| Semi-Annual Report | September 30, 2022 |
Western Asset ETFs
Western Asset Short Duration Income ETF
Western Asset Total Return ETF
| INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE |
| II | Western Asset ETFs |
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,
Patrick O’Connor
President and Chief Executive Officer - Investment Management President
October 31, 2022
| Western Asset ETFs | III |
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 |
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 |
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,
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 |
Western Asset Short Duration Income ETF Investment Breakdown† (%) as a percent of total investments
| † |
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 |
Funds at a glance (unaudited) (cont’d)
Western Asset Total Return ETF Investment Breakdown† (%) as a percent of total investments
| † |
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 |
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 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 |
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 |
Ending Account Value |
Annualized Expense Ratio |
Expenses Paid During the Period3 |
Hypothetical Annualized |
Beginning 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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
651,359 | |||||||||||||||
|
Household Durables — 0.1% |
||||||||||||||||
|
Lennar Corp., Senior Notes |
4.500 | % | 4/30/24 | 20,000 | 19,628 | |||||||||||
|
MDC Holdings Inc., Senior Notes |
6.000 | % | 1/15/43 | 10,000 | 7,504 | |||||||||||
|
Total Household Durables |
27,132 | |||||||||||||||
|
Internet & Direct Marketing Retail — 1.1% |
||||||||||||||||
|
Amazon.com Inc., Senior Notes |
3.450 | % | 4/13/29 | 30,000 | 27,740 | |||||||||||
|
Amazon.com Inc., Senior Notes |
1.500 | % | 6/3/30 | 10,000 | 7,889 | |||||||||||
See Notes to Financial Statements.
| 16 | Western Asset ETFs 2022 Semi-Annual Report |
Western Asset Total Return ETF
(Percentages shown based on Fund net assets)
| Maturity | Face | |||||||||||||||
| Security | Rate | Date | Amount† | Value | ||||||||||||
|
Internet & Direct Marketing Retail — continued |
||||||||||||||||
|
Amazon.com Inc., Senior Notes |
3.600 | % | 4/13/32 | 10,000 | $ | 9,093 | ||||||||||
|
Amazon.com Inc., Senior Notes |
3.875 | % | 8/22/37 | 70,000 | 60,847 | |||||||||||
|
Amazon.com Inc., Senior Notes |
4.050 | % | 8/22/47 | 60,000 | 50,668 | |||||||||||
|
Amazon.com Inc., Senior Notes |
3.100 | % | 5/12/51 | 30,000 | 21,002 | |||||||||||
|
Prosus NV, Senior Notes |
3.832 | % | 2/8/51 | 400,000 | 221,970 | (a) | ||||||||||
|
Total Internet & Direct Marketing Retail |
||||||||||||||||