BRANDYWINEGLOBAL — CORPORATE CREDIT FUND
| Schedule of investments (unaudited) | September 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| CORPORATE BONDS & NOTES - 90.4% | ||||||||||||||||
| COMMUNICATION SERVICES - 9.9% | ||||||||||||||||
| Diversified Telecommunication Services - 0.3% |
||||||||||||||||
| Total Play Telecomunicaciones SA de CV, Senior Notes |
6.375 | % | 9/20/28 | $ | 6,315,000 | $ | 4,497,930 | (a) | ||||||||
|
|
|
|||||||||||||||
| Entertainment - 2.5% |
||||||||||||||||
| Playtika Holding Corp., Senior Notes |
4.250 | % | 3/15/29 | 2,550,000 | 2,042,741 | (a) | ||||||||||
| ROBLOX Corp., Senior Notes |
3.875 | % | 5/1/30 | 20,738,000 | 16,918,164 | (a) | ||||||||||
| Speedway Motorsports LLC/Speedway Funding II Inc., Senior Notes |
4.875 | % | 11/1/27 | 15,228,000 | 13,263,176 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Entertainment |
32,224,081 | |||||||||||||||
|
|
|
|||||||||||||||
| Interactive Media & Services - 4.8% |
||||||||||||||||
| ANGI Group LLC, Senior Notes |
3.875 | % | 8/15/28 | 31,943,000 | 22,592,567 | (a) | ||||||||||
| GrubHub Holdings Inc., Senior Notes |
5.500 | % | 7/1/27 | 39,162,000 | 27,102,640 | (a) | ||||||||||
| Match Group Holdings II LLC, Senior Notes |
4.625 | % | 6/1/28 | 4,346,000 | 3,806,553 | (a) | ||||||||||
| Match Group Holdings II LLC, Senior Notes |
4.125 | % | 8/1/30 | 4,325,000 | 3,557,940 | (a) | ||||||||||
| Meta Platforms Inc., Senior Notes |
4.450 | % | 8/15/52 | 6,230,000 | 5,094,741 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Interactive Media & Services |
62,154,441 | |||||||||||||||
|
|
|
|||||||||||||||
| Media - 2.3% |
||||||||||||||||
| LCPR Senior Secured Financing DAC, Senior Secured Notes |
6.750 | % | 10/15/27 | 19,593,000 | 16,289,131 | (a) | ||||||||||
| Liberty Interactive LLC, Senior Notes |
8.500 | % | 7/15/29 | 9,998,000 | 6,632,973 | |||||||||||
| Liberty Interactive LLC, Senior Notes |
8.250 | % | 2/1/30 | 10,259,000 | 6,484,406 | |||||||||||
|
|
|
|||||||||||||||
| Total Media |
29,406,510 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
128,282,962 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 14.8% | ||||||||||||||||
| Automobiles - 1.2% |
||||||||||||||||
| General Motors Co., Senior Notes |
5.600 | % | 10/15/32 | 6,361,000 | 5,686,257 | |||||||||||
| General Motors Co., Senior Notes |
5.000 | % | 4/1/35 | 1,735,000 | 1,426,355 | |||||||||||
| Stellantis Finance US Inc., Senior Notes |
6.375 | % | 9/12/32 | 9,250,000 | 8,570,321 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Automobiles |
15,682,933 | |||||||||||||||
|
|
|
|||||||||||||||
| Diversified Consumer Services - 0.1% |
||||||||||||||||
| Graham Holdings Co., Senior Notes |
5.750 | % | 6/1/26 | 1,199,000 | 1,164,343 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Hotels, Restaurants & Leisure - 10.7% |
||||||||||||||||
| Affinity Gaming, Senior Secured Notes |
6.875 | % | 12/15/27 | 14,074,000 | 11,500,358 | (a) | ||||||||||
| Carnival Corp., Senior Secured Notes |
4.000 | % | 8/1/28 | 7,758,000 | 6,271,334 | (a) | ||||||||||
| CCM Merger Inc., Senior Notes |
6.375 | % | 5/1/26 | 15,078,000 | 13,787,474 | (a) | ||||||||||
See Notes to Schedule of Investments.
| BrandywineGLOBAL — Corporate Credit Fund 2022 Quarterly Report |
1 |
BRANDYWINEGLOBAL — CORPORATE CREDIT FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Hotels, Restaurants & Leisure - (continued) |
||||||||||||||||
| Nathan’s Famous Inc., Senior Secured Notes |
6.625 | % | 11/1/25 | $ | 16,046,000 | $ | 15,976,681 | (a) | ||||||||
| Station Casinos LLC, Senior Notes |
4.500 | % | 2/15/28 | 33,267,000 | 27,354,849 | (a) | ||||||||||
| Station Casinos LLC, Senior Notes |
4.625 | % | 12/1/31 | 2,213,000 | 1,674,710 | (a) | ||||||||||
| Travel + Leisure Co., Senior Secured Notes |
6.625 | % | 7/31/26 | 13,040,000 | 12,232,647 | (a) | ||||||||||
| Viking Cruises Ltd., Senior Notes |
6.250 | % | 5/15/25 | 28,207,000 | 24,522,602 | (a) | ||||||||||
| Viking Cruises Ltd., Senior Secured Notes |
13.000 | % | 5/15/25 | 7,439,000 | 7,716,803 | (a) | ||||||||||
| VOC Escrow Ltd., Senior Secured Notes |
5.000 | % | 2/15/28 | 3,260,000 | 2,658,302 | (a) | ||||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Senior Notes |
4.250 | % | 5/30/23 | 300,000 | 294,327 | (a) | ||||||||||
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., Senior Notes |
5.500 | % | 3/1/25 | 14,807,000 | 13,884,228 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Hotels, Restaurants & Leisure |
137,874,315 | |||||||||||||||
|
|
|
|||||||||||||||
| Internet & Direct Marketing Retail - 1.6% |
||||||||||||||||
| MercadoLibre Inc., Senior Notes |
2.375 | % | 1/14/26 | 400,000 | 343,160 | |||||||||||
| MercadoLibre Inc., Senior Notes |
3.125 | % | 1/14/31 | 6,478,000 | 4,707,627 | |||||||||||
| QVC Inc., Senior Secured Notes |
5.450 | % | 8/15/34 | 24,818,000 | 15,337,028 | |||||||||||
|
|
|
|||||||||||||||
| Total Internet & Direct Marketing Retail |
|
20,387,815 | ||||||||||||||
|
|
|
|||||||||||||||
| Specialty Retail - 0.9% |
||||||||||||||||
| Arko Corp., Senior Notes |
5.125 | % | 11/15/29 | 15,595,000 | 12,194,042 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Textiles, Apparel & Luxury Goods - 0.3% |
||||||||||||||||
| Crocs Inc., Senior Notes |
4.250 | % | 3/15/29 | 4,880,000 | 3,889,287 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
191,192,735 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 3.0% | ||||||||||||||||
| Food Products - 0.1% |
||||||||||||||||
| Post Holdings Inc., Senior Notes |
4.500 | % | 9/15/31 | 1,148,000 | 926,522 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Tobacco - 2.9% |
||||||||||||||||
| Turning Point Brands Inc., Senior Secured Notes |
5.625 | % | 2/15/26 | 16,685,000 | 14,508,108 | (a) | ||||||||||
| Vector Group Ltd., Senior Secured Notes |
5.750 | % | 2/1/29 | 29,167,000 | 23,852,720 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Tobacco |
38,360,828 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
39,287,350 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 13.0% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 11.8% |
||||||||||||||||
| Civitas Resources Inc., Senior Notes |
5.000 | % | 10/15/26 | 12,965,000 | 11,791,408 | (a) | ||||||||||
| CNX Resources Corp., Senior Notes |
6.000 | % | 1/15/29 | 1,800,000 | 1,646,595 | (a) | ||||||||||
| Energean Israel Finance Ltd., Senior Secured Notes |
4.500 | % | 3/30/24 | 7,688,000 | 7,245,940 | (b) | ||||||||||
See Notes to Schedule of Investments.
|
2 |
BrandywineGLOBAL — Corporate Credit Fund 2022 Quarterly Report |
BRANDYWINEGLOBAL — CORPORATE CREDIT FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
| Energean Israel Finance Ltd., Senior Secured Notes |
5.375 | % | 3/30/28 | $ | 13,245,000 | $ | 11,291,363 | (b) | ||||||||
| Floatel International Ltd. |
0.000 | % | 9/24/26 | 160,000 | 0 | *(c)(d)(e) | ||||||||||
| Floatel International Ltd., Senior Secured Notes |
6.000 | % | 9/24/26 | 1,600,000 | 1,200,000 | |||||||||||
| Floatel International Ltd., Senior Secured Notes (10.000% PIK) |
10.000 | % | 9/24/26 | 1,600,000 | 1,200,000 | (f) | ||||||||||
| Leviathan Bond Ltd., Senior Secured Notes |
6.500 | % | 6/30/27 | 19,250,000 | 17,758,125 | (b) | ||||||||||
| Magnolia Oil & Gas Operating LLC/ Magnolia Oil & Gas Finance Corp., Senior Notes |
6.000 | % | 8/1/26 | 53,045,000 | 50,913,652 | (a) | ||||||||||
| New Fortress Energy Inc., Senior Secured Notes |
6.750 | % | 9/15/25 | 15,445,000 | 14,656,378 | (a) | ||||||||||
| New Fortress Energy Inc., Senior Secured Notes |
6.500 | % | 9/30/26 | 11,890,000 | 11,003,363 | (a) | ||||||||||
| Parsley Energy LLC/Parsley Finance Corp., Senior Notes |
5.625 | % | 10/15/27 | 600,000 | 616,804 | (a) | ||||||||||
| Penn Virginia Holdings LLC, Senior Notes |
9.250 | % | 8/15/26 | 3,892,000 | 3,663,345 | (a) | ||||||||||
| Teine Energy Ltd., Senior Notes |
6.875 | % | 4/15/29 | 21,461,000 | 19,371,361 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
152,358,334 | |||||||||||||||
|
|
|
|||||||||||||||
| Water Utilities - 1.2% |
||||||||||||||||
| Solaris Midstream Holdings LLC, Senior Notes |
7.625 | % | 4/1/26 | 16,884,000 | 16,227,803 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
168,586,137 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 23.5% | ||||||||||||||||
| Banks - 4.6% |
||||||||||||||||
| JPMorgan Chase & Co., Subordinated Notes (5.717% to 9/14/32 then SOFR + 2.580%) |
5.717 | % | 9/14/33 | 11,265,000 | 10,668,799 | (g) | ||||||||||
| Popular Inc., Senior Notes |
6.125 | % | 9/14/23 | 9,833,000 | 9,784,228 | |||||||||||
| SVB Financial Group, Senior Notes |
3.125 | % | 6/5/30 | 2,270,000 | 1,831,503 | |||||||||||
| SVB Financial Group, Senior Notes |
1.800 | % | 2/2/31 | 13,200,000 | 9,463,726 | |||||||||||
| Synchrony Bank, Senior Notes |
5.400 | % | 8/22/25 | 5,000,000 | 4,879,412 | |||||||||||
| Texas Capital Bancshares Inc., Subordinated Notes (4.000% to 5/6/26 then 1 year Treasury Constant Maturity Rate + 3.150%) |
4.000 | % | 5/6/31 | 1,500,000 | 1,293,798 | (g) | ||||||||||
See Notes to Schedule of Investments.
| BrandywineGLOBAL — Corporate Credit Fund 2022 Quarterly Report |
3 |
BRANDYWINEGLOBAL — CORPORATE CREDIT FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Banks - (continued) |
||||||||||||||||
| Truist Financial Corp., Subordinated Notes (4.916% to 7/28/32 then SOFR + 2.240%) |
4.916 | % | 7/28/33 | $ | 5,811,000 | $ | 5,259,558 | (g) | ||||||||
| US Bancorp, Subordinated Notes (4.967% to 7/22/32 then SOFR + 2.110%) |
4.967 | % | 7/22/33 | 5,300,000 | 4,956,482 | (g) | ||||||||||
| Western Alliance Bank, Subordinated Notes (5.250% to 6/1/25 then 3 mo. SOFR + 5.120%) |
5.250 | % | 6/1/30 | 11,935,000 | 11,557,923 | (g) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
59,695,429 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 1.3% |
||||||||||||||||
| Coinbase Global Inc., Senior Notes |
3.375 | % | 10/1/28 | 19,278,000 | 12,096,752 | (a) | ||||||||||
| Coinbase Global Inc., Senior Notes |
3.625 | % | 10/1/31 | 669,000 | 372,293 | (a) | ||||||||||
| Hightower Holding LLC, Senior Notes |
6.750 | % | 4/15/29 | 5,753,000 | 4,704,431 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
17,173,476 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Finance - 6.2% |
||||||||||||||||
| American Express Co., Senior Notes (4.420% to 8/3/32 then SOFR + 1.760%) |
4.420 | % | 8/3/33 | 8,000,000 | 7,282,856 | (g) | ||||||||||
| Credit Acceptance Corp., Senior Notes |
5.125 | % | 12/31/24 | 4,834,000 | 4,508,706 | (a) | ||||||||||
| FirstCash Inc., Senior Notes |
4.625 | % | 9/1/28 | 19,770,000 | 16,595,037 | (a) | ||||||||||
| FirstCash Inc., Senior Notes |
5.625 | % | 1/1/30 | 7,515,000 | 6,437,086 | (a) | ||||||||||
| PRA Group Inc., Senior Notes |
7.375 | % | 9/1/25 | 4,194,000 | 4,062,812 | (a) | ||||||||||
| PROG Holdings Inc., Senior Notes |
6.000 | % | 11/15/29 | 32,736,000 | 26,231,357 | (a) | ||||||||||
| World Acceptance Corp., Senior Notes |
7.000 | % | 11/1/26 | 24,305,000 | 15,139,560 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Consumer Finance |
80,257,414 | |||||||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services - 0.9% |
||||||||||||||||
| Cobra AcquisitionCo LLC, Senior Notes |
6.375 | % | 11/1/29 | 16,667,000 | 11,657,983 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Insurance - 2.3% |
||||||||||||||||
| AmWINS Group Inc., Senior Notes |
4.875 | % | 6/30/29 | 500,000 | 416,151 | (a) | ||||||||||
| BroadStreet Partners Inc., Senior Notes |
5.875 | % | 4/15/29 | 9,900,000 | 7,816,793 | (a) | ||||||||||
| Fairfax Financial Holdings Ltd., Senior Notes |
5.625 | % | 8/16/32 | 5,870,000 | 5,421,677 | (a) | ||||||||||
| NFP Corp., Senior Secured Notes |
4.875 | % | 8/15/28 | 16,099,000 | 13,758,849 | (a) | ||||||||||
| NFP Corp., Senior Secured Notes |
7.500 | % | 10/1/30 | 2,284,000 | 2,170,240 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Insurance |
29,583,710 | |||||||||||||||
|
|
|
|||||||||||||||
| Mortgage Real Estate Investment Trusts (REITs) - 1.5% |
||||||||||||||||
| Burford Capital Global Finance LLC, Senior Notes |
6.250 | % | 4/15/28 | 671,000 | 589,218 | (a) | ||||||||||
| Burford Capital Global Finance LLC, Senior Notes |
6.875 | % | 4/15/30 | 20,775,000 | 18,160,050 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Mortgage Real Estate Investment Trusts (REITs) |
|
18,749,268 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
4 |
BrandywineGLOBAL — Corporate Credit Fund 2022 Quarterly Report |
BRANDYWINEGLOBAL — CORPORATE CREDIT FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Thrifts & Mortgage Finance - 6.7% |
||||||||||||||||
| Freedom Mortgage Corp., Senior Notes |
8.125 | % | 11/15/24 | $ | 2,000,000 | $ | 1,753,700 | (a) | ||||||||
| Freedom Mortgage Corp., Senior Notes |
8.250 | % | 4/15/25 | 7,221,000 | 5,980,266 | (a) | ||||||||||
| Freedom Mortgage Corp., Senior Notes |
7.625 | % | 5/1/26 | 26,535,000 | 19,865,421 | (a) | ||||||||||
| Freedom Mortgage Corp., Senior Notes |
6.625 | % | 1/15/27 | 4,709,000 | 3,364,283 | (a) | ||||||||||
| MGIC Investment Corp., Senior Notes |
5.250 | % | 8/15/28 | 10,735,000 | 9,612,495 | |||||||||||
| Radian Group Inc., Senior Notes |
4.500 | % | 10/1/24 | 4,557,000 | 4,317,393 | |||||||||||
| Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes |
2.875 | % | 10/15/26 | 2,455,000 | 2,016,819 | (a) | ||||||||||
| United Wholesale Mortgage LLC, Senior Notes |
5.750 | % | 6/15/27 | 17,018,000 | 13,518,804 | (a) | ||||||||||
| United Wholesale Mortgage LLC, Senior Notes |
5.500 | % | 4/15/29 | 33,960,000 | 25,878,709 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Thrifts & Mortgage Finance |
86,307,890 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
303,425,170 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 1.5% | ||||||||||||||||
| Health Care Equipment & Supplies - 0.2% |
||||||||||||||||
| Embecta Corp., Senior Secured Notes |
6.750 | % | 2/15/30 | 3,500,000 | 3,248,398 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Health Care Providers & Services - 0.2% |
||||||||||||||||
| Molina Healthcare Inc., Senior Notes |
4.375 | % | 6/15/28 | 2,319,000 | 2,097,814 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Pharmaceuticals - 1.1% |
||||||||||||||||
| Horizon Therapeutics USA Inc., Senior Notes |
5.500 | % | 8/1/27 | 14,865,000 | 13,927,167 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
19,273,379 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 11.9% | ||||||||||||||||
| Aerospace & Defense - 4.0% |
||||||||||||||||
| TransDigm Inc., Senior Notes |
7.500 | % | 3/15/27 | 9,607,000 | 9,157,392 | |||||||||||
| TransDigm Inc., Senior Secured Notes |
8.000 | % | 12/15/25 | 840,000 | 853,222 | (a) | ||||||||||
| TransDigm Inc., Senior Secured Notes |
6.250 | % | 3/15/26 | 25,170,000 | 24,457,437 | (a) | ||||||||||
| TransDigm UK Holdings PLC, Senior Notes |
6.875 | % | 5/15/26 | 18,787,000 | 17,834,163 | |||||||||||
|
|
|
|||||||||||||||
| Total Aerospace & Defense |
52,302,214 | |||||||||||||||
|
|
|
|||||||||||||||
| Airlines - 1.3% |
||||||||||||||||
| Air Canada Pass-Through Trust |
5.250 | % | 4/1/29 | 2,771,896 | 2,610,699 | (a) | ||||||||||
| Air Canada Pass-Through Trust |
3.300 | % | 1/15/30 | 2,747,416 | 2,377,713 | (a) | ||||||||||
| Allegiant Travel Co., Senior Secured Notes |
7.250 | % | 8/15/27 | 10,850,000 | 10,249,832 | (a) | ||||||||||
| Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes |
4.750 | % | 10/20/28 | 1,290,000 | 1,203,213 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Airlines |
16,441,457 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| BrandywineGLOBAL — Corporate Credit Fund 2022 Quarterly Report |
5 |
BRANDYWINEGLOBAL — CORPORATE CREDIT FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Building Products - 0.2% |
||||||||||||||||
| Standard Industries Inc., Senior Notes |
4.375 | % | 7/15/30 | $ | 3,895,000 | $ | 2,989,062 | (a) | ||||||||
|
|
|
|||||||||||||||
| Commercial Services & Supplies - 1.6% |
||||||||||||||||
| Cimpress PLC, Senior Notes |
7.000 | % | 6/15/26 | 29,165,000 | 19,888,488 | (a) | ||||||||||
| KAR Auction Services Inc., Senior Notes |
5.125 | % | 6/1/25 | 220,000 | 212,618 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Commercial Services & Supplies |
20,101,106 | |||||||||||||||
|
|
|
|||||||||||||||
| Construction & Engineering - 1.3% |
||||||||||||||||
| Brundage-Bone Concrete Pumping |
||||||||||||||||
| Holdings Inc., Secured Notes |
6.000 | % | 2/1/26 | 14,435,000 | 13,045,126 | (a) | ||||||||||
| MasTec Inc., Senior Notes |
4.500 | % | 8/15/28 | 4,612,000 | 4,033,434 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Construction & Engineering |
17,078,560 | |||||||||||||||
|
|
|
|||||||||||||||
| Machinery - 2.6% |
||||||||||||||||
| ATS Automation Tooling Systems Inc., Senior Notes |
4.125 | % | 12/15/28 | 21,484,000 | 17,865,665 | (a) | ||||||||||
| HTA Group Ltd., Senior Notes |
7.000 | % | 12/18/25 | 17,500,000 | 15,333,325 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Machinery |
33,198,990 | |||||||||||||||
|
|
|
|||||||||||||||
| Professional Services - 0.9% |
||||||||||||||||
| TriNet Group Inc., Senior Notes |
3.500 | % | 3/1/29 | 14,401,000 | 11,759,857 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
153,871,246 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 4.8% | ||||||||||||||||
| Communications Equipment - 1.7% |
||||||||||||||||
| Motorola Solutions Inc., Senior Notes |
2.300 | % | 11/15/30 | 400,000 | 301,144 | |||||||||||
| Motorola Solutions Inc., Senior Notes |
2.750 | % | 5/24/31 | 1,600,000 | 1,223,183 | |||||||||||
| Viasat Inc., Senior Secured Notes |
5.625 | % | 4/15/27 | 24,239,000 | 20,215,568 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Communications Equipment |
21,739,895 | |||||||||||||||
|
|
|
|||||||||||||||
| IT Services - 2.0% |
||||||||||||||||
| Block Inc., Senior Notes |
3.500 | % | 6/1/31 | 7,120,000 | 5,534,234 | |||||||||||
| Bread Financial Holdings Inc., Senior Notes |
7.000 | % | 1/15/26 | 2,477,000 | 2,176,478 | (a) | ||||||||||
| CDW LLC/CDW Finance Corp., Senior Notes |
3.250 | % | 2/15/29 | 875,000 | 711,730 | |||||||||||
| Sabre GLBL Inc., Senior Secured Notes |
7.375 | % | 9/1/25 | 5,499,000 | 4,932,497 | (a) | ||||||||||
| Twilio Inc., Senior Notes |
3.875 | % | 3/15/31 | 15,360,000 | 12,089,426 | |||||||||||
|
|
|
|||||||||||||||
| Total IT Services |
25,444,365 | |||||||||||||||
|
|
|
|||||||||||||||
| Semiconductors & Semiconductor Equipment - 0.7% |
||||||||||||||||
| Marvell Technology Inc., Senior Notes |
2.950 | % | 4/15/31 | 6,727,000 | 5,226,108 | |||||||||||
| Micron Technology Inc., Senior Notes |
2.703 | % | 4/15/32 | 1,425,000 | 1,038,909 | |||||||||||
| Qorvo Inc., Senior Notes |
3.375 | % | 4/1/31 | 4,380,000 | 3,286,971 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Semiconductors & Semiconductor Equipment |
9,551,988 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
6 |
BrandywineGLOBAL — Corporate Credit Fund 2022 Quarterly Report |
BRANDYWINEGLOBAL — CORPORATE CREDIT FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Software - 0.2% |
||||||||||||||||
| Black Knight InfoServ LLC, Senior Notes |
3.625 | % | 9/1/28 | $ | 1,185,000 | $ | 1,011,468 | (a) | ||||||||
| Elastic NV, Senior Notes |
4.125 | % | 7/15/29 | 2,910,000 | 2,302,305 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Software |
3,313,773 | |||||||||||||||
|
|
|
|||||||||||||||
| Technology Hardware, Storage & Peripherals - 0.2% |
||||||||||||||||
| Lenovo Group Ltd., Senior Notes |
6.536 | % | 7/27/32 | 2,200,000 | 2,028,015 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
62,078,036 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 7.1% | ||||||||||||||||
| Chemicals - 5.0% |
||||||||||||||||
| Ashland LLC, Senior Notes |
6.875 | % | 5/15/43 | 11,809,000 | 11,342,544 | |||||||||||
| Celanese US Holdings LLC, Senior Notes |
6.165 | % | 7/15/27 | 15,000,000 | 14,215,149 | |||||||||||
| GCP Applied Technologies Inc., Senior Notes |
5.500 | % | 4/15/26 | 5,923,000 | 6,007,403 | (a) | ||||||||||
| Mativ Holdings Inc., Senior Notes |
6.875 | % | 10/1/26 | 37,301,000 | 32,961,029 | (a) | ||||||||||
| Valvoline Inc., Senior Notes |
4.250 | % | 2/15/30 | 700,000 | 663,057 | (a) | ||||||||||
| Valvoline Inc., Senior Notes |
3.625 | % | 6/15/31 | 500,000 | 368,945 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Chemicals |
65,558,127 | |||||||||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 2.1% |
||||||||||||||||
| Commercial Metals Co., Senior Notes |
3.875 | % | 2/15/31 | 1,000,000 | 786,717 | |||||||||||
| First Quantum Minerals Ltd., Senior Notes |
7.500 | % | 4/1/25 | 17,175,000 | 16,553,007 | (a) | ||||||||||
| FMG Resources August 2006 Pty Ltd., Senior Notes |
4.375 | % | 4/1/31 | 12,317,000 | 9,484,189 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Metals & Mining |
26,823,913 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
92,382,040 | |||||||||||||||
|
|
|
|||||||||||||||
| REAL ESTATE - 0.9% | ||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) - 0.1% |
||||||||||||||||
| National Health Investors Inc., Senior Notes |
3.000 | % | 2/1/31 | 2,000,000 | 1,406,644 | |||||||||||
|
|
|
|||||||||||||||
| Real Estate Management & Development - 0.8% |
||||||||||||||||
| Forestar Group Inc., Senior Notes |
5.000 | % | 3/1/28 | 11,957,000 | 9,617,493 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL REAL ESTATE |
11,024,137 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost - $1,351,128,799) |
|
1,169,403,192 | ||||||||||||||
|
|
|
|||||||||||||||
| SENIOR LOANS - 1.0% | ||||||||||||||||
| ENERGY - 0.6% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 0.6% |
||||||||||||||||
| Flutter Entertainment PLC, Third Amendment 2028 Term Loan B |
— | 9/16/28 | 8,250,000 | 8,066,933 | (h) | |||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| BrandywineGLOBAL — Corporate Credit Fund 2022 Quarterly Report |
7 |
BRANDYWINEGLOBAL — CORPORATE CREDIT FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| INFORMATION TECHNOLOGY - 0.4% | ||||||||||||||||
| IT Services - 0.4% |
||||||||||||||||
| Sabre GLBL Inc., Term Loan B2 (1 mo. Term SOFR + 5.100%) |
8.829 | % | 6/30/28 | $ | 5,000,000 | $ | 4,643,750 | (d)(g)(i)(j) | ||||||||
|
|
|
|||||||||||||||
| TOTAL SENIOR LOANS (Cost - $12,819,767) |
12,710,683 | |||||||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 0.1% | ||||||||||||||||
| ALESCO Preferred Funding Ltd., Class PNN |
0.000 | % | 3/23/25 | 621,631 | 248,405 | (a)(c) | ||||||||||
| ALESCO Preferred Funding VI Ltd., Class PNNE |
0.000 | % | 3/23/35 | 336,608 | 128,216 | (a)(c) | ||||||||||
| Fort Sheridan ABS CDO Ltd., 2005-1A, Class PPN2 |
0.000 | % | 11/5/41 | 611,948 | 282,820 | (a)(c) | ||||||||||
| Taberna Preferred Funding I Ltd., 2005- 1A, Class PPN2 |
0.000 | % | 7/5/35 | 1,175,564 | 469,174 | (a)(c) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost - $2,545,424) |
|
1,128,615 | ||||||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| COMMON STOCKS - 0.0%†† | ||||||||||||||||
| ENERGY - 0.0%†† | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 0.0%†† |
||||||||||||||||
| Floatel International Ltd. (Cost - $1,138,496) |
687,166 | 0 | *(c)(d)(e) | |||||||||||||
|
|
|
|||||||||||||||
| EXPIRATION DATE |
WARRANTS | |||||||||||||||
| WARRANTS - 0.0%†† | ||||||||||||||||
| ENERGY - 0.0%†† | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 0.0%†† |
||||||||||||||||
| Floatel International Ltd. (Cost - $3,927,584) |
3/16/25 | 662,476 | 0 | *(c)(d)(e) | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $1,371,560,070) |
1,183,242,490 | |||||||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| SHORT-TERM INVESTMENTS - 8.0% | ||||||||||||||||
| Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares (Cost - $103,868,405) |
2.615 | % | 103,868,405 | 103,868,405 | (k) | |||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 99.5% (Cost - $1,475,428,475) |
|
1,287,110,895 | ||||||||||||||
| Other Assets in Excess of Liabilities - 0.5% |
5,875,776 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 1,292,986,671 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
8 |
BrandywineGLOBAL — Corporate Credit Fund 2022 Quarterly Report |
BRANDYWINEGLOBAL — CORPORATE CREDIT FUND
| Schedule of investments (unaudited) (cont’d) | September 30, 2022 |
| †† | Represents less than 0.1%. |
| * | Non-income producing security. |
| (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) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
| (c) | Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1). |
| (d) | Security is valued using significant unobservable inputs (Note 1). |
| (e) | Value is less than $1. |
| (f) | 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. |
| (g) | 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. |
| (h) | All or a portion of this loan is unfunded as of September 30, 2022. The interest rate for fully unfunded term loans is to be determined. |
| (i) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| (j) | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. |
| (k) | In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At September 30, 2022, the total market value of investments in Affiliated Companies was $103,868,405 and the cost was $103,868,405 (Note 2). |
Abbreviation(s) used in this schedule:
| CDO | — | Collateralized Debt Obligation | ||
| PIK | — | Payment-In-Kind | ||
| SOFR | — | Secured Overnight Financing Rate |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
| BrandywineGLOBAL — Corporate Credit Fund 2022 Quarterly Report |
9 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
BrandywineGLOBAL — Corporate Credit Fund (the “Fund”) is a separate diversified investment series of Legg Mason Partners Investment Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities.
Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
|
10 |
Notes to Schedule of Investments (unaudited) (continued)
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – unadjusted quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
|
11 |
Notes to Schedule of Investments (unaudited) (continued)
The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:
| ASSETS |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-Term Investments†: |
||||||||||||||||
| Corporate Bonds & Notes |
— | $ | 1,169,403,192 | $ | 0 | * | $ | 1,169,403,192 | ||||||||
| Senior Loans: |
||||||||||||||||
| Energy |
— | 8,066,933 | — | 8,066,933 | ||||||||||||
| Information Technology |
— | — | 4,643,750 | 4,643,750 | ||||||||||||
| Asset-Backed Securities |
— | 1,128,615 | — | 1,128,615 | ||||||||||||
| Common Stocks |
— | — | 0 | * | 0 | * | ||||||||||
| Warrants |
— | — | 0 | * | 0 | * | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
— | 1,178,598,740 | 4,643,750 | 1,183,242,490 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
$ | 103,868,405 | — | — | 103,868,405 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$ | 103,868,405 | $ | 1,178,598,740 | $ | 4,643,750 | $ | 1,287,110,895 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
| * | Amount represents less than $1. |
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended September 30, 2022. The following transactions were effected in such company for the period ended September 30, 2022.
| Affiliate Value at December 31, |
Purchased | Sold | ||||||||||||||||||
| 2021 | Cost | Shares | Cost | Shares | ||||||||||||||||
| Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares | $ | 275,325,225 | $ | 477,841,326 | 477,841,326 | $ | 649,298,146 | 649,298,146 | ||||||||||||
| (cont’d) |
Realized Gain (Loss) |
Dividend Income |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
Affiliate Value at September 30, 2022 |
||||||||||||
| Western Asset Premier Institutional U.S. Treasury Reserves, Premium Shares | — | $ | 891,368 | — | $ | 103,868,405 | ||||||||||
|
12 |