UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-06740
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 47th Floor, New York, NY 10018
(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: February 28
Date of reporting period:
ITEM 1. | REPORT TO STOCKHOLDERS. |
The Semi-Annual Report to Stockholders is filed herewith.
|
![]() |
|
Semi-Annual Shareholder Report |
|
||
![]() |
Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment*,†
|
Western Asset
|
$
|
|
* | Reflects fee waivers and/or expense reimbursements, without which expenses would have been higher. |
† | Annualized. |
1 | Does not reflect the effect of fees and expenses associated with a separately managed account, or a management fee or other operating expenses of the Fund. |
Total Net Assets
|
$
|
Total Number of Portfolio Holdings*
|
|
Portfolio Turnover Rate
|
|
* | Does not include derivatives, except purchased options, if any. |
* | Does not include derivatives, except purchased options, if any. |
![]() |
WHERE CAN I FIND ADDITIONAL INFORMATION ABOUT THE FUND?
|
Additional information is available on
|
|
• prospectus • proxy voting information • financial information • holdings • tax information
|
Western Asset SMASh Series M Fund | PAGE 1 | 7936-STSR-1024 |
ITEM 2. | CODE OF ETHICS. |
Not applicable.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
(a) | Please see schedule of investments contained in the Financial Statements and Financial Highlights included under Item 7 of this Form N-CSR. |
(b) | Not applicable. |
ITEM 7. | FINANCIAL STATEMENTS AND FINANCIAL HIGLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
1
| |
18
| |
19
| |
20
| |
21
| |
22
| |
36
| |
36
| |
36
| |
37
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Mortgage-Backed
Securities — 46.9% | |||||
FHLMC
— 1.8% | |||||
Federal
Home Loan Mortgage Corp. (FHLMC) |
5.500%
|
12/1/38
|
$3,497
|
$3,582
| |
Federal
Home Loan Mortgage Corp. (FHLMC) |
6.000%
|
7/1/41
|
94,366
|
99,096
| |
Federal
Home Loan Mortgage Corp. (FHLMC) |
3.500%
|
10/1/42-
3/1/43 |
240,980
|
226,878
| |
Federal
Home Loan Mortgage Corp. (FHLMC) |
2.000%
|
3/1/51-
4/1/51 |
2,388,766
|
1,999,074
| |
Federal
Home Loan Mortgage Corp. (FHLMC) |
6.500%
|
10/1/53
|
9,470,084
|
9,853,046
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
(1
year Refinitiv USD IBOR Consumer Cash
Fallbacks
+ 1.619%) |
2.919%
|
11/1/47
|
1,035,817
|
1,028,924
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
(1
year Refinitiv USD IBOR Consumer Cash
Fallbacks
+ 1.621%) |
3.098%
|
2/1/50
|
1,998,422
|
1,953,839
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
(1
year Refinitiv USD IBOR Consumer Cash
Fallbacks
+ 1.627%) |
3.006%
|
11/1/48
|
5,340,762
|
5,145,401
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
(5
year Treasury Constant Maturity Rate +
1.287%)
|
2.131%
|
3/1/47
|
897,222
|
862,851
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Gold
|
7.000%
|
3/1/39
|
9,802
|
10,500
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Gold
|
6.500%
|
9/1/39
|
33,209
|
34,485
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Gold
|
4.000%
|
4/1/43-
7/1/43 |
532,412
|
514,887
| |
Total
FHLMC |
21,732,563
| ||||
FNMA
— 9.9% | |||||
Federal
National Mortgage Association
(FNMA)
|
2.560%
|
11/1/31
|
4,448,671
|
4,028,915
| |
Federal
National Mortgage Association
(FNMA)
|
6.500%
|
11/1/37-
5/1/40 |
183,794
|
192,801
| |
Federal
National Mortgage Association
(FNMA)
|
5.000%
|
6/1/38-
12/1/47 |
980,526
|
1,002,297
| |
Federal
National Mortgage Association
(FNMA)
|
7.000%
|
2/1/39
|
13,399
|
14,486
| |
Federal
National Mortgage Association
(FNMA)
|
4.500%
|
6/1/42-
8/1/58 |
5,719,272
|
5,619,771
| |
Federal
National Mortgage Association
(FNMA)
|
4.000%
|
10/1/42-
6/1/57 |
3,891,710
|
3,757,135
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
FNMA
— continued | |||||
Federal
National Mortgage Association
(FNMA)
|
3.000%
|
6/1/43-
11/1/48 |
$6,911,078
|
$6,339,172
| |
Federal
National Mortgage Association
(FNMA)
|
5.500%
|
5/1/44-
7/1/53 |
740,221
|
754,908
| |
Federal
National Mortgage Association
(FNMA)
|
2.000%
|
8/1/50-
4/1/51 |
5,247,144
|
4,379,706
| |
Federal
National Mortgage Association
(FNMA)
|
6.000%
|
11/1/53
|
47,593,764
|
48,788,157
| |
Federal
National Mortgage Association
(FNMA)
|
2.000%
|
9/1/54
|
11,800,000
|
9,658,286
(b)
| |
Federal
National Mortgage Association
(FNMA)
|
2.500%
|
9/1/54
|
8,600,000
|
7,335,034
(b)
| |
Federal
National Mortgage Association
(FNMA)
|
5.000%
|
9/1/54
|
100,000
|
99,296
(b)
| |
Federal
National Mortgage Association
(FNMA)
|
5.500%
|
9/1/54
|
29,600,000
|
29,805,613
(b)
| |
Federal
National Mortgage Association
(FNMA)
|
2.500%
|
9/1/61
|
1,542,655
|
1,294,633
| |
Total
FNMA |
123,070,210
| ||||
GNMA
— 35.2% | |||||
Government
National Mortgage Association
(GNMA)
|
3.000%
|
9/15/42-
11/15/42 |
27,970,913
|
25,728,191
| |
Government
National Mortgage Association
(GNMA)
|
3.500%
|
6/15/48-
5/15/50 |
3,557,394
|
3,387,154
| |
Government
National Mortgage Association
(GNMA)
|
4.000%
|
3/15/50
|
62,643
|
60,298
| |
Government
National Mortgage Association
(GNMA)
II |
6.000%
|
8/20/37-
12/20/41 |
474,673
|
495,329
| |
Government
National Mortgage Association
(GNMA)
II |
4.500%
|
1/20/40-
9/20/52 |
36,635,252
|
36,206,416
| |
Government
National Mortgage Association
(GNMA)
II |
5.000%
|
7/20/40-
9/20/52 |
5,539,519
|
5,610,650
| |
Government
National Mortgage Association
(GNMA)
II |
3.500%
|
6/20/44-
2/20/50 |
25,259,995
|
23,768,751
| |
Government
National Mortgage Association
(GNMA)
II |
4.000%
|
9/20/45-
4/20/50 |
30,801,107
|
29,741,362
| |
Government
National Mortgage Association
(GNMA)
II |
3.000%
|
1/20/50-
3/20/52 |
662,492
|
597,803
| |
Government
National Mortgage Association
(GNMA)
II |
2.000%
|
12/20/50-
3/20/51 |
12,698,990
|
10,411,882
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
GNMA
— continued | |||||
Government
National Mortgage Association
(GNMA)
II |
2.500%
|
12/20/50-
10/20/51 |
$22,455,651
|
$19,471,279
| |
Government
National Mortgage Association
(GNMA)
II |
5.500%
|
3/20/53-
8/20/53 |
3,822,031
|
3,854,590
| |
Government
National Mortgage Association
(GNMA)
II |
2.500%
|
9/20/54
|
49,600,000
|
43,373,885
(b)
| |
Government
National Mortgage Association
(GNMA)
II |
3.000%
|
9/20/54
|
68,500,000
|
62,036,689
(b)
| |
Government
National Mortgage Association
(GNMA)
II |
3.500%
|
9/20/54
|
16,500,000
|
15,368,740
(b)
| |
Government
National Mortgage Association
(GNMA)
II |
4.000%
|
9/20/54
|
28,500,000
|
27,247,421
(b)
| |
Government
National Mortgage Association
(GNMA)
II |
4.500%
|
9/20/54
|
32,500,000
|
31,841,113
(b)
| |
Government
National Mortgage Association
(GNMA)
II |
5.000%
|
9/20/54
|
31,800,000
|
31,747,207
(b)
| |
Government
National Mortgage Association
(GNMA)
II |
5.500%
|
9/20/54
|
27,000,000
|
27,181,267
(b)
| |
Government
National Mortgage Association
(GNMA)
II |
6.000%
|
9/20/54
|
40,000,000
|
40,596,889
(b)
| |
Total
GNMA |
438,726,916
| ||||
| |||||
Total
Mortgage-Backed Securities (Cost — $595,474,442) |
583,529,689
| ||||
Collateralized
Mortgage Obligations(c)
— 41.9% | |||||
Alternative
Loan Trust, 2005-24 1A1 (Federal
Reserve
U.S. 12 mo. Cumulative Avg 1 Year
CMT
+ 1.310%) |
6.472%
|
7/20/35
|
175,245
|
153,802
(a)
| |
Alternative
Loan Trust, 2005-57CB 4A3 |
5.500%
|
12/25/35
|
205,753
|
113,921
| |
American
Home Mortgage Investment Trust,
2005-1
1A3 (1 mo. Term SOFR + 0.734%) |
6.084%
|
6/25/45
|
33,630
|
33,605
(a)
| |
Arbor
Realty Commercial Real Estate Notes
Ltd.,
2021-FL3 A (1 mo. Term SOFR + 1.184%) |
6.521%
|
8/15/34
|
1,578,239
|
1,574,298
(a)(d)
| |
AREIT
Trust, 2021-CRE5 A (1 mo. Term SOFR
+
1.194%) |
6.536%
|
11/17/38
|
1,607,550
|
1,601,592
(a)(d)
| |
Benchmark
Mortgage Trust, 2020-B21 B |
2.458%
|
12/17/53
|
13,020,000
|
10,512,232
| |
BHMS,
2018-ATLS A (1 mo. Term SOFR +
1.547%)
|
6.884%
|
7/15/35
|
8,350,000
|
8,350,119
(a)(d)
| |
BRSP
Ltd., 2021-FL1 A (1 mo. Term SOFR +
1.264%)
|
6.606%
|
8/19/38
|
3,482,517
|
3,462,528
(a)(d)
| |
BX,
2021-MFM1 A (1 mo. Term SOFR +
0.814%)
|
6.151%
|
1/15/34
|
1,645,597
|
1,632,990
(a)(d)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized
Mortgage Obligations(c)
— continued | |||||
BX
Commercial Mortgage Trust, 2021-VOLT A
(1
mo. Term SOFR + 0.814%) |
6.151%
|
9/15/36
|
$14,070,000
|
$13,947,120
(a)(d)
| |
BX
Commercial Mortgage Trust, 2021-XL2 A
(1
mo. Term SOFR + 0.803%) |
6.140%
|
10/15/38
|
31,239,445
|
30,870,866
(a)(d)
| |
BX
Mortgage Trust, 2021-PAC A (1 mo. Term
SOFR
+ 0.804%) |
6.141%
|
10/15/36
|
26,580,000
|
26,339,395
(a)(d)
| |
BX
Trust, 2019-OC11 B |
3.605%
|
12/9/41
|
3,200,000
|
2,958,012
(d)
| |
BX
Trust, 2021-ARIA A (1 mo. Term SOFR +
1.014%)
|
6.351%
|
10/15/36
|
13,415,000
|
13,315,532
(a)(d)
| |
BX
Trust, 2022-PSB A (1 mo. Term SOFR +
2.451%)
|
7.788%
|
8/15/39
|
9,934,177
|
9,977,630
(a)(d)
| |
Chevy
Chase Funding LLC Mortgage-Backed
Certificates,
2003-4A A1 (1 mo. Term SOFR +
0.794%)
|
6.072%
|
10/25/34
|
493,028
|
475,068
(a)(d)
| |
Commercial
Mortgage Trust, 2014-CR20 B |
4.239%
|
11/10/47
|
1,680,000
|
1,649,950
(a)
| |
Commercial
Mortgage Trust, 2018-COR3 B |
4.669%
|
5/10/51
|
5,310,000
|
4,623,278
(a)
| |
CSMC
Trust, 2014-USA A2 |
3.953%
|
9/15/37
|
3,290,000
|
2,939,838
(d)
| |
CSMC
Trust, 2017-RPL1 A1 |
2.750%
|
7/25/57
|
3,223,987
|
3,107,877
(a)(d)
| |
CSMC
Trust, 2017-RPL1 M1 |
2.977%
|
7/25/57
|
20,370,000
|
17,677,809
(a)(d)
| |
CSMC
Trust, 2017-RPL3 A1 |
4.000%
|
8/1/57
|
10,486,870
|
9,912,282
(a)(d)
| |
CSMC
Trust, 2017-RPL3 B2 |
4.547%
|
8/1/57
|
14,996,353
|
14,442,325
(a)(d)
| |
CSMC
Trust, 2019-UVIL A |
3.160%
|
12/15/41
|
10,000,000
|
9,115,384
(d)
| |
CSMC
Trust, 2021-AFC1 A1 |
0.830%
|
3/25/56
|
4,376,368
|
3,618,492
(a)(d)
| |
CSMC
Trust, 2021-RPL1 A1 |
4.067%
|
9/27/60
|
10,695,678
|
10,708,249
(a)(d)
| |
CSMC
Trust, 2021-RPL3 A1 |
2.000%
|
1/25/60
|
7,490,449
|
6,641,982
(a)(d)
| |
CSMC
Trust, 2021-RPL4 A1 |
4.068%
|
12/27/60
|
5,732,704
|
5,762,229
(a)(d)
| |
CSMC
Trust, 2022-7R 1A1 (30 Day Average
SOFR
+ 4.500%) |
9.846%
|
10/25/66
|
18,005,605
|
17,264,183
(a)(d)
| |
Extended
Stay America Trust, 2021-ESH A (1
mo.
Term SOFR + 1.194%) |
6.531%
|
7/15/38
|
7,817,629
|
7,790,436
(a)(d)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Multiclass
Certificates, 2020-RR07 AX, IO |
2.468%
|
9/27/28
|
6,000,000
|
487,846
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Multifamily
Structured Pass-Through
Certificates,
K064 X1, IO |
0.730%
|
3/25/27
|
46,642,446
|
594,034
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Multifamily
Structured Pass-Through
Certificates,
K091 X1, IO |
0.706%
|
3/25/29
|
6,506,278
|
146,686
(a)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized
Mortgage Obligations(c)
— continued | |||||
Federal
Home Loan Mortgage Corp. (FHLMC)
Multifamily
Structured Pass-Through
Certificates,
K093 X1, IO |
1.082%
|
5/25/29
|
$5,733,843
|
$207,032
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Multifamily
Structured Pass-Through
Certificates,
K118 X1, IO |
1.048%
|
9/25/30
|
27,269,538
|
1,265,792
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Multifamily
Structured Pass-Through
Certificates,
K121 X1, IO |
1.115%
|
10/25/30
|
53,801,751
|
2,629,738
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Multifamily
Structured Pass-Through
Certificates,
K122 X1, IO |
0.967%
|
11/25/30
|
18,364,843
|
790,335
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Multifamily
Structured Pass-Through
Certificates,
K740 X1, IO |
0.824%
|
9/25/27
|
35,135,214
|
659,889
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Multifamily
Structured Pass-Through
Certificates,
K1515 X1, IO |
1.635%
|
2/25/35
|
45,073,095
|
4,910,565
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Multifamily
Structured Pass-Through
Certificates,
K1516 X1, IO |
1.628%
|
5/25/35
|
29,663,476
|
3,456,086
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Multifamily
Structured Pass-Through
Certificates,
K1517 X1, IO |
1.436%
|
7/25/35
|
40,304,736
|
4,085,836
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Reference
REMIC, R007 ZA |
6.000%
|
5/15/36
|
10,524
|
11,063
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
3947 SG, IO (-1.000 x 30 Day Average
SOFR
+ 5.836%) |
0.482%
|
10/15/41
|
113,276
|
12,787
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
4298 PI, IO, PAC |
4.000%
|
4/15/43
|
42,752
|
531
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
4813 CJ |
3.000%
|
8/15/48
|
406,150
|
358,549
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
5018 MI, IO |
2.000%
|
10/25/50
|
1,250,472
|
169,549
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
5040 IB, IO |
2.500%
|
11/25/50
|
393,313
|
57,381
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
5274 IO, IO |
2.500%
|
1/25/51
|
20,959,412
|
3,546,326
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized
Mortgage Obligations(c)
— continued | |||||
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
Structured Agency Credit Risk Debt
Notes,
2021-DNA2 M2 (30 Day Average
SOFR
+ 2.300%) |
7.649%
|
8/25/33
|
$13,080,664
|
$13,315,464
(a)(d)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
Structured Agency Credit Risk Debt
Notes,
2021-DNA3 M2 (30 Day Average
SOFR
+ 2.100%) |
7.449%
|
10/25/33
|
25,033,680
|
25,455,039
(a)(d)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
STRIPS,
328 S4, IO |
0.803%
|
2/15/38
|
654,798
|
38,978
(a)
| |
Federal
Home Loan Mortgage Corp. (FHLMC)
Structured
Agency Credit Risk Debt Notes,
2015-DNA3
M3F (30 Day Average SOFR +
3.814%)
|
9.163%
|
4/25/28
|
1,773,872
|
1,816,928
(a)
| |
Federal
National Mortgage Association
(FNMA)
— CAS, 2021-R01 1M2 (30 Day
Average
SOFR + 1.550%) |
6.899%
|
10/25/41
|
10,634,681
|
10,680,176
(a)(d)
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2018-M15 1A2 |
3.700%
|
1/25/36
|
3,000,000
|
2,863,487
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2019-M19 X2, IO |
0.741%
|
9/25/29
|
33,907,028
|
830,885
(a)
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2019-M22 A2 |
2.522%
|
8/25/29
|
11,504,652
|
10,677,175
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2019-M28 XA2, IO |
0.321%
|
2/25/30
|
5,254,737
|
46,467
(a)
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2019-M28 XA3, IO |
0.707%
|
2/25/30
|
9,448,193
|
215,024
(a)
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2020-M4 1X2, IO |
0.841%
|
2/25/28
|
5,206,224
|
106,970
(a)
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2020-M4 1X3, IO |
1.121%
|
2/25/28
|
28,272,860
|
783,684
(a)
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2020-M26 X3, IO |
1.837%
|
1/25/28
|
8,057,211
|
252,814
(a)
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2020-M36 X1, IO |
1.543%
|
9/25/34
|
2,701,306
|
154,653
(a)
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2020-M51 X3, IO |
0.116%
|
12/25/30
|
74,520,000
|
327,754
(a)
| |
Federal
National Mortgage Association
(FNMA)
ACES, 2020-M54 X, IO |
1.597%
|
12/25/33
|
36,522,378
|
2,391,405
(a)
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2011-59 NZ |
5.500%
|
7/25/41
|
161,515
|
169,408
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized
Mortgage Obligations(c)
— continued | |||||
Federal
National Mortgage Association
(FNMA)
REMIC, 2012-28 B |
6.500%
|
6/25/39
|
$538
|
$552
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2012-75 AO, PO |
0.000%
|
3/25/42
|
7,036
|
6,313
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2012-75 NS, IO (-1.000 x 30
Day
Average SOFR + 6.486%) |
1.137%
|
7/25/42
|
28,706
|
3,733
(a)
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2012-93 UI, IO |
3.000%
|
9/25/27
|
98,769
|
2,737
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2012-134 SK, IO (-1.000 x 30
Day
Average SOFR + 6.036%) |
0.687%
|
12/25/42
|
236,392
|
28,105
(a)
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2013-9 CB |
5.500%
|
4/25/42
|
46,826
|
48,551
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2013-14 IG, IO |
4.000%
|
3/25/43
|
120,658
|
21,259
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2013-29 QI, IO |
4.000%
|
4/25/43
|
388,279
|
69,889
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2013-73 IB, IO |
3.500%
|
7/25/28
|
240,630
|
7,328
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2014-47 AI, IO |
0.696%
|
8/25/44
|
504,808
|
29,094
(a)
| |
Federal
National Mortgage Association
(FNMA)
REMIC, 2020-47 GZ |
2.000%
|
7/25/50
|
978,146
|
610,363
| |
Federal
National Mortgage Association
(FNMA)
STRIPS, 390 C3, IO |
6.000%
|
7/25/38
|
7,175
|
1,515
| |
Federal
National Mortgage Association
(FNMA)
STRIPS, 407 22, IO |
5.000%
|
1/25/39
|
5,031
|
944
| |
Federal
National Mortgage Association
(FNMA)
STRIPS, 407 23, IO |
5.000%
|
1/25/39
|
2,619
|
492
(a)
| |
Federal
National Mortgage Association
(FNMA)
STRIPS, 407 27, IO |
5.500%
|
1/25/39
|
2,722
|
563
(a)
| |
Federal
National Mortgage Association
(FNMA)
STRIPS, 407 34, IO |
5.000%
|
1/25/38
|
4,241
|
640
| |
Federal
National Mortgage Association
(FNMA)
STRIPS, 407 41, IO |
6.000%
|
1/25/38
|
6,344
|
1,306
| |
Federal
National Mortgage Association
(FNMA)
STRIPS, 407 C10, IO |
5.000%
|
1/25/38
|
26,387
|
4,116
| |
Federal
National Mortgage Association
(FNMA)
STRIPS, 409 C2, IO |
3.000%
|
4/25/27
|
28,789
|
742
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized
Mortgage Obligations(c)
— continued | |||||
Federal
National Mortgage Association
(FNMA)
STRIPS, 409 C13, IO |
3.500%
|
11/25/41
|
$42,059
|
$6,575
| |
FRESB
Mortgage Trust, 2015-SB7 A10 |
2.950%
|
9/25/35
|
1,687,349
|
1,651,973
(a)
| |
GMACM
Mortgage Loan Trust, 2006-AR1 1A1 |
3.619%
|
4/19/36
|
330,078
|
267,859
(a)
| |
Government
National Mortgage Association
(GNMA),
2010-85 HS, IO, PAC (-1.000 x 1 mo.
Term
SOFR + 6.536%) |
1.200%
|
1/20/40
|
43
|
0
(a)(e)
| |
Government
National Mortgage Association
(GNMA),
2011-140 AI, IO |
4.000%
|
10/16/26
|
10,351
|
1
| |
Government
National Mortgage Association
(GNMA),
2011-H01 AF (1 mo. Term SOFR +
0.564%)
|
5.896%
|
11/20/60
|
127,116
|
126,866
(a)
| |
Government
National Mortgage Association
(GNMA),
2011-H11 FB (1 mo. Term SOFR +
0.614%)
|
5.946%
|
4/20/61
|
186,989
|
186,598
(a)
| |
Government
National Mortgage Association
(GNMA),
2012-43 SN, IO (-1.000 x 1 mo. Term
SOFR
+ 6.486%) |
1.147%
|
4/16/42
|
1,209,055
|
194,776
(a)
| |
Government
National Mortgage Association
(GNMA),
2013-105 IO, IO |
0.151%
|
6/16/54
|
13,739,161
|
14,324
(a)
| |
Government
National Mortgage Association
(GNMA),
2014-134 IA, IO |
0.141%
|
1/16/55
|
49,531,308
|
218,614
(a)
| |
Government
National Mortgage Association
(GNMA),
2014-157 IO, IO |
0.188%
|
5/16/55
|
7,552,324
|
46,843
(a)
| |
Government
National Mortgage Association
(GNMA),
2014-176 IA, IO |
4.000%
|
11/20/44
|
359,095
|
70,093
| |
Government
National Mortgage Association
(GNMA),
2015-36 MI, IO |
5.500%
|
3/20/45
|
451,007
|
64,106
| |
Government
National Mortgage Association
(GNMA),
2015-167 OI, IO |
4.000%
|
4/16/45
|
189,519
|
34,161
| |
Government
National Mortgage Association
(GNMA),
2017-28 IO, IO |
0.702%
|
2/16/57
|
753,528
|
28,878
(a)
| |
Government
National Mortgage Association
(GNMA),
2018-H07 FD (1 mo. Term SOFR +
0.414%)
|
5.746%
|
5/20/68
|
392,817
|
393,005
(a)
| |
Government
National Mortgage Association
(GNMA),
2019-90 AB |
3.000%
|
7/20/49
|
3,190,790
|
2,872,062
| |
Government
National Mortgage Association
(GNMA),
2019-H01 FT (1 mo. Term SOFR +
0.514%)
|
5.846%
|
10/20/68
|
60,388
|
60,226
(a)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized
Mortgage Obligations(c)
— continued | |||||
Government
National Mortgage Association
(GNMA),
2019-H08 FE (1 mo. Term SOFR +
0.764%)
|
6.096%
|
1/20/69
|
$390,694
|
$387,773
(a)
| |
Government
National Mortgage Association
(GNMA),
2020-47 MI, IO, PAC |
3.500%
|
4/20/50
|
1,298,278
|
236,111
| |
Government
National Mortgage Association
(GNMA),
2020-47 NI, IO, PAC |
3.500%
|
4/20/50
|
589,317
|
107,483
| |
Government
National Mortgage Association
(GNMA),
2020-127 IN, IO |
2.500%
|
8/20/50
|
548,677
|
76,225
| |
Government
National Mortgage Association
(GNMA),
2020-129 IE, IO |
2.500%
|
9/20/50
|
573,284
|
78,672
| |
Government
National Mortgage Association
(GNMA),
2020-160 IH, IO |
2.500%
|
10/20/50
|
370,071
|
52,556
| |
Government
National Mortgage Association
(GNMA),
2020-160 VI, IO |
2.500%
|
10/20/50
|
641,043
|
88,967
| |
Government
National Mortgage Association
(GNMA),
2020-H09 FL (1 mo. Term SOFR +
1.264%)
|
6.596%
|
5/20/70
|
1,773,923
|
1,795,785
(a)
| |
Government
National Mortgage Association
(GNMA),
2020-H09 NF (1 mo. Term SOFR +
1.364%)
|
6.696%
|
4/20/70
|
1,802,747
|
1,823,647
(a)
| |
Government
National Mortgage Association
(GNMA),
2020-H12 F (1 mo. Term SOFR +
0.614%)
|
5.946%
|
7/20/70
|
481,604
|
475,464
(a)
| |
Government
National Mortgage Association
(GNMA),
2020-H13 FC (1 mo. Term SOFR +
0.564%)
|
5.896%
|
7/20/70
|
223,024
|
219,370
(a)
| |
Government
National Mortgage Association
(GNMA),
2020-H13 FM (1 mo. Term SOFR +
0.514%)
|
5.846%
|
8/20/70
|
1,798,191
|
1,788,058
(a)
| |
Government
National Mortgage Association
(GNMA),
2020-171 IO, IO |
0.957%
|
10/16/60
|
85,723,250
|
5,786,362
(a)
| |
Greystone
CRE Notes Ltd., 2021-FL3 A (1 mo.
Term
SOFR + 1.134%) |
6.471%
|
7/15/39
|
3,880,000
|
3,859,389
(a)(d)
| |
GS
Mortgage Securities Corp. Trust, 2021-
ROSS
C (1 mo. Term SOFR + 2.264%) |
7.601%
|
5/15/26
|
2,894,000
|
1,827,422
(a)(d)
| |
GS
Mortgage Securities Corp. Trust, 2021-
ROSS
D (1 mo. Term SOFR + 2.764%) |
8.101%
|
5/15/26
|
8,660,000
|
4,279,444
(a)(d)
| |
GS
Mortgage Securities Trust, 2018-GS9 B |
4.321%
|
3/10/51
|
1,725,000
|
1,572,814
(a)
| |
GS
Mortgage-Backed Securities Corp. Trust,
2021-RPL1
A2 |
2.000%
|
12/25/60
|
16,090,000
|
13,725,959
(a)(d)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized
Mortgage Obligations(c)
— continued | |||||
GS
Mortgage-Backed Securities Trust, 2018-
RPL1
A1A |
3.750%
|
10/25/57
|
$8,880,920
|
$8,662,146
(d)
| |
HomeBanc
Mortgage Trust, 2004-2 A1 (1 mo.
Term
SOFR + 0.854%) |
6.132%
|
12/25/34
|
913,610
|
862,591
(a)
| |
IMPAC
CMB Trust, 2004-7 1A1 (1 mo. Term
SOFR
+ 0.854%) |
6.132%
|
11/25/34
|
1,424,858
|
1,402,454
(a)
| |
JPMBB
Commercial Mortgage Securities
Trust,
2015-C30 AS |
4.226%
|
7/15/48
|
10,544,000
|
10,053,035
(a)
| |
JPMorgan
Chase Commercial Mortgage
Securities
Trust, 2014-C20, C |
4.682%
|
7/15/47
|
700,000
|
610,563
(a)
| |
JPMorgan
Mortgage Trust, 2018-4 A1 |
3.500%
|
10/25/48
|
1,724,074
|
1,544,612
(a)(d)
| |
JPMorgan
Resecuritization Trust, 2014-6 1A2
(1
mo. Term SOFR + 0.324%) |
3.244%
|
7/27/36
|
3,952,315
|
3,598,282
(a)(d)
| |
KREF
Ltd., 2021-FL2 A (1 mo. Term SOFR +
1.184%)
|
6.523%
|
2/15/39
|
4,351,179
|
4,268,189
(a)(d)
| |
MASTR
Adjustable Rate Mortgages Trust,
2005-7
3A1 |
3.842%
|
9/25/35
|
55,683
|
34,094
(a)
| |
Merrill
Lynch Mortgage Investors Trust,
2006-A1
1A1 |
4.871%
|
3/25/36
|
277,460
|
167,385
(a)
| |
MF1
Ltd., 2021-FL7 A (1 mo. Term SOFR +
1.194%)
|
6.536%
|
10/16/36
|
2,916,320
|
2,900,828
(a)(d)
| |
MIC
Trust, 2023-MIC A |
8.732%
|
12/5/38
|
3,470,000
|
3,813,004
(a)(d)
| |
Morgan
Stanley Bank of America Merrill
Lynch
Trust, 2017-C33 A5 |
3.599%
|
5/15/50
|
5,580,000
|
5,383,033
| |
MSWF
Commercial Mortgage Trust, 2023-2
A5
|
6.014%
|
12/15/56
|
8,800,000
|
9,568,418
(a)
| |
New
Residential Mortgage Loan Trust,
2016-3A
A1B |
3.250%
|
9/25/56
|
2,145,249
|
2,014,990
(a)(d)
| |
New
Residential Mortgage Loan Trust,
2016-4A
A1 |
3.750%
|
11/25/56
|
2,673,306
|
2,541,491
(a)(d)
| |
New
Residential Mortgage Loan Trust,
2017-4A
A1 |
4.000%
|
5/25/57
|
8,582,710
|
8,268,274
(a)(d)
| |
New
Residential Mortgage Loan Trust,
2019-2A
A1 |
4.250%
|
12/25/57
|
10,801,219
|
10,542,661
(a)(d)
| |
New
Residential Mortgage Loan Trust, 2021-
NQM3
A1 |
1.156%
|
11/27/56
|
4,319,820
|
3,714,353
(a)(d)
| |
OPG
Trust, 2021-PORT D (1 mo. Term SOFR +
1.245%)
|
6.582%
|
10/15/36
|
2,450,500
|
2,386,903
(a)(d)
| |
PRKCM
Trust, 2021-AFC1 A1 |
1.510%
|
8/25/56
|
14,875,671
|
12,518,631
(a)(d)
| |
RALI
Trust, 2006-QO7 3A2 (1 mo. Term SOFR
+
0.524%) |
5.802%
|
9/25/46
|
237,459
|
228,450
(a)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized
Mortgage Obligations(c)
— continued | |||||
RAMP
Trust, 2005-SL1 A7 |
8.000%
|
5/25/32
|
$11,553
|
$7,487
| |
SFO
Commercial Mortgage Trust, 2021-555 A
(1
mo. Term SOFR + 1.264%) |
6.601%
|
5/15/38
|
16,490,000
|
15,542,471
(a)(d)
| |
SREIT
Trust, 2021-PALM A (1 mo. Term SOFR
+
0.704%) |
6.041%
|
10/15/34
|
12,605,000
|
12,404,710
(a)(d)
| |
Structured
Adjustable Rate Mortgage Loan
Trust,
2004-2 4A1 |
5.897%
|
3/25/34
|
54,985
|
52,845
(a)
| |
Structured
Asset Mortgage Investments II
Trust,
2005-AR7 4A1 (Federal Reserve U.S. 12
mo.
Cumulative Avg 1 Year CMT + 2.150%) |
7.312%
|
3/25/46
|
85,724
|
79,061
(a)
| |
Structured
Asset Securities Corp. Mortgage
Pass-Through
Certificates, 2003-9A 2A2 |
6.651%
|
3/25/33
|
51,596
|
50,017
(a)
| |
Towd
Point Mortgage Trust, 2019-HY2 A1 (1
mo.
Term SOFR + 1.114%) |
6.392%
|
5/25/58
|
4,723,197
|
4,868,401
(a)(d)
| |
Towd
Point Mortgage Trust, 2020-2 M1B |
3.000%
|
4/25/60
|
8,740,000
|
6,988,562
(a)(d)
| |
WaMu
Mortgage Pass-Through Certificates
Trust,
2004-AR13 A1B2 (1 mo. Term SOFR +
1.094%)
|
6.372%
|
11/25/34
|
3,495,885
|
3,264,629
(a)
| |
WaMu
Mortgage Pass-Through Certificates
Trust,
2005-AR9 A1A (1 mo. Term SOFR +
0.754%)
|
6.032%
|
7/25/45
|
30,143
|
29,882
(a)
| |
Wells
Fargo Commercial Mortgage Trust,
2017-C38
A5 |
3.453%
|
7/15/50
|
2,030,000
|
1,957,473
| |
WFRBS
Commercial Mortgage Trust, 2014-
C24
B |
4.204%
|
11/15/47
|
1,670,000
|
1,566,489
(a)
| |
| |||||
Total
Collateralized Mortgage Obligations (Cost — $551,895,887) |
521,242,477
| ||||
Asset-Backed
Securities — 12.5% | |||||
Bayview
Financial Asset Trust, 2007-SR1A
M2
(1 mo. Term SOFR + 1.014%) |
6.292%
|
3/25/37
|
277,838
|
275,531
(a)(d)
| |
Blackbird
Capital Aircraft Lease
Securitization
Ltd., 2016-1A A, Step bond
(4.213%
to 12/15/24 then 6.500%) |
4.213%
|
12/16/41
|
9,292,092
|
9,217,313
(d)
| |
Countrywide
Asset-Backed Certificates Trust,
2004-5
2A (1 mo. Term SOFR + 0.614%) |
5.892%
|
10/25/34
|
1,578,850
|
1,538,227
(a)
| |
Countrywide
Asset-Backed Certificates Trust,
2006-SD3
A1 (1 mo. Term SOFR + 0.774%) |
6.052%
|
7/25/36
|
5,601
|
5,554
(a)(d)
| |
Foundation
Finance Trust, 2021-1A A |
1.270%
|
5/15/41
|
2,361,970
|
2,187,340
(d)
| |
Goodgreen
Trust, 2021-1A A |
2.660%
|
10/15/56
|
7,378,699
|
6,311,038
(d)
| |
Hertz
Vehicle Financing LLC, 2021-1A A |
1.210%
|
12/26/25
|
981,333
|
973,022
(d)
| |
Hertz
Vehicle Financing LP, 2021-2A A |
1.680%
|
12/27/27
|
6,380,000
|
5,969,171
(d)
| |
Hertz
Vehicle Financing LP, 2021-2A B |
2.120%
|
12/27/27
|
8,290,000
|
7,718,110
(d)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Asset-Backed
Securities — continued | |||||
MASTR
Asset-Backed Securities Trust, 2007-
NCW
A1 (1 mo. Term SOFR + 0.414%) |
5.692%
|
5/25/37
|
$3,757,535
|
$3,335,962
(a)(d)
| |
Morgan
Stanley Mortgage Loan Trust, 2007-
2AX
2A1 (1 mo. Term SOFR + 0.294%) |
5.572%
|
12/25/36
|
17,985
|
6,520
(a)
| |
Navient
Private Education Refi Loan Trust,
2019-FA
A2 |
2.600%
|
8/15/68
|
7,282,259
|
6,944,346
(d)
| |
Navient
Student Loan Trust, 2017-2A A (30
Day
Average SOFR + 1.164%) |
6.513%
|
12/27/66
|
18,428,941
|
18,493,520
(a)(d)
| |
Navient
Student Loan Trust, 2021-1A A1B (30
Day
Average SOFR + 0.714%) |
6.063%
|
12/26/69
|
1,694,724
|
1,675,594
(a)(d)
| |
Nelnet
Student Loan Trust, 2021-A B1 |
2.850%
|
4/20/62
|
17,500,000
|
15,184,771
(d)
| |
Origen
Manufactured Housing Contract Trust,
2007-A
A2 |
7.850%
|
4/15/37
|
145,842
|
137,347
(a)
| |
RAAC
Trust, 2006-SP1 M1 (1 mo. Term SOFR
+
0.714%) |
5.992%
|
9/25/45
|
448,877
|
438,859
(a)
| |
Renaissance
Home Equity Loan Trust, 2003-2
A
|
3.602%
|
8/25/33
|
534,759
|
490,341
(a)
| |
Renaissance
Home Equity Loan Trust, 2007-3
AV2
(1 mo. Term SOFR + 1.114%) |
6.392%
|
9/25/37
|
155,999
|
134,005
(a)
| |
Renaissance
Home Equity Loan Trust, 2007-3
AV3
(1 mo. Term SOFR + 1.914%) |
7.192%
|
9/25/37
|
682,999
|
586,642
(a)
| |
Residential
Funding Securities Corp., 2002-
RP2
A1 (1 mo. Term SOFR + 1.614%) |
6.892%
|
10/25/32
|
1,503
|
1,485
(a)(d)
| |
SLM
Student Loan Trust, 2003-10A A4 (90
Day
Average SOFR + 0.931%) |
6.284%
|
12/17/68
|
5,679,974
|
5,668,988
(a)(d)
| |
SMB
Private Education Loan Trust, 2020-A
A2A
|
2.230%
|
9/15/37
|
9,086,133
|
8,669,657
(d)
| |
SMB
Private Education Loan Trust, 2021-A
A2B
|
1.590%
|
1/15/53
|
12,012,140
|
10,964,683
(d)
| |
SMB
Private Education Loan Trust, 2021-A B |
2.310%
|
1/15/53
|
7,389,059
|
7,020,098
(d)
| |
SMB
Private Education Loan Trust, 2021-C D |
3.930%
|
1/15/53
|
2,714,400
|
2,408,732
(d)
| |
SMB
Private Education Loan Trust, 2023-B
A1B
(30 Day Average SOFR + 1.800%) |
7.154%
|
10/16/56
|
5,256,925
|
5,374,366
(a)(d)
| |
SMB
Private Education Loan Trust, 2024-A
A1A
|
5.240%
|
3/15/56
|
24,011,534
|
24,377,561
(d)
| |
Structured
Asset Securities Corp., 2004-SC1
A
|
8.145%
|
12/25/29
|
5,790
|
5,153
(a)(d)
| |
Structured
Asset Securities Corp. Mortgage
Pass-Through
Certificates, 2001-SB1 A2 |
3.375%
|
8/25/31
|
22,356
|
22,273
| |
Sunrun
Vulcan Issuer LLC, 2021-1A A |
2.460%
|
1/30/52
|
2,929,938
|
2,499,145
(d)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Asset-Backed
Securities — continued | |||||
Thrust
Engine Leasing, 2021-1A A |
4.163%
|
7/15/40
|
$7,584,440
|
$7,251,971
(d)
| |
| |||||
Total
Asset-Backed Securities (Cost — $163,853,636) |
155,887,325
| ||||
Corporate
Bonds & Notes — 4.2% | |||||
Communication
Services — 1.1% | |||||
Diversified
Telecommunication Services — 0.4% | |||||
AT&T
Inc., Senior Notes |
2.250%
|
2/1/32
|
1,100,000
|
928,054
| |
Verizon
Communications Inc., Senior Notes |
2.355%
|
3/15/32
|
2,210,000
|
1,878,479
| |
Verizon
Communications Inc., Senior Notes |
4.500%
|
8/10/33
|
2,160,000
|
2,101,439
| |
Total
Diversified Telecommunication Services |
4,907,972
| ||||
Media
— 0.4% | |||||
Charter
Communications Operating LLC/
Charter
Communications Operating Capital
Corp.,
Senior Secured Notes |
5.375%
|
5/1/47
|
900,000
|
750,998
| |
Charter
Communications Operating LLC/
Charter
Communications Operating Capital
Corp.,
Senior Secured Notes |
5.125%
|
7/1/49
|
2,890,000
|
2,317,410
| |
Comcast
Corp., Senior Notes |
3.969%
|
11/1/47
|
1,460,000
|
1,192,610
| |
Comcast
Corp., Senior Notes |
2.887%
|
11/1/51
|
1,170,000
|
766,534
| |
Total
Media |
5,027,552
| ||||
Wireless
Telecommunication Services — 0.3% | |||||
T-Mobile
USA Inc., Senior Notes |
3.875%
|
4/15/30
|
3,410,000
|
3,281,613
| |
| |||||
Total
Communication Services |
13,217,137
| ||||
Energy
— 0.6% | |||||
Oil,
Gas & Consumable Fuels — 0.6% | |||||
EOG
Resources Inc., Senior Notes |
3.900%
|
4/1/35
|
2,210,000
|
2,040,580
| |
EQT
Corp., Senior Notes |
7.000%
|
2/1/30
|
5,000,000
|
5,450,545
| |
| |||||
Total
Energy |
7,491,125
| ||||
Financials
— 0.6% | |||||
Banks
— 0.4% | |||||
BAC
Capital Trust XIV, Ltd. GTD (3 mo. Term
SOFR
+ 0.662%) |
6.001%
|
9/16/24
|
200,000
|
170,685
(a)(f)
| |
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
|
800,000
|
786,871
(a)
| |
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
|
4,420,000
|
4,147,937
(a)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
| |||||
Banks
— continued | |||||
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
|
$880,000
|
$812,029
(a)(d)
| |
Total
Banks |
5,917,522
| ||||
Capital
Markets — 0.2% | |||||
UBS
AG, Senior Notes |
3.700%
|
2/21/25
|
2,250,000
|
2,234,233
| |
| |||||
Total
Financials |
8,151,755
| ||||
Industrials
— 1.6% | |||||
Air
Freight & Logistics — 1.6% | |||||
DP
World Ltd., Senior Notes |
5.625%
|
9/25/48
|
20,510,000
|
20,472,313
(d)
| |
| |||||
Materials
— 0.3% | |||||
Chemicals
— 0.2% | |||||
OCP
SA, Senior Notes |
4.500%
|
10/22/25
|
1,980,000
|
1,962,620
(d)
| |
Metals
& Mining — 0.1% | |||||
Freeport-McMoRan
Inc., Senior Notes |
5.450%
|
3/15/43
|
1,550,000
|
1,519,258
| |
| |||||
Total
Materials |
3,481,878
| ||||
Total
Corporate Bonds & Notes (Cost — $54,015,725) |
52,814,208
| ||||
U.S.
Government & Agency Obligations — 3.3% | |||||
U.S.
Government Obligations — 3.3% | |||||
U.S.
Treasury Notes (Cost — $39,494,828) |
4.000%
|
1/31/29
|
40,000,000
|
40,410,938
| |
| |||||
Sovereign
Bonds — 0.8% | |||||
Mexico
— 0.7% | |||||
Mexico
Government International Bond,
Senior
Notes |
4.600%
|
2/10/48
|
6,810,000
|
5,413,876
| |
Mexico
Government International Bond,
Senior
Notes |
5.750%
|
10/12/2110
|
3,430,000
|
2,943,968
| |
Total
Mexico |
8,357,844
| ||||
Qatar
— 0.1% | |||||
Qatar
Government International Bond, Senior
Notes
|
4.817%
|
3/14/49
|
1,880,000
|
1,850,261
(d)
| |
| |||||
Total
Sovereign Bonds (Cost — $12,597,952) |
10,208,105
| ||||
Total
Investments before Short-Term Investments (Cost — $1,417,332,470) |
1,364,092,742
| ||||
| |||||
Short-Term
Investments — 13.7% | |||||
U.S.
Treasury Bills — 7.7% | |||||
U.S.
Cash Management Bill |
4.048%
|
9/12/24
|
34,130,000
|
34,085,503
(g)
| |
U.S.
Treasury Bills |
5.020%
|
10/31/24
|
18,500,000
|
18,349,184
(g)
| |
U.S.
Treasury Bills |
5.012%
|
11/29/24
|
21,960,000
|
21,696,773
(g)
| |
U.S.
Treasury Bills |
4.505%
|
5/15/25
|
21,970,000
|
21,298,804
(g)
| |
| |||||
Total
U.S. Treasury Bills (Cost — $95,304,161) |
95,430,264
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Repurchase
Agreements — 2.0% | |||||
Goldman
Sachs & Co. repurchase agreement
dated
8/30/24; Proceeds at maturity —
$25,014,611;
(Fully collateralized by U.S.
government
obligations, 3.750% due
12/31/28;
Market value—$25,310,950) (Cost
—
$25,000,000) |
5.260%
|
9/3/24
|
$25,000,000
|
$25,000,000
| |
|
|
|
|
Shares
|
|
Overnight
Deposits — 4.0% | |||||
BNY
Mellon Cash Reserve Fund
(Cost
— $49,909,425) |
2.100%
|
|
49,909,425
|
49,909,425
(h)
| |
| |||||
Total
Short-Term Investments (Cost — $170,213,586) |
170,339,689
| ||||
Total
Investments — 123.3% (Cost — $1,587,546,056) |
1,534,432,431
| ||||
Liabilities
in Excess of Other Assets — (23.3)% |
(289,599,783
) | ||||
Total
Net Assets — 100.0% |
$1,244,832,648
|
(a)
|
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. |
(b)
|
This
security is traded on a to-be-announced (“TBA”) basis. At August 31, 2024, the Fund held TBA securities with
a
total cost of $326,036,668. |
(c)
|
Collateralized
mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through
certificates
that are structured to direct payments on underlying collateral to different series or classes of the
obligations.
The interest rate may change positively or inversely in relation to one or more interest rates, financial
indices
or other financial indicators and may be subject to an upper and/or lower limit. |
(d)
|
Security
is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in
transactions
that are exempt from registration, normally to qualified institutional buyers. This security has been
deemed
liquid pursuant to guidelines approved by the Board of Trustees.
|
(e)
|
Value
is less than $1. |
(f)
|
Security
has no maturity date. The date shown represents the next call date. |
(g)
|
Rate
shown represents yield-to-maturity. |
(h)
|
Rate
shown is one-day yield as of the end of the reporting period.
|
Abbreviation(s)
used in this schedule: | ||
ACES
|
—
|
Alternative
Credit Enhancement Securities |
CAS
|
—
|
Connecticut
Avenue Securities |
CMT
|
—
|
Constant
Maturity Treasury |
GTD
|
—
|
Guaranteed
|
IBOR
|
—
|
Interbank
Offered Rate |
IO
|
—
|
Interest
Only |
PAC
|
—
|
Planned
Amortization Class |
PO
|
—
|
Principal
Only |
REMIC
|
—
|
Real
Estate Mortgage Investment Conduit |
SOFR
|
—
|
Secured
Overnight Financing Rate |
STRIPS
|
—
|
Separate
Trading of Registered Interest and Principal Securities |
USD
|
—
|
United
States Dollar |
|
Number
of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
Contracts
to Buy: |
|
|
|
|
|
U.S.
Treasury 2-Year
Notes
|
2,068
|
12/24
|
$429,187,329
|
$429,206,940
|
$19,611
|
U.S.
Treasury 5-Year
Notes
|
18,782
|
12/24
|
2,060,831,683
|
2,054,721,500
|
(6,110,183
) |
U.S.
Treasury 10-Year
Notes
|
69
|
12/24
|
7,877,471
|
7,835,812
|
(41,659
) |
U.S.
Treasury Long-
Term
Bonds |
38
|
12/24
|
4,739,660
|
4,678,750
|
(60,910
) |
|
|
|
|
|
(6,193,141
) |
Contracts
to Sell: |
|
|
|
|
|
U.S.
Treasury Ultra
10-Year
Notes |
19
|
12/24
|
2,246,764
|
2,231,313
|
15,451
|
U.S.
Treasury Ultra
Long-Term
Bonds |
301
|
12/24
|
40,258,082
|
39,713,188
|
544,894
|
|
|
|
|
|
560,345
|
Net
unrealized depreciation on open futures contracts |
$(5,632,796
) |
CENTRALLY
CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1
| ||||||
Reference
Entity |
Notional
Amount2
|
Termination
Date
|
Periodic
Payments
Received
by
the
Fund†
|
Market
Value3
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
|
Markit
CDX.NA.IG.42 Index |
$130,599,000
|
6/20/29
|
1.000%
quarterly |
$2,895,715
|
$2,642,853
|
$252,862
|
1
|
If
the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap
agreement,
the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the
swap
and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii)
pay
a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the
recovery
value of the referenced obligation or underlying securities comprising the referenced index. |
2
|
The
maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a
buyer
of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
3
|
The
quoted market prices and resulting values for credit default swap agreements on asset-backed securities and
credit
indices serve as an indicator of the current status of the payment/performance risk and represent the
likelihood
of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement
been
closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy
protection),
when compared to the notional amount of the swap, represent a deterioration of the referenced
entity’s
credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under
the
terms of the agreement. |
†
|
Percentage
shown is an annual percentage rate. |
Assets:
|
|
Investments,
at value (Cost — $1,587,546,056) |
$1,534,432,431
|
Cash
|
1,816
|
Receivable
for securities sold
|
81,167,310
|
Deposits
with brokers for open futures contracts |
25,996,138
|
Interest
receivable |
4,535,919
|
Deposits
with brokers for centrally cleared swap contracts |
2,806,365
|
Receivable
for Fund shares sold |
486,556
|
Principal
paydown receivable |
82,681
|
Receivable
from brokers — net variation margin on centrally cleared swap contracts |
53,809
|
Receivable
from investment manager |
27,122
|
Prepaid
expenses |
15,486
|
Total
Assets |
1,649,605,633
|
Liabilities:
|
|
Payable
for securities purchased |
377,910,242
|
Payable
for Fund shares repurchased |
22,868,626
|
Payable
to brokers — net variation margin on open futures contracts |
3,898,217
|
Trustees’
fees payable |
5,486
|
Accrued
expenses |
90,414
|
Total
Liabilities |
404,772,985
|
Total
Net Assets |
$1,244,832,648
|
Net
Assets: |
|
Par
value (Note
5) |
$1,562
|
Paid-in
capital in excess of par value |
1,844,992,517
|
Total
distributable earnings (loss)
|
(600,161,431
) |
Total
Net Assets |
$1,244,832,648
|
Shares
Outstanding |
156,171,779
|
Net
Asset Value |
$7.97
|
Investment
Income: |
|
Interest
|
$31,880,604
|
Total
Investment Income |
31,880,604
|
Expenses:
|
|
Fund
accounting fees |
41,374
|
Audit
and tax fees |
24,702
|
Registration
fees |
23,093
|
Legal
fees |
22,808
|
Trustees’
fees |
16,470
|
Shareholder
reports |
12,766
|
Commitment
fees (Note
6) |
6,202
|
Commodity
pool reports |
5,861
|
Transfer
agent fees (Note 2) |
1,669
|
Custody
fees |
1,274
|
Miscellaneous
expenses |
5,937
|
Total
Expenses |
162,156
|
Less:
Fee waivers and/or expense reimbursements (Note
2) |
(162,156
) |
Net
Expenses |
—
|
Net
Investment Income |
31,880,604
|
Realized
and Unrealized Gain (Loss) on Investments, Futures Contracts and Swap Contracts
(Notes
1, 3 and 4): | |
Net
Realized Gain From: |
|
Investment
transactions |
3,205,084
|
Futures
contracts |
36,164,494
|
Swap
contracts |
1,921,829
|
Net
Realized Gain
|
41,291,407
|
Change
in Net Unrealized Appreciation (Depreciation) From: |
|
Investments
|
28,711,530
|
Futures
contracts |
(7,429,252
) |
Swap
contracts |
(1,057,451
) |
Change
in Net Unrealized Appreciation (Depreciation)
|
20,224,827
|
Net
Gain on Investments, Futures Contracts and Swap Contracts
|
61,516,234
|
Increase
in Net Assets From Operations |
$93,396,838
|
For
the Six Months Ended August 31, 2024 (unaudited)
and
the Year Ended February 29, 2024 |
August
31 |
February
29 |
Operations:
|
|
|
Net
investment income
|
$31,880,604
|
$63,381,918
|
Net
realized gain (loss)
|
41,291,407
|
(67,808,570
) |
Change
in net unrealized appreciation (depreciation)
|
20,224,827
|
32,643,039
|
Increase
in Net Assets From Operations |
93,396,838
|
28,216,387
|
Distributions
to Shareholders From (Note
1): |
|
|
Total
distributable earnings |
(31,743,872
) |
(67,860,612
) |
Decrease
in Net Assets From Distributions to Shareholders |
(31,743,872
) |
(67,860,612
) |
Fund
Share Transactions (Note
5): |
|
|
Net
proceeds from sale of shares
|
148,122,591
|
404,132,769
|
Cost
of shares repurchased
|
(308,009,423
) |
(452,739,286
) |
Decrease
in Net Assets From Fund Share Transactions |
(159,886,832
) |
(48,606,517
) |
Decrease
in Net Assets |
(98,233,866
) |
(88,250,742
) |
Net
Assets: |
|
|
Beginning
of period |
1,343,066,514
|
1,431,317,256
|
End
of period |
$1,244,832,648
|
$1,343,066,514
|
For
a share of beneficial interest outstanding throughout each year ended February 28,
unless
otherwise noted: | ||||||
|
20241,2
|
20241,3
|
20231
|
20221
|
20211
|
20201,3
|
Net
asset value, beginning of period |
$7.61
|
$7.82
|
$10.12
|
$10.88
|
$11.04
|
$10.85
|
Income
(loss) from operations: | ||||||
Net
investment income |
0.18
|
0.35
|
0.25
|
0.12
|
0.17
|
0.30
|
Net
realized and unrealized gain (loss) |
0.36
|
(0.18
) |
(2.25
) |
(0.62
) |
0.43
|
0.67
|
Total
income (loss) from operations |
0.54
|
0.17
|
(2.00)
|
(0.50)
|
0.60
|
0.97
|
Less
distributions from: |
|
|
|
|
|
|
Net
investment income |
(0.18
) |
(0.38
) |
(0.30
) |
(0.26
) |
(0.26
) |
(0.33
) |
Net
realized gains |
—
|
—
|
—
|
—
|
(0.50
) |
(0.45
) |
Total
distributions
|
(0.18
) |
(0.38
) |
(0.30
) |
(0.26
) |
(0.76
) |
(0.78
) |
Net
asset value, end of period |
$7.97
|
$7.61
|
$7.82
|
$10.12
|
$10.88
|
$11.04
|
Total
return4
|
7.27
% |
2.17
% |
(19.91
)% |
(4.69
)% |
5.53
% |
9.14
% |
Net
assets, end of period (millions)
|
$1,245
|
$1,343
|
$1,431
|
$2,164
|
$2,706
|
$3,300
|
Ratios
to average net assets: | ||||||
Gross
expenses5
|
0.02
%6
|
0.02
% |
0.02
% |
0.02
% |
0.02
% |
0.02
% |
Net
expenses7,8
|
0.00
6
|
0.00
|
0.00
|
0.00
|
0.00
|
0.00
|
Net
investment income |
4.77
6
|
4.54
|
2.88
|
1.11
|
1.56
|
2.71
|
Portfolio
turnover rate9
|
83
% |
142
% |
83
% |
140
% |
381
% |
486
% |
1
|
Per
share amounts have been calculated using the average shares method. |
2
|
For
the six months ended August 31, 2024 (unaudited). |
3
|
For
the year ended February 29. |
4
|
Performance
figures do not reflect the effect of fees and expenses associated with a separately managed account,
nor
a management fee or other operating expenses of the Fund. Such management fees are paid directly or
indirectly
by the separately managed account sponsor to the Fund’s manager or subadvisers. All operating
expenses
of the Fund were reimbursed by the manager, pursuant to an expense reimbursement arrangement
between
the Fund and the manager. If such fees were included, the total return would have been lower. Past
performance
is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
5
|
Gross
expenses do not include management fees paid to the manager and subadvisers. Management fees are paid
directly
or indirectly by the separately managed account sponsor. |
6
|
Annualized.
|
7
|
The
Fund’s manager has entered into an expense reimbursement arrangement with the Fund, pursuant to which the
Fund’s
manager has agreed to reimburse 100% of the Fund’s ordinary operating expenses. The expense
reimbursement
arrangement does not cover interest, brokerage, taxes and extraordinary expenses. This
arrangement
cannot be terminated prior to December 31, 2025 without the Board of Trustees’ consent. |
8
|
Reflects
fee waivers and/or expense reimbursements. |
9
|
Including
mortgage dollar roll transactions. If mortgage dollar roll transactions had been excluded, the portfolio
turnover
rates for the respective years/periods presented would have been 37%, 46%, 63%, 53%, 247% and
303%.
|
ASSETS
| ||||
Description
|
Quoted
Prices
(Level
1) |
Other
Significant
Observable
Inputs
(Level
2) |
Significant
Unobservable
Inputs
(Level
3) |
Total
|
Long-Term
Investments†: |
|
|
|
|
Mortgage-Backed
Securities |
—
|
$583,529,689
|
—
|
$583,529,689
|
Collateralized
Mortgage
Obligations
|
—
|
521,242,477
|
—
|
521,242,477
|
Asset-Backed
Securities |
—
|
155,887,325
|
—
|
155,887,325
|
Corporate
Bonds & Notes |
—
|
52,814,208
|
—
|
52,814,208
|
U.S.
Government & Agency
Obligations
|
—
|
40,410,938
|
—
|
40,410,938
|
Sovereign
Bonds |
—
|
10,208,105
|
—
|
10,208,105
|
Total
Long-Term Investments |
—
|
1,364,092,742
|
—
|
1,364,092,742
|
Short-Term
Investments†: |
|
|
|
|
U.S.
Treasury Bills |
—
|
95,430,264
|
—
|
95,430,264
|
Repurchase
Agreements |
—
|
25,000,000
|
—
|
25,000,000
|
Overnight
Deposits |
—
|
49,909,425
|
—
|
49,909,425
|
Total
Short-Term Investments |
—
|
170,339,689
|
—
|
170,339,689
|
Total
Investments |
—
|
$1,534,432,431
|
—
|
$1,534,432,431
|
ASSETS (cont’d)
| ||||
Description
|
Quoted
Prices
(Level
1) |
Other
Significant
Observable
Inputs
(Level
2) |
Significant
Unobservable
Inputs
(Level
3) |
Total
|
Other
Financial Instruments: |
|
|
|
|
Futures
Contracts†† |
$579,956
|
—
|
—
|
$579,956
|
Centrally
Cleared Credit
Default
Swaps on Credit
Indices
— Sell
Protection††
|
—
|
$252,862
|
—
|
252,862
|
Total
Other Financial
Instruments
|
$579,956
|
$252,862
|
—
|
$832,818
|
Total
|
$579,956
|
$1,534,685,293
|
—
|
$1,535,265,249
|
LIABILITIES
| ||||
Description
|
Quoted
Prices
(Level
1) |
Other
Significant
Observable
Inputs
(Level
2) |
Significant
Unobservable
Inputs
(Level
3) |
Total
|
Other
Financial Instruments: |
|
|
|
|
Futures
Contracts†† |
$6,212,752
|
—
|
—
|
$6,212,752
|
†
|
See
Schedule of Investments for additional detailed categorizations. |
††
|
Reflects
the unrealized appreciation (depreciation) of the instruments. |
|
Investments
|
U.S.
Government &
Agency
Obligations |
Purchases
|
$24,992,318
|
$1,117,694,156
|
Sales
|
90,707,796
|
1,041,676,876
|
|
Cost/Premiums
Paid
(Received) |
Gross
Unrealized
Appreciation
|
Gross
Unrealized
Depreciation
|
Net
Unrealized
Appreciation
(Depreciation)
|
Securities
|
$1,595,784,570
|
$8,078,036
|
$(69,430,175)
|
$(61,352,139)
|
Futures
contracts |
—
|
579,956
|
(6,212,752)
|
(5,632,796)
|
Swap
contracts |
2,642,853
|
252,862
|
—
|
252,862
|
ASSET
DERIVATIVES1
| |||
|
Interest
Rate
Risk |
Credit
Risk
|
Total
|
Futures
contracts2
|
$579,956
|
—
|
$579,956
|
Centrally
cleared swap contracts3
|
—
|
$252,862
|
252,862
|
Total
|
$579,956
|
$252,862
|
$832,818
|
LIABILITY
DERIVATIVES1
| |
|
Interest
Rate
Risk |
Futures
contracts2
|
$6,212,752
|
1
|
Generally,
the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for
liability
derivatives is payables/net unrealized depreciation. |
2
|
Includes
cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of
Investments.
Only net variation margin is reported within the receivables and/or payables on the Statement of
Assets
and Liabilities. |
3
|
Includes
cumulative unrealized appreciation (depreciation) of centrally cleared swap contracts as reported in the
Schedule
of Investments. Only net variation margin is reported within the receivables and/or payables on the
Statement
of Assets and Liabilities. |
AMOUNT
OF NET REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED | |||
|
Interest
Rate
Risk |
Credit
Risk
|
Total
|
Futures
contracts |
$36,164,494
|
—
|
$36,164,494
|
Swap
contracts |
—
|
$1,921,829
|
1,921,829
|
Total
|
$36,164,494
|
$1,921,829
|
$38,086,323
|
CHANGE
IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | |||
|
Interest
Rate
Risk |
Credit
Risk
|
Total
|
Futures
contracts |
$(7,429,252
) |
—
|
$(7,429,252
) |
Swap
contracts |
—
|
$(1,057,451
) |
(1,057,451
) |
Total
|
$(7,429,252
) |
$(1,057,451
) |
$(8,486,703
) |
|
Average
Market
Value
|
Futures
contracts (to buy) |
$2,481,931,768
|
Futures
contracts (to sell) |
40,182,230
|
|
Average
Notional
Balance
|
Credit
default swap contracts (sell protection) |
$133,931,200
|
|
Six
Months Ended
August
31, 2024 |
Year
Ended
February
29, 2024 |
Shares
sold |
19,539,687
|
52,235,644
|
Shares
repurchased |
(39,855,507
) |
(58,808,672
) |
Net
decrease |
(20,315,820
) |
(6,573,028
) |
ITEM 8. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 9. | PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 10. | REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
ITEM 11. | STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT. |
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR, as applicable.
ITEM 12. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 14. | PURCHASES OF SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
ITEM 15. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 16. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 17. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 18. | RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 19. | EXHIBITS. |
(a) (1) Not applicable.
Exhibit 99.CODE ETH
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
Legg Mason Partners Institutional Trust | ||
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | October 24, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer | ||
Date: | October 24, 2024 |
By: | /s/ Christopher Berarducci | |
Christopher Berarducci | ||
Principal Financial Officer | ||
Date: | October 24, 2024 |