Table of Contents

LOGO

 

Semi-Annual Report   September 30, 2022

Western Asset ETFs

Western Asset Short Duration Income ETF

Western Asset Total Return ETF

 

 

 

LOGO

 

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


Table of Contents
What’s inside      
Letter from the president     III  
Performance review     IV  
Funds at a glance     1  
Funds expenses     3  
Schedules of investments     5  
Statements of assets and liabilities     38  
Statements of operations     39  
Statements of changes in net assets     40  
Financial highlights     42  
Notes to financial statements     44  
Board approval of management and subadvisory agreements     61  
Statement regarding liquidity risk management program     65  

 

II    Western Asset ETFs


Table of Contents

 

Letter from the president

 

LOGO

 

Dear Shareholder,

We are pleased to provide the semi-annual report of Western Asset Short Duration Income ETF and Western Asset Total Return ETF for the six-month reporting period ended September 30, 2022. Please read on for each Fund’s performance information during the Funds’ reporting period.

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

 

 

Fund net asset value and market price,

 

 

Market insights and commentaries from our portfolio managers, and

 

 

A host of educational resources.

We look forward to helping you meet your financial goals.

Sincerely,

 

LOGO

Patrick O’Connor

President and Chief Executive Officer - Investment Management President

October 31, 2022

 

Western Asset ETFs     III


Table of Contents

Performance review

Western Asset Short Duration Income ETF

Western Asset Short Duration Income ETF seeks current income.

Performance review

For the six months ended September 30, 2022, Western Asset Short Duration Income ETF generated a -4.98% return on a net asset value (“NAV”)i basis and -5.13% based on its market priceii per share.

The performance table shows the Fund’s total return for the six months ended September 30, 2022 based on its NAV and market price. The Fund’s broad-based market index, the Bloomberg U.S. Corporate 1 – 5 Year Indexiii, returned -3.85% over the same timeframe. The Lipper Short Investment Grade Debt Funds Category Averageiv returned-2.91%for the same period Please note that Lipper performance returns are based on each fund’s NAV.

 

Performance Snapshot as of September 30, 2022
(unaudited)
 
     6 months  
Western Asset Short Duration Income ETF:  

$23.08 (NAV)

    -4.98 %*† 

$23.11 (Market Price)

    -5.13 %*‡ 
Bloomberg U.S. Corporate 1-5 Year Index     -3.85
Lipper Short Investment Grade Debt Funds Category Average     -2.91

The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate so shares, when sold, may be worth more or less than their original cost. Performance data current to the most recent month-end is available at www.franklintempleton.com.

Investors buy and sell shares of an exchange-traded fund (“ETF”) at market price (not NAV) in the secondary market throughout the trading day. These shares are not individually available for direct purchase from or direct redemption to the ETF. Market price returns are typically based upon the official closing price of the Fund’s shares. These returns do not represent investors’ returns had they traded shares at other times. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.

Information showing the Fund’s net asset value, market price, premiums and discounts, and bid-ask spreads for various time periods is available by visiting the Fund’s website at www.franklintempleton.com.

As of the Fund’s current prospectus dated July 29, 2022, the gross total annual fund operating expense ratio for the Fund was 0.29%.

* Total returns are based on changes in NAV or market price, respectively. Returns reflect the deduction of all Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors pay on distributions or the sale of shares.

† Total return assumes the reinvestment of all distributions, including returns of capital, if any, at NAV.

‡ Total return assumes the reinvestment of all distributions, including returns of capital, if any, at market price, which typically is based upon the official closing price of the Fund’s shares.

Looking for additional information?

The Fund’s daily NAV is available online at www.franklintempleton.com. The Fund is traded under the symbol “WINC” and its closing market price is available on most financial websites. In a continuing effort to provide information concerning the Fund, shareholders may call 1-877-721-1926 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern time, for the Fund’s current NAV, market price and other information.

RISKS: Fixed income securities involve interest rate, credit, inflation and reinvestment risks; and possible loss of principal. As interest rates rise, the value of fixed income securities falls. High yield securities include greater price volatility, illiquidity, and possibility of default. International investments are subject to special risks, including currency fluctuations, social, economic and political uncertainties, which could increase volatility. These risks are magnified in emerging markets. Emerging market countries tend to have economic, political and legal systems that are less developed and are less stable than those of more developed countries. Derivatives, such as options and futures, can be illiquid, may disproportionately increase losses, and have a potentially large impact on fund performance. The use of leverage may increase volatility and possibility of loss. Potential active and frequent trading may result in higher transaction costs and increased investor liability. Asset-backed, mortgage-backed or mortgage related securities are subject to prepayment and extension risks. Active management and diversification do not ensure gains or protect against market declines. Please see the Fund’s prospectus for a more complete discussion of these and other risks and the Fund’s investment strategies.

 

IV    Western Asset ETFs


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Western Asset Total Return ETF

Western Asset Total Return ETF seeks to maximize total return, consistent with prudent investment management and liquidity needs.

Performance review

For the six months ended September 30, 2022, Western Asset Total Return ETF generated a -13.21% return on a NAV basis and -14.41% based on its market price per share.

The performance table shows the Fund’s total return for the six months ended September 30, 2022 based on its NAV and market price. The Fund’s broad-based market index, the Bloomberg U.S. Aggregate Indexv, returned -9.22% over the same time frame. The Lipper Core Plus Bond Funds Category Averagevi returned -10.08% for the same period. Please note that Lipper performance returns are based on each fund’s NAV.

 

Performance Snapshot as of September 30, 2022
(unaudited)
 
     6 months  
Western Asset Total Return ETF:  

$19.52 (NAV)

    -13.21 %*† 

$19.37 (Market Price)

    -14.41 %*‡ 
Bloomberg U.S. Aggregate Index     -9.22
Lipper Core Plus Bond Funds Category Average     -10.08

The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value and investment returns will fluctuate so shares, when sold, may be worth more or less than their original cost. Performance data current to the most recent month-end is available at www.franklintempleton.com.

Investors buy and sell shares of an ETF at market price (not NAV) in the secondary market throughout the trading day. These shares are not individually available for direct purchase from or direct redemption to the ETF. Market price returns are typically based upon the official closing price of the Fund’s shares. These returns do not represent investors’ returns had they traded shares at other times. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.

Information showing the Fund’s net asset value, market price, premiums and discounts, and bid-ask spreads for various time periods is available by visiting the Fund’s website at www.franklintempleton.com.

As of the Fund’s current prospectus dated July 29, 2022, the gross total annual fund operating expense ratio for the Fund was 0.49%.

The management agreement between Legg Mason ETF Investment Trust (the "Trust”) on behalf of the Fund and Legg Mason Partners Fund Advisor, LLC (the “manager” or “LMPFA”) (the “Management Agreement”) provides that LMPFA will pay all operating expenses of the Fund, other than interest expenses, taxes, brokerage expenses, future 12b-1 fees (if any), acquired fund fees and expenses, extra ordinary expenses and the management fee payable to LMPFA under the Management Agreement. LMPFA will also pay all subadvisory fees of the Fund. The manager has agreed to waive and/or reimburse management fees so that the ratio of total annual fund operating expenses will not exceed 0.45% (subject to the same exclusions as the Management Agreement). This arrangement cannot be terminated prior to July 31, 2023 without the Board of Trustees’ consent.

* Total returns are based on changes in NAV or market price, respectively. Returns reflect the deduction of all Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors pay on distributions or the sale of shares.

† Total return assumes the reinvestment of all distributions, including returns of capital, if any, at NAV.

‡ Total return assumes the reinvestment of all distributions, including returns of capital, if any, at market price, which typically is based upon the official closing price of the Fund’s shares.

Looking for additional information?

The Fund’s daily NAV is available online at www.franklintempleton.com. The Fund is traded under the symbol “WBND” and its closing market price is available on most financial websites. In a continuing effort to provide information concerning the Fund, shareholders may call 1-877-721-1926 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for the Fund’s current NAV, market price and other information.

RISKS: Fixed income securities involve interest rate, credit, inflation and reinvestment risks. As interest rates rise, the value of fixed income securities falls. High yield securities include greater price volatility, illiquidity, and possibility of default. International investments are subject to special risks, including currency fluctuations, social, economic, and political uncertainties, which could increase volatility. These risks are magnified in emerging markets. Emerging market countries tend to have economic, political and legal systems that are less developed and are less stable than those of more developed countries Derivatives, such as options and futures, can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. The use of leverage may increase volatility and possibility of loss. Potential active and frequent trading may result in higher transaction costs and increased investor liability. Asset-backed, mortgage-backed, or mortgage-related securities are

 

Western Asset ETFs     V  


Table of Contents

Performance review (cont’d)

subject to prepayment and extension risks. Active management and diversification do not ensure gains or protect against market declines. Please see the Fund’s prospectus for a more complete discussion of these and other risks and the Fund’s investment strategies.

As always, thank you for your confidence in our stewardship of your assets.

Sincerely,

 

LOGO

Patrick O’Connor

President and Chief Executive Officer — Investment Management President

October 31, 2022

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

 

 

i 

Net Asset Value (“NAV”) is calculated by subtracting total liabilities from total assets and dividing the results by the number of shares outstanding.

 

ii 

Market price is determined by supply and demand. It is the price at which an investor purchases or sells shares of the Fund. The Market price may differ from the Fund’s NAV.

 

iii 

The Bloomberg U.S. Corporate 1-5 Year Index is an unmanaged index that measures the performance of the investment-grade, fixed-rate, taxable 1-5 year maturity corporate bond market. It includes U.S. dollar-denominated securities publicly issued by U.S. and non-U.S. industrial, utility and financial issuers. Investors cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.

 

iv 

Lipper, Inc., a wholly-owned subsidiary of Refinitiv, provides independent insight on global collective investments. Returns are based on the six-month period ended September 30, 2022, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 376 funds in the Fund’s Lipper category.

 

v 

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

 

vi 

Lipper, Inc., a wholly-owned subsidiary of Refinitiv, provides independent insight on global collective investments. Returns are based on the six-month period ended September 30, 2022, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 318 funds in the Fund’s Lipper category.

 

VI     Western Asset ETFs  


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Funds at a glance (unaudited)

 

Western Asset Short Duration Income ETF Investment Breakdown† (%) as a percent of total investments

 

 

LOGO

 

The bar graph above represents the composition of the Fund’s investments as of September 30, 2022 and March 31, 2022 and does not include derivatives, such as futures contracts and swap contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time.

 

Western Asset ETFs 2022 Semi-Annual Report       1  


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Funds at a glance (unaudited) (cont’d)

 

Western Asset Total Return ETF Investment Breakdown† (%) as a percent of total investments

 

 

LOGO

 

The bar graph above represents the composition of the Fund’s investments as of September 30, 2022 and March 31, 2022 and does not include derivatives, such as written options, futures contracts, forward foreign currency contracts and swap contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time.

 

2     Western Asset ETFs 2022 Semi-Annual Report


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Funds expenses (unaudited)

 

Western Asset Short Duration Income ETF

 

Example

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, such as brokerage commissions paid on purchases and sales of Fund shares; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.

This example is based on an investment of $1,000 invested on April 1, 2022 and held for the six months ended September 30, 2022.

Actual expenses

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

Hypothetical example for comparison purposes

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

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

 

Based on actual total return1       Based on hypothetical total return1

Actual

Total

Return2

 

Beginning
Account

Value

  Ending
Account
Value
 

Annualized

Expense

Ratio

 

Expenses

Paid During

the Period3

     

Hypothetical

Annualized

Total Return

 

Beginning

Account

Value

  Ending
Account
Value
 

Annualized

Expense

Ratio

 

Expenses

Paid During

the Period3

    -4.98%       $ 1,000.00     $ 950.20       0.29 %     $ 1.42         5.00 %       $1,000.00       $ 1,023.61       0.29 %     $ 1.47

 

1 

For the six months ended September 30, 2022.

 

2 

Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. Total return is not annualized, as it may not be representative of the total return for the year. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

Expenses (net of fee waivers and/or expense reimbursements) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), then divided by 365.

 

Western Asset ETFs 2022 Semi-Annual Report       3  


Table of Contents

Funds expenses (unaudited) (cont’d)

 

Western Asset Total Return ETF

 

Example

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, such as brokerage commissions paid on purchases and sales of Fund shares; and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.

This example is based on an investment of $1,000 invested on April 1, 2022 and held for the six months ended September 30, 2022.

Actual expenses

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

Hypothetical example for comparison purposes

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

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

 

Based on actual total return1       Based on hypothetical total return1

Actual

Total

Return2

 

Beginning

Account
Value

 

Ending

Account

Value

 

Annualized

Expense

Ratio

  Expenses
Paid During
the Period3
     

Hypothetical

Annualized
Total Return

 

Beginning
Account

Value

 

Ending

Account

Value

 

Annualized

Expense

Ratio

  Expenses
Paid During
the Period3
    -13.21%       $ 1,000.00     $ 867.90       0.45 %     $ 2.11         5.00 %       $1,000.00       $ 1,022.81       0.45 %     $ 2.28

 

1 

For the six months ended September 30, 2022.

 

2 

Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. Total return is not annualized, as it may not be representative of the total return for the year. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results.

 

3 

Expenses (net of fee waivers and/or expense reimbursements) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (183), then divided by 365.

 

4     Western Asset ETFs 2022 Semi-Annual Report


Table of Contents

Schedules of investments (unaudited)

September 30, 2022

 

Western Asset Short Duration Income ETF

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

    Face
Amount
    Value  
Corporate Bonds & Notes — 85.8%                                
Communication Services — 8.2%                                

Diversified Telecommunication Services — 2.4%

                               

AT&T Inc., Senior Notes

    4.250     3/1/27     $ 50,000     $ 47,984  

AT&T Inc., Senior Notes

    1.650     2/1/28       20,000       16,436  

NTT Finance Corp., Senior Notes

    1.162     4/3/26       200,000       174,701  (a) 

NTT Finance Corp., Senior Notes

    4.372     7/27/27       200,000       193,985  (a) 

Verizon Communications Inc., Senior Notes

    2.550     3/21/31       190,000       151,701  

Total Diversified Telecommunication Services

                            584,807  

Entertainment — 0.5%

                               

Warnermedia Holdings Inc., Senior Notes

    3.755     3/15/27       130,000       116,311  (a) 

Warnermedia Holdings Inc., Senior Notes

    5.050     3/15/42       20,000       14,965  (a) 

Total Entertainment

                            131,276  

Interactive Media & Services — 0.4%

                               

Alphabet Inc., Senior Notes

    1.100     8/15/30       80,000       61,851  

Meta Platforms Inc., Senior Notes

    3.850     8/15/32       30,000       26,374  (a) 

Total Interactive Media & Services

                            88,225  

Media — 4.2%

                               

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

    4.908     7/23/25       50,000       48,758  

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

    5.050     3/30/29       210,000       193,288  

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

    4.400     4/1/33       30,000       24,842  

Comcast Corp., Senior Notes

    3.400     4/1/30       120,000       105,542  

Fox Corp., Senior Notes

    4.030     1/25/24       40,000       39,506  

Time Warner Entertainment Co. LP, Senior Secured Notes

    8.375     3/15/23       600,000       608,334  

Total Media

                            1,020,270  

Wireless Telecommunication Services — 0.7%

                               

T-Mobile USA Inc., Senior Notes

    3.500     4/15/25       20,000       19,115  

T-Mobile USA Inc., Senior Notes

    2.050     2/15/28       120,000       99,577  

T-Mobile USA Inc., Senior Notes

    2.250     11/15/31       50,000       37,681  

Total Wireless Telecommunication Services

                            156,373  

Total Communication Services

                            1,980,951  
Consumer Discretionary — 10.2%                                

Auto Components — 0.8%

                               

ZF North America Capital Inc., Senior Notes

    4.750     4/29/25       200,000       181,936  (a) 

Automobiles — 3.8%

                               

Ford Motor Credit Co. LLC, Senior Notes

    3.350     11/1/22       200,000       199,718  

Ford Motor Credit Co. LLC, Senior Notes

    2.700     8/10/26       200,000       165,878  

General Motors Co., Senior Notes

    6.125     10/1/25       280,000       280,121  

General Motors Co., Senior Notes

    5.600     10/15/32       20,000       17,853  

Hyundai Capital America, Senior Notes

    0.800     1/8/24       70,000       65,853  (a) 

Nissan Motor Co. Ltd., Senior Notes

    3.043     9/15/23       200,000       194,432  (a) 

Total Automobiles

                            923,855  

Hotels, Restaurants & Leisure — 3.9%

                               

Genting New York LLC/GENNY Capital Inc., Senior Notes

    3.300     2/15/26       200,000       170,838  (a) 

 

See Notes to Financial Statements.

 

Western Asset ETFs 2022 Semi-Annual Report       5  


Table of Contents

Schedules of investments (unaudited) (cont’d)

September 30, 2022

 

Western Asset Short Duration Income ETF

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

   

Face

Amount

    Value  

Hotels, Restaurants & Leisure — continued

                               

Las Vegas Sands Corp., Senior Notes

    3.200     8/8/24     $ 50,000     $ 47,133  

Las Vegas Sands Corp., Senior Notes

    2.900     6/25/25       300,000       269,055  

Marriott International Inc., Senior Notes

    3.600     4/15/24       140,000       136,693  

Sands China Ltd., Senior Notes

    5.900     8/8/28       200,000       168,102  

Wynn Macau Ltd., Senior Notes

    4.875     10/1/24       200,000       160,610  (a) 

Total Hotels, Restaurants & Leisure

                            952,431  

Household Durables — 0.5%

                               

DR Horton Inc., Senior Notes

    2.500     10/15/24       110,000       104,600  

MDC Holdings Inc., Senior Notes

    2.500     1/15/31       10,000       6,683  

Total Household Durables

                            111,283  

Internet & Direct Marketing Retail — 0.5%

                               

Amazon.com Inc., Senior Notes

    1.200     6/3/27       150,000       128,099  

Multiline Retail — 0.3%

                               

Dollar Tree Inc., Senior Notes

    4.000     5/15/25       50,000       48,443  

Nordstrom Inc., Senior Notes

    2.300     4/8/24       20,000       18,600  

Total Multiline Retail

                            67,043  

Specialty Retail — 0.4%

                               

Lowe’s Cos. Inc., Senior Notes

    1.300     4/15/28       130,000       104,939  

Total Consumer Discretionary

                            2,469,586  
Consumer Staples — 2.6%                                

Beverages — 0.5%

                               

Anheuser-Busch InBev Worldwide Inc., Senior Notes (3 mo. USD LIBOR + 0.740%)

    3.163     1/12/24       100,000       99,810  (b) 

PepsiCo Inc., Senior Notes

    3.900     7/18/32       20,000       18,488  

Total Beverages

                            118,298  

Food & Staples Retailing — 0.0%††

                               

Costco Wholesale Corp., Senior Notes

    1.375     6/20/27       10,000       8,630  

Food Products — 0.1%

                               

Hershey Co., Senior Notes

    1.700     6/1/30       10,000       7,909  

Mondelez International Inc., Senior Notes

    1.500     2/4/31       20,000       14,680  

Total Food Products

                            22,589  

Household Products — 0.1%

                               

Clorox Co., Senior Notes

    1.800     5/15/30       10,000       7,715  

Kimberly-Clark Corp., Senior Notes

    1.050     9/15/27       10,000       8,404  

Total Household Products

                            16,119  

Tobacco — 1.9%

                               

Altria Group Inc., Senior Notes

    2.625     9/16/26       120,000       107,704  

Altria Group Inc., Senior Notes

    4.800     2/14/29       80,000       73,846  

BAT International Finance PLC, Senior Notes

    1.668     3/25/26       160,000       138,306  

Cargill Inc., Senior Notes

    0.750     2/2/26       170,000       148,327  (a) 

Total Tobacco

                            468,183  

Total Consumer Staples

                            633,819  
Energy — 14.8%                                

Oil, Gas & Consumable Fuels — 14.8%

                               

Cimarex Energy Co., Senior Notes

    4.375     3/15/29       20,000       16,133  

Continental Resources Inc., Senior Notes

    4.500     4/15/23       140,000       139,299  

 

See Notes to Financial Statements.

 

6     Western Asset ETFs 2022 Semi-Annual Report


Table of Contents

 

 

Western Asset Short Duration Income ETF

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

    Face
Amount
    Value  

Oil, Gas & Consumable Fuels — continued

                               

Continental Resources Inc., Senior Notes

    3.800     6/1/24     $ 60,000     $ 58,240  

Continental Resources Inc., Senior Notes

    2.268     11/15/26       100,000       85,336  (a) 

Coterra Energy Inc., Senior Notes

    3.900     5/15/27       110,000       101,930  (a) 

Coterra Energy Inc., Senior Notes

    4.375     3/15/29       80,000       73,955  (a) 

DCP Midstream Operating LP, Senior Notes

    3.250     2/15/32       40,000       31,621  

Devon Energy Corp., Senior Notes

    5.850     12/15/25       60,000       60,521  

Devon Energy Corp., Senior Notes

    5.250     10/15/27       106,000       106,202  

Devon Energy Corp., Senior Notes

    5.875     6/15/28       12,000       11,979  

Devon Energy Corp., Senior Notes

    4.500     1/15/30       220,000       200,246  

Devon OEI Operating LLC, Senior Notes

    7.500     9/15/27       20,000       21,351  

Diamondback Energy Inc., Senior Notes

    3.250     12/1/26       150,000       138,335  

Ecopetrol SA, Senior Notes

    5.875     9/18/23       180,000       178,612  

Ecopetrol SA, Senior Notes

    4.625     11/2/31       40,000       28,000  

El Paso Natural Gas Co. LLC, Senior Notes

    7.500     11/15/26       60,000       63,794  

Energy Transfer LP, Senior Notes

    4.200     9/15/23       20,000       19,785  

Energy Transfer LP, Senior Notes

    4.050     3/15/25       470,000       450,685  

Energy Transfer LP, Senior Notes

    2.900     5/15/25       80,000       74,568  

Enterprise Products Operating LLC, Senior Notes

    3.950     2/15/27       40,000       38,052  

Enterprise Products Operating LLC, Senior Notes

    2.800     1/31/30       70,000       58,456  

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

    5.375     2/15/78       130,000       97,632  (b) 

EOG Resources Inc., Senior Notes

    4.375     4/15/30       30,000       28,569  

EQT Corp., Senior Notes

    5.678     10/1/25       20,000       19,877  

EQT Corp., Senior Notes

    3.125     5/15/26       110,000       100,178  (a) 

EQT Corp., Senior Notes

    3.900     10/1/27       10,000       9,100  

Exxon Mobil Corp., Senior Notes

    3.482     3/19/30       40,000       36,323  

Florida Gas Transmission Co. LLC, Senior Notes

    2.300     10/1/31       70,000       52,790  (a) 

Kinder Morgan Energy Partners LP, Senior Notes

    7.300     8/15/33       10,000       10,400  

MEG Energy Corp., Senior Notes

    7.125     2/1/27       70,000       71,050  (a) 

MPLX LP, Senior Notes

    1.750     3/1/26       150,000       131,247  

Northwest Pipeline LLC, Senior Notes

    7.125     12/1/25       20,000       20,629  

Occidental Petroleum Corp., Senior Notes

    6.950     7/1/24       10,000       10,275  

Parsley Energy LLC/Parsley Finance Corp., Senior Notes

    5.625     10/15/27       20,000       20,560  (a) 

Parsley Energy LLC/Parsley Finance Corp., Senior Notes

    4.125     2/15/28       10,000       9,090  (a) 

Pioneer Natural Resources Co., Senior Notes

    0.550     5/15/23       100,000       97,576  

Southern Natural Gas Co. LLC, Senior Notes

    0.625     4/28/23       20,000       19,452  (a) 

Southwestern Energy Co., Senior Notes

    4.750     2/1/32       10,000       8,381  

Targa Resources Corp., Senior Notes

    5.200     7/1/27       50,000       48,099  

Targa Resources Corp., Senior Notes

    4.200     2/1/33       60,000       49,968  

Tennessee Gas Pipeline Co. LLC, Senior Notes

    7.000     10/15/28       50,000       51,360  

Tennessee Gas Pipeline Co. LLC, Senior Notes

    2.900     3/1/30       60,000       49,113  (a) 

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

    3.250     5/15/30       40,000       33,817  

Western Midstream Operating LP, Senior Notes

    3.350     2/1/25       80,000       74,576  

Western Midstream Operating LP, Senior Notes

    3.950     6/1/25       50,000       47,000  

Williams Cos. Inc., Senior Notes

    3.700     1/15/23       530,000       529,616  

Total Energy

                            3,583,778  

 

See Notes to Financial Statements.

 

Western Asset ETFs 2022 Semi-Annual Report       7  


Table of Contents

Schedules of investments (unaudited) (cont’d)

September 30, 2022

 

Western Asset Short Duration Income ETF

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

    Face
Amount
    Value  
Financials — 28.3%                                

Banks — 15.5%

                               

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       200,000     $ 180,224  (b) 

Bank of America Corp., Senior Notes (1.530% to 12/6/24 then SOFR + 0.650%)

    1.530     12/6/25       20,000       18,294  (b) 

Bank of America Corp., Senior Notes (1.734% to 7/22/26 then SOFR + 0.960%)

    1.734     7/22/27       410,000       351,751  (b) 

Bank of America Corp., Senior Notes (2.299% to 7/21/31 then SOFR + 1.220%)

    2.299     7/21/32       30,000       22,420  (b) 

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

    2.572     10/20/32       100,000       76,483  (b) 

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

    2.592     4/29/31       130,000       103,098  (b) 

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

    2.972     2/4/33       250,000       195,438  (b) 

BNP Paribas SA, Junior Subordinated Notes (7.750% to 8/16/29 then 5 year Treasury Constant Maturity Rate + 4.899%)

    7.750     8/16/29       200,000       184,560  (a)(b)(c) 

BNP Paribas SA, Senior Notes (1.675% to 6/30/26 then SOFR + 0.912%)

    1.675     6/30/27       400,000       338,358  (a)(b) 

Citigroup Inc., Senior Notes (0.981% to 5/1/24 then SOFR + 0.669%)

    0.981     5/1/25       20,000       18,531  (b) 

Citigroup Inc., Senior Notes (1.281% to 11/3/24 then SOFR + 0.528%)

    1.281     11/3/25       80,000       73,079  (b) 

Citigroup Inc., Senior Notes (1.462% to 6/9/26 then SOFR + 0.770%)

    1.462     6/9/27       360,000       306,504  (b) 

Citigroup Inc., Senior Notes (3.057% to 1/25/32 then SOFR + 1.351%)

    3.057     1/25/33       140,000       110,255  (b) 

Citigroup Inc., Subordinated Notes

    5.500     9/13/25       20,000       19,969  

Danske Bank A/S, Senior Notes (0.976% to 9/10/24 then 1 year Treasury Constant Maturity Rate + 0.550%)

    0.976     9/10/25       200,000       181,102  (a)(b) 

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

    3.244     12/20/25       200,000       185,927  (a)(b) 

HSBC Holdings PLC, Senior Notes (0.976% to 5/24/24 then SOFR + 0.708%)

    0.976     5/24/25       200,000       183,750  (b) 

HSBC Holdings PLC, Subordinated Notes

    7.625     5/17/32       10,000       10,504  

HSBC Holdings PLC, Subordinated Notes (4.762% to 3/29/32 then SOFR + 2.530%)

    4.762     3/29/33       200,000       164,155  (b) 

Intesa Sanpaolo SpA, Senior Notes

    3.375     1/12/23       210,000       208,828  (a) 

JPMorgan Chase & Co., Senior Notes (1.578% to 4/22/26 then SOFR + 0.885%)

    1.578     4/22/27       330,000       284,891  (b) 

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

    2.522     4/22/31       10,000       7,905  (b) 

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

    2.545     11/8/32       170,000       128,999  (b) 

JPMorgan Chase & Co., Senior Notes (2.963% to 1/25/32 then SOFR + 1.260%)

    2.963     1/25/33       90,000       70,748  (b) 

JPMorgan Chase & Co., Subordinated Notes (2.956% to 5/13/30 then SOFR + 2.515%)

    2.956     5/13/31       120,000       95,051  (b) 

Wells Fargo & Co., Senior Notes

    3.000     10/23/26       200,000       181,278  

Wells Fargo & Co., Senior Notes (3.350% to 3/2/32 then SOFR + 1.500%)

    3.350     3/2/33       80,000       64,877  (b) 

Total Banks

                            3,766,979  

Capital Markets — 9.0%

                               

Charles Schwab Corp., Senior Notes

    1.150     5/13/26       210,000       183,705  

Credit Suisse Group AG, Junior Subordinated Notes (9.750% to 12/23/27 then 5 year Treasury Constant Maturity Rate + 6.383%)

    9.750     6/23/27       200,000       196,176  (a)(b)(c) 

Credit Suisse Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%)

    2.193     6/5/26       280,000       243,457  (a)(b) 

Daimler Trucks Finance North America LLC, Senior Notes

    3.650     4/7/27       240,000       219,566  (a) 

Goldman Sachs Group Inc., Senior Notes (0.855% to 2/12/25 then SOFR + 0.609%)

    0.855     2/12/26       40,000       35,688  (b) 

Goldman Sachs Group Inc., Senior Notes (1.093% to 12/9/25 then SOFR + 0.789%)

    1.093     12/9/26       220,000       189,844  (b) 

Goldman Sachs Group Inc., Senior Notes (1.948% to 10/21/26 then SOFR + 0.913%)

    1.948     10/21/27       100,000       85,516  (b) 

Goldman Sachs Group Inc., Senior Notes (3.102% to 2/24/32 then SOFR + 1.410%)

    3.102     2/24/33       200,000       158,851  (b) 

Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + 1.846%)

    3.615     3/15/28       10,000       9,101  (b) 

Goldman Sachs Group Inc., Subordinated Notes

    4.250     10/21/25       30,000       28,956  

 

See Notes to Financial Statements.

 

8     Western Asset ETFs 2022 Semi-Annual Report


Table of Contents

 

 

Western Asset Short Duration Income ETF

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

   

Face

Amount

    Value  

Capital Markets — continued

                               

Intercontinental Exchange Inc., Senior Notes

    4.600     3/15/33     $ 30,000     $ 27,947  

Mercedes-Benz Finance North America LLC, Senior Notes

    1.450     3/2/26       150,000       131,800  (a) 

Morgan Stanley, Senior Notes (0.985% to 12/10/25 then SOFR + 0.720%)

    0.985     12/10/26       40,000       34,491  (b) 

Morgan Stanley, Senior Notes (1.512% to 7/20/26 then SOFR + 0.858%)

    1.512     7/20/27       20,000       17,034  (b) 

Morgan Stanley, Senior Notes (1.593% to 5/4/26 then SOFR + 0.879%)

    1.593     5/4/27       270,000       233,303  (b) 

Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%)

    2.188     4/28/26       130,000       119,246  (b) 

Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%)

    2.511     10/20/32       100,000       76,423  (b) 

Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%)

    2.699     1/22/31       20,000       16,215  (b) 

UBS AG, Senior Notes

    1.250     6/1/26       200,000       172,393  (a) 

Total Capital Markets

                            2,179,712  

Diversified Financial Services — 1.7%

                               

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes

    2.450     10/29/26       300,000       253,082  

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes

    3.300     1/30/32       200,000       150,414  

Element Fleet Management Corp., Senior Notes

    1.600     4/6/24       10,000       9,410  (a) 

Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK)

    6.500     9/15/24       2,307       1,736  (a)(d) 

Total Diversified Financial Services

                            414,642  

Insurance — 2.0%

                               

American International Group Inc., Senior Notes

    2.500     6/30/25       150,000       139,951  

AmFam Holdings Inc., Senior Notes

    2.805     3/11/31       150,000       116,460  (a) 

GA Global Funding Trust, Secured Notes

    1.000     4/8/24       20,000       18,595  (a) 

New York Life Global Funding, Senior Secured Notes

    0.950     6/24/25       60,000       53,756  (a) 

Prudential Financial Inc., Senior Notes

    1.500     3/10/26       10,000       8,943  

Reliance Standard Life Global Funding II, Secured Notes

    2.500     10/30/24       100,000       94,309  (a) 

Reliance Standard Life Global Funding II, Secured Notes

    2.750     1/21/27       50,000       44,866  (a) 

Total Insurance

                            476,880  

Thrifts & Mortgage Finance — 0.1%

                               

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes

    2.875     10/15/26       20,000       16,400  (a) 

Total Financials

                            6,854,613  
Health Care — 4.2%                                

Biotechnology — 0.8%

                               

AbbVie Inc., Senior Notes

    2.600     11/21/24       40,000       38,065  

AbbVie Inc., Senior Notes

    2.950     11/21/26       170,000       155,747  

Total Biotechnology

                            193,812  

Health Care Equipment & Supplies — 0.1%

                               

Becton Dickinson and Co., Senior Notes

    3.363     6/6/24       32,000       31,097  

Health Care Providers & Services — 2.9%

                               

Bon Secours Mercy Health Inc., Secured Notes

    3.464     6/1/30       10,000       8,782  

Centene Corp., Senior Notes

    4.625     12/15/29       30,000       26,958  

Centene Corp., Senior Notes

    3.375     2/15/30       130,000       106,275  

Cigna Corp., Senior Notes

    4.125     11/15/25       50,000       48,561  

Cigna Corp., Senior Notes

    2.400     3/15/30       150,000       122,162  

CommonSpirit Health, Senior Secured Notes

    2.782     10/1/30       10,000       7,981  

CSL Finance PLC, Senior Notes

    3.850     4/27/27       30,000       28,392  (a) 

CSL Finance PLC, Senior Notes

    4.050     4/27/29       40,000       36,843  (a) 

CVS Health Corp., Senior Notes

    2.625     8/15/24       20,000       19,186  

CVS Health Corp., Senior Notes

    2.875     6/1/26       40,000       37,032  

 

See Notes to Financial Statements.

 

Western Asset ETFs 2022 Semi-Annual Report       9  


Table of Contents

Schedules of investments (unaudited) (cont’d)

September 30, 2022

 

Western Asset Short Duration Income ETF

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

   

Face

Amount

    Value  

Health Care Providers & Services — continued

                               

CVS Health Corp., Senior Notes

    1.300     8/21/27       110,000     $ 91,644  

Elevance Health Inc., Senior Notes

    4.100     5/15/32       20,000       18,064  

UnitedHealth Group Inc., Senior Notes

    1.150     5/15/26       90,000       79,648  

UnitedHealth Group Inc., Senior Notes

    3.700     5/15/27       80,000       76,108  

Total Health Care Providers & Services

                            707,636  

Pharmaceuticals — 0.4%

                               

Astrazeneca Finance LLC, Senior Notes

    1.200     5/28/26       40,000       35,048  

Merck & Co. Inc., Senior Notes

    1.900     12/10/28       70,000       58,716  

Total Pharmaceuticals

                            93,764  

Total Health Care

                            1,026,309  
Industrials — 7.2%                                

Aerospace & Defense — 1.6%

                               

Boeing Co., Senior Notes

    4.875     5/1/25       50,000       48,785  

Boeing Co., Senior Notes

    2.196     2/4/26       390,000       346,101  

Total Aerospace & Defense

                            394,886  

Airlines — 1.8%

                               

Air Canada Pass-Through Trust

    5.000     12/15/23       39,600       38,504  (a) 

American Airlines Group Inc. Pass-Through Trust

    4.950     2/15/25       30,930       28,123  

American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes

    5.500     4/20/26       60,000       56,350  (a) 

Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes

    4.500     10/20/25       210,000       203,838  (a) 

Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes

    4.750     10/20/28       40,000       37,254  (a) 

United Airlines Pass-Through Trust

    4.875     1/15/26       63,680       59,476  

US Airways Pass-Through Trust

    3.950     11/15/25       9,525       8,443  

Total Airlines

                            431,988  

Commercial Services & Supplies — 0.3%

                               

Waste Connections Inc., Senior Notes

    4.200     1/15/33       80,000       72,477  

Industrial Conglomerates — 0.2%

                               

Honeywell International Inc., Senior Notes

    1.950     6/1/30       50,000       40,848  

Professional Services — 0.1%

                               

Equifax Inc., Senior Notes

    2.350     9/15/31       30,000       22,539  

Road & Rail — 0.4%

                               

Canadian Pacific Railway Co., Senior Notes

    1.750     12/2/26       110,000       96,319  

Trading Companies & Distributors — 2.8%

                               

Air Lease Corp., Senior Notes

    3.000     9/15/23       140,000       136,565  

Air Lease Corp., Senior Notes

    0.700     2/15/24       220,000       205,540  

Aviation Capital Group LLC, Senior Notes

    4.125     8/1/25       370,000       338,475  (a) 

Total Trading Companies & Distributors

                            680,580  

Total Industrials

                            1,739,637  
Information Technology — 4.1%                                

Electronic Equipment, Instruments & Components — 0.6%

                               

TD SYNNEX Corp., Senior Notes

    1.250     8/9/24       100,000       91,949  

Vontier Corp., Senior Notes

    1.800     4/1/26       60,000       51,004  

Total Electronic Equipment, Instruments & Components

                            142,953  

IT Services — 0.8%

                               

Mastercard Inc., Senior Notes

    3.300     3/26/27       130,000       122,106  

 

See Notes to Financial Statements.

 

10     Western Asset ETFs 2022 Semi-Annual Report


Table of Contents

 

 

Western Asset Short Duration Income ETF

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

   

Face

Amount

    Value  

IT Services — continued

                               

PayPal Holdings Inc., Senior Notes

    2.300     6/1/30     $ 80,000     $ 65,081  

S&P Global Inc., Senior Notes

    1.250     8/15/30       10,000       7,487  

Total IT Services

                            194,674  

Semiconductors & Semiconductor Equipment — 0.5%

                               

Broadcom Inc., Senior Notes

    3.150     11/15/25       10,000       9,386  

KLA Corp., Senior Notes

    4.650     7/15/32       20,000       19,201  

Lam Research corp., Senior Notes

    1.900     6/15/30       70,000       55,468  

QUALCOMM Inc., Senior Notes

    4.250     5/20/32       20,000       18,874  

Texas Instruments Inc., Senior Notes

    3.650     8/16/32       30,000       27,162  

Total Semiconductors & Semiconductor Equipment

                            130,091  

Software — 1.6%

                               

Adobe Inc., Senior Notes

    2.300     2/1/30       110,000       91,385  

Fortinet Inc., Senior Notes

    1.000     3/15/26       130,000       111,864  

Salesforce Inc., Senior Notes

    1.500     7/15/28       140,000       117,535  

Workday Inc., Senior Notes

    3.800     4/1/32       80,000       69,438  

Total Software

                            390,222  

Technology Hardware, Storage & Peripherals — 0.6%

                               

Apple Inc., Senior Notes

    1.400     8/5/28       160,000       133,249  

Total Information Technology

                            991,189  
Materials — 3.0%                                

Containers & Packaging — 0.0%††

                               

Graphic Packaging International LLC, Senior Secured Notes

    1.512     4/15/26       10,000       8,747  (a) 

Metals & Mining — 2.9%

                               

Anglo American Capital PLC, Senior Notes

    3.625     9/11/24       200,000       193,405  (a) 

Freeport-McMoRan Inc., Senior Notes

    4.375     8/1/28       150,000       135,069  

Glencore Finance Canada Ltd., Senior Notes

    4.250     10/25/22       120,000       119,936  (a) 

Glencore Funding LLC, Senior Notes

    1.625     9/1/25       190,000       170,971  (a) 

Yamana Gold Inc., Senior Notes

    4.625     12/15/27       70,000       63,720  

Yamana Gold Inc., Senior Notes

    2.630     8/15/31       10,000       7,396  

Total Metals & Mining

                            690,497  

Paper & Forest Products — 0.1%

                               

Suzano Austria GmbH, Senior Notes

    3.125     1/15/32       30,000       21,591  

Total Materials

                            720,835  
Real Estate — 1.6%                                

Equity Real Estate Investment Trusts (REITs) — 1.6%

                               

Alexandria Real Estate Equities Inc., Senior Notes

    2.000     5/18/32       10,000       7,348  

Diversified Healthcare Trust, Senior Notes

    4.750     5/1/24       20,000       17,238  

Extra Space Storage LP, Senior Notes

    3.900     4/1/29       20,000       17,807  

Kimco Realty Corp., Senior Notes

    2.250     12/1/31       60,000       45,007  

Simon Property Group LP, Senior Notes

    3.500     9/1/25       20,000       19,096  

VICI Properties LP, Senior Notes

    4.750     2/15/28       100,000       91,951  

WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes

    3.750     9/17/24       200,000       188,930  (a) 

Welltower Inc., Senior Notes

    3.850     6/15/32       20,000       17,091  

Total Real Estate

                            404,468  

 

See Notes to Financial Statements.

 

Western Asset ETFs 2022 Semi-Annual Report       11  


Table of Contents

Schedules of investments (unaudited) (cont’d)

September 30, 2022

 

Western Asset Short Duration Income ETF

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

   

Face

Amount

    Value  
Utilities — 1.6%                                

Electric Utilities — 1.6%

                               

DTE Electric Co., First Mortgage

    2.625     3/1/31     $ 30,000     $ 24,959  

Duke Energy Ohio Inc., First Mortgage

    2.125     6/1/30       10,000       7,979  

Edison International, Senior Notes

    4.950     4/15/25       160,000       156,755  

NRG Energy Inc., Senior Secured Notes

    2.450     12/2/27       160,000       130,984  (a) 

Ohio Edison Co., Senior Notes

    5.500     1/15/33       20,000       19,713  (a) 

Pacific Gas and Electric Co., First Mortgage Bonds

    2.100     8/1/27       30,000       24,251  

Pacific Gas and Electric Co., First Mortgage Bonds

    3.000     6/15/28       20,000       16,479  

Toledo Edison Co.

    2.650     5/1/28       8,000       6,917  (a) 

Total Utilities

                            388,037  

Total Corporate Bonds & Notes (Cost — $23,104,673)

                            20,793,222  
U.S. Government & Agency Obligations — 4.8%                                

U.S. Government Obligations — 4.8%

                               

U.S. Treasury Bonds

    3.250     5/15/42       80,000       71,000  

U.S. Treasury Bonds

    3.375     8/15/42       20,000       18,115  

U.S. Treasury Bonds

    2.250     2/15/52       10,000       7,266  

U.S. Treasury Bonds

    2.875     5/15/52       20,000       16,772  

U.S. Treasury Notes

    2.750     7/31/27       400,000       376,656  

U.S. Treasury Notes

    2.750     8/15/32       730,000       667,494  

Total U.S. Government & Agency Obligations (Cost — $1,214,637)

                            1,157,303  
Asset-Backed Securities — 3.9%                                

ABPCI Direct Lending Fund LLC, 2020-9A A1R (3 mo. USD LIBOR + 1.400%)

    4.169     11/18/31       270,000       262,861  (a)(b) 

AGL CLO Ltd., 2020-6A AR (3 mo. USD LIBOR + 1.200%)

    3.910     7/20/34       100,000       97,334  (a)(b) 

CIFC Funding Ltd., 2021-4A A (3 mo. USD LIBOR + 1.050%)

    3.562     7/15/33       110,000       107,003  (a)(b) 

Halcyon Loan Advisors Funding Ltd., 2017-2A A2 (3 mo. USD LIBOR + 1.700%)

    4.440     1/17/30       250,000       242,709  (a)(b) 

Navient Private Education Refi Loan Trust, 2020-DA A

    1.690     5/15/69       34,529       31,196  (a) 

Neuberger Berman Loan Advisers CLO Ltd., 2021-42A A (3 mo. USD LIBOR + 1.100%)

    3.840     7/16/35       210,000       203,526  (a)(b) 

Total Asset-Backed Securities (Cost — $972,886)

                            944,629  
Sovereign Bonds — 0.3%                                

Argentina — 0.1%

                               

Argentine Republic Government International Bond, Senior Notes

    1.000     7/9/29       4,718       901  

Argentine Republic Government International Bond, Senior Notes, Step bond (0.500%to 7/9/23 then 0.750%)

    0.500     7/9/30       135,800       27,090  

Total Argentina

                            27,991  

Peru — 0.2%

                               

Peruvian Government International Bond, Senior Notes

    2.783     1/23/31       60,000       47,507  

Total Sovereign Bonds (Cost — $141,853)

                            75,498  
Senior Loans — 0.1%                                
Energy — 0.1%                                

Oil, Gas & Consumable Fuels — 0.1%

                               

Southwestern Energy Co., Initial Term Loan (3 mo. Term SOFR + 2.500%)

    6.203     6/22/27       19,850       19,527  (b)(e)(f) 
Industrials — 0.0%††                                

Airlines — 0.0%††

                               

Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 3.750%)

    6.460     10/20/27       10,000       10,008  (b)(e)(f) 

Total Senior Loans (Cost — $29,731)

                            29,535  

 

See Notes to Financial Statements.

 

12     Western Asset ETFs 2022 Semi-Annual Report


Table of Contents

 

 

Western Asset Short Duration Income ETF

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

   

Face

Amount

    Value  
Municipal Bonds — 0.1%                                

California — 0.1%

                               

Regents of the University of California, CA, Medical Center Pooled Revenue, Taxable Bonds, Series Q (Cost — $30,000)

    4.132     5/15/32     $ 30,000     $ 27,363  

Total Investments before Short-Term Investments (Cost — $25,493,780)

                            23,027,550  
                   Shares         
Short-Term Investments — 3.5%                                

BNY Mellon Cash Reserve Fund (Cost — $851,572)

    1.350             851,572       851,572  

Total Investments — 98.5% (Cost — $26,345,352)

                            23,879,122  

Other Assets in Excess of Liabilities — 1.5%

                            354,959  

Total Net Assets — 100.0%

                          $ 24,234,081  

 

††

Represents less than 0.1%.

 

(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) 

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.

 

(c) 

Security has no maturity date. The date shown represents the next call date.

 

(d) 

Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities.

(e) 

Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.

(f) 

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.

 

Abbreviation(s) used in this schedule:

CLO   — Collateralized Loan Obligation
LIBOR   — London Interbank Offered Rate
PIK   — Payment-In-Kind
SOFR   — Secured Overnight Financing Rate
USD   — United States Dollar

At September 30, 2022, the Fund had the following open futures contracts:

 

      Number
of Contracts
     Expiration
Date
     Notional
Amount
    

Market

Value

    

Unrealized

Appreciation

(Depreciation)

 
Contracts to Buy:                                             
U.S. Treasury 2-Year Notes      6        12/22      $ 1,244,866      $ 1,232,344      $ (12,522)  
U.S. Treasury 5-Year Notes      122        12/22        13,590,164        13,115,953        (474,211)  
                                           (486,733)  
Contracts to Sell:                                             
U.S. Treasury 10-Year Notes      77        12/22        9,078,350        8,628,812        449,538  
U.S. Treasury Long-Term Bonds      9        12/22        1,235,211        1,137,656        97,555  
U.S. Treasury Ultra 10-Year Notes      6        12/22        757,316        710,907        46,409  
U.S. Treasury Ultra Long-Term Bonds      1        12/22        149,767        137,000        12,767  
                                           606,269  
Net unrealized appreciation on open futures contracts

 

   $ 119,536  

 

See Notes to Financial Statements.

 

Western Asset ETFs 2022 Semi-Annual Report       13  


Table of Contents

Schedules of investments (unaudited) (cont’d)

September 30, 2022

 

Western Asset Short Duration Income ETF

 

At September 30, 2022, the Fund had the following open swap contracts:

 

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION1  
Reference Entity  

Notional

Amount2

   

Termination

Date

   

Periodic

Payments

Made by

the Fund†

 

Market

Value3

   

Upfront

Premiums

Paid

(Received)

   

Unrealized

Appreciation

 
MARKIT CDX.NA.HY.38 Index   $ 366,300       6/20/27     5.000% quarterly   $ 8,292     $ 2,175     $ 6,117  
MARKIT CDX.NA.IG.38 Index     1,010,000       6/20/27     1.000% quarterly     (255)       (6,596)       6,341  
Total   $ 1,376,300                 $ 8,037     $ (4,421)     $ 12,458  

 

1 

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive 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 the 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.

 

See Notes to Financial Statements.

 

14     Western Asset ETFs 2022 Semi-Annual Report


Table of Contents

 

 

Western Asset Total Return ETF

(Percentages shown based on Fund net assets)

 

Security    Rate     

Maturity

Date

    

Face

Amount†

     Value  
Corporate Bonds & Notes — 41.3%                                    
Communication Services — 5.1%                                    

Diversified Telecommunication Services — 1.6%

                                   

AT&T Inc., Senior Notes

     1.650      2/1/28        40,000      $ 32,872  

AT&T Inc., Senior Notes

     2.550      12/1/33        20,000        14,807  

AT&T Inc., Senior Notes

     5.350      9/1/40        20,000        18,048  

AT&T Inc., Senior Notes

     5.550      8/15/41        10,000        9,268  

AT&T Inc., Senior Notes

     4.350      6/15/45        19,000        14,684  

AT&T Inc., Senior Notes

     3.500      9/15/53        50,000        33,317  

AT&T Inc., Senior Notes

     3.550      9/15/55        37,000        24,303  

AT&T Inc., Senior Notes

     3.650      9/15/59        20,000        12,958  

Verizon Communications Inc., Senior Notes

     2.100      3/22/28        40,000        33,768  

Verizon Communications Inc., Senior Notes

     3.150      3/22/30        40,000        34,023  

Verizon Communications Inc., Senior Notes

     1.750      1/20/31        60,000        44,998  

Verizon Communications Inc., Senior Notes

     2.550      3/21/31        60,000        47,906  

Verizon Communications Inc., Senior Notes

     2.355      3/15/32        94,000        72,082  

Verizon Communications Inc., Senior Notes

     4.500      8/10/33        160,000        144,108  

Verizon Communications Inc., Senior Notes

     5.250      3/16/37        30,000        28,017  

Verizon Communications Inc., Senior Notes

     3.400      3/22/41        10,000        7,301  

Total Diversified Telecommunication Services

                                572,460  

Entertainment — 0.5%

                                   

Warnermedia Holdings Inc., Senior Notes

     3.755      3/15/27        20,000        17,894  (a) 

Warnermedia Holdings Inc., Senior Notes

     4.054      3/15/29        10,000        8,637  (a) 

Warnermedia Holdings Inc., Senior Notes

     4.279      3/15/32        70,000        57,588  (a) 

Warnermedia Holdings Inc., Senior Notes

     5.050      3/15/42        10,000        7,482  (a) 

Warnermedia Holdings Inc., Senior Notes

     5.141      3/15/52        90,000        65,414  (a) 

Total Entertainment

                                157,015  

Interactive Media & Services — 0.1%

                                   

Alphabet Inc., Senior Notes

     1.100      8/15/30        20,000        15,463  

Media — 2.0%

                                   

CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes

     4.500      8/15/30        10,000        7,909 (a) 

CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes

     4.250      2/1/31        218,000        167,215 (a) 

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

     4.908      7/23/25        40,000        39,006  

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

     5.050      3/30/29        50,000        46,021  

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

     2.800      4/1/31        70,000        52,916  

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

     5.375      4/1/38        80,000        64,824  

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

     3.500      3/1/42        40,000        25,381  

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

     4.800      3/1/50        10,000        7,214  

Comcast Corp., Senior Notes

     3.150      3/1/26        20,000        18,841  

Comcast Corp., Senior Notes

     3.300      4/1/27        50,000        46,378  

Comcast Corp., Senior Notes

     4.250      10/15/30        40,000        37,035  

Comcast Corp., Senior Notes

     3.750      4/1/40        20,000        15,722  

 

See Notes to Financial Statements.

 

Western Asset ETFs 2022 Semi-Annual Report       15  


Table of Contents

Schedules of investments (unaudited) (cont’d)

September 30, 2022

 

Western Asset Total Return ETF

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

   

Face

Amount†

    Value  

Media — continued

                               

Comcast Corp., Senior Notes

    4.000     8/15/47       10,000     $ 7,736  

Comcast Corp., Senior Notes

    3.969     11/1/47       20,000       15,292  

Comcast Corp., Senior Notes

    3.450     2/1/50       10,000       6,983  

Comcast Corp., Senior Notes

    2.800     1/15/51       70,000       42,878  

DISH DBS Corp., Senior Notes

    5.875     11/15/24       120,000       107,100  

Time Warner Cable LLC, Senior Secured Notes

    6.550     5/1/37       10,000       9,023  

Total Media

                            717,474  

Wireless Telecommunication Services — 0.9%

                               

T-Mobile USA Inc., Senior Notes

    3.500     4/15/25       50,000       47,788  

T-Mobile USA Inc., Senior Notes

    2.250     2/15/26       10,000       8,948  

T-Mobile USA Inc., Senior Notes

    3.750     4/15/27       10,000       9,228  

T-Mobile USA Inc., Senior Notes

    3.875     4/15/30       30,000       26,611  

T-Mobile USA Inc., Senior Notes

    2.550     2/15/31       40,000       31,692  

Vmed O2 UK Financing I PLC, Senior Secured Notes

    4.750     7/15/31       200,000       154,299  (a) 

Vodafone Group PLC, Senior Notes

    4.375     5/30/28       50,000       47,033  

Total Wireless Telecommunication Services

                            325,599  

Total Communication Services

                            1,788,011  
Consumer Discretionary — 4.9%                                

Automobiles — 1.6%

                               

Ford Motor Co., Senior Notes

    3.250     2/12/32       130,000       93,643  

Ford Motor Co., Senior Notes

    6.100     8/19/32       20,000       17,632  

Ford Motor Credit Co. LLC, Senior Notes

    4.000     11/13/30       200,000       156,000  

General Motors Co., Senior Notes

    5.400     10/2/23       20,000       20,002  

General Motors Co., Senior Notes

    6.125     10/1/25       40,000       40,017  

General Motors Co., Senior Notes

    5.950     4/1/49       10,000       8,341  

General Motors Financial Co. Inc., Senior Notes

    3.100     1/12/32       20,000       15,085  

Nissan Motor Co. Ltd., Senior Notes

    4.345     9/17/27       240,000       206,877  (a) 

Total Automobiles

                            557,597  

Hotels, Restaurants & Leisure — 1.9%

                               

Las Vegas Sands Corp., Senior Notes

    3.200     8/8/24       40,000       37,707  

Las Vegas Sands Corp., Senior Notes

    2.900     6/25/25       80,000       71,748  

McDonald’s Corp., Senior Notes

    3.500     3/1/27       10,000       9,470  

McDonald’s Corp., Senior Notes

    3.800     4/1/28       20,000       18,786  

McDonald’s Corp., Senior Notes

    4.450     9/1/48       70,000       58,385  

NCL Corp. Ltd., Senior Notes

    5.875     3/15/26       130,000       98,896  (a) 

Sands China Ltd., Senior Notes

    5.625     8/8/25       200,000       181,186  

Sands China Ltd., Senior Notes

    2.800     3/8/27       200,000       158,914  

VOC Escrow Ltd., Senior Secured Notes

    5.000     2/15/28       20,000       16,267  (a) 

Total Hotels, Restaurants & Leisure