”) for Class A, Class R, Class I and Class IS shares as a result of acquired fund fees and expenses. These expense limitation arrangements cannot be terminated prior to December 31, 2024 without the Board of Directors’ 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 two 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 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 largest contributor to the Fund’s relative performance during the reporting period was its yield curve positioning. In particular, the Fund had an overweight to the very long end of the curve and short-term rates rose more than long-term rates. Additionally, underweight agency MBS positioning for most of the year contributed to performance as their spreads widened. Finally, an overweight exposure to investment-grade corporate credit was slightly beneficial, due to favorable subsector selection and tactical additions at wider spread levels, as spreads widened during the year.

Q. What were the leading detractors from performance?

A. The most significant detractor from performance was the Fund’s duration positioning as yields rose sharply during the reporting period. The Fund’s overweight exposure to emerging markets detracted as U.S. dollar-denominated emerging market bond spreads widened.

Finally, the Fund’s exposure to structured products, including non-agency residential mortgages, commercial mortgage-backed securities and asset-backed securities, detracted from returns as structured spreads were mixed during the reporting period.

Thank you for your investment in Western Asset Core 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,

Western Asset Management Company, LLC

January 17, 2023

RISKS: Bonds are subject to a variety of risks, including interest rate, credit and inflation risks. As interest rates rise, bond prices fall, thereby reducing the value of the Fund’s share price.

 

 

4

    Western Asset Core Bond Fund 2022 Annual Report


 

Investments in asset-backed and mortgage-backed securities involve additional risks, including prepayment and extension risks. Non-U.S. investments are subject to special risks including currency fluctuations and social, economic and political 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. Active and frequent trading may increase a shareholder’s tax liability and transaction costs, which could detract from Fund performance. The Fund may use derivatives, such as options, futures and swaps, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. The use of leverage may increase volatility and possibility of loss. Please see the Fund’s prospectus for a more complete discussion of these and other risks and the Fund’s investment strategies.

Portfolio holdings and breakdowns are as of December 31, 2022 and are subject to change and may not be representative of the portfolio managers’ current or future investments. Please refer to pages 11 through 83 for a list and percentage breakdown of the Fund’s holdings.

The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional. The Fund’s top five sector holdings (as a percentage of net assets) as of December 31, 2022 were: corporate bonds & notes (37.6%), mortgage-backed securities (28.8%), U.S. government & agency obligations (14.8%), collateralized mortgage obligations (12.6%) and asset-backed securities (7.3%). The Fund’s portfolio composition is subject to change at any time.

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 Bloomberg U.S. Aggregate Index is a broad-based bond index comprised of government, corporate, mortgage-and asset-backed issues, rated investment grade or higher, and having at least one year to maturity.

 

ii 

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 525 funds for the six-month period and among the 513 funds for the twelve-month period in the Fund’s Lipper category, and excluding sales charges, if any.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

5


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 written options, futures contracts and swap contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time.

 

Represents less than 0.1%.

 

*

Prior year percentages have been restated to reflect current classifications.

 

 

6

    Western Asset Core 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     -3.87   $ 1,000.00     $ 961.30       0.82   $ 4.05       Class A     5.00   $ 1,000.00     $ 1,021.07       0.82   $ 4.18  
Class C     -4.10       1,000.00       959.00       1.48       7.31       Class C     5.00       1,000.00       1,017.74       1.48       7.53  
Class C1     -4.05       1,000.00       959.50       1.22       6.03       Class C1     5.00       1,000.00       1,019.06       1.22       6.21  
Class FI     -3.86       1,000.00       961.40       0.81       4.00       Class FI     5.00       1,000.00       1,021.12       0.81       4.13  
Class R     -3.99       1,000.00       960.10       1.12       5.53       Class R     5.00       1,000.00       1,019.56       1.12       5.70  
Class I     -3.69       1,000.00       963.10       0.45       2.23       Class I     5.00       1,000.00       1,022.94       0.45       2.29  
Class IS     -3.67       1,000.00       963.30       0.42       2.08       Class IS     5.00       1,000.00       1,023.09       0.42       2.14  

 

Western Asset Core Bond Fund 2022 Annual Report    

 

7


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.

 

 

8

    Western Asset Core Bond Fund 2022 Annual Report


Fund performance (unaudited)

 

  Average annual total returns  
Without sales charges1    Class A      Class C      Class C1      Class FI      Class R      Class I      Class IS  
Twelve Months Ended 12/31/22      -17.24      -17.73      -17.58      -17.22      -17.47      -16.93      -16.87
Five Years Ended 12/31/22      -0.84        -1.53        -1.21        -0.83        -1.16        -0.48        -0.44  
Ten Years Ended 12/31/22      0.95        0.24        0.57        0.99        0.65        1.33        1.37  
With sales charges2    Class A      Class C      Class C1      Class FI      Class R      Class I      Class IS  
Twelve Months Ended 12/31/22      -20.75      -18.54      -18.39      -17.22      -17.47      -16.93      -16.87
Five Years Ended 12/31/22      -1.70        -1.53        -1.21        -0.83        -1.16        -0.48        -0.44  
Ten Years Ended 12/31/22      0.51        0.24        0.57        0.99        0.65        1.33        1.37  

 

  Cumulative total returns  
Without sales charges1       
Class A (12/31/12 through 12/31/22)     9.87
Class C (12/31/12 through 12/31/22)     2.47  
Class C1 (12/31/12 through 12/31/22)     5.85  
Class FI (12/31/12 through 12/31/22)     10.37  
Class R (12/31/12 through 12/31/22)     6.71  
Class I (12/31/12 through 12/31/22)     14.09  
Class IS (12/31/12 through 12/31/22)     14.56  

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 

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.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

9


Fund performance (unaudited) (cont’d)

 

Historical performance

Value of $1,000,000 invested in

Class I Shares of Western Asset Core Bond Fund vs. Bloomberg U.S. Aggregate Index† — 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 I shares of Western Asset Core 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 Bloomberg U.S. Aggregate Index. The Bloomberg U.S. Aggregate Index, (the “Index”) is a broad-based bond index comprised of government, corporate, mortgage and asset-backed issues, rated investment grade or higher, and having at least one year to maturity. The Index is unmanaged and 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 the Class I shares’ performance indicated on this chart, depending on whether greater or lesser sales charges and fees were incurred by shareholders investing in the other classes.

 

 

10

    Western Asset Core Bond Fund 2022 Annual Report


Schedule of investments

December 31, 2022

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  
Corporate Bonds & Notes — 37.6%                                
Communication Services — 3.9%                                

Diversified Telecommunication Services — 1.6%

 

                       

AT&T Inc., Senior Notes

    3.800     2/15/27     $ 5,087,000     $ 4,862,294  

AT&T Inc., Senior Notes

    2.300     6/1/27       12,330,000       10,984,947  

AT&T Inc., Senior Notes

    1.650     2/1/28       15,520,000       13,133,436  

AT&T Inc., Senior Notes

    2.250     2/1/32       10,810,000       8,501,166  

AT&T Inc., Senior Notes

    2.550     12/1/33       4,920,000       3,795,486  

AT&T Inc., Senior Notes

    5.350     9/1/40       2,210,000       2,116,104  

AT&T Inc., Senior Notes

    5.550     8/15/41       2,560,000       2,464,646  

AT&T Inc., Senior Notes

    4.350     6/15/45       3,210,000       2,596,095  

AT&T Inc., Senior Notes

    3.300     2/1/52       2,130,000       1,426,203  

AT&T Inc., Senior Notes

    3.500     9/15/53       9,461,000       6,428,136  

AT&T Inc., Senior Notes

    3.550     9/15/55       12,151,000       8,162,317  

AT&T Inc., Senior Notes

    3.800     12/1/57       790,000       548,710  

AT&T Inc., Senior Notes

    3.650     9/15/59       2,080,000       1,401,814  

Telefonica Emisiones SA, Senior Notes

    4.103     3/8/27       219,000       208,108  

Telefonica Emisiones SA, Senior Notes

    5.213     3/8/47       2,821,000       2,276,995  

Verizon Communications Inc., Senior Notes

    2.625     8/15/26       2,387,000       2,205,891  

Verizon Communications Inc., Senior Notes

    4.125     3/16/27       6,114,000       5,964,147  

Verizon Communications Inc., Senior Notes

    3.000     3/22/27       1,960,000       1,824,172  

Verizon Communications Inc., Senior Notes

    2.100     3/22/28       7,170,000       6,235,237  

Verizon Communications Inc., Senior Notes

    4.329     9/21/28       9,637,000       9,285,127  

Verizon Communications Inc., Senior Notes

    3.875     2/8/29       1,728,000       1,624,934  

Verizon Communications Inc., Senior Notes

    3.150     3/22/30       5,090,000       4,500,384  

Verizon Communications Inc., Senior Notes

    1.750     1/20/31       7,020,000       5,462,927  

Verizon Communications Inc., Senior Notes

    2.550     3/21/31       16,430,000       13,551,911  

Verizon Communications Inc., Senior Notes

    2.355     3/15/32       20,529,000       16,327,692  

Verizon Communications Inc., Senior Notes

    4.500     8/10/33       40,598,000       38,118,022  

Verizon Communications Inc., Senior Notes

    5.250     3/16/37       2,097,000       2,079,312  

Verizon Communications Inc., Senior Notes

    2.650     11/20/40       16,300,000       11,062,362  

Verizon Communications Inc., Senior Notes

    3.400     3/22/41       2,220,000       1,678,005  

Verizon Communications Inc., Senior Notes

    3.850     11/1/42       6,606,000       5,264,828  

Verizon Communications Inc., Senior Notes

    4.125     8/15/46       3,739,000       2,987,744  

Verizon Communications Inc., Senior Notes

    4.862     8/21/46       5,144,000       4,636,690  

Verizon Communications Inc., Senior Notes

    5.500     3/16/47       564,000       548,204  

Verizon Communications Inc., Senior Notes

    4.000     3/22/50       14,750,000       11,612,185  

Verizon Communications Inc., Senior Notes

    2.875     11/20/50       14,970,000       9,449,908  

Total Diversified Telecommunication Services

                            223,326,139  

 

See Notes to Financial Statements.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

11


Schedule of investments (cont’d)

December 31, 2022

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Entertainment — 0.3%

 

                       

Walt Disney Co., Senior Notes

    6.200     12/15/34     $ 36,000     $ 39,270  

Walt Disney Co., Senior Notes

    6.650     11/15/37       1,970,000       2,240,121  

Warnermedia Holdings Inc., Senior Notes

    3.755     3/15/27       3,410,000       3,075,660  (a) 

Warnermedia Holdings Inc., Senior Notes

    4.054     3/15/29       4,560,000       3,953,704  (a) 

Warnermedia Holdings Inc., Senior Notes

    4.279     3/15/32       25,300,000       20,904,569  (a) 

Warnermedia Holdings Inc., Senior Notes

    5.050     3/15/42       1,650,000       1,268,231  (a) 

Warnermedia Holdings Inc., Senior Notes

    5.141     3/15/52       20,020,000       14,631,163  (a) 

Total Entertainment

                            46,112,718  

Interactive Media & Services — 0.0%††

                               

Alphabet Inc., Senior Notes

    0.450     8/15/25       1,740,000       1,572,421  

Alphabet Inc., Senior Notes

    1.100     8/15/30       3,810,000       2,990,492  

Alphabet Inc., Senior Notes

    1.900     8/15/40       3,820,000       2,549,885  

Alphabet Inc., Senior Notes

    2.050     8/15/50       2,360,000       1,389,947  

Total Interactive Media & Services

                            8,502,745  

Media — 1.6%

                               

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    4.908     7/23/25       24,874,000       24,403,084  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    3.750     2/15/28       940,000       849,213  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    4.200     3/15/28       6,296,000       5,797,773  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    5.050     3/30/29       23,297,000       21,966,689  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    2.800     4/1/31       2,440,000       1,905,165  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    4.400     4/1/33       9,540,000       8,190,035  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    6.384     10/23/35       170,000       166,310  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    5.375     4/1/38       4,917,000       4,110,354  

 

See Notes to Financial Statements.

 

 

12

    Western Asset Core Bond Fund 2022 Annual Report


 

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Media — continued

 

                       

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    3.500     3/1/42     $ 3,280,000     $ 2,112,433  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    6.484     10/23/45       2,474,000       2,241,499  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    5.375     5/1/47       2,242,000       1,767,595  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    5.750     4/1/48       1,857,000       1,527,939  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    5.125     7/1/49       8,887,000       6,755,411  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    4.800     3/1/50       7,320,000       5,342,778  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    3.900     6/1/52       10,000,000       6,315,323  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    3.850     4/1/61       8,500,000       4,945,997  

Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes

    5.500     4/1/63       5,440,000       4,171,276  

Comcast Corp., Senior Notes

    3.950     10/15/25       6,395,000       6,269,508  

Comcast Corp., Senior Notes

    3.150     3/1/26       4,835,000       4,607,971  

Comcast Corp., Senior Notes

    3.300     4/1/27       2,900,000       2,737,337  

Comcast Corp., Senior Notes

    4.150     10/15/28       26,781,000       25,735,898  (b) 

Comcast Corp., Senior Notes

    3.400     4/1/30       3,920,000       3,583,813  

Comcast Corp., Senior Notes

    4.250     10/15/30       14,717,000       14,117,426  

Comcast Corp., Senior Notes

    7.050     3/15/33       3,475,000       4,014,649  

Comcast Corp., Senior Notes

    5.650     6/15/35       2,669,000       2,806,918  

Comcast Corp., Senior Notes

    3.900     3/1/38       3,430,000       2,969,433  

Comcast Corp., Senior Notes

    3.250     11/1/39       1,490,000       1,166,684  

Comcast Corp., Senior Notes

    3.750     4/1/40       3,580,000       2,967,368  

Comcast Corp., Senior Notes

    3.400     7/15/46       690,000       508,443  

Comcast Corp., Senior Notes

    4.000     8/15/47       1,510,000       1,213,139  

Comcast Corp., Senior Notes

    3.969     11/1/47       5,770,000       4,637,489  

 

See Notes to Financial Statements.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

13


Schedule of investments (cont’d)

December 31, 2022

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Media — continued

 

                       

Comcast Corp., Senior Notes

    4.000     3/1/48     $ 6,080,000     $ 4,904,768  

Comcast Corp., Senior Notes

    3.999     11/1/49       1,070,000       849,614  

Comcast Corp., Senior Notes

    3.450     2/1/50       2,420,000       1,766,570  

Comcast Corp., Senior Notes

    2.800     1/15/51       4,350,000       2,764,468  

Comcast Corp., Senior Notes

    2.887     11/1/51       6,340,000       4,100,448  

Comcast Corp., Senior Notes

    2.937     11/1/56       5,924,000       3,690,590  

Comcast Corp., Senior Notes

    4.950     10/15/58       1,150,000       1,047,614  

Fox Corp., Senior Notes

    5.476     1/25/39       18,060,000       16,503,967  

Time Warner Cable LLC, Senior Secured Notes

    6.550     5/1/37       3,441,000       3,288,458  

Time Warner Cable LLC, Senior Secured Notes

    7.300     7/1/38       403,000       401,298  

Time Warner Cable LLC, Senior Secured Notes

    6.750     6/15/39       985,000       936,564  

Time Warner Cable LLC, Senior Secured Notes

    5.875     11/15/40       5,058,000       4,425,891  

Time Warner Cable LLC, Senior Secured Notes

    5.500     9/1/41       18,000       15,005  

Total Media

                            224,600,205  

Wireless Telecommunication Services — 0.4%

                               

Sprint Spectrum Co. LLC/Sprint Spectrum

                               

Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes

    4.738     3/20/25       790,875       781,928  (a) 

T-Mobile USA Inc., Senior Notes

    3.500     4/15/25       6,820,000       6,564,739  

T-Mobile USA Inc., Senior Notes

    3.750     4/15/27       1,330,000       1,254,750  

T-Mobile USA Inc., Senior Notes

    3.875     4/15/30       23,000,000       20,887,693  

T-Mobile USA Inc., Senior Notes

    2.550     2/15/31       4,900,000       4,014,785  

T-Mobile USA Inc., Senior Notes

    2.250     11/15/31       18,270,000       14,417,776  

T-Mobile USA Inc., Senior Notes

    4.375     4/15/40       2,350,000       2,015,150  

T-Mobile USA Inc., Senior Notes

    3.000     2/15/41       5,020,000       3,561,253  

T-Mobile USA Inc., Senior Notes

    3.300     2/15/51       2,300,000       1,544,994  

Total Wireless Telecommunication Services

 

                    55,043,068  

Total Communication Services

                            557,584,875  
Consumer Discretionary — 2.2%                                

Automobiles — 0.1%

                               

General Motors Co., Senior Notes

    6.600     4/1/36       400,000       393,183  

General Motors Co., Senior Notes

    5.150     4/1/38       797,000       690,442  

General Motors Co., Senior Notes

    6.250     10/2/43       4,266,000       3,962,463  

General Motors Co., Senior Notes

    5.950     4/1/49       716,000       627,221  

 

See Notes to Financial Statements.

 

 

14

    Western Asset Core Bond Fund 2022 Annual Report


 

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Automobiles — continued

 

                       

General Motors Financial Co. Inc., Senior Notes

    4.350     1/17/27     $ 949,000     $ 903,098  

General Motors Financial Co. Inc., Senior Notes

    3.100     1/12/32       2,580,000       2,027,901  

Total Automobiles

                            8,604,308  

Hotels, Restaurants & Leisure — 0.9%

                               

Las Vegas Sands Corp., Senior Notes

    3.200     8/8/24       11,044,000       10,445,293  

Las Vegas Sands Corp., Senior Notes

    2.900     6/25/25       1,040,000       956,660  

McDonald’s Corp., Senior Notes

    3.300     7/1/25       4,390,000       4,250,620  

McDonald’s Corp., Senior Notes

    1.450     9/1/25       7,940,000       7,288,649  

McDonald’s Corp., Senior Notes

    3.700     1/30/26       3,953,000       3,847,875  

McDonald’s Corp., Senior Notes

    3.500     3/1/27       2,484,000       2,368,688  

McDonald’s Corp., Senior Notes

    3.500     7/1/27       3,310,000       3,145,126  

McDonald’s Corp., Senior Notes

    3.800     4/1/28       1,513,000       1,450,572  

McDonald’s Corp., Senior Notes

    2.125     3/1/30       8,770,000       7,356,124  

McDonald’s Corp., Senior Notes

    3.600     7/1/30       4,130,000       3,798,037  

McDonald’s Corp., Senior Notes

    4.875     12/9/45       5,870,000       5,454,988  

McDonald’s Corp., Senior Notes

    3.625     9/1/49       800,000       605,658  

McDonald’s Corp., Senior Notes

    4.200     4/1/50       9,130,000       7,643,775  

Sands China Ltd., Senior Notes

    5.625     8/8/25       7,559,000       7,236,927  

Sands China Ltd., Senior Notes

    5.900     8/8/28       31,015,000       29,081,618  

Sands China Ltd., Senior Notes

    3.350     3/8/29       4,690,000       3,837,884  

Sands China Ltd., Senior Notes

    4.875     6/18/30       15,340,000       13,501,347  

Sands China Ltd., Senior Notes

    3.750     8/8/31       21,050,000       16,592,791  

Total Hotels, Restaurants & Leisure

                            128,862,632  

Household Durables — 0.0%††

                               

Newell Brands Inc., Senior Notes

    4.450     4/1/26       179,000       168,796  

Internet & Direct Marketing Retail — 0.9%

                               

Amazon.com Inc., Senior Notes

    0.800     6/3/25       8,220,000       7,513,540  

Amazon.com Inc., Senior Notes

    3.300     4/13/27       2,400,000       2,281,345  

Amazon.com Inc., Senior Notes

    1.200     6/3/27       8,090,000       7,018,168  

Amazon.com Inc., Senior Notes

    3.150     8/22/27       6,161,000       5,799,563  

Amazon.com Inc., Senior Notes

    3.450     4/13/29       5,130,000       4,802,869  

Amazon.com Inc., Senior Notes

    1.500     6/3/30       4,990,000       4,021,116  

Amazon.com Inc., Senior Notes

    2.100     5/12/31       4,510,000       3,694,559  

Amazon.com Inc., Senior Notes

    3.600     4/13/32       20,910,000       19,197,043  (b) 

Amazon.com Inc., Senior Notes

    3.875     8/22/37       6,705,000       5,966,930  

Amazon.com Inc., Senior Notes

    4.950     12/5/44       3,036,000       3,006,073  

Amazon.com Inc., Senior Notes

    4.050     8/22/47       21,835,000       18,837,442  (b) 

 

See Notes to Financial Statements.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

15


Schedule of investments (cont’d)

December 31, 2022

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Internet & Direct Marketing Retail — continued

 

                       

Amazon.com Inc., Senior Notes

    2.500     6/3/50     $ 18,110,000     $ 11,495,917  

Amazon.com Inc., Senior Notes

    4.250     8/22/57       4,760,000       4,117,176  

Prosus NV, Senior Notes

    3.680     1/21/30       11,350,000       9,460,504  (a) 

Prosus NV, Senior Notes

    4.027     8/3/50       15,440,000       9,686,086  (a) 

Prosus NV, Senior Notes

    3.832     2/8/51       13,500,000       8,203,161  (a) 

Total Internet & Direct Marketing Retail

                            125,101,492  

Multiline Retail — 0.0%††

                               

Target Corp., Senior Notes

    2.250     4/15/25       6,720,000       6,380,891  

Specialty Retail — 0.2%

                               

Home Depot Inc., Senior Notes

    2.500     4/15/27       4,170,000       3,843,536  

Home Depot Inc., Senior Notes

    3.900     12/6/28       750,000       723,572  

Home Depot Inc., Senior Notes

    2.700     4/15/30       4,380,000       3,829,428  

Home Depot Inc., Senior Notes

    3.300     4/15/40       4,870,000       3,897,672  

Home Depot Inc., Senior Notes

    3.900     6/15/47       820,000       678,289  

Home Depot Inc., Senior Notes

    3.350     4/15/50       9,320,000       6,886,932  

Lowe’s Cos. Inc., Senior Notes

    1.700     9/15/28       9,030,000       7,601,159  

Lowe’s Cos. Inc., Senior Notes

    4.500     4/15/30       2,800,000       2,690,232  

Total Specialty Retail

                            30,150,820  

Textiles, Apparel & Luxury Goods — 0.1%

                               

NIKE Inc., Senior Notes

    2.400     3/27/25       3,750,000       3,584,975  

NIKE Inc., Senior Notes

    2.750     3/27/27       6,050,000       5,659,848  

NIKE Inc., Senior Notes

    2.850     3/27/30       5,960,000       5,340,362  

NIKE Inc., Senior Notes

    3.250     3/27/40       2,820,000       2,302,792  

NIKE Inc., Senior Notes

    3.375     3/27/50       1,170,000       921,573  

Total Textiles, Apparel & Luxury Goods

 

                    17,809,550  

Total Consumer Discretionary

                            317,078,489  
Consumer Staples — 1.7%                                

Beverages — 0.7%

                               

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes

    3.650     2/1/26       13,236,000       12,753,645  

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes

    4.900     2/1/46       10,621,000       9,708,823  

Anheuser-Busch InBev Worldwide Inc., Senior Notes

    4.000     4/13/28       1,270,000       1,211,105  

Anheuser-Busch InBev Worldwide Inc., Senior Notes

    4.750     1/23/29       21,078,000       20,851,127  

Anheuser-Busch InBev Worldwide Inc., Senior Notes

    3.500     6/1/30       2,710,000       2,473,569  

 

See Notes to Financial Statements.

 

 

16

    Western Asset Core Bond Fund 2022 Annual Report


 

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Beverages — continued

 

                       

Anheuser-Busch InBev Worldwide Inc., Senior Notes

    4.350     6/1/40     $ 10,440,000     $ 9,219,018  

Anheuser-Busch InBev Worldwide Inc., Senior Notes

    4.600     4/15/48       966,000       844,346  

Anheuser-Busch InBev Worldwide Inc., Senior Notes

    5.550     1/23/49       2,090,000       2,077,966  

Coca-Cola Co., Senior Notes

    3.375     3/25/27       3,540,000       3,400,476  

Coca-Cola Co., Senior Notes

    1.450     6/1/27       4,130,000       3,652,239  

Coca-Cola Co., Senior Notes

    2.500     6/1/40       4,010,000       2,938,176  

Coca-Cola Co., Senior Notes

    2.600     6/1/50       3,180,000       2,121,615  

Constellation Brands Inc., Senior Notes

    3.600     5/9/24       3,890,000       3,815,256  

Constellation Brands Inc., Senior Notes

    4.350     5/9/27       5,460,000       5,325,628  

PepsiCo Inc., Senior Notes

    0.750     5/1/23       7,700,000       7,601,356  

PepsiCo Inc., Senior Notes

    2.250     3/19/25       760,000       724,055  

PepsiCo Inc., Senior Notes

    2.625     3/19/27       760,000       707,045  

PepsiCo Inc., Senior Notes

    1.625     5/1/30       2,410,000       1,965,747  

PepsiCo Inc., Senior Notes

    2.875     10/15/49       2,270,000       1,633,193  

Total Beverages

                            93,024,385  

Food & Staples Retailing — 0.2%

                               

Costco Wholesale Corp., Senior Notes

    1.375     6/20/27       11,490,000       10,081,334  

Costco Wholesale Corp., Senior Notes

    1.600     4/20/30       10,000       8,216  

Costco Wholesale Corp., Senior Notes

    1.750     4/20/32       5,190,000       4,117,321  

CVS Pass-Through Trust, Secured Trust

    6.943     1/10/30       310,617       316,398  

CVS Pass-Through Trust, Senior Secured Trust

    6.036     12/10/28       3,439,661       3,389,280  

Walmart Inc., Senior Notes

    1.500     9/22/28       2,940,000       2,525,082  

Walmart Inc., Senior Notes

    2.375     9/24/29       1,060,000       930,839  

Walmart Inc., Senior Notes

    1.800     9/22/31       2,020,000       1,649,309  

Total Food & Staples Retailing

                            23,017,779  

Food Products — 0.3%

                               

Danone SA, Senior Notes

    2.589     11/2/23       6,493,000       6,359,892  (a) 

Danone SA, Senior Notes

    2.947     11/2/26       4,317,000       4,018,104  (a) 

Hershey Co., Senior Notes

    0.900     6/1/25       1,930,000       1,763,210  

Kraft Heinz Foods Co., Senior Notes

    3.000     6/1/26       2,588,000       2,425,121  

Kraft Heinz Foods Co., Senior Notes

    5.000     7/15/35       293,000       281,285  

Kraft Heinz Foods Co., Senior Notes

    5.000     6/4/42       36,000       32,725  

Mars Inc., Senior Notes

    2.700     4/1/25       3,269,000       3,114,695  (a) 

Mars Inc., Senior Notes

    3.200     4/1/30       9,788,000       8,766,465  (a) 

 

See Notes to Financial Statements.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

17


Schedule of investments (cont’d)

December 31, 2022

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Food Products — continued

                               

Mars Inc., Senior Notes

    2.375     7/16/40     $ 3,260,000     $ 2,221,183  (a) 

Mondelez International Inc., Senior Notes

    1.500     5/4/25       10,020,000       9,280,958  

Total Food Products

                            38,263,638  

Household Products — 0.0%††

                               

Kimberly-Clark Corp., Senior Notes

    3.100     3/26/30       1,810,000       1,632,516  

Procter & Gamble Co., Senior Notes

    2.800     3/25/27       1,200,000       1,125,567  

Procter & Gamble Co., Senior Notes

    3.000     3/25/30       3,430,000       3,142,073  

Total Household Products

                            5,900,156  

Tobacco — 0.5%

                               

Altria Group Inc., Senior Notes

    2.350     5/6/25       1,770,000       1,668,739  

Altria Group Inc., Senior Notes

    4.400     2/14/26       8,997,000       8,818,207  

Altria Group Inc., Senior Notes

    4.800     2/14/29       2,049,000       1,970,351  

Altria Group Inc., Senior Notes

    2.450     2/4/32       2,180,000       1,649,941  

Altria Group Inc., Senior Notes

    5.800     2/14/39       4,635,000       4,291,855  

Altria Group Inc., Senior Notes

    5.950     2/14/49       20,034,000       17,907,496  

Altria Group Inc., Senior Notes

    6.200     2/14/59       710,000       667,778  

BAT Capital Corp., Senior Notes

    3.557     8/15/27       17,750,000       16,243,915  

BAT Capital Corp., Senior Notes

    2.259     3/25/28       3,180,000       2,644,427  

BAT Capital Corp., Senior Notes

    4.540     8/15/47       4,767,000       3,386,174  

Cargill Inc., Senior Notes

    1.375     7/23/23       6,530,000       6,398,491  (a) 

Philip Morris International Inc., Senior Notes

    1.125     5/1/23       3,930,000       3,881,772  

Philip Morris International Inc., Senior Notes

    2.100     5/1/30       4,340,000       3,519,461  

Philip Morris International Inc., Senior Notes

    4.500     3/20/42       1,406,000       1,191,906  

Reynolds American Inc., Senior Notes

    6.150     9/15/43       1,110,000       994,631  

Reynolds American Inc., Senior Notes

    5.850     8/15/45       1,610,000       1,378,044  

Total Tobacco

                            76,613,188  

Total Consumer Staples

                            236,819,146  
Energy — 6.2%                                

Energy Equipment & Services — 0.0%††

                               

Halliburton Co., Senior Notes

    3.800     11/15/25       78,000       75,952  

Halliburton Co., Senior Notes

    5.000     11/15/45       1,075,000       956,999  

Total Energy Equipment & Services

                            1,032,951  

Oil, Gas & Consumable Fuels — 6.2%

                               

Apache Corp., Senior Notes

    6.000     1/15/37       89,000       82,537  

Apache Corp., Senior Notes

    5.100     9/1/40       11,863,000       9,857,767  

Apache Corp., Senior Notes

    5.250     2/1/42       6,878,000       5,663,335  

 

See Notes to Financial Statements.

 

 

18

    Western Asset Core Bond Fund 2022 Annual Report


 

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Oil, Gas & Consumable Fuels — continued

                               

Apache Corp., Senior Notes

    4.750     4/15/43     $ 18,342,000     $ 13,871,596  

Apache Corp., Senior Notes

    4.250     1/15/44       18,144,000       12,804,631  

BP Capital Markets America Inc., Senior Notes

    3.119     5/4/26       8,803,000       8,355,076  

BP Capital Markets America Inc., Senior Notes

    3.633     4/6/30       9,410,000       8,658,490  

BP Capital Markets America Inc., Senior Notes

    1.749     8/10/30       5,000,000       3,997,497  

BP Capital Markets America Inc., Senior Notes

    3.000     2/24/50       14,290,000       9,595,642  

BP Capital Markets America Inc., Senior Notes

    2.772     11/10/50       1,240,000       797,195  

BP Capital Markets America Inc., Senior Notes

    2.939     6/4/51       760,000       503,880  

Cameron LNG LLC, Senior Secured Notes

    2.902     7/15/31       9,880,000       8,359,793  (a) 

Cameron LNG LLC, Senior Secured Notes

    3.302     1/15/35       15,650,000       12,654,685  (a) 

Chevron Corp., Senior Notes

    1.554     5/11/25       7,640,000       7,113,898  

Chevron Corp., Senior Notes

    1.995     5/11/27       2,750,000       2,473,911  

Chevron Corp., Senior Notes

    3.078     5/11/50       8,710,000       6,294,061  

Chevron USA Inc., Senior Notes

    3.850     1/15/28       8,880,000       8,586,082  

Conoco Funding Co., Senior Notes

    7.250     10/15/31       313,000       357,769  

ConocoPhillips Co., Senior Notes

    6.950     4/15/29       573,000       634,968  

Continental Resources Inc., Senior Notes

    4.500     4/15/23       1,950,000       1,949,756  

Continental Resources Inc., Senior Notes

    3.800     6/1/24       2,897,000       2,821,844  

Continental Resources Inc., Senior Notes

    4.375     1/15/28       14,655,000       13,451,678  

Continental Resources Inc., Senior Notes

    4.900     6/1/44       6,900,000       5,127,553  

Coterra Energy Inc., Senior Notes

    3.900     5/15/27       10,409,000       9,735,073  

Coterra Energy Inc., Senior Notes

    4.375     3/15/29       25,310,000       23,969,146  

Devon Energy Corp., Senior Notes

    5.850     12/15/25       2,774,000       2,826,985  

Devon Energy Corp., Senior Notes

    5.250     10/15/27       1,026,000       1,017,029  

Devon Energy Corp., Senior Notes

    4.500     1/15/30       2,428,000       2,266,024  

Devon Energy Corp., Senior Notes

    5.600     7/15/41       13,600,000       12,747,143  

Devon Energy Corp., Senior Notes

    4.750     5/15/42       9,470,000       8,056,128  

Devon Energy Corp., Senior Notes

    5.000     6/15/45       19,033,000       16,520,498  

Diamondback Energy Inc., Senior Notes

    3.250     12/1/26       3,669,000       3,417,662  

Diamondback Energy Inc., Senior Notes

    3.500     12/1/29       13,512,000       11,883,957  

Diamondback Energy Inc., Senior Notes

    3.125     3/24/31       4,010,000       3,330,250  

Diamondback Energy Inc., Senior Notes

    4.400     3/24/51       5,000,000       3,831,622  

Ecopetrol SA, Senior Notes

    5.875     5/28/45       61,615,000       43,033,979  

 

See Notes to Financial Statements.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

19


Schedule of investments (cont’d)

December 31, 2022

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Oil, Gas & Consumable Fuels — continued

                               

El Paso Natural Gas Co. LLC, Senior Notes

    8.375     6/15/32     $ 2,696,000     $ 3,058,255  

Energy Transfer LP, Senior Notes

    2.900     5/15/25       7,020,000       6,617,230  

Energy Transfer LP, Senior Notes

    4.750     1/15/26       2,060,000       2,008,805  

Energy Transfer LP, Senior Notes

    5.500     6/1/27       6,670,000       6,633,330  

Energy Transfer LP, Senior Notes

    4.950     6/15/28       1,907,000       1,847,661  

Energy Transfer LP, Senior Notes

    5.250     4/15/29       3,738,000       3,622,430  

Energy Transfer LP, Senior Notes

    3.750     5/15/30       21,808,000       19,278,095  

Energy Transfer LP, Senior Notes

    6.100     2/15/42       2,185,000       2,013,267  

Energy Transfer LP, Senior Notes

    5.300     4/1/44       540,000       458,172  

Energy Transfer LP, Senior Notes

    5.400     10/1/47       7,451,000       6,344,669  

Energy Transfer LP, Senior Notes

    6.250     4/15/49       10,862,000       10,152,577  

Enterprise Products Operating LLC, Senior Notes

    4.150     10/16/28       10,006,000       9,494,713  

Enterprise Products Operating LLC, Senior Notes

    3.125     7/31/29       4,660,000       4,112,825  

Enterprise Products Operating LLC, Senior Notes

    2.800     1/31/30       15,760,000       13,423,415  

Enterprise Products Operating LLC, Senior Notes

    7.550     4/15/38       430,000       482,115  

Enterprise Products Operating LLC, Senior Notes

    5.700     2/15/42       510,000       496,436  

Enterprise Products Operating LLC, Senior Notes

    4.450     2/15/43       1,800,000       1,524,544  

Enterprise Products Operating LLC, Senior Notes

    4.850     3/15/44       410,000       363,376  

Enterprise Products Operating LLC, Senior Notes

    5.100     2/15/45       5,000,000       4,517,278  

Enterprise Products Operating LLC, Senior Notes

    4.800     2/1/49       1,960,000       1,679,806  

Enterprise Products Operating LLC, Senior Notes

    4.200     1/31/50       2,620,000       2,072,611  

Enterprise Products Operating LLC, Senior Notes

    3.700     1/31/51       13,100,000       9,504,182  

Enterprise Products Operating LLC, Senior Notes

    3.950     1/31/60       905,000       657,648  

Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. USD LIBOR + 2.570%)

    5.375     2/15/78       2,590,000       1,978,485  (c) 

EOG Resources Inc., Senior Notes

    4.150     1/15/26       203,000       199,241  

EOG Resources Inc., Senior Notes

    4.375     4/15/30       13,092,000       12,688,102  

 

See Notes to Financial Statements.

 

 

20

    Western Asset Core Bond Fund 2022 Annual Report


 

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Oil, Gas & Consumable Fuels — continued

                               

EOG Resources Inc., Senior Notes

    3.900     4/1/35     $ 6,800,000     $ 6,089,753  

EOG Resources Inc., Senior Notes

    4.950     4/15/50       16,625,000       15,914,216  

EQT Corp., Senior Notes

    7.000     2/1/30       5,000,000       5,194,000  

Exxon Mobil Corp., Senior Notes

    1.571     4/15/23       680,000       673,703  

Exxon Mobil Corp., Senior Notes

    2.992     3/19/25       17,500,000       16,870,908  

Exxon Mobil Corp., Senior Notes

    3.043     3/1/26       2,946,000       2,813,270  

Exxon Mobil Corp., Senior Notes

    2.440     8/16/29       13,168,000       11,531,853  

Exxon Mobil Corp., Senior Notes

    3.482     3/19/30       6,210,000       5,806,622  

Exxon Mobil Corp., Senior Notes

    4.227     3/19/40       2,000,000       1,808,456  

Exxon Mobil Corp., Senior Notes

    4.114     3/1/46       3,663,000       3,134,497  

Exxon Mobil Corp., Senior Notes

    4.327     3/19/50       2,860,000       2,520,466  

Exxon Mobil Corp., Senior Notes

    3.452     4/15/51       4,000,000       3,031,773  

KazMunayGas National Co. JSC, Senior Notes

    5.375     4/24/30       12,603,000       11,327,841  (a) 

KazMunayGas National Co. JSC, Senior Notes

    5.750     4/19/47       10,863,000       8,469,881  (a) 

KazMunayGas National Co. JSC, Senior Notes

    6.375     10/24/48       2,803,000       2,325,753  (a) 

Kinder Morgan Energy Partners LP, Senior Notes

    3.500     9/1/23       349,000       345,360  

Kinder Morgan Energy Partners LP, Senior Notes

    4.250     9/1/24       1,792,000       1,762,671  

Kinder Morgan Energy Partners LP, Senior Notes

    7.300     8/15/33       110,000       119,111  

Kinder Morgan Energy Partners LP, Senior Notes

    6.550     9/15/40       620,000       624,325  

Kinder Morgan Energy Partners LP, Senior Notes

    6.375     3/1/41       730,000       725,289  

Kinder Morgan Energy Partners LP, Senior Notes

    5.500     3/1/44       540,000       490,738  

Kinder Morgan Energy Partners LP, Senior Notes

    5.400     9/1/44       140,000       126,478  

Kinder Morgan Inc., Senior Notes

    4.300     6/1/25       1,800,000       1,766,898  

Kinder Morgan Inc., Senior Notes

    4.300     3/1/28       14,400,000       13,820,400  

Kinder Morgan Inc., Senior Notes

    5.550     6/1/45       11,500,000       10,539,651  

Kinder Morgan Inc., Senior Notes

    5.050     2/15/46       980,000       835,555  

Lukoil Capital DAC, Senior Notes

    3.600     10/26/31       11,760,000       8,373,120  (a) 

Lukoil International Finance BV, Senior Notes

    4.750     11/2/26       6,960,000       5,595,840  (a) 

MPLX LP, Senior Notes

    4.125     3/1/27       2,687,000       2,541,879  

 

See Notes to Financial Statements.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

21


Schedule of investments (cont’d)

December 31, 2022

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Oil, Gas & Consumable Fuels — continued

                               

MPLX LP, Senior Notes

    4.000     3/15/28     $ 3,787,000     $ 3,529,094  

MPLX LP, Senior Notes

    4.800     2/15/29       1,684,000       1,615,002  

MPLX LP, Senior Notes

    4.500     4/15/38       4,308,000       3,644,829  

MPLX LP, Senior Notes

    5.200     3/1/47       8,490,000       7,244,198  

MPLX LP, Senior Notes

    5.200     12/1/47       4,750,000       4,062,436  

MPLX LP, Senior Notes

    4.700     4/15/48       7,707,000       6,115,703  

MPLX LP, Senior Notes

    5.500     2/15/49       2,554,000       2,256,869  

Occidental Petroleum Corp., Senior Notes

    6.950     7/1/24       286,000       291,932  

Occidental Petroleum Corp., Senior Notes

    5.550     3/15/26       627,000       625,671  

Occidental Petroleum Corp., Senior Notes

    3.200     8/15/26       2,550,000       2,350,565  

Occidental Petroleum Corp., Senior Notes

    3.000     2/15/27       2,257,000       2,052,196  

Occidental Petroleum Corp., Senior Notes

    3.500     8/15/29       11,579,000       10,385,668  

Occidental Petroleum Corp., Senior Notes

    7.875     9/15/31       8,284,000       9,160,240  

Occidental Petroleum Corp., Senior Notes

    6.200     3/15/40       2,346,000       2,299,950  

Occidental Petroleum Corp., Senior Notes

    4.500     7/15/44       18,287,000       14,649,844  

Occidental Petroleum Corp., Senior Notes

    4.625     6/15/45       5,060,000       4,096,203  

Occidental Petroleum Corp., Senior Notes

    6.600     3/15/46       2,050,000       2,114,052  

Occidental Petroleum Corp., Senior Notes

    4.400     4/15/46       1,657,000       1,297,091  

Occidental Petroleum Corp., Senior Notes

    4.100     2/15/47       3,349,000       2,564,011  

Occidental Petroleum Corp., Senior Notes

    4.200     3/15/48       4,594,000       3,535,749  

Pertamina Persero PT, Senior Notes

    6.000     5/3/42       6,914,000       6,641,473  (a) 

Petrobras Global Finance BV, Senior Notes

    6.250     3/17/24       2,087,000       2,098,262  

Petroleos del Peru SA, Senior Notes

    4.750     6/19/32       30,909,000       23,945,202  (a) 

Petroleos del Peru SA, Senior Notes

    5.625     6/19/47       7,630,000       5,003,945  (a) 

Petroleos Mexicanos, Senior Notes

    6.625     6/15/35       3,889,000       2,830,345  

Petroleos Mexicanos, Senior Notes

    5.500     6/27/44       5,746,000       3,386,118  

Petroleos Mexicanos, Senior Notes

    6.375     1/23/45       3,950,000       2,455,142  

Petroleos Mexicanos, Senior Notes

    5.625     1/23/46       13,254,000       7,739,671  

Petroleos Mexicanos, Senior Notes

    6.750     9/21/47       4,478,000       2,867,190  

Pioneer Natural Resources Co., Senior Notes

    1.125     1/15/26       1,890,000       1,686,619  

Pioneer Natural Resources Co., Senior Notes

    1.900     8/15/30       7,290,000       5,725,321  

Pioneer Natural Resources Co., Senior Notes

    2.150     1/15/31       16,160,000       12,810,971  

Reliance Industries Ltd., Senior Notes

    2.875     1/12/32       12,900,000       10,470,499  (a) 

Reliance Industries Ltd., Senior Notes

    3.625     1/12/52       22,500,000       14,807,413  (a) 

Schlumberger Holdings Corp., Senior Notes

    3.900     5/17/28       142,000       132,562  (a) 

Shell International Finance BV, Senior Notes

    2.875     5/10/26       6,654,000       6,274,295  

 

See Notes to Financial Statements.

 

 

22

    Western Asset Core Bond Fund 2022 Annual Report


 

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Oil, Gas & Consumable Fuels — continued

                               

Shell International Finance BV, Senior Notes

    2.375     11/7/29     $ 8,300,000     $ 7,191,721  

Shell International Finance BV, Senior Notes

    2.750     4/6/30       11,040,000       9,712,558  

Shell International Finance BV, Senior Notes

    4.550     8/12/43       1,451,000       1,317,186  

Shell International Finance BV, Senior Notes

    4.375     5/11/45       4,084,000       3,588,801  

Shell International Finance BV, Senior Notes

    4.000     5/10/46       3,779,000       3,099,577  

Shell International Finance BV, Senior Notes

    3.250     4/6/50       17,000,000       12,275,839  

Sinopec Group Overseas Development 2014 Ltd., Senior Notes

    4.375     4/10/24       18,252,000       18,130,824  (a) 

Southern Natural Gas Co. LLC, Senior Notes

    8.000     3/1/32       3,985,000       4,385,027  

Targa Resources Corp., Senior Notes

    5.200     7/1/27       10,760,000       10,563,608  

Targa Resources Corp., Senior Notes

    4.950     4/15/52       2,600,000       2,068,657  

Tennessee Gas Pipeline Co. LLC, Senior Notes

    2.900     3/1/30       6,590,000       5,534,294  (a) 

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

    7.850     2/1/26       17,006,000       18,169,090  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

    3.250     5/15/30       5,000,000       4,350,519  

Western Midstream Operating LP, Senior Notes

    3.350     2/1/25       2,630,000       2,492,846  

Western Midstream Operating LP, Senior Notes (3 mo. USD LIBOR + 1.100%)

    5.041     1/13/23       1,700,000       1,697,456  (c) 

Williams Cos. Inc., Senior Notes

    3.750     6/15/27       7,760,000       7,316,393  

Williams Cos. Inc., Senior Notes

    3.500     11/15/30       1,650,000       1,446,590  

Williams Cos. Inc., Senior Notes

    7.500     1/15/31       2,125,000       2,332,878  

Williams Cos. Inc., Senior Notes

    7.750     6/15/31       23,000       25,441  

Williams Cos. Inc., Senior Notes

    8.750     3/15/32       6,365,000       7,519,145  

Williams Cos. Inc., Senior Notes

    4.900     1/15/45       4,386,000       3,750,710  

Williams Cos. Inc., Senior Notes

    5.100     9/15/45       6,730,000       5,915,739  

Williams Cos. Inc., Senior Notes

    4.850     3/1/48       1,990,000       1,691,322  

Total Oil, Gas & Consumable Fuels

                            884,401,267  

Total Energy

                            885,434,218  
Financials — 12.2%                                

Banks — 8.5%

                               

ABN AMRO Bank NV, Subordinated Notes

    4.750     7/28/25       1,352,000       1,312,744  (a) 

Banco Santander SA, Senior Notes

    3.848     4/12/23       6,448,000       6,414,287  

Banco Santander SA, Senior Notes

    2.746     5/28/25       28,200,000       26,417,176  

Banco Santander SA, Senior Notes (3 mo. USD LIBOR + 1.120%)

    5.039     4/12/23       2,149,000       2,149,317  (c) 

 

See Notes to Financial Statements.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

23


Schedule of investments (cont’d)

December 31, 2022

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Banks — continued

                               

Banco Santander SA, Senior Notes (4.175%to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%)

    4.175     3/24/28     $ 1,000,000     $ 928,982  (c) 

Bank of America Corp., Senior Notes

    3.300     1/11/23       4,594,000       4,592,472  

Bank of America Corp., Senior Notes

    4.100     7/24/23       4,988,000       4,967,410  

Bank of America Corp., Senior Notes

    4.000     4/1/24       3,134,000       3,096,031  

Bank of America Corp., Senior Notes

    3.500     4/19/26       4,567,000       4,364,048  

Bank of America Corp., Senior Notes

    5.000     1/21/44       9,215,000       8,516,693  

Bank of America Corp., Senior Notes (1.319% to 6/19/25 then SOFR + 1.150%)

    1.319     6/19/26       45,980,000       41,445,590  (c) 

Bank of America Corp., Senior Notes (1.898% to 7/23/30 then SOFR + 1.530%)

    1.898     7/23/31       3,000,000       2,309,056  (c) 

Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%)

    2.572     10/20/32       14,650,000       11,510,240  (c) 

Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%)

    2.592     4/29/31       15,760,000       12,870,126  (c) 

Bank of America Corp., Senior Notes (2.972% to 2/4/32 then SOFR + 1.330%)

    2.972     2/4/33       13,820,000       11,169,314  (c) 

Bank of America Corp., Senior Notes (3.419% to 12/20/27 then 3 mo. USD LIBOR + 1.040%)

    3.419     12/20/28       15,406,000       13,976,590  (c) 

Bank of America Corp., Senior Notes (3.550% to 3/5/23 then 3 mo. USD LIBOR + 0.780%)

    3.550     3/5/24       7,782,000       7,753,248  (c) 

Bank of America Corp., Senior Notes (3.593% to 7/21/27 then 3 mo. USD LIBOR + 1.370%)

    3.593     7/21/28       7,711,000       7,110,843  (c) 

Bank of America Corp., Senior Notes (3.841% to 4/25/24 then SOFR + 1.110%)

    3.841     4/25/25       7,260,000       7,091,833  (c) 

Bank of America Corp., Senior Notes (3.946% to 1/23/48 then 3 mo. USD LIBOR + 1.190%)

    3.946     1/23/49       3,717,000       2,891,472  (c) 

Bank of America Corp., Senior Notes (3.970% to 3/5/28 then 3 mo. USD LIBOR + 1.070%)

    3.970     3/5/29       5,000,000       4,622,446  (c) 

Bank of America Corp., Senior Notes (3.974% to 2/7/29 then 3 mo. USD LIBOR + 1.210%)

    3.974     2/7/30       22,684,000       20,647,781  (c) 

Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. USD LIBOR + 3.150%)

    4.083     3/20/51       25,140,000       19,795,576  (c) 

 

See Notes to Financial Statements.

 

 

24

    Western Asset Core Bond Fund 2022 Annual Report


 

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Banks — continued

                               

Bank of America Corp., Senior Notes (4.330% to 3/15/49 then 3 mo. USD LIBOR + 1.520%)

    4.330     3/15/50     $ 11,720,000     $ 9,670,551  (c) 

Bank of America Corp., Senior Notes (4.376% to 4/27/27 then SOFR + 1.580%)

    4.376     4/27/28       5,370,000       5,143,750  (c) 

Bank of America Corp., Senior Notes (4.571% to 4/27/32 then SOFR + 1.830%)

    4.571     4/27/33       14,880,000       13,652,836  (c) 

Bank of America Corp., Subordinated Notes

    4.200     8/26/24       5,409,000       5,328,808  

Bank of America Corp., Subordinated Notes

    4.000     1/22/25       2,875,000       2,816,215  

Bank of America Corp., Subordinated Notes

    4.450     3/3/26       1,093,000       1,072,296  

Bank of America Corp., Subordinated Notes

    4.250     10/22/26       17,320,000       16,754,410  

Bank of America Corp., Subordinated Notes (2.482% to 9/21/31 then 5 year Treasury Constant Maturity Rate + 1.200%)

    2.482     9/21/36       3,000,000       2,211,171  (c) 

Bank of Montreal, Senior Notes

    1.850     5/1/25       12,810,000       11,977,045  

Bank of Montreal, Subordinated Notes (3.803% to 12/15/27 then USD 5 year ICE Swap Rate + 1.432%)

    3.803     12/15/32       1,316,000       1,160,887  (c) 

Bank of Nova Scotia, Senior Notes

    3.450     4/11/25       19,420,000       18,705,365  

Bank of Nova Scotia, Senior Notes

    1.300     6/11/25       7,120,000       6,529,887  

Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%)

    4.588     5/4/37       4,470,000       3,826,126  (c) 

Barclays PLC, Senior Notes (4.972% to 5/16/28 then 3 mo. USD LIBOR + 1.902%)

    4.972     5/16/29       4,899,000       4,609,660  (c) 

Barclays PLC, Subordinated Notes (5.088%to 6/20/29 then 3 mo. USD LIBOR + 3.054%)

    5.088     6/20/30       7,848,000       7,244,697  (c) 

BNP Paribas SA, Senior Notes

    3.375     1/9/25       2,463,000       2,372,093 (a) 

BNP Paribas SA, Senior Notes

    4.400     8/14/28       7,899,000       7,483,001  (a) 

BNP Paribas SA, Senior Notes (2.219% to 6/9/25 then SOFR + 2.074%)

    2.219     6/9/26       8,840,000       8,124,181  (a)(c) 

BNP Paribas SA, Senior Notes (3.052% to 1/13/30 then SOFR + 1.507%)

    3.052     1/13/31       11,830,000       9,719,932  (a)(c) 

BNP Paribas SA, Senior Notes (4.705% to 1/10/24 then 3 mo. USD LIBOR + 2.235%)

    4.705     1/10/25       16,281,000       16,124,840  (a)(c) 

BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. USD LIBOR + 2.567%)

    5.198     1/10/30       8,704,000       8,289,067  (a)(c) 

BNP Paribas SA, Subordinated Notes (4.375% to 3/1/28 then USD 5 year ICE Swap Rate + 1.483%)

    4.375     3/1/33       2,669,000       2,363,000  (a)(c) 

BPCE SA, Subordinated Notes

    5.150     7/21/24       4,541,000       4,447,946  (a) 

 

See Notes to Financial Statements.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

25


Schedule of investments (cont’d)

December 31, 2022

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Banks — continued

                               

Canadian Imperial Bank of Commerce, Senior Notes

    0.950     6/23/23     $ 7,130,000     $ 6,998,282  

Citigroup Inc., Senior Notes

    3.300     4/27/25       12,054,000       11,682,133  

Citigroup Inc., Senior Notes

    8.125     7/15/39       3,081,000       3,802,034  

Citigroup Inc., Senior Notes

    4.650     7/30/45       7,037,000       6,068,304  

Citigroup Inc., Senior Notes

    4.650     7/23/48       1,675,000       1,448,969  

Citigroup Inc., Senior Notes (1.678% to 5/15/23 then SOFR + 1.667%)

    1.678     5/15/24       7,430,000       7,325,834  (c) 

Citigroup Inc., Senior Notes (2.561% to 5/1/31 then SOFR + 1.167%)

    2.561     5/1/32       5,000,000       3,959,244  (c) 

Citigroup Inc., Senior Notes (2.572% to 6/3/30 then SOFR + 2.107%)

    2.572     6/3/31       51,980,000       42,155,599  (c) 

Citigroup Inc., Senior Notes (3.106% to 4/8/25 then SOFR + 2.842%)

    3.106     4/8/26       5,210,000       4,936,109  (c) 

Citigroup Inc., Senior Notes (3.520% to 10/27/27 then 3 mo. USD LIBOR + 1.151%)

    3.520     10/27/28       18,054,000       16,502,211  (c) 

Citigroup Inc., Senior Notes (3.785% to 3/17/32 then SOFR + 1.939%)

    3.785     3/17/33       15,970,000       13,701,889  (c) 

Citigroup Inc., Senior Notes (3.980% to 3/20/29 then 3 mo. USD LIBOR + 1.338%)

    3.980     3/20/30       18,048,000       16,313,895  (c) 

Citigroup Inc., Senior Notes (4.412% to 3/31/30 then SOFR + 3.914%)

    4.412     3/31/31       8,960,000       8,248,768  (c) 

Citigroup Inc., Senior Notes (4.658% to 5/24/27 then SOFR + 1.887%)

    4.658     5/24/28       5,380,000       5,215,052  (c) 

Citigroup Inc., Senior Notes (4.910% to 5/24/32 then SOFR + 2.086%)

    4.910     5/24/33       6,260,000       5,880,097  (c) 

Citigroup Inc., Subordinated Notes

    3.500     5/15/23       1,849,000       1,840,348  

Citigroup Inc., Subordinated Notes

    4.400     6/10/25       4,549,000       4,469,106  

Citigroup Inc., Subordinated Notes

    5.500     9/13/25       2,722,000       2,741,493  

Citigroup Inc., Subordinated Notes

    4.300     11/20/26       1,343,000       1,301,047  

Citigroup Inc., Subordinated Notes

    4.450     9/29/27       25,282,000       24,146,329  

Citigroup Inc., Subordinated Notes

    6.625     6/15/32       412,000       435,136  

Citigroup Inc., Subordinated Notes

    6.125     8/25/36       605,000       608,431  

Citigroup Inc., Subordinated Notes

    6.675     9/13/43       564,000       605,668  

Citigroup Inc., Subordinated Notes

    5.300     5/6/44       1,423,000       1,289,067  

Citigroup Inc., Subordinated Notes

    4.750     5/18/46       716,000       598,215  

Cooperatieve Rabobank UA, Senior Notes

    3.375     5/21/25       13,201,000       12,799,656  

Cooperatieve Rabobank UA, Senior Notes

    4.375     8/4/25       9,027,000       8,819,688  

Cooperatieve Rabobank UA, Senior Notes

    3.750     7/21/26       833,000       783,202  

 

See Notes to Financial Statements.

 

 

26

    Western Asset Core Bond Fund 2022 Annual Report


 

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Banks — continued

                               

Cooperatieve Rabobank UA, Senior Notes (1.339% to 6/24/25 then 1 year Treasury Constant Maturity Rate + 1.000%)

    1.339     6/24/26     $ 3,500,000     $ 3,150,073  (a)(c) 

Cooperatieve Rabobank UA, Senior Notes (3.649% to 4/6/27 then 1 year Treasury Constant Maturity Rate + 1.220%)

    3.649     4/6/28       7,190,000       6,634,984  (a)(c) 

Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant Maturity Rate + 1.420%)

    3.758     4/6/33       5,300,000       4,529,231  (a)(c) 

Credit Agricole SA, Senior Notes (1.907% to 6/16/25 then SOFR + 1.676%)

    1.907     6/16/26       5,920,000       5,401,501  (a)(c) 

Credit Agricole SA, Subordinated Notes (4.000% to 1/10/28 then USD 5 year ICE Swap Rate + 1.644%)

    4.000     1/10/33       3,743,000       3,267,307  (a)(c) 

Danske Bank A/S, Senior Notes

    3.875     9/12/23       3,529,000       3,485,712  (a) 

Danske Bank A/S, Senior Notes

    5.375     1/12/24       7,066,000       7,010,333  (a) 

Danske Bank A/S, Senior Notes

    1.226     6/22/24       11,270,000       10,527,441  (a) 

Danske Bank A/S, Senior Notes (3.244% to 12/20/24 then 3 mo. USD LIBOR + 1.591%)

    3.244     12/20/25       4,872,000       4,563,416  (a)(c) 

Danske Bank A/S, Senior Notes (4.298% to 4/1/27 then 1 year Treasury Constant Maturity Rate + 1.750%)

    4.298     4/1/28       1,500,000       1,381,465  (a)(c) 

HSBC Holdings PLC, Senior Notes

    4.300     3/8/26       997,000       965,517  

HSBC Holdings PLC, Senior Notes (2.848%to 6/4/30 then SOFR + 2.387%)

    2.848     6/4/31       18,950,000       15,164,789  (c) 

HSBC Holdings PLC, Senior Notes (3.803%to 3/11/24 then 3 mo. USD LIBOR + 1.211%)

    3.803     3/11/25       10,753,000       10,458,250  (c) 

HSBC Holdings PLC, Senior Notes (4.041%to 3/13/27 then 3 mo. USD LIBOR + 1.546%)

    4.041     3/13/28       10,721,000       9,895,339  (c) 

HSBC Holdings PLC, Subordinated Notes

    4.250     3/14/24       206,000       202,440  

HSBC Holdings PLC, Subordinated Notes

    4.250     8/18/25       3,347,000       3,222,917  

Intesa Sanpaolo SpA, Senior Notes

    3.375     1/12/23       2,266,000       2,264,905  (a) 

Intesa Sanpaolo SpA, Subordinated Notes

    5.017     6/26/24       10,460,000       10,061,146  (a) 

Intesa Sanpaolo SpA, Subordinated Notes

    5.710     1/15/26       11,693,000       11,249,768  (a) 

JPMorgan Chase & Co., Senior Notes (1.514% to 6/1/23 then SOFR + 1.455%)

    1.514     6/1/24       19,780,000       19,460,866  (c) 

JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%)

    2.083     4/22/26       11,840,000       11,001,114  (c) 

JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%)

    2.522     4/22/31       14,820,000       12,159,745  (c) 

 

See Notes to Financial Statements.

 

Western Asset Core Bond Fund 2022 Annual Report    

 

27


Schedule of investments (cont’d)

December 31, 2022

 

Western Asset Core Bond Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Banks — continued

                               

JPMorgan Chase & Co., Senior Notes (2.545% to 11/8/31 then SOFR + 1.180%)

    2.545     11/8/32     $ 6,680,000     $ 5,296,925  (c) 

JPMorgan Chase & Co., Senior Notes (2.580% to 4/22/31 then SOFR + 1.250%)

    2.580     4/22/32       7,000,000       5,624,187  (c) 

JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/40 then SOFR + 2.460%)

    3.109     4/22/41       5,000,000       3,652,451  (c) 

JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%)

    3.109     4/22/51       6,850,000       4,517,813  (c) 

JPMorgan Chase & Co., Senior Notes (4.023% to 12/5/23 then 3 mo. USD LIBOR + 1.000%)

    4.023     12/5/24       19,448,000       19,165,012  (c) 

JPMorgan Chase & Co., Senior Notes (4.203% to 7/23/28 then 3 mo. USD LIBOR + 1.260%)

    4.203     7/23/29       5,687,000       5,309,910  (c) 

JPMorgan Chase & Co., Senior Notes (4.452% to 12/5/28 then 3 mo. USD LIBOR + 1.330%)

    4.452     12/5/29       17,191,000       16,182,921  (c) 

JPMorgan Chase & Co., Senior Notes (4.493% to 3/24/30 then SOFR + 3.790%)

    4.493     3/24/31       6,000,000       5,617,886  (c) 

JPMorgan Chase & Co., Subordinated Notes

    4.125     12/15/26       5,791,000       5,603,862  

JPMorgan Chase & Co., Subordinated Notes

    4.250     10/1/27       9,717,000       9,378,922  

JPMorgan Chase & Co., Subordinated Notes

    3.625     12/1/27       5,143,000       4,763,234  

JPMorgan Chase & Co., Subordinated Notes

    4.950     6/1/45       8,546,000       7,676,584  

Lloyds Banking Group PLC, Senior Notes

    4.375     3/22/28       6,970,000       6,627,842