UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-10603
Western Asset Premier Bond Fund
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 49th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrants telephone number, including area code: 1-(888) 777-0102
Date of fiscal year end: December 31
Date of reporting period: March 31, 2018
ITEM 1. | SCHEDULE OF INVESTMENTS. |
WESTERN ASSET PREMIER BOND FUND
FORM N-Q
MARCH 31, 2018
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 100.9% | ||||||||||||||||
CONSUMER DISCRETIONARY - 13.9% | ||||||||||||||||
Auto Components - 1.7% |
||||||||||||||||
Adient Global Holdings Ltd., Senior Notes |
4.875 | % | 8/15/26 | 1,390,000 | $ | 1,320,500 | (a) | |||||||||
IHO Verwaltungs GmbH, Senior Secured Bonds (4.750% Cash or 5.500% PIK) |
4.750 | % | 9/15/26 | 800,000 | 773,000 | (a)(b) | ||||||||||
ZF North America Capital Inc., Senior Notes |
4.750 | % | 4/29/25 | 680,000 | 691,050 | (a) | ||||||||||
|
|
|||||||||||||||
Total Auto Components |
2,784,550 | |||||||||||||||
|
|
|||||||||||||||
Automobiles - 1.4% |
||||||||||||||||
Daimler Finance NA LLC, Notes |
8.500 | % | 1/18/31 | 1,000,000 | 1,457,620 | |||||||||||
General Motors Co., Senior Notes |
6.600 | % | 4/1/36 | 140,000 | 160,883 | |||||||||||
General Motors Financial Co. Inc., Senior Notes |
4.000 | % | 10/6/26 | 750,000 | 729,146 | |||||||||||
|
|
|||||||||||||||
Total Automobiles |
2,347,649 | |||||||||||||||
|
|
|||||||||||||||
Diversified Consumer Services - 0.7% |
||||||||||||||||
VOC Escrow Ltd., Senior Secured Notes |
5.000 | % | 2/15/28 | 1,110,000 | 1,060,050 | (a) | ||||||||||
|
|
|||||||||||||||
Hotels, Restaurants & Leisure - 2.1% |
||||||||||||||||
Brinker International Inc., Senior Notes |
5.000 | % | 10/1/24 | 1,611,000 | 1,582,807 | (a) | ||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes |
4.625 | % | 4/1/25 | 750,000 | 750,937 | |||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes |
4.875 | % | 4/1/27 | 330,000 | 327,113 | |||||||||||
Marstons Issuer PLC, Secured Bonds (5.641% to 7/15/19 then 3 mo. GBP LIBOR + 2.550%) |
5.641 | % | 7/15/35 | 260,000 | GBP | 334,568 | (c)(d) | |||||||||
Silversea Cruise Finance Ltd., Senior Secured Notes |
7.250 | % | 2/1/25 | 428,000 | 454,750 | (a) | ||||||||||
|
|
|||||||||||||||
Total Hotels, Restaurants & Leisure |
3,450,175 | |||||||||||||||
|
|
|||||||||||||||
Household Durables - 0.2% |
||||||||||||||||
Lennar Corp., Senior Notes |
4.500 | % | 4/30/24 | 140,000 | 137,550 | |||||||||||
Lennar Corp., Senior Notes |
4.750 | % | 5/30/25 | 110,000 | 108,762 | |||||||||||
Lennar Corp., Senior Notes |
4.750 | % | 11/29/27 | 97,000 | 93,363 | (a) | ||||||||||
|
|
|||||||||||||||
Total Household Durables |
339,675 | |||||||||||||||
|
|
|||||||||||||||
Media - 6.7% |
||||||||||||||||
21st Century Fox America Inc., Senior Debentures |
8.875 | % | 4/26/23 | 400,000 | 492,693 | |||||||||||
Altice France SA, Senior Secured Bonds |
6.000 | % | 5/15/22 | 200,000 | 195,746 | (a) | ||||||||||
Altice France SA, Senior Secured Notes |
7.375 | % | 5/1/26 | 2,270,000 | 2,170,688 | (a) | ||||||||||
Altice Luxembourg SA, Senior Secured Notes |
7.750 | % | 5/15/22 | 980,000 | 913,840 | (a) | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
6.384 | % | 10/23/35 | 420,000 | 470,420 | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
6.484 | % | 10/23/45 | 1,130,000 | 1,244,523 | |||||||||||
Comcast Corp., Notes |
7.050 | % | 3/15/33 | 1,000,000 | 1,325,709 | |||||||||||
DISH DBS Corp., Senior Notes |
5.000 | % | 3/15/23 | 140,000 | 126,350 | |||||||||||
DISH DBS Corp., Senior Notes |
5.875 | % | 11/15/24 | 1,790,000 | 1,602,050 | |||||||||||
DISH DBS Corp., Senior Notes |
7.750 | % | 7/1/26 | 60,000 | 56,490 | |||||||||||
Time Warner Cable LLC, Debentures |
7.300 | % | 7/1/38 | 720,000 | 865,664 | |||||||||||
UPC Holding BV, Senior Secured Notes |
5.500 | % | 1/15/28 | 980,000 | 906,500 | (a) | ||||||||||
Virgin Media Secured Finance PLC, Senior Secured Notes |
5.500 | % | 8/15/26 | 820,000 | 798,983 | (a) | ||||||||||
|
|
|||||||||||||||
Total Media |
11,169,656 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
1
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Specialty Retail - 0.8% |
||||||||||||||||
American Greetings Corp., Senior Notes |
7.875 | % | 2/15/25 | 730,000 | $ | 739,125 | (a) | |||||||||
Hertz Corp., Senior Notes |
5.875 | % | 10/15/20 | 640,000 | 637,600 | |||||||||||
|
|
|||||||||||||||
Total Specialty Retail |
1,376,725 | |||||||||||||||
|
|
|||||||||||||||
Textiles, Apparel & Luxury Goods - 0.3% |
||||||||||||||||
Hanesbrands Inc., Senior Notes |
4.625 | % | 5/15/24 | 550,000 | 541,063 | (a) | ||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
23,069,543 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER STAPLES - 2.8% | ||||||||||||||||
Beverages - 0.9% |
||||||||||||||||
Anheuser-Busch InBev Finance Inc., Senior Notes |
3.650 | % | 2/1/26 | 1,000,000 | 995,728 | |||||||||||
Anheuser-Busch InBev Finance Inc., Senior Notes |
4.700 | % | 2/1/36 | 540,000 | 573,066 | |||||||||||
|
|
|||||||||||||||
Total Beverages |
1,568,794 | |||||||||||||||
|
|
|||||||||||||||
Food & Staples Retailing - 1.2% |
||||||||||||||||
CVS Pass-Through Trust, Secured Bonds |
5.789 | % | 1/10/26 | 344,280 | 362,888 | (a) | ||||||||||
CVS Pass-Through Trust, Secured Notes |
5.880 | % | 1/10/28 | 375,063 | 400,536 | |||||||||||
CVS Pass-Through Trust, Secured Notes |
6.036 | % | 12/10/28 | 381,077 | 412,044 | |||||||||||
CVS Pass-Through Trust, Secured Notes |
6.943 | % | 1/10/30 | 379,043 | 429,182 | |||||||||||
CVS Pass-Through Trust, Secured Notes |
7.507 | % | 1/10/32 | 382,078 | 453,522 | (a) | ||||||||||
|
|
|||||||||||||||
Total Food & Staples Retailing |
2,058,172 | |||||||||||||||
|
|
|||||||||||||||
Food Products - 0.3% |
||||||||||||||||
Kraft Heinz Foods Co., Senior Notes |
3.950 | % | 7/15/25 | 440,000 | 438,754 | |||||||||||
|
|
|||||||||||||||
Household Products - 0.2% |
||||||||||||||||
Central Garden & Pet Co., Senior Notes |
6.125 | % | 11/15/23 | 250,000 | 262,187 | |||||||||||
|
|
|||||||||||||||
Tobacco - 0.2% |
||||||||||||||||
Reynolds American Inc., Senior Notes |
5.850 | % | 8/15/45 | 260,000 | 305,262 | |||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER STAPLES |
4,633,169 | |||||||||||||||
|
|
|||||||||||||||
ENERGY - 20.9% | ||||||||||||||||
Energy Equipment & Services - 0.2% |
||||||||||||||||
Transocean Inc., Senior Notes |
9.000 | % | 7/15/23 | 190,000 | 202,825 | (a) | ||||||||||
|
|
|||||||||||||||
Oil, Gas & Consumable Fuels - 20.7% |
||||||||||||||||
Anadarko Finance Co., Senior Notes |
7.500 | % | 5/1/31 | 570,000 | 729,835 | |||||||||||
Anadarko Petroleum Corp., Senior Notes |
5.550 | % | 3/15/26 | 750,000 | 820,028 | |||||||||||
Apache Corp., Senior Notes |
4.250 | % | 1/15/44 | 250,000 | 230,134 | |||||||||||
Berry Petroleum Co. Escrow |
| | 130,000 | 0 | *(e)(f)(g) | |||||||||||
BP Capital Markets PLC, Senior Notes |
3.723 | % | 11/28/28 | 410,000 | 413,221 | |||||||||||
Burlington Resources Finance Co., Senior Notes |
7.400 | % | 12/1/31 | 450,000 | 605,876 | |||||||||||
Calumet Specialty Products Partners LP/Calumet Finance Corp., Senior Secured Notes |
11.500 | % | 1/15/21 | 550,000 | 614,969 | (a) | ||||||||||
Cheniere Corpus Christi Holdings LLC, Senior Secured Notes |
5.125 | % | 6/30/27 | 520,000 | 518,050 | |||||||||||
Chesapeake Energy Corp., Senior Notes |
5.375 | % | 6/15/21 | 320,000 | 312,800 | |||||||||||
Chesapeake Energy Corp., Senior Notes |
8.000 | % | 1/15/25 | 230,000 | 223,100 | (a) | ||||||||||
Continental Resources Inc., Senior Notes |
4.500 | % | 4/15/23 | 500,000 | 506,875 | |||||||||||
Continental Resources Inc., Senior Notes |
3.800 | % | 6/1/24 | 270,000 | 260,887 | |||||||||||
Continental Resources Inc., Senior Notes |
4.900 | % | 6/1/44 | 500,000 | 481,250 | |||||||||||
Devon Energy Corp., Senior Notes |
3.250 | % | 5/15/22 | 500,000 | 494,439 | |||||||||||
Ecopetrol SA, Senior Bonds |
4.125 | % | 1/16/25 | 510,000 | 497,760 | |||||||||||
Ecopetrol SA, Senior Notes |
5.875 | % | 9/18/23 | 45,000 | 48,263 | |||||||||||
Ecopetrol SA, Senior Notes |
5.375 | % | 6/26/26 | 1,000,000 | 1,044,500 |
See Notes to Schedule of Investments.
2
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
Ecopetrol SA, Senior Notes |
5.875 | % | 5/28/45 | 1,510,000 | $ | 1,494,447 | ||||||||||
Enterprise Products Operating LLC, Senior Notes |
4.050 | % | 2/15/22 | 880,000 | 902,872 | |||||||||||
Enterprise Products Operating LLC, Senior Notes |
5.100 | % | 2/15/45 | 1,000,000 | 1,091,353 | |||||||||||
EOG Resources Inc., Senior Notes |
3.150 | % | 4/1/25 | 2,250,000 | 2,183,961 | |||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., Senior Bonds |
5.625 | % | 6/15/24 | 1,090,000 | 1,032,775 | |||||||||||
KazMunayGas National Co. JSC, Senior Notes |
4.750 | % | 4/19/27 | 770,000 | 771,455 | (a) | ||||||||||
Kinder Morgan Inc., Medium-Term Notes |
7.750 | % | 1/15/32 | 190,000 | 243,331 | |||||||||||
Kinder Morgan Inc., Senior Bonds |
5.550 | % | 6/1/45 | 1,500,000 | 1,579,769 | |||||||||||
Magnum Hunter Resources Corp. Escrow |
| | 960,000 | 0 | *(e)(f)(g) | |||||||||||
MEG Energy Corp., Senior Notes |
6.375 | % | 1/30/23 | 480,000 | 403,200 | (a) | ||||||||||
MEG Energy Corp., Senior Notes |
7.000 | % | 3/31/24 | 300,000 | 249,000 | (a) | ||||||||||
NGPL PipeCo LLC, Senior Bonds |
4.875 | % | 8/15/27 | 460,000 | 454,825 | (a) | ||||||||||
NGPL PipeCo LLC, Senior Secured Notes |
7.768 | % | 12/15/37 | 490,000 | 595,350 | (a) | ||||||||||
Noble Energy Inc., Senior Notes |
5.250 | % | 11/15/43 | 1,000,000 | 1,070,097 | |||||||||||
Oasis Petroleum Inc., Senior Notes |
7.250 | % | 2/1/19 | 370,000 | 372,775 | |||||||||||
Oasis Petroleum Inc., Senior Notes |
6.500 | % | 11/1/21 | 520,000 | 529,100 | |||||||||||
Oasis Petroleum Inc., Senior Notes |
6.875 | % | 1/15/23 | 340,000 | 345,525 | |||||||||||
Occidental Petroleum Corp., Senior Notes |
3.500 | % | 6/15/25 | 350,000 | 350,995 | |||||||||||
Petrobras Global Finance BV, Senior Notes |
4.375 | % | 5/20/23 | 310,000 | 304,978 | |||||||||||
Petrobras Global Finance BV, Senior Notes |
7.375 | % | 1/17/27 | 250,000 | 271,375 | |||||||||||
Petrobras Global Finance BV, Senior Notes |
5.999 | % | 1/27/28 | 460,000 | 455,975 | (a) | ||||||||||
Petrobras Global Finance BV, Senior Notes |
6.750 | % | 1/27/41 | 920,000 | 899,300 | |||||||||||
Petroleos Mexicanos, Senior Notes |
5.500 | % | 1/21/21 | 400,000 | 416,900 | |||||||||||
Rockies Express Pipeline LLC, Senior Notes |
7.500 | % | 7/15/38 | 350,000 | 420,875 | (a) | ||||||||||
Sabine Pass Liquefaction LLC, Senior Secured Notes |
5.750 | % | 5/15/24 | 440,000 | 474,198 | |||||||||||
Sabine Pass Liquefaction LLC, Senior Secured Notes |
5.000 | % | 3/15/27 | 1,850,000 | 1,923,306 | |||||||||||
Sanchez Energy Corp., Senior Notes |
6.125 | % | 1/15/23 | 380,000 | 279,062 | |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Bonds |
5.125 | % | 2/1/25 | 460,000 | 459,425 | |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Bonds |
5.375 | % | 2/1/27 | 550,000 | 550,000 | |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
5.000 | % | 1/15/28 | 760,000 | 727,700 | (a) | ||||||||||
Transcontinental Gas Pipe Line Co., LLC, Senior Notes |
7.850 | % | 2/1/26 | 1,000,000 | 1,232,276 | |||||||||||
Transportadora de Gas del Peru SA, Senior Notes |
4.250 | % | 4/30/28 | 1,500,000 | 1,498,125 | (a) | ||||||||||
Whiting Petroleum Corp., Senior Notes |
6.250 | % | 4/1/23 | 100,000 | 101,500 | |||||||||||
Williams Cos. Inc., Debentures |
7.500 | % | 1/15/31 | 443,000 | 541,291 | |||||||||||
Williams Cos. Inc., Senior Notes |
3.700 | % | 1/15/23 | 780,000 | 762,450 | |||||||||||
Williams Cos. Inc., Senior Notes |
4.550 | % | 6/24/24 | 330,000 | 333,950 | |||||||||||
Williams Cos. Inc., Senior Notes |
8.750 | % | 3/15/32 | 39,000 | 51,870 | |||||||||||
WPX Energy Inc., Senior Notes |
7.500 | % | 8/1/20 | 160,000 | 172,000 | |||||||||||
WPX Energy Inc., Senior Notes |
8.250 | % | 8/1/23 | 210,000 | 236,250 | |||||||||||
YPF Sociedad Anonima, Senior Notes |
8.500 | % | 3/23/21 | 720,000 | 788,112 | (a) | ||||||||||
|
|
|||||||||||||||
Total Oil, Gas & Consumable Fuels |
34,373,735 | |||||||||||||||
|
|
|||||||||||||||
TOTAL ENERGY |
34,576,560 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
3
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
FINANCIALS - 25.5% | ||||||||||||||||
Banks - 17.1% |
||||||||||||||||
Bank of America Corp., Junior Subordinated (5.875% to 3/15/28 then 3 mo. USD LIBOR + 2.931%) |
5.875 | % | 3/15/28 | 350,000 | $ | 352,645 | (d)(h) | |||||||||
Bank of America Corp., Senior Notes |
5.000 | % | 5/13/21 | 1,100,000 | 1,159,464 | |||||||||||
Bank of America Corp., Subordinated Notes |
4.250 | % | 10/22/26 | 1,700,000 | 1,713,742 | |||||||||||
Barclays Bank PLC, Subordinated Notes |
10.179 | % | 6/12/21 | 610,000 | 716,514 | (a) | ||||||||||
Barclays Bank PLC, Subordinated Notes |
7.625 | % | 11/21/22 | 2,750,000 | 3,022,869 | |||||||||||
Barclays PLC, Subordinated Notes |
4.836 | % | 5/9/28 | 290,000 | 285,485 | |||||||||||
BNP Paribas SA, Junior Subordinated Notes (7.375% to 8/19/25 then USD 5 year Swap Rate + 5.150%) |
7.375 | % | 8/19/25 | 510,000 | 555,900 | (a)(d)(h) | ||||||||||
BPCE SA, Subordinated Notes |
5.150 | % | 7/21/24 | 1,000,000 | 1,044,871 | (a) | ||||||||||
CIT Group Inc., Senior Notes |
4.125 | % | 3/9/21 | 240,000 | 241,800 | |||||||||||
CIT Group Inc., Senior Notes |
5.000 | % | 8/15/22 | 250,000 | 256,562 | |||||||||||
CIT Group Inc., Senior Notes |
5.250 | % | 3/7/25 | 330,000 | 338,686 | |||||||||||
Citigroup Inc., Subordinated Notes |
3.500 | % | 5/15/23 | 500,000 | 494,594 | |||||||||||
Citigroup Inc., Subordinated Notes |
5.500 | % | 9/13/25 | 200,000 | 216,874 | |||||||||||
Citigroup Inc., Subordinated Notes |
4.450 | % | 9/29/27 | 500,000 | 506,503 | |||||||||||
Citigroup Inc., Subordinated Notes |
6.625 | % | 6/15/32 | 1,000,000 | 1,221,475 | |||||||||||
Cooperatieve Rabobank U.A., Subordinated Notes |
4.625 | % | 12/1/23 | 500,000 | 521,804 | |||||||||||
Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year Swap Rate + 6.185%) |
8.125 | % | 12/23/25 | 1,080,000 | 1,233,235 | (a)(d)(h) | ||||||||||
HBOS PLC, Subordinated Notes |
6.750 | % | 5/21/18 | 700,000 | 703,686 | (a) | ||||||||||
Intesa Sanpaolo SpA, Senior Notes |
3.875 | % | 7/14/27 | 680,000 | 643,692 | (a) | ||||||||||
Intesa Sanpaolo SpA, Subordinated Notes |
5.710 | % | 1/15/26 | 1,490,000 | 1,497,641 | (a) | ||||||||||
JPMorgan Chase & Co., Junior Subordinated Bonds (6.000% to 8/1/23 then 3 mo. USD LIBOR + 3.300%) |
6.000 | % | 8/1/23 | 2,800,000 | 2,893,996 | (d)(h) | ||||||||||
JPMorgan Chase & Co., Subordinated Notes |
4.950 | % | 6/1/45 | 500,000 | 542,262 | |||||||||||
Lloyds Banking Group PLC, Subordinated Notes |
4.500 | % | 11/4/24 | 1,750,000 | 1,762,348 | |||||||||||
Royal Bank of Scotland Group PLC, Junior Subordinated Notes (8.625% to 8/15/21 then USD 5 year Swap Rate + 7.598%) |
8.625 | % | 8/15/21 | 450,000 | 489,937 | (d)(h) | ||||||||||
Royal Bank of Scotland Group PLC, Subordinated Notes |
6.000 | % | 12/19/23 | 150,000 | 159,986 | |||||||||||
Royal Bank of Scotland Group PLC, Subordinated Notes |
5.125 | % | 5/28/24 | 1,330,000 | 1,354,708 | |||||||||||
Royal Bank of Scotland NV, Subordinated Bonds |
7.750 | % | 5/15/23 | 140,000 | 160,595 | |||||||||||
Santander UK Group Holdings PLC, Subordinated Notes |
5.625 | % | 9/15/45 | 1,000,000 | 1,107,757 | (a) | ||||||||||
Santander UK PLC, Subordinated Notes |
5.000 | % | 11/7/23 | 510,000 | 528,328 | (a) | ||||||||||
Standard Chartered PLC, Subordinated Notes |
5.700 | % | 3/26/44 | 300,000 | 331,659 | (a) | ||||||||||
UBS Group Funding Switzerland AG, Senior Notes |
4.253 | % | 3/23/28 | 850,000 | 857,224 | (a) | ||||||||||
Wells Fargo & Co., Subordinated Notes |
4.300 | % | 7/22/27 | 1,500,000 | 1,510,875 | |||||||||||
|
|
|||||||||||||||
Total Banks |
28,427,717 | |||||||||||||||
|
|
|||||||||||||||
Capital Markets - 3.1% |
||||||||||||||||
Credit Suisse Group Funding Guernsey Ltd., Senior Notes |
4.875 | % | 5/15/45 | 1,500,000 | 1,592,948 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
6.150 | % | 4/1/18 | 1,000,000 | 1,000,000 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
5.250 | % | 7/27/21 | 800,000 | 847,694 | |||||||||||
Goldman Sachs Group Inc., Senior Notes |
3.500 | % | 11/16/26 | 500,000 | 482,249 | |||||||||||
Goldman Sachs Group Inc., Subordinated Notes |
6.750 | % | 10/1/37 | 1,000,000 | 1,254,925 | |||||||||||
|
|
|||||||||||||||
Total Capital Markets |
5,177,816 | |||||||||||||||
|
|
|||||||||||||||
Consumer Finance - 0.2% |
||||||||||||||||
Ally Financial Inc., Senior Notes |
8.000 | % | 3/15/20 | 282,000 | 303,855 | |||||||||||
|
|
See Notes to Schedule of Investments.
4
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Diversified Financial Services - 4.4% |
||||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Bonds |
4.625 | % | 7/1/22 | 230,000 | $ | 236,009 | ||||||||||
Ahold Lease USA Inc., Pass-Through Certificates |
8.620 | % | 1/2/25 | 686,921 | 800,929 | |||||||||||
CPUK Finance Ltd., Senior Secured Notes |
7.239 | % | 2/28/24 | 1,000,000 | GBP | 1,752,354 | (c) | |||||||||
DAE Funding LLC, Senior Notes |
5.000 | % | 8/1/24 | 2,816,000 | 2,671,680 | (a) | ||||||||||
International Lease Finance Corp., Senior Notes |
6.250 | % | 5/15/19 | 80,000 | 82,768 | |||||||||||
International Lease Finance Corp., Senior Notes |
5.875 | % | 8/15/22 | 1,200,000 | 1,290,836 | |||||||||||
International Lease Finance Corp., Senior Secured Notes |
7.125 | % | 9/1/18 | 400,000 | 406,704 | (a) | ||||||||||
|
|
|||||||||||||||
Total Diversified Financial Services |
7,241,280 | |||||||||||||||
|
|
|||||||||||||||
Insurance - 0.7% |
||||||||||||||||
Ambac Assurance Corp., Subordinated Notes |
3.094 | % | 6/7/20 | 21,355 | 28,403 | (a) | ||||||||||
Ambac LSNI LLC, Senior Secured Notes (3 mo. USD LIBOR + 5.000%) |
6.811 | % | 2/12/23 | 102,671 | 103,954 | (a)(d) | ||||||||||
Genworth Holdings Inc., Senior Notes |
4.900 | % | 8/15/23 | 330,000 | 272,250 | |||||||||||
Metlife Inc., Junior Subordinated Notes |
10.750 | % | 8/1/39 | 500,000 | 786,250 | |||||||||||
|
|
|||||||||||||||
Total Insurance |
1,190,857 | |||||||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
42,341,525 | |||||||||||||||
|
|
|||||||||||||||
HEALTH CARE - 5.3% | ||||||||||||||||
Biotechnology - 0.1% |
||||||||||||||||
Celgene Corp., Senior Notes |
5.000 | % | 8/15/45 | 250,000 | 261,429 | |||||||||||
|
|
|||||||||||||||
Health Care Providers & Services - 2.9% |
||||||||||||||||
Centene Corp., Senior Notes |
5.625 | % | 2/15/21 | 280,000 | 288,400 | |||||||||||
Centene Corp., Senior Notes |
6.125 | % | 2/15/24 | 220,000 | 229,504 | |||||||||||
Centene Corp., Senior Notes |
4.750 | % | 1/15/25 | 1,060,000 | 1,036,150 | |||||||||||
CHS/Community Health Systems Inc., Senior Notes |
8.000 | % | 11/15/19 | 95,000 | 85,737 | |||||||||||
DaVita Inc., Senior Notes |
5.750 | % | 8/15/22 | 270,000 | 277,290 | |||||||||||
HCA Inc., Senior Secured Bonds |
4.500 | % | 2/15/27 | 1,000,000 | 967,500 | |||||||||||
HCA Inc., Senior Secured Notes |
5.250 | % | 6/15/26 | 280,000 | 284,340 | |||||||||||
Humana Inc., Senior Notes |
3.950 | % | 3/15/27 | 290,000 | 288,775 | |||||||||||
Magellan Health Inc., Senior Notes |
4.400 | % | 9/22/24 | 1,000,000 | 996,572 | |||||||||||
UnitedHealth Group Inc., Senior Notes |
2.875 | % | 12/15/21 | 370,000 | 366,873 | |||||||||||
|
|
|||||||||||||||
Total Health Care Providers & Services |
4,821,141 | |||||||||||||||
|
|
|||||||||||||||
Pharmaceuticals - 2.3% |
||||||||||||||||
Allergan Funding SCS, Senior Notes |
3.000 | % | 3/12/20 | 500,000 | 497,655 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
2.200 | % | 7/21/21 | 1,130,000 | 1,018,359 | |||||||||||
Valeant Pharmaceuticals International Inc., Senior Notes |
6.375 | % | 10/15/20 | 630,000 | 637,087 | (a) | ||||||||||
Valeant Pharmaceuticals International Inc., Senior Notes |
6.125 | % | 4/15/25 | 1,490,000 | 1,291,457 | (a) | ||||||||||
Valeant Pharmaceuticals International Inc., Senior Secured Notes |
7.000 | % | 3/15/24 | 290,000 | 303,413 | (a) | ||||||||||
|
|
|||||||||||||||
Total Pharmaceuticals |
3,747,971 | |||||||||||||||
|
|
|||||||||||||||
TOTAL HEALTH CARE |
8,830,541 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 8.2% | ||||||||||||||||
Aerospace & Defense - 0.8% |
||||||||||||||||
Boeing Co., Notes |
6.125 | % | 2/15/33 | 600,000 | 767,680 | |||||||||||
Hexcel Corp., Senior Notes |
3.950 | % | 2/15/27 | 500,000 | 497,283 | |||||||||||
|
|
|||||||||||||||
Total Aerospace & Defense |
1,264,963 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
5
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Airlines - 2.2% |
||||||||||||||||
Air 2 U.S., Notes |
8.027 | % | 10/1/19 | 262,680 | $ | 270,724 | (a) | |||||||||
America West Airlines Inc., Pass-Through Certificates, Ambac Assurance Corp. |
8.057 | % | 7/2/20 | 868,195 | 958,014 | |||||||||||
Continental Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
6.545 | % | 2/2/19 | 262,094 | 268,489 | (f) | ||||||||||
Continental Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
8.048 | % | 11/1/20 | 216,312 | 231,994 | |||||||||||
Continental Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
6.703 | % | 6/15/21 | 88,269 | 95,552 | |||||||||||
Delta Air Lines Inc., Pass-Through Certificates, Secured Notes |
8.021 | % | 8/10/22 | 75,120 | 83,759 | |||||||||||
Northwest Airlines Corp., Pass-Through Certificates |
7.575 | % | 3/1/19 | 37,834 | 38,213 | (f) | ||||||||||
U.S. Airways, Pass-Through Certificates, Senior Secured Bonds |
7.125 | % | 10/22/23 | 1,249,457 | 1,395,456 | |||||||||||
United Airlines Inc., Pass-Through Certificates, Secured Notes |
4.750 | % | 4/11/22 | 269,510 | 274,173 | |||||||||||
|
|
|||||||||||||||
Total Airlines |
3,616,374 | |||||||||||||||
|
|
|||||||||||||||
Building Products - 0.9% |
||||||||||||||||
Standard Industries Inc., Senior Notes |
5.500 | % | 2/15/23 | 330,000 | 342,375 | (a) | ||||||||||
Standard Industries Inc., Senior Notes |
5.000 | % | 2/15/27 | 660,000 | 642,305 | (a) | ||||||||||
Standard Industries Inc., Senior Notes |
4.750 | % | 1/15/28 | 530,000 | 501,354 | (a) | ||||||||||
|
|
|||||||||||||||
Total Building Products |
1,486,034 | |||||||||||||||
|
|
|||||||||||||||
Commercial Services & Supplies - 0.3% |
||||||||||||||||
Brinks Co., Senior Notes |
4.625 | % | 10/15/27 | 530,000 | 492,900 | (a) | ||||||||||
|
|
|||||||||||||||
Industrial Conglomerates - 1.4% |
||||||||||||||||
General Electric Co., Senior Notes |
6.875 | % | 1/10/39 | 1,750,000 | 2,270,856 | |||||||||||
|
|
|||||||||||||||
Machinery - 0.8% |
||||||||||||||||
Allison Transmission Inc., Senior Bonds |
5.000 | % | 10/1/24 | 1,150,000 | 1,142,812 | (a) | ||||||||||
Allison Transmission Inc., Senior Notes |
4.750 | % | 10/1/27 | 270,000 | 255,150 | (a) | ||||||||||
|
|
|||||||||||||||
Total Machinery |
1,397,962 | |||||||||||||||
|
|
|||||||||||||||
Professional Services - 0.6% |
||||||||||||||||
IHS Markit Ltd., Senior Notes |
5.000 | % | 11/1/22 | 1,000,000 | 1,042,500 | (a) | ||||||||||
|
|
|||||||||||||||
Trading Companies & Distributors - 1.2% |
||||||||||||||||
Ashtead Capital Inc., Secured Notes |
4.125 | % | 8/15/25 | 1,700,000 | 1,634,125 | (a) | ||||||||||
Ashtead Capital Inc., Secured Notes |
4.375 | % | 8/15/27 | 450,000 | 428,625 | (a) | ||||||||||
|
|
|||||||||||||||
Total Trading Companies & Distributors |
2,062,750 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INDUSTRIALS |
13,634,339 | |||||||||||||||
|
|
|||||||||||||||
INFORMATION TECHNOLOGY - 5.3% | ||||||||||||||||
Internet Software & Services - 0.9% |
||||||||||||||||
Match Group Inc., Senior Notes |
5.000 | % | 12/15/27 | 1,540,000 | 1,520,750 | (a) | ||||||||||
|
|
|||||||||||||||
IT Services - 0.6% |
||||||||||||||||
DXC Technology Co., Senior Notes |
7.450 | % | 10/15/29 | 500,000 | 616,244 | |||||||||||
Travelport Corporate Finance PLC, Senior Secured Notes |
6.000 | % | 3/15/26 | 422,000 | 424,637 | (a) | ||||||||||
|
|
|||||||||||||||
Total IT Services |
1,040,881 | |||||||||||||||
|
|
|||||||||||||||
Semiconductors & Semiconductor Equipment - 0.9% |
||||||||||||||||
Analog Devices Inc., Senior Notes |
3.125 | % | 12/5/23 | 500,000 | 490,313 | |||||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., Senior Notes |
3.125 | % | 1/15/25 | 1,000,000 | 946,735 | |||||||||||
|
|
|||||||||||||||
Total Semiconductors & Semiconductor Equipment |
1,437,048 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
6
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Software - 0.8% |
||||||||||||||||
j2 Cloud Services LLC/j2 Global Co.-Obligor Inc., Senior Notes |
6.000 | % | 7/15/25 | 520,000 | $ | 534,950 | (a) | |||||||||
Microsoft Corp., Senior Notes |
2.875 | % | 2/6/24 | 800,000 | 786,775 | |||||||||||
|
|
|||||||||||||||
Total Software |
1,321,725 | |||||||||||||||
|
|
|||||||||||||||
Technology Hardware, Storage & Peripherals - 2.1% |
||||||||||||||||
Dell International LLC/EMC Corp., Senior Notes |
5.875 | % | 6/15/21 | 350,000 | 360,500 | (a) | ||||||||||
Dell International LLC/EMC Corp., Senior Notes |
7.125 | % | 6/15/24 | 320,000 | 342,475 | (a) | ||||||||||
Dell International LLC/EMC Corp., Senior Secured Notes |
4.420 | % | 6/15/21 | 1,300,000 | 1,334,465 | (a) | ||||||||||
Seagate HDD Cayman, Senior Bonds |
4.750 | % | 1/1/25 | 1,220,000 | 1,189,056 | |||||||||||
Seagate HDD Cayman, Senior Bonds |
4.875 | % | 6/1/27 | 260,000 | 246,849 | |||||||||||
|
|
|||||||||||||||
Total Technology Hardware, Storage & Peripherals |
3,473,345 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INFORMATION TECHNOLOGY |
8,793,749 | |||||||||||||||
|
|
|||||||||||||||
MATERIALS - 6.1% | ||||||||||||||||
Chemicals - 1.1% |
||||||||||||||||
Braskem America Finance Co., Senior Notes |
7.125 | % | 7/22/41 | 920,000 | 1,075,526 | (c) | ||||||||||
Braskem Finance Ltd., Senior Notes |
5.375 | % | 5/2/22 | 230,000 | 238,913 | (a) | ||||||||||
Valvoline Inc., Senior Notes |
5.500 | % | 7/15/24 | 550,000 | 565,812 | |||||||||||
|
|
|||||||||||||||
Total Chemicals |
1,880,251 | |||||||||||||||
|
|
|||||||||||||||
Construction Materials - 0.3% |
||||||||||||||||
U.S. Concrete Inc., Senior Notes |
6.375 | % | 6/1/24 | 420,000 | 437,850 | |||||||||||
|
|
|||||||||||||||
Containers & Packaging - 0.6% |
||||||||||||||||
ARD Securities Finance SARL, Senior Secured Notes (8.750% PIK) |
8.750 | % | 1/31/23 | 690,000 | 724,500 | (a)(b) | ||||||||||
Pactiv LLC, Senior Notes |
7.950 | % | 12/15/25 | 50,000 | 55,875 | |||||||||||
Suzano Austria GmbH, Senior Notes |
5.750 | % | 7/14/26 | 300,000 | 315,780 | (a) | ||||||||||
|
|
|||||||||||||||
Total Containers & Packaging |
1,096,155 | |||||||||||||||
|
|
|||||||||||||||
Metals & Mining - 4.1% |
||||||||||||||||
Alcoa Nederland Holding BV, Senior Notes |
6.750 | % | 9/30/24 | 300,000 | 322,500 | (a) | ||||||||||
Alcoa Nederland Holding BV, Senior Notes |
7.000 | % | 9/30/26 | 560,000 | 606,200 | (a) | ||||||||||
Anglo American Capital PLC, Senior Notes |
3.625 | % | 5/14/20 | 450,000 | 451,772 | (a) | ||||||||||
Anglo American Capital PLC, Senior Notes |
4.125 | % | 9/27/22 | 210,000 | 213,005 | (a) | ||||||||||
Anglo American Capital PLC, Senior Notes |
3.625 | % | 9/11/24 | 200,000 | 192,890 | (a) | ||||||||||
ArcelorMittal SA, Senior Notes |
7.750 | % | 10/15/39 | 430,000 | 510,625 | |||||||||||
Freeport-McMoRan Inc., Senior Notes |
6.875 | % | 2/15/23 | 630,000 | 678,825 | |||||||||||
Freeport-McMoRan Inc., Senior Notes |
5.450 | % | 3/15/43 | 800,000 | 739,760 | |||||||||||
Teck Resources Ltd., Senior Notes |
8.500 | % | 6/1/24 | 470,000 | 523,439 | (a) | ||||||||||
Teck Resources Ltd., Senior Notes |
6.250 | % | 7/15/41 | 210,000 | 223,650 | |||||||||||
Vale Overseas Ltd., Senior Notes |
6.875 | % | 11/10/39 | 940,000 | 1,118,600 | |||||||||||
Vale SA, Senior Notes |
5.625 | % | 9/11/42 | 1,090,000 | 1,155,945 | |||||||||||
|
|
|||||||||||||||
Total Metals & Mining |
6,737,211 | |||||||||||||||
|
|
|||||||||||||||
TOTAL MATERIALS |
10,151,467 | |||||||||||||||
|
|
|||||||||||||||
REAL ESTATE - 1.5% | ||||||||||||||||
Equity Real Estate Investment Trusts (REITs) - 1.3% |
||||||||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes |
6.375 | % | 3/1/24 | 260,000 | 274,305 | |||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes |
5.250 | % | 8/1/26 | 1,560,000 | 1,561,950 | |||||||||||
Sabra Health Care LP, Senior Notes |
5.125 | % | 8/15/26 | 250,000 | 241,412 | |||||||||||
|
|
|||||||||||||||
Total Equity Real Estate Investment Trusts (REITs) |
2,077,667 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
7
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Real Estate Management & Development - 0.2% |
||||||||||||||||
Hunt Cos. Inc., Senior Secured Notes |
6.250 | % | 2/15/26 | 370,000 | $ | 358,112 | (a) | |||||||||
|
|
|||||||||||||||
TOTAL REAL ESTATE |
2,435,779 | |||||||||||||||
|
|
|||||||||||||||
TELECOMMUNICATION SERVICES - 9.6% | ||||||||||||||||
Diversified Telecommunication Services - 6.0% |
||||||||||||||||
Cogent Communications Group Inc., Senior Secured Notes |
5.375 | % | 3/1/22 | 470,000 | 482,925 | (a) | ||||||||||
Orange SA, Notes |
9.000 | % | 3/1/31 | 600,000 | 879,974 | |||||||||||
Telecom Italia SpA, Senior Notes |
5.303 | % | 5/30/24 | 2,800,000 | 2,859,500 | (a) | ||||||||||
Telefonica Emisiones SAU, Senior Notes |
5.134 | % | 4/27/20 | 2,000,000 | 2,078,438 | |||||||||||
Verizon Communications Inc., Senior Notes |
5.150 | % | 9/15/23 | 2,280,000 | 2,462,800 | |||||||||||
Windstream Services LLC/Windstream Finance Corp., Senior Notes |
7.750 | % | 10/15/20 | 1,480,000 | 1,243,200 | |||||||||||
|
|
|||||||||||||||
Total Diversified Telecommunication Services |
10,006,837 | |||||||||||||||
|
|
|||||||||||||||
Wireless Telecommunication Services - 3.6% |
||||||||||||||||
CSC Holdings LLC, Senior Notes |
6.625 | % | 10/15/25 | 610,000 | 631,350 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes |
10.875 | % | 10/15/25 | 201,000 | 236,675 | (a) | ||||||||||
Sprint Capital Corp., Senior Notes |
6.875 | % | 11/15/28 | 420,000 | 392,700 | |||||||||||
Sprint Capital Corp., Senior Notes |
8.750 | % | 3/15/32 | 30,000 | 31,425 | |||||||||||
Sprint Communications Inc., Senior Notes |
9.000 | % | 11/15/18 | 500,000 | 516,250 | (a) | ||||||||||
Sprint Communications Inc., Senior Notes |
7.000 | % | 8/15/20 | 260,000 | 271,050 | |||||||||||
Sprint Communications Inc., Senior Notes |
11.500 | % | 11/15/21 | 280,000 | 326,200 | |||||||||||
Sprint Corp., Senior Notes |
7.875 | % | 9/15/23 | 760,000 | 777,100 | |||||||||||
Sprint Corp., Senior Notes |
7.625 | % | 3/1/26 | 560,000 | 547,792 | |||||||||||
Sprint Spectrum Co., LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes |
3.360 | % | 9/20/21 | 1,566,250 | 1,560,377 | (a) | ||||||||||
VEON Holdings BV, Senior Notes |
5.950 | % | 2/13/23 | 570,000 | 596,226 | (a) | ||||||||||
|
|
|||||||||||||||
Total Wireless Telecommunication Services |
5,887,145 | |||||||||||||||
|
|
|||||||||||||||
TOTAL TELECOMMUNICATION SERVICES |
15,893,982 | |||||||||||||||
|
|
|||||||||||||||
UTILITIES - 1.8% | ||||||||||||||||
Electric Utilities - 1.8% |
||||||||||||||||
FirstEnergy Corp., Notes |
7.375 | % | 11/15/31 | 1,770,000 | 2,333,543 | |||||||||||
Pampa Energia SA, Senior Notes |
7.500 | % | 1/24/27 | 670,000 | 694,288 | (a) | ||||||||||
|
|
|||||||||||||||
TOTAL UTILITIES |
3,027,831 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CORPORATE BONDS & NOTES |
167,388,485 | |||||||||||||||
|
|
|||||||||||||||
ASSET-BACKED SECURITIES - 4.8% | ||||||||||||||||
AAA Trust, 2005-1A 1A3B (1 mo. USD LIBOR + 0.410%) |
2.287 | % | 2/27/35 | 452,312 | 414,472 | (a)(d) | ||||||||||
Argent Securities Inc., 2003-W3 M1 (1 mo. USD LIBOR + 1.125%) |
2.997 | % | 9/25/33 | 32,125 | 30,780 | (d) | ||||||||||
Bayview Financial Asset Trust, 2007-SR1A M1 (1 mo. USD LIBOR + 0.800%) |
2.672 | % | 3/25/37 | 665,703 | 631,949 | (a)(d) | ||||||||||
Bayview Financial Asset Trust, 2007-SR1A M3 (1 mo. USD LIBOR + 1.150%) |
3.022 | % | 3/25/37 | 252,508 | 238,135 | (a)(d) | ||||||||||
Bayview Financial Asset Trust, 2007-SR1A M4 (1 mo. USD LIBOR + 1.500%) |
3.372 | % | 3/25/37 | 68,866 | 65,053 | (a)(d) | ||||||||||
Bear Stearns Asset-Backed Securities Trust, 2006-SD3 1P0, STRIPS, PO |
0.000 | % | 8/25/36 | 316,578 | 266,327 |
See Notes to Schedule of Investments.
8
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
Contimortgage Home Equity Trust, 1997-4 B1F (6 mo. USD LIBOR + 5.520%) |
7.330 | % | 10/15/28 | 67,027 | $ | 99,085 | (d) | |||||||||
Countrywide Asset-Backed Certificates, 2004-3 3A3 (1 mo. USD LIBOR + 0.760%) |
2.632 | % | 8/25/34 | 256,278 | 254,037 | (d) | ||||||||||
Countrywide Asset-Backed Certificates, 2007-13 2A1 (1 mo. USD LIBOR + 0.900%) |
2.772 | % | 10/25/47 | 542,381 | 541,359 | (d) | ||||||||||
Countrywide Asset-Backed Certificates, 2007-SEA2 1A1 (1 mo. USD LIBOR + 1.000%) |
2.872 | % | 8/25/47 | 13,719 | 13,499 | (a)(d) | ||||||||||
Firstfed Corp. Manufactured Housing Contract, 1996-1 B |
8.060 | % | 10/15/22 | 177,679 | 3,669 | (a) | ||||||||||
Greenpoint Manufactured Housing, 2001-2 IA2 (Auction Rate Security) |
4.944 | % | 2/20/32 | 225,000 | 225,164 | (d) | ||||||||||
Greenpoint Manufactured Housing, 2001-2 IIA2 (Auction Rate Security) |
5.088 | % | 3/13/32 | 350,000 | 350,245 | (d) | ||||||||||
GSAA Home Equity Trust, 2004-8 A3A (1 mo. USD LIBOR + 0.740%) |
2.612 | % | 9/25/34 | 34,622 | 34,756 | (d) | ||||||||||
GSAMP Trust, 2003-SEA2 A1 |
4.422 | % | 7/25/33 | 798,952 | 792,631 | |||||||||||
Indymac Manufactured Housing Contract, 1997-1 A5 |
6.970 | % | 2/25/28 | 71,983 | 73,277 | |||||||||||
Indymac Manufactured Housing Contract, 1998-2 A2 |
6.170 | % | 8/25/29 | 4,114 | 4,120 | |||||||||||
Morgan Stanley Capital Inc., 2003-SD1 A1 (1 mo. USD LIBOR + 1.000%) |
2.872 | % | 3/25/33 | 10,724 | 10,599 | (d) | ||||||||||
Morgan Stanley Capital Inc., 2004-HE7 M1 (1 mo. USD LIBOR + 0.900%) |
2.772 | % | 8/25/34 | 1,539,471 | 1,549,459 | (d) | ||||||||||
Oakwood Mortgage Investors Inc., 2002-B A3 |
6.060 | % | 6/15/32 | 102,653 | 109,426 | (d) | ||||||||||
Origen Manufactured Housing, 2006-A A2 |
3.535 | % | 10/15/37 | 1,212,871 | 1,139,040 | (d) | ||||||||||
Origen Manufactured Housing, 2007-A A2 |
4.072 | % | 4/15/37 | 1,261,096 | 1,163,296 | (d) | ||||||||||
Renaissance Home Equity Loan Trust, 2004-2 AF4 |
5.392 | % | 7/25/34 | 20,461 | 20,461 | |||||||||||
|
|
|||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
8,030,839 | |||||||||||||||
|
|
|||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(i) - 2.5% | ||||||||||||||||
American Home Mortgage Investment Trust, 2007-A 4A (1 mo. USD LIBOR + 0.900%) |
2.772 | % | 7/25/46 | 533,335 | 250,269 | (a)(d) | ||||||||||
Banc of America Funding Corp., 2004-B 6A1 |
2.208 | % | 12/20/34 | 205,637 | 160,824 | (d) | ||||||||||
Bear Stearns Alt-A Trust, 2004-03 A1 (1 mo. USD LIBOR + 0.640%) |
2.512 | % | 4/25/34 | 174,900 | 175,220 | (d) | ||||||||||
Bear Stearns Asset-Backed Securities Trust, 2002-AC1 B4 |
7.000 | % | 1/25/32 | 156,961 | 2 | (a) | ||||||||||
Chevy Chase Mortgage Funding Corp., 2004-4A A1 (1 mo. USD LIBOR + 0.460%) |
2.208 | % | 10/25/35 | 765,402 | 745,659 | (a)(d) | ||||||||||
Countrywide Home Loans, 2005-7 1A1 (1 mo. USD LIBOR + 0.540%) |
2.412 | % | 3/25/35 | 485,629 | 468,407 | (d) | ||||||||||
HarborView Mortgage Loan Trust, 2004-10 4A (6 mo. USD LIBOR + 2.170%) |
3.603 | % | 1/19/35 | 108,952 | 108,300 | (d) | ||||||||||
Impac CMB Trust, 2005-2 2A2 (1 mo. USD LIBOR + 0.800%) |
2.672 | % | 4/25/35 | 50,071 | 48,783 | (d) | ||||||||||
Impac CMB Trust, 2A-10 (1 mo. USD LIBOR + 0.640%) |
2.512 | % | 3/25/35 | 154,161 | 144,555 | (d) | ||||||||||
LB-UBS Commercial Mortgage Trust, 2001-C3 X, IO, STRIPS |
0.230 | % | 6/15/36 | 8,962 | 1 | (a)(d) | ||||||||||
Merit Securities Corp., 11PA 3A1 (1 mo. USD LIBOR + 0.620%) |
2.497 | % | 4/28/27 | 59,902 | 57,031 | (a)(d) | ||||||||||
Merit Securities Corp., 11PA B3 (1 mo. USD LIBOR + 2.250%) |
4.127 | % | 9/28/32 | 591,128 | 526,411 | (a)(d) | ||||||||||
Metropolitan Asset Funding Inc., 1998-BI B1 |
8.000 | % | 11/20/24 | 314,928 | 293,945 | (d) | ||||||||||
Prime Mortgage Trust, 2005-2 2XB, STRIPS, IO |
1.743 | % | 10/25/32 | 1,287,002 | 99,210 | (d) | ||||||||||
Prime Mortgage Trust, 2005-5 1X, STRIPS, IO |
1.058 | % | 7/25/34 | 2,881,743 | 114,542 | (d) | ||||||||||
Regal Trust IV, 1999-1 A (11th District Cost of Funds + 1.500%) |
2.253 | % | 9/29/31 | 5,241 | 4,969 | (a)(d) |
See Notes to Schedule of Investments.
9
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS(i) - (continued) | ||||||||||||||||
Residential Asset Mortgage Products Inc., 2005-SL2 AP0, STRIPS, PO |
0.000 | % | 2/25/32 | 5,928 | $ | 5,097 | ||||||||||
Sequoia Mortgage Trust, 2003-2 A2 (6 mo. USD LIBOR + 0.680%) |
2.312 | % | 6/20/33 | 16,128 | 16,114 | (d) | ||||||||||
Sequoia Mortgage Trust, 2004-10 A1A (1 mo. USD LIBOR + 0.620%) |
2.442 | % | 11/20/34 | 10,911 | 10,854 | (d) | ||||||||||
Structured Asset Securities Corp., 1998-RF2 A |
5.282 | % | 7/15/27 | 141,914 | 139,092 | (a)(d) | ||||||||||
Structured Asset Securities Corp., 2002-9 A2 (1 mo. USD LIBOR + 0.600%) |
2.472 | % | 10/25/27 | 260,221 | 257,650 | (d) | ||||||||||
Structured Asset Securities Corp., 2003-9A 2A2 (6 mo. USD LIBOR + 1.990%) |
3.517 | % | 3/25/33 | 84,299 | 84,218 | (d) | ||||||||||
Washington Mutual Inc., Mortgage Pass-Through Certificates, 2004-AR06 A (1 mo. USD LIBOR + 0.420%) |
2.292 | % | 5/25/44 | 215,402 | 213,687 | (d) | ||||||||||
Washington Mutual Inc., Mortgage Pass-Through Certificates, 2004-AR12 A2A (1 mo. USD LIBOR + 0.390%) |
2.262 | % | 10/25/44 | 197,954 | 197,826 | (d) | ||||||||||
Washington Mutual Inc., MSC Pass-Through Certificates, 2004-RA1 2A |
7.000 | % | 3/25/34 | 9,103 | 9,947 | |||||||||||
|
|
|||||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
4,132,613 | |||||||||||||||
|
|
|||||||||||||||
CONVERTIBLE BONDS & NOTES - 0.7% | ||||||||||||||||
CONSUMER DISCRETIONARY - 0.5% | ||||||||||||||||
DISH Network Corp., Senior Bonds |
3.375 | % | 8/15/26 | 830,000 | 801,531 | |||||||||||
|
|
|||||||||||||||
INFORMATION TECHNOLOGY - 0.2% | ||||||||||||||||
Internet Software & Services - 0.2% |
||||||||||||||||
Twitter Inc., Senior Bonds |
1.000 | % | 9/15/21 | 410,000 | 384,422 | |||||||||||
|
|
|||||||||||||||
TOTAL CONVERTIBLE BONDS & NOTES |
1,185,953 | |||||||||||||||
|
|
|||||||||||||||
MORTGAGE-BACKED SECURITIES - 0.1% | ||||||||||||||||
FNMA - 0.1% |
||||||||||||||||
Federal National Mortgage Association (FNMA), Whole Loan |
6.500 | % | 8/25/44 | 122,244 | 136,484 | |||||||||||
|
|
|||||||||||||||
SENIOR LOANS - 19.1% | ||||||||||||||||
CONSUMER DISCRETIONARY - 9.9% | ||||||||||||||||
Auto Components - 0.5% |
||||||||||||||||
American Axle & Manufacturing Inc., Term Loan B (1 mo. LIBOR + 2.250%) |
4.130 | % | 4/6/24 | 811,690 | 816,002 | (d)(j)(k) | ||||||||||
|
|
|||||||||||||||
Diversified Consumer Services - 0.4% |
||||||||||||||||
Weight Watchers International Inc., 2017 Term Loan B |
6.430 - 6.450 | % | 11/29/24 | 691,250 | 697,730 | (d)(j)(k) | ||||||||||
|
|
|||||||||||||||
Hotels, Restaurants & Leisure - 4.3% |
||||||||||||||||
Aramark Services Inc., 2017 Term Loan B1 (1 mo. LIBOR + 2.000%) |
3.877 | % | 3/11/25 | 2,992,500 | 3,021,177 | (d)(j)(k)(l) | ||||||||||
Hilton Worldwide Finance LLC, Term Loan B2 |
| 10/25/23 | 1,695,718 | 1,706,894 | (l) | |||||||||||
Las Vegas Sands LLC, 2018 Term Loan B |
| 3/29/24 | 2,000,000 | 2,006,500 | (l) | |||||||||||
Wyndham Hotels & Resorts Inc., Term Loan B |
| 3/28/25 | 410,000 | 410,000 | (l) | |||||||||||
|
|
|||||||||||||||
Total Hotels, Restaurants & Leisure |
7,144,571 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
10
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Media - 3.0% |
||||||||||||||||
Charter Communications Operating LLC, 2017 Term Loan B (1 mo. LIBOR + 2.000%) |
3.880 | % | 4/30/25 | 2,911,437 | $ | 2,925,267 | (d)(j)(k)(l) | |||||||||
Lamar Media Corp., 2018 Term Loan B |
| 2/16/25 | 2,000,000 | 2,013,334 | (l) | |||||||||||
|
|
|||||||||||||||
Total Media |
4,938,601 | |||||||||||||||
|
|
|||||||||||||||
Specialty Retail - 1.7% |
||||||||||||||||
PetSmart Inc., Term Loan B2 (1 mo. LIBOR + 3.000%) |
4.680 | % | 3/11/22 | 2,243,172 | 1,805,753 | (d)(j)(k) | ||||||||||
Sally Holdings LLC, Term Loan B1 (1 mo. LIBOR + 2.250%) |
4.130 | % | 7/5/24 | 965,150 | 969,976 | (d)(f)(j)(k) | ||||||||||
|
|
|||||||||||||||
Total Specialty Retail |
2,775,729 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
16,372,633 | |||||||||||||||
|
|
|||||||||||||||
ENERGY - 0.0% | ||||||||||||||||
Energy Equipment & Services - 0.0% |
||||||||||||||||
Hercules Offshore Inc. (wind-down lender claim) |
| | 36,804 | 31,284 | *(e)(f) | |||||||||||
|
|
|||||||||||||||
FINANCIALS - 0.5% | ||||||||||||||||
Finance - 0.5% |
||||||||||||||||
Travelport Finance (Luxembourg) SARL, 2018 Term Loan B |
| 3/17/25 | 920,000 | 922,875 | (l) | |||||||||||
|
|
|||||||||||||||
HEALTH CARE - 1.1% | ||||||||||||||||
Health Care Providers & Services - 1.1% |
||||||||||||||||
DaVita HealthCare Partners Inc., Term Loan B (1 mo. LIBOR + 2.750%) |
4.627 | % | 6/24/21 | 1,741,610 | 1,759,162 | (d)(j)(k) | ||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 3.8% | ||||||||||||||||
Avolon TLB Borrower 1 (Luxembourg) SARL, Term Loan B2 (1 mo. LIBOR + 2.250%) |
4.072 | % | 4/3/22 | 3,489,956 | 3,496,985 | (d)(j)(k)(l) | ||||||||||
Beacon Roofing Supply Inc., 2017 Term Loan B (1 mo. LIBOR + 2.250%) |
3.936 | % | 1/2/25 | 800,000 | 804,889 | (d)(j)(k) | ||||||||||
Delos Finance SARL, 2018 Term Loan B (3 mo. LIBOR + 1.750%) |
4.052 | % | 10/6/23 | 1,500,000 | 1,508,250 | (d)(j)(k) | ||||||||||
Ply Gem Industries Inc., 2018 Term Loan |
| 3/28/25 | 450,000 | 448,312 | (l) | |||||||||||
|
|
|||||||||||||||
TOTAL INDUSTRIALS |
6,258,436 | |||||||||||||||
|
|
|||||||||||||||
INFORMATION TECHNOLOGY - 2.1% | ||||||||||||||||
Software - 0.9% |
||||||||||||||||
Dell Inc., 2017 Term Loan A2 (1 mo. LIBOR + 1.750%) |
3.630 | % | 9/7/21 | 1,462,260 | 1,463,349 | (d)(j)(k) | ||||||||||
|
|
|||||||||||||||
Technology Hardware, Storage & Peripherals - 1.2% |
||||||||||||||||
Western Digital Corp., 2017 Term Loan B3 |
| 4/29/23 | 2,000,000 | 2,014,376 | (l) | |||||||||||
|
|
|||||||||||||||
TOTAL INFORMATION TECHNOLOGY |
3,477,725 | |||||||||||||||
|
|
|||||||||||||||
MATERIALS - 1.5% | ||||||||||||||||
Containers & Packaging - 1.5% |
||||||||||||||||
Berry Global Inc., Term Loan Q (1 mo. LIBOR + 2.000%) |
3.740 - 3.877 | % | 10/1/22 | 2,000,000 | 2,010,468 | (d)(j)(k) | ||||||||||
Reynolds Group Holdings Inc., USD 2017 Term Loan (1 mo. LIBOR + 2.750%) |
4.627 | % | 2/5/23 | 498,737 | 501,854 | (d)(j)(k) | ||||||||||
|
|
|||||||||||||||
TOTAL MATERIALS |
2,512,322 | |||||||||||||||
|
|
|||||||||||||||
TELECOMMUNICATION SERVICES - 0.1% | ||||||||||||||||
Diversified Telecommunication Services - 0.1% |
||||||||||||||||
Level 3 Financing Inc., 2017 Term Loan B (1 mo. LIBOR + 2.250%) |
4.111 | % | 2/22/24 | 250,000 | 250,645 | (d)(j)(k) | ||||||||||
|
|
See Notes to Schedule of Investments.
11
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
UTILITIES - 0.1% | ||||||||||||||||
Electric Utilities - 0.1% |
||||||||||||||||
Panda Temple Power LLC, Second Lien Term Loan (1 mo. LIBOR + 8.000%) |
9.702 | % | 2/7/23 | 149,191 | $ | 153,294 | (d)(j)(k) | |||||||||
|
|
|||||||||||||||
TOTAL SENIOR LOANS |
31,738,376 | |||||||||||||||
|
|
|||||||||||||||
SOVEREIGN BONDS - 7.6% | ||||||||||||||||
Argentina - 1.3% |
||||||||||||||||
Provincia de Buenos Aires, Senior Notes |
9.125 | % | 3/16/24 | 500,000 | 558,005 | (a) | ||||||||||
Republic of Argentina, Bonds (Argentina Central Bank 7 Day Repo Reference Rate) |
27.935 | % | 6/21/20 | 8,140,000 | ARS | 428,585 | (d) | |||||||||
Republic of Argentina, Senior Bonds |
6.875 | % | 4/22/21 | 340,000 | 361,038 | |||||||||||
Republic of Argentina, Senior Bonds |
7.500 | % | 4/22/26 | 210,000 | 224,595 | |||||||||||
Republic of Argentina, Senior Notes |
5.875 | % | 1/11/28 | 550,000 | 518,306 | |||||||||||
|
|
|||||||||||||||
Total Argentina |
2,090,529 | |||||||||||||||
|
|
|||||||||||||||
Brazil - 0.7% |
||||||||||||||||
Federative Republic of Brazil, Notes |
10.000 | % | 1/1/23 | 1,400,000 | BRL | 442,410 | ||||||||||
Federative Republic of Brazil, Notes |
10.000 | % | 1/1/27 | 2,600,000 | BRL | 810,199 | ||||||||||
|
|
|||||||||||||||
Total Brazil |
1,252,609 | |||||||||||||||
|
|
|||||||||||||||
Colombia - 1.7% |
||||||||||||||||
Republic of Colombia, Senior Bonds |
4.000 | % | 2/26/24 | 1,500,000 | 1,513,875 | |||||||||||
Republic of Colombia, Senior Notes |
4.500 | % | 1/28/26 | 1,250,000 | 1,294,219 | |||||||||||
|
|
|||||||||||||||
Total Colombia |
2,808,094 | |||||||||||||||
|
|
|||||||||||||||
Indonesia - 0.8% |
||||||||||||||||
Republic of Indonesia, Notes |
3.750 | % | 4/25/22 | 1,370,000 | 1,374,872 | (a) | ||||||||||
|
|
|||||||||||||||
Mexico - 0.6% |
||||||||||||||||
United Mexican States, Senior Notes |
3.600 | % | 1/30/25 | 970,000 | 959,330 | |||||||||||
|
|
|||||||||||||||
Peru - 0.6% |
||||||||||||||||
Republic of Peru, Senior Bonds |
7.350 | % | 7/21/25 | 750,000 | 931,875 | |||||||||||
|
|
|||||||||||||||
Poland - 0.7% |
||||||||||||||||
Republic of Poland, Bonds |
4.000 | % | 10/25/23 | 3,470,000 | PLN | 1,092,095 | ||||||||||
|
|
|||||||||||||||
Russia - 1.2% |
||||||||||||||||
Russian Federal Bond, Bonds |
7.050 | % | 1/19/28 | 67,029,000 | RUB | 1,179,675 | ||||||||||
Russian Foreign Bond - Eurobond, Senior Bonds |
4.875 | % | 9/16/23 | 800,000 | 842,958 | (a) | ||||||||||
|
|
|||||||||||||||
Total Russia |
2,022,633 | |||||||||||||||
|
|
|||||||||||||||
TOTAL SOVEREIGN BONDS |
12,532,037 | |||||||||||||||
|
|
|||||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 2.0% | ||||||||||||||||
U.S. Government Obligations - 2.0% |
||||||||||||||||
U.S. Treasury Notes |
1.500 | % | 10/31/19 | 1,500,000 | 1,482,656 | |||||||||||
U.S. Treasury Notes |
1.375 | % | 1/15/20 | 1,000,000 | 984,512 | |||||||||||
U.S. Treasury Notes |
2.000 | % | 1/15/21 | 500,000 | 494,941 | |||||||||||
U.S. Treasury Notes |
1.125 | % | 2/28/21 | 350,000 | 337,579 | |||||||||||
|
|
|||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS |
3,299,688 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
12
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
SECURITY |
SHARES | VALUE | ||||||||||||||
COMMON STOCKS - 0.4% | ||||||||||||||||
ENERGY - 0.3% | ||||||||||||||||
Energy Equipment & Services - 0.0% |
||||||||||||||||
Hercules Offshore Inc. (Escrow) |
16,942 | $ | 4,778 | *(f)(g) | ||||||||||||
|
|
|||||||||||||||
Oil, Gas & Consumable Fuels - 0.3% |
||||||||||||||||
Berry Petroleum Co. |
5,092 | 47,738 | * | |||||||||||||
Blue Ridge Mountain Resources Inc. |
52,812 | 459,464 | *(f)(g) | |||||||||||||
|
|
|||||||||||||||
Total Oil, Gas & Consumable Fuels |
507,202 | |||||||||||||||
|
|
|||||||||||||||
TOTAL ENERGY |
511,980 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 0.0% | ||||||||||||||||
Marine - 0.0% |
||||||||||||||||
Tricer HoldCo, S.C.A. |
4,654 | 18,383 | *(f)(g) | |||||||||||||
|
|
|||||||||||||||
UTILITIES - 0.1% | ||||||||||||||||
Electric Utilities - 0.1% |
||||||||||||||||
Panda Temple Power LLC |
10,597 | 180,149 | *(f)(g) | |||||||||||||
|
|
|||||||||||||||
TOTAL COMMON STOCKS |
710,512 | |||||||||||||||
|
|
|||||||||||||||
RATE | ||||||||||||||||
CONVERTIBLE PREFERRED STOCKS - 0.0% | ||||||||||||||||
ENERGY - 0.0% | ||||||||||||||||
Oil, Gas & Consumable Fuels - 0.0% |
||||||||||||||||
Berry Petroleum Co., (6.000% Cash or 6.000% PIK) |
6.000 | % | 5,554 | 64,334 | (b) | |||||||||||
Berry Petroleum Co., (6.000% Cash or 6.000% PIK) |
6.000 | % | 84 | 973 | (b)(n) | |||||||||||
|
|
|||||||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS |
65,307 | |||||||||||||||
|
|
|||||||||||||||
PREFERRED STOCKS - 1.3% | ||||||||||||||||
FINANCIALS - 1.3% | ||||||||||||||||
Diversified Financial Services - 1.3% |
||||||||||||||||
Citigroup Capital XIII (3 mo. USD LIBOR + 6.370%) |
8.137 | % | 75,725 | 2,058,963 | (d) | |||||||||||
Corporate-Backed Trust Certificates, Series 2001-8, Class A-1 |
7.375 | % | 33,900 | 0 | *(e)(f)(g)(m) | |||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
2,058,963 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 0.0% | ||||||||||||||||
Marine - 0.0% |
||||||||||||||||
Tricer Tracking Preferred Equity Certificates (8.000% PIK) |
8.000 | % | 2,233,838 | 22,338 | (b)(f)(g) | |||||||||||
|
|
|||||||||||||||
TOTAL PREFERRED STOCKS |
2,081,301 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
231,301,595 | |||||||||||||||
|
|
|||||||||||||||
SHORT-TERM INVESTMENTS - 0.7% | ||||||||||||||||
Western Asset Government Cash Management Portfolio LLC |
1.590 | % | 1,200,000 | 1,200,000 | (o) | |||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS** - 140.1% |
232,501,595 | |||||||||||||||
Liabilities in Excess of Other Assets - (40.1)% |
(66,602,694 | ) | ||||||||||||||
|
|
|||||||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 165,898,901 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
13
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
| Face amount denominated in U.S. dollars, unless otherwise noted. |
* | Non-income producing security. |
** | The entire portfolio is subject to lien, granted to the lender, to the extent of the borrowing outstanding and any additional expenses. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(b) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. |
(c) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(d) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(e) | Value is less than $1. |
(f) | Security is valued using significant unobservable inputs (See Note 1). |
(g) | Security is valued in good faith in accordance with procedures approved by the Board of Trustees (See Note 1). |
(h) | Security has no maturity date. The date shown represents the next call date. |
(i) | 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. |
(j) | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
(k) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(l) | All or a portion of this loan is unfunded as of March 31, 2018. |
(m) | The coupon payment on these securities is currently in default as of March 31, 2018. |
(n) | Restricted security (See Note 3). |
(o) | In this instance, as defined in the Investment Company Act of 1940, an Affiliated Company represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control. At March 31, 2018, the total market value of investments in Affiliated Companies was $1,200,000 and the cost was $1,200,000 (See Note 2). |
See Notes to Schedule of Investments.
14
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd) | March 31, 2018 |
Abbreviations used in this schedule:
ARS | Argentine Peso | |
BRL | Brazilian Real | |
CMB | Cash Management Bill | |
GBP | British Pound | |
IO | Interest Only | |
JSC | Joint Stock Company | |
LIBOR | London Interbank Offered Rate | |
PLN | Polish Zloty | |
PO | Principal Only | |
RUB | Russian Ruble | |
STRIPS | Separate Trading of Registered Interest and Principal Securities |
At March 31, 2018, the Fund had the following open futures contracts:
Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Depreciation |
||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
U.S. Treasury 10-Year Notes |
91 | 6/18 | $ | 10,977,524 | $ | 11,023,797 | $ | (46,273 | ) |
At March 31, 2018, the Fund had the following open forward foreign currency contracts:
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
GBP | 40,000 | USD | 55,682 | Barclays Bank PLC | 4/19/18 | $ | 474 | |||||||||||||||
USD | 2,063,850 | GBP | 1,502,200 | Barclays Bank PLC | 4/19/18 | (45,074 | ) | |||||||||||||||
|
|
|||||||||||||||||||||
Total | $ | (44,600 | ) | |||||||||||||||||||
|
|
Abbreviations used in this table:
GBP | British Pound | |
USD | United States Dollar |
This Schedule of Investments is unaudited and is intended to provide information about the Funds investments as of the date of the schedule. Other information regarding the Fund is available in the Funds most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
15
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Premier Bond Fund (the Fund) is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as a diversified, closed-end management investment company. The Fund commenced investment operations on March 28, 2002.
The Funds investment objective is to provide current income and capital appreciation by investing primarily in a diversified portfolio of investment grade bonds.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (GAAP).
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Prior to December 1, 2017, short-term fixed income securities that would mature in 60 days or less were valued at amortized cost, unless it was determined that using this method would not reflect an investments fair value. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Trustees.
The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the Valuation Committee). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Funds pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuers financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
16
Notes to Schedule of Investments (unaudited) (continued)
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical investments |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Funds assets and liabilities carried at fair value:
ASSETS |
||||||||||||||||
DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Long-Term Investments: |
||||||||||||||||
Corporate Bonds & Notes: |
||||||||||||||||
Energy |
| $ | 34,576,560 | $ | 0 | * | $ | 34,576,560 | ||||||||
Industrials |
| 13,327,637 | 306,702 | 13,634,339 | ||||||||||||
Other Corporate Bonds & Notes |
| 119,177,586 | | 119,177,586 | ||||||||||||
Asset-Backed Securities |
| 8,030,839 | | 8,030,839 | ||||||||||||
Collateralized Mortgage Obligations |
| 4,132,613 | | 4,132,613 | ||||||||||||
Convertible Bonds & Notes |
| 1,185,953 | | 1,185,953 | ||||||||||||
Mortgage-Backed Securities |
| 136,484 | | 136,484 | ||||||||||||
Senior Loans: |
||||||||||||||||
Consumer Discretionary |
| 15,402,657 | 969,976 | 16,372,633 | ||||||||||||
Energy |
| | 31,284 | 31,284 | ||||||||||||
Other Senior Loans |
| 15,334,459 | | 15,334,459 | ||||||||||||
Sovereign Bonds |
| 12,532,037 | | 12,532,037 | ||||||||||||
U.S. Government & Agency Obligations |
| 3,299,688 | | 3,299,688 | ||||||||||||
Common Stocks: |
||||||||||||||||
Energy |
| 47,738 | 464,242 | 511,980 | ||||||||||||
Industrials |
| | 18,383 | 18,383 | ||||||||||||
Utilities |
| | 180,149 | 180,149 | ||||||||||||
Convertible Preferred Stocks |
| 65,307 | | 65,307 | ||||||||||||
Preferred Stocks: |
||||||||||||||||
Financials |
$ | 2,058,963 | | 0 | * | 2,058,963 | ||||||||||
Industrials |
| | 22,338 | 22,338 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Long-Term Investments |
2,058,963 | 227,249,558 | 1,993,074 | 231,301,595 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 1,200,000 | | 1,200,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
2,058,963 | 228,449,558 | 1,993,074 | 232,501,595 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Other assets |
| | 7,743 | 7,743 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Forward Foreign Currency Contracts |
| 474 | | 474 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 2,058,963 | $ | 228,450,032 | $ | 2,000,817 | $ | 232,509,812 | ||||||||
|
|
|
|
|
|
|
|
17
Notes to Schedule of Investments (unaudited) (continued)
LIABILITIES |
||||||||||||||||
DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Forward Foreign Currency Contracts |
| $ | 45,074 | | $ | 45,074 | ||||||||||
Futures Contracts |
$ | 46,273 | | | 46,273 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 46,273 | $ | 45,074 | | $ | 91,347 | |||||||||
|
|
|
|
|
|
|
|
| See Schedule of Investments for additional detailed categorizations. |
* | Amount represents less than $1. |
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
CORPORATE BONDS & NOTES | ||||||||
INVESTMENTS IN SECURITIES |
ENERGY | INDUSTRIALS | ||||||
Balance as of December 31, 2017 |
$ | 0 | * | $ | 627,306 | |||
Accrued premiums/discounts |
| (46 | ) | |||||
Realized gain (loss) |
| (22 | ) | |||||
Change in unrealized appreciation (depreciation)1 |
| (7,313 | ) | |||||
Purchases |
| | ||||||
Sales |
| (351,436 | ) | |||||
Transfers into Level 32 |
| 38,213 | ||||||
Transfers out of Level 3 |
| | ||||||
|
|
|
|
|||||
Balance as of March 31, 2018 |
$ | 0 | * | $ | 306,702 | |||
|
|
|
|
|||||
Net change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 20181 |
| $ | (5,586 | ) | ||||
|
|
|
|
|||||
SENIOR LOANS | ||||||||
INVESTMENTS IN SECURITIES (contd) |
CONSUMER DISCRETIONARY |
ENERGY | ||||||
Balance as of December 31, 2017 |
$ | 968,784 | $ | 84,928 | ||||
Accrued premiums/discounts |
(163 | ) | (526 | ) | ||||
Realized gain (loss) |
(17 | ) | (3,801 | ) | ||||
Change in unrealized appreciation (depreciation)1 |
3,796 | 13,793 | ||||||
Purchases |
| | ||||||
Sales |
(2,424 | ) | (63,110 | ) | ||||
Transfers into Level 3 |
| | ||||||
Transfers out of Level 3 |
| | ||||||
|
|
|
|
|||||
Balance as of March 31, 2018 |
$ | 969,976 | $ | 31,284 | ||||
|
|
|
|
|||||
Net change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 20181 |
$ | 3,796 | $ | 13,793 | ||||
|
|
|
|
18
Notes to Schedule of Investments (unaudited) (continued)
COMMON STOCKS | ||||||||||||
INVESTMENTS IN SECURITIES (contd) |
ENERGY | INDUSTRIALS | UTILITIES | |||||||||
Balance as of December 31, 2017 |
$ | 4,778 | $ | 13,543 | | |||||||
Accrued premiums/discounts |
| | | |||||||||
Realized gain (loss) |
| | | |||||||||
Change in unrealized appreciation (depreciation)1 |
| 4,840 | $ | (52,945 | ) | |||||||
Purchases |
| | 233,094 | |||||||||
Sales |
| | | |||||||||
Transfers into Level 32 |
459,464 | | | |||||||||
Transfers out of Level 3 |
| | | |||||||||
|
|
|
|
|
|
|||||||
Balance as of March 31, 2018 |
$ | 464,242 | $ | 18,383 | $ | 180,149 | ||||||
|
|
|
|
|
|
|||||||
Net change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 20181 |
| $ | 4,840 | $ | (52,945 | ) | ||||||
|
|
|
|
|
|
PREFERRED STOCKS | ||||||||||||||||
INVESTMENTS IN SECURITIES (contd) |
FINANCIAL | INDUSTRIALS | OTHER ASSETS | TOTAL | ||||||||||||
Balance as of December 31, 2017 |
$ | 3 | $ | 20,685 | $ | 7,743 | $ | 1,727,770 | ||||||||
Accrued premiums/discounts |
| | | (735 | ) | |||||||||||
Realized gain (loss) |
| | | (3,840 | ) | |||||||||||
Change in unrealized appreciation (depreciation)1 |
(3 | ) | | | (37,832 | ) | ||||||||||
Purchases |
| 1,653 | | 234,747 | ||||||||||||
Sales |
| | | (416,970 | ) | |||||||||||
Transfers into Level 32 |
| | | 497,677 | ||||||||||||
Transfers out of Level 3 |
| | | | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Balance as of March 31, 2018 |
$ | 0 | * | $ | 22,338 | $ | 7,743 | $ | 2,000,817 | |||||||
|
|
|
|
|
|
|
|
|||||||||
Net change in unrealized appreciation (depreciation) for investments in securities still held at March 31, 20181 |
$ | (3 | ) | | | $ | (36,105 | ) | ||||||||
|
|
|
|
|
|
|
|
The Funds policy is to recognize transfers between levels as of the end of the reporting period.
* | Amount represents less than $1. |
1 | Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized. |
2 | Transferred into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable inputs. |
2. Transactions with affiliated companies
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control. The Fund may invest in Western Asset Government Cash Management Portfolio, LLC (Cash Management Portfolio), an affiliated private money market fund managed by Western Asset, the Funds investment adviser. Cash Management Portfolio is available as a cash management vehicle for certain proprietary investment companies affiliated with Legg Mason. While Cash Management Portfolio is not a registered money market fund, it conducts all of its investment activities in accordance with the requirements of Rule 2a-7 under the 1940 Act. Based on the Funds relative ownership, the following companies were considered affiliated companies for all or some portion of the period ended March 31, 2018. The following transactions were effected in shares of such companies for the period ended March 31, 2018.
19
Notes to Schedule of Investments (unaudited) (continued)
Affiliate Value at December 31, 2017 |
Purchased | Sold | Realized Gain (Loss) |
Interest Income |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||||||
Cost | Shares | Cost | Shares | Affiliate Value at March 31, 2018 |
||||||||||||||||||||||||||||||||
Western Asset Government Cash Management Portfolio LLC | $ | 200,000 | $ | 20,202,866 | 20,202,866 | $ | 19,202,866 | 19,202,866 | | $ | 4,754 | | $ | 1,200,000 |
3. Restricted securities
The following Fund investments are restricted as to resale.
Security |
Number of Shares |
Acquisition Date |
Cost | Value at 3/31/2018 |
Value per Share |
Percent of Net Assets |
||||||||||||||||||
Berry Petroleum Co., Convertible Preferred Stock |
84 | 2/17 | $ | 840 | $ | 973 | $ | 11.58 | 0.00 | % |
20
ITEM 2. | CONTROLS AND PROCEDURES. |
(a) | The registrants principal executive officer and principal financial officer have concluded that the registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are likely to materially affect the registrants internal control over financial reporting. |
ITEM 3. | EXHIBITS. |
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
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, thereunto duly authorized.
Western Asset Premier Bond Fund
By | /s/ JANE TRUST | |
Jane Trust | ||
Chief Executive Officer | ||
Date: |
May 25, 2018 |
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: |
May 25, 2018 | |
By | /s/ RICHARD F. SENNETT | |
Richard F. Sennett | ||
Principal Financial Officer | ||
Date: |
May 25, 2018 |