|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
U.S. Treasury Inflation Protected Securities — 106.8%
|
|||||
|
U.S. Treasury Bonds, Inflation Indexed
|
2.375%
|
1/15/27
|
3,311,960
|
$3,307,702
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
3.625%
|
4/15/28
|
20,647,500
|
21,071,843
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
2.500%
|
1/15/29
|
31,108,800
|
31,370,349
(a)
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
3.875%
|
4/15/29
|
107,665,260
|
112,322,236
(a)
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
2.125%
|
2/15/40
|
8,961,464
|
8,435,839
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
0.750%
|
2/15/42
|
14,779,200
|
10,965,531
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
1.375%
|
2/15/44
|
19,057,703
|
15,071,304
(b)
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
0.750%
|
2/15/45
|
53,606,826
|
36,885,897
(a)(c)
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
0.250%
|
2/15/50
|
45,722,688
|
24,611,454
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
0.125%
|
2/15/52
|
22,553,420
|
11,065,455
|
|
|
U.S. Treasury Bonds, Inflation Indexed
|
2.375%
|
2/15/56
|
2,040,271
|
1,793,238
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.125%
|
10/15/26
|
13,443,210
|
13,400,635
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.125%
|
4/15/27
|
49,676,340
|
48,898,543
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.625%
|
10/15/27
|
18,037,600
|
17,951,843
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.500%
|
1/15/28
|
14,892,460
|
14,533,784
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.250%
|
4/15/28
|
16,700,400
|
16,419,102
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.875%
|
1/15/29
|
18,515,980
|
17,984,526
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.625%
|
10/15/29
|
12,735,960
|
12,592,839
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.125%
|
1/15/30
|
1,297,990
|
1,215,701
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.625%
|
4/15/30
|
15,736,200
|
15,456,412
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.125%
|
10/15/30
|
14,453,740
|
13,944,398
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.125%
|
7/15/31
|
7,475,940
|
6,816,601
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
0.125%
|
1/15/32
|
23,492,040
|
21,101,842
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.125%
|
1/15/33
|
40,359,960
|
37,793,769
(a)(c)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.750%
|
1/15/34
|
36,937,940
|
35,641,567
(a)
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
2.125%
|
1/15/35
|
33,438,804
|
32,891,030
|
|
|
U.S. Treasury Notes, Inflation Indexed
|
1.875%
|
7/15/35
|
23,400,675
|
22,522,796
|
|
|
|
|||||
|
Total U.S. Treasury Inflation Protected Securities (Cost — $646,721,784)
|
606,066,236
|
||||
|
Collateralized Mortgage Obligations(d) — 9.2%
|
|||||
|
Angel Oak Mortgage Trust, 2023-1 A1
|
4.750%
|
9/26/67
|
1,432,931
|
1,430,030
(e)
|
|
|
Banc of America Funding Trust, 2015-R2 5A2
|
3.041%
|
9/29/36
|
3,339,097
|
2,791,730
(e)(f)
|
|
|
BANK5, 2026-5YR22 A3
|
5.713%
|
6/15/59
|
1,270,000
|
1,296,227
(f)
|
|
|
BAY Trust, 2026-MDWS A (1 mo. Term SOFR + 1.643%)
|
5.283%
|
6/15/41
|
1,450,000
|
1,447,176
(e)(f)
|
|
|
BDS LLC, 2026-FL17 A (1 mo. Term SOFR + 1.350%)
|
4.997%
|
5/19/43
|
900,000
|
901,143
(e)(f)
|
|
|
Benchmark Mortgage Trust, 2021-B29 XA, IO
|
1.097%
|
9/15/54
|
7,836,175
|
233,230
(f)
|
|
|
BOCA Commercial Mortgage Trust, 2025-BOCA A (1 mo. Term SOFR +
1.600%)
|
5.239%
|
12/15/42
|
1,080,000
|
1,085,546
(e)(f)
|
|
|
BX Commercial Mortgage Trust, 2025-COPT A (1 mo. Term SOFR +
1.750%)
|
5.389%
|
8/15/42
|
1,490,000
|
1,492,728
(e)(f)
|
|
|
BX Commercial Mortgage Trust, 2025-SPOT E (1 mo. Term SOFR +
3.690%)
|
7.329%
|
4/15/40
|
2,696,494
|
2,704,025
(e)(f)
|
|
|
Citigroup Commercial Mortgage Trust, 2023-SMRT A
|
6.015%
|
6/12/40
|
570,000
|
576,461
(e)(f)
|
|
|
CRSO Trust, 2023-BRND A
|
7.121%
|
7/10/40
|
750,000
|
762,440
|
|
|
Dwight Issuer LLC, 2026-FL2 A (1 mo. Term SOFR + 1.400%)
|
5.039%
|
1/18/44
|
2,000,000
|
2,001,870
(e)(f)
|
|
|
Extended Stay America Trust, 2025-ESH A (1 mo. Term SOFR +
1.300%)
|
4.939%
|
10/15/42
|
544,774
|
546,419
(e)(f)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized Mortgage Obligations(d) — continued
|
|||||
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2022-DNA2 M2 (30 Day Average SOFR +
3.750%)
|
7.393%
|
2/25/42
|
1,540,000
|
$1,560,113
(e)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2022-DNA5 M1B (30 Day Average SOFR +
4.500%)
|
8.143%
|
6/25/42
|
1,820,000
|
1,872,121
(e)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2023-DNA1 M1A (30 Day Average SOFR +
2.100%)
|
5.745%
|
3/25/43
|
299,266
|
302,050
(e)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2024-DNA1 M2 (30 Day Average SOFR +
1.950%)
|
5.593%
|
2/25/44
|
1,850,000
|
1,864,888
(e)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2026-DNA2 B1 (30 Day Average SOFR +
2.100%)
|
5.743%
|
3/25/46
|
1,470,000
|
1,489,405
(e)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured
Agency Credit Risk Trust, 2026-HQA1 M2 (30 Day Average SOFR +
1.500%)
|
5.143%
|
5/25/46
|
1,570,000
|
1,573,062
(e)(f)
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk
Transfer Trust, 2016-1 M2
|
3.750%
|
9/25/55
|
710,017
|
650,952
(e)(f)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2020-R01
1B1 (30 Day Average SOFR + 3.364%)
|
7.008%
|
1/25/40
|
1,660,000
|
1,672,983
(e)(f)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2021-R01
1B1 (30 Day Average SOFR + 3.100%)
|
6.743%
|
10/25/41
|
1,540,000
|
1,544,686
(e)(f)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2021-R01
1B2 (30 Day Average SOFR + 6.000%)
|
9.643%
|
10/25/41
|
1,540,000
|
1,550,470
(e)(f)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2023-R02
1B1 (30 Day Average SOFR + 5.550%)
|
9.193%
|
1/25/43
|
480,000
|
506,569
(e)(f)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2023-R05
1M2 (30 Day Average SOFR + 3.100%)
|
6.743%
|
6/25/43
|
550,000
|
567,159
(e)(f)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2023-R06
1M2 (30 Day Average SOFR + 2.700%)
|
6.343%
|
7/25/43
|
790,000
|
807,390
(e)(f)
|
|
|
Federal National Mortgage Association (FNMA) — CAS, 2024-R02
1M2 (30 Day Average SOFR + 1.800%)
|
5.443%
|
2/25/44
|
500,000
|
503,516
(e)(f)
|
|
|
GS Mortgage Securities Trust, 2020-GC45 A5
|
2.911%
|
2/13/53
|
380,000
|
354,652
|
|
|
HOMES Trust, 2026-NQM5 A1
|
5.679%
|
7/25/71
|
330,000
|
329,403
(e)(f)
|
|
|
Hudson Yards Mortgage Trust, 2026-10HY A
|
5.255%
|
12/10/39
|
870,000
|
860,757
(e)(f)
|
|
|
MF1 LLC, 2022-FL9 A (1 mo. Term SOFR + 2.150%)
|
5.797%
|
6/19/37
|
1,179,100
|
1,179,837
(e)(f)
|
|
|
MLTI Trust, 2026-MLTI A10 (1 mo. Term SOFR + 1.400%)
|
5.039%
|
6/15/39
|
1,400,000
|
1,403,392
(e)(f)
|
|
|
Morgan Stanley Residential Mortgage Loan Trust, 2026-CLTR1 A1
|
5.612%
|
7/25/68
|
632,333
|
632,313
(e)(f)
|
|
|
MRCD Mortgage Trust, 2019-PARK A
|
2.718%
|
12/15/36
|
1,520,000
|
1,383,010
(e)
|
|
|
MSWF Commercial Mortgage Trust, 2023-1 A4
|
5.472%
|
5/15/56
|
330,000
|
333,066
|
|
|
New Residential Mortgage Loan Trust, 2026-NQM3 A3
|
5.189%
|
2/25/66
|
1,491,092
|
1,465,331
(e)
|
|
|
NYC Commercial Mortgage Trust, 2025-28L F
|
8.401%
|
11/5/38
|
2,000,000
|
1,993,724
(e)(f)
|
|
|
OAKRE Issuer LLC, 2026-FL1 A (1 mo. Term SOFR + 1.500%)
|
5.208%
|
2/18/44
|
570,000
|
570,878
(e)(f)
|
|
|
OBX Trust, 2024-NQM17 A3
|
6.015%
|
11/25/64
|
935,934
|
937,962
(e)
|
|
|
OBX Trust, 2025-NQM4 A3
|
5.755%
|
2/25/55
|
1,010,512
|
1,007,019
(e)
|
|
|
PRKCM Trust, 2023-AFC1 A1
|
6.598%
|
2/25/58
|
748,236
|
746,723
(e)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized Mortgage Obligations(d) — continued
|
|||||
|
PRKCM Trust, 2024-HOME1 A1
|
6.431%
|
5/25/59
|
756,797
|
$759,877
(e)
|
|
|
PRPM Trust, 2024-NQM4 A1
|
5.674%
|
12/26/69
|
451,373
|
450,965
(e)
|
|
|
SLG Office Trust, 2026-OMA A
|
5.131%
|
4/15/41
|
1,460,000
|
1,443,516
(e)(f)
|
|
|
SMRT, 2022-MINI A (1 mo. Term SOFR + 1.000%)
|
4.640%
|
1/15/39
|
390,000
|
389,917
(e)(f)
|
|
|
SWCH Commercial Mortgage Trust, 2025-DATA A (1 mo. Term SOFR +
1.443%)
|
5.082%
|
2/15/42
|
300,000
|
297,955
(e)(f)
|
|
|
UBS Commercial Mortgage Trust, 2017-C7 A3
|
3.418%
|
12/15/50
|
261,106
|
257,491
|
|
|
Verus Securitization Trust, 2022-1 B1
|
4.007%
|
1/25/67
|
920,000
|
714,630
(e)(f)
|
|
|
Verus Securitization Trust, 2025-8 A3
|
5.224%
|
9/25/70
|
376,251
|
371,699
(e)
|
|
|
Verus Securitization Trust, 2026-6 A1
|
5.513%
|
7/27/71
|
288,497
|
287,483
(e)(f)
|
|
|
Verus Securitization Trust, 2026-INV1 A1
|
5.635%
|
7/25/71
|
340,000
|
339,449
(e)(f)
|
|
|
Wells Fargo Commercial Mortgage Trust, 2021-C59 XA, IO
|
1.593%
|
4/15/54
|
3,780,520
|
187,362
(f)
|
|
|
|
|||||
|
Total Collateralized Mortgage Obligations (Cost — $52,378,874)
|
52,432,800
|
||||
|
Corporate Bonds & Notes — 8.5%
|
|||||
|
Communication Services — 0.1%
|
|||||
|
Media — 0.1%
|
|||||
|
DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior
Secured Notes
|
9.250%
|
6/1/32
|
380,000
|
396,910
(e)
|
|
|
Wireless Telecommunication Services — 0.0%††
|
|||||
|
T-Mobile USA Inc., Senior Notes
|
3.750%
|
4/15/27
|
100,000
|
99,613
|
|
|
|
|||||
|
Total Communication Services
|
496,523
|
||||
|
Consumer Discretionary — 1.0%
|
|||||
|
Automobiles — 0.0%††
|
|||||
|
Ford Motor Credit Co. LLC, Senior Notes
|
5.431%
|
8/13/29
|
200,000
|
200,001
|
|
|
Broadline Retail — 0.3%
|
|||||
|
Prosus NV, Senior Notes
|
3.061%
|
7/13/31
|
1,900,000
|
1,715,790
(e)
|
|
|
Hotels, Restaurants & Leisure — 0.7%
|
|||||
|
Sands China Ltd., Senior Notes
|
5.400%
|
8/8/28
|
2,480,000
|
2,497,576
|
|
|
Sands China Ltd., Senior Notes
|
2.850%
|
3/8/29
|
200,000
|
189,541
|
|
|
Sands China Ltd., Senior Notes
|
4.375%
|
6/18/30
|
600,000
|
581,577
|
|
|
Sands China Ltd., Senior Notes
|
3.250%
|
8/8/31
|
600,000
|
542,142
|
|
|
Total Hotels, Restaurants & Leisure
|
3,810,836
|
||||
|
|
|||||
|
Total Consumer Discretionary
|
5,726,627
|
||||
|
Energy — 2.9%
|
|||||
|
Oil, Gas & Consumable Fuels — 2.9%
|
|||||
|
BP Capital Markets America Inc., Senior Notes
|
3.633%
|
4/6/30
|
270,000
|
259,615
|
|
|
Columbia Pipelines Holding Co. LLC, Senior Notes
|
6.042%
|
8/15/28
|
1,230,000
|
1,255,879
(e)
|
|
|
Ecopetrol SA, Senior Notes
|
4.625%
|
11/2/31
|
1,900,000
|
1,745,754
|
|
|
Energy Transfer LP, Senior Notes
|
5.250%
|
4/15/29
|
1,200,000
|
1,210,740
|
|
|
Enterprise Products Operating LLC, Senior Notes
|
3.125%
|
7/31/29
|
2,880,000
|
2,754,378
|
|
|
EOG Resources Inc., Senior Notes
|
4.375%
|
4/15/30
|
70,000
|
68,887
|
|
|
EQT Corp., Senior Notes
|
5.000%
|
1/15/29
|
1,240,000
|
1,241,574
|
|
|
Occidental Petroleum Corp., Senior Notes
|
6.200%
|
3/15/40
|
1,420,000
|
1,443,038
|
|
|
ONEOK Inc., Senior Notes
|
5.800%
|
11/1/30
|
1,180,000
|
1,209,205
|
|
|
Petrobras Global Finance BV, Senior Notes
|
5.999%
|
1/27/28
|
1,410,000
|
1,434,038
|
|
|
Targa Resources Corp., Senior Notes
|
4.200%
|
2/1/33
|
1,300,000
|
1,215,564
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Oil, Gas & Consumable Fuels — continued
|
|||||
|
Venture Global LNG Inc., Senior Secured Notes
|
6.625%
|
6/15/36
|
220,000
|
$220,973
(e)
|
|
|
Williams Cos. Inc., Senior Notes
|
5.750%
|
6/24/44
|
2,350,000
|
2,243,290
|
|
|
|
|||||
|
Total Energy
|
16,302,935
|
||||
|
Financials — 0.4%
|
|||||
|
Banks — 0.0%††
|
|||||
|
HSBC Holdings PLC, Senior Notes (5.243% to 8/14/31 then SOFR +
1.160%)
|
5.243%
|
8/14/32
|
280,000
|
278,264
(f)
|
|
|
Financial Services — 0.4%
|
|||||
|
ILFC E-Capital Trust II, Ltd. GTD
|
6.730%
|
12/21/65
|
2,084,000
|
1,882,626
(e)(f)
|
|
|
Rocket Cos. Inc., Senior Notes
|
6.500%
|
6/15/34
|
360,000
|
365,936
(e)
|
|
|
Total Financial Services
|
2,248,562
|
||||
|
|
|||||
|
Total Financials
|
2,526,826
|
||||
|
Health Care — 0.4%
|
|||||
|
Health Care Providers & Services — 0.0%††
|
|||||
|
Icon Investments Six DAC, Senior Notes
|
5.064%
|
8/13/29
|
200,000
|
199,642
(e)
|
|
|
Pharmaceuticals — 0.4%
|
|||||
|
Bausch Health Americas Inc., Senior Notes
|
8.500%
|
1/31/27
|
1,970,000
|
1,969,152
(e)
|
|
|
|
|||||
|
Total Health Care
|
2,168,794
|
||||
|
Industrials — 0.7%
|
|||||
|
Aerospace & Defense — 0.5%
|
|||||
|
General Dynamics Corp., Senior Notes
|
4.250%
|
4/1/40
|
30,000
|
26,118
|
|
|
General Dynamics Corp., Senior Notes
|
4.250%
|
4/1/50
|
3,470,000
|
2,786,732
|
|
|
Total Aerospace & Defense
|
2,812,850
|
||||
|
Trading Companies & Distributors — 0.2%
|
|||||
|
EquipmentShare.com Inc., Secured Notes
|
7.125%
|
7/1/34
|
740,000
|
729,198
(e)
|
|
|
QXO Building Products Inc., Senior Notes
|
6.500%
|
7/15/31
|
40,000
|
40,470
(e)
|
|
|
QXO Building Products Inc., Senior Notes
|
6.875%
|
7/15/34
|
110,000
|
111,365
(e)
|
|
|
Total Trading Companies & Distributors
|
881,033
|
||||
|
|
|||||
|
Total Industrials
|
3,693,883
|
||||
|
Information Technology — 0.2%
|
|||||
|
IT Services — 0.1%
|
|||||
|
APLD ComputeCo 3 LLC, Senior Secured Notes
|
7.000%
|
6/15/31
|
390,000
|
375,980
(e)
|
|
|
Core Scientific Finance I LLC, Senior Secured Notes
|
7.750%
|
5/15/31
|
480,000
|
466,043
(e)
|
|
|
Total IT Services
|
842,023
|
||||
|
Semiconductors & Semiconductor Equipment — 0.1%
|
|||||
|
Broadcom Inc., Senior Notes
|
3.137%
|
11/15/35
|
400,000
|
322,087
|
|
|
|
|||||
|
Total Information Technology
|
1,164,110
|
||||
|
Materials — 2.1%
|
|||||
|
Metals & Mining — 2.1%
|
|||||
|
Antofagasta PLC, Senior Notes
|
2.375%
|
10/14/30
|
1,110,000
|
991,112
(e)
|
|
|
Capstone Copper Corp., Senior Notes
|
6.750%
|
3/31/33
|
1,960,000
|
1,991,478
(e)
|
|
|
Corp. Nacional del Cobre de Chile, Senior Notes
|
5.529%
|
1/30/37
|
910,000
|
882,736
(e)
|
|
|
First Quantum Minerals Ltd., Senior Notes
|
8.000%
|
3/1/33
|
1,770,000
|
1,847,358
(e)
|
|
|
First Quantum Minerals Ltd., Senior Notes
|
7.250%
|
2/15/34
|
680,000
|
698,308
(e)
|
|
|
Glencore Finance Canada Ltd., Senior Notes
|
5.550%
|
10/25/42
|
2,330,000
|
2,199,105
(e)
|
|
|
Glencore Funding LLC, Senior Notes
|
4.000%
|
3/27/27
|
500,000
|
498,827
(e)
|
|
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Metals & Mining — continued
|
|||||
|
Glencore Funding LLC, Senior Notes
|
3.875%
|
10/27/27
|
1,630,000
|
$1,614,346
(e)
|
|
|
Yamana Gold Inc., Senior Notes
|
4.625%
|
12/15/27
|
1,360,000
|
1,354,933
|
|
|
|
|||||
|
Total Materials
|
12,078,203
|
||||
|
Utilities — 0.7%
|
|||||
|
Electric Utilities — 0.7%
|
|||||
|
Comision Federal de Electricidad, Senior Notes
|
6.045%
|
1/28/34
|
1,480,000
|
1,442,630
(e)
|
|
|
Constellation Energy Generation LLC, Senior Notes
|
6.125%
|
1/15/34
|
1,590,000
|
1,654,292
|
|
|
Entergy Louisiana LLC
|
5.500%
|
9/15/36
|
280,000
|
277,492
|
|
|
Talen Energy Supply LLC, Senior Notes
|
6.375%
|
5/1/33
|
320,000
|
316,126
(e)
|
|
|
Virginia Electric and Power Co., Senior Notes
|
5.650%
|
8/15/36
|
250,000
|
250,529
|
|
|
|
|||||
|
Total Utilities
|
3,941,069
|
||||
|
Total Corporate Bonds & Notes (Cost — $49,328,995)
|
48,098,970
|
||||
|
Non-U.S. Treasury Inflation Protected Securities — 4.0%
|
|||||
|
Brazil — 3.1%
|
|||||
|
Brazil Notas do Tesouro Nacional Serie B, Notes
|
6.000%
|
5/15/29
|
35,402,119
BRL
|
6,523,819
|
|
|
Brazil Notas do Tesouro Nacional Serie B, Notes
|
6.000%
|
8/15/30
|
39,067,347
BRL
|
7,031,951
|
|
|
Brazil Notas do Tesouro Nacional Serie B, Notes
|
6.000%
|
8/15/50
|
24,619,532
BRL
|
3,987,747
|
|
|
Total Brazil
|
17,543,517
|
||||
|
Mexico — 0.9%
|
|||||
|
Mexican Udibonos, Bonds
|
4.000%
|
11/30/28
|
86,700,634
MXN
|
5,148,469
|
|
|
|
|||||
|
Total Non-U.S. Treasury Inflation Protected Securities (Cost — $26,183,389)
|
22,691,986
|
||||
|
Sovereign Bonds — 2.1%
|
|||||
|
Ecuador — 0.1%
|
|||||
|
|
|||||
|
Ecuador Government International Bond, Senior Notes
|
8.750%
|
1/29/34
|
690,000
|
690,000
(e)
|
|
|
Mexico — 1.4%
|
|||||
|
Mexican Bonos, Senior Notes
|
7.750%
|
11/13/42
|
88,280,000
MXN
|
4,352,063
|
|
|
Mexico Government International Bond, Senior Notes
|
5.850%
|
7/2/32
|
3,720,000
|
3,735,438
|
|
|
Total Mexico
|
8,087,501
|
||||
|
Nigeria — 0.0%††
|
|||||
|
|
|||||
|
Nigeria Government International Bond, Senior Notes
|
6.500%
|
11/28/27
|
280,000
|
282,608
(e)
|
|
|
Peru — 0.3%
|
|||||
|
Peruvian Government International Bond, Senior Notes
|
5.500%
|
3/30/36
|
1,380,000
|
1,362,336
|
|
|
Peruvian Government International Bond, Senior Notes
|
3.300%
|
3/11/41
|
150,000
|
113,685
|
|
|
Total Peru
|
1,476,021
|
||||
|
Supranational — 0.3%
|
|||||
|
Inter-American Development Bank, Senior Notes
|
7.350%
|
10/6/30
|
167,000,000
INR
|
1,730,561
|
|
|
|
|||||
|
Total Sovereign Bonds (Cost — $13,251,156)
|
12,266,691
|
||||
|
Senior Loans — 1.5%
|
|||||
|
Communication Services — 0.2%
|
|||||
|
Diversified Telecommunication Services — 0.1%
|
|||||
|
QTS Thunder Managing LLC, Term Loan (3 mo. Term SOFR + 2.250%)
|
6.025%
|
7/22/33
|
780,000
|
776,588
(f)(g)(h)
|
|
|
Media — 0.1%
|
|||||
|
Nexstar Media Inc., Term Loan B7 (1 mo. Term SOFR + 2.750%)
|
6.436%
|
3/18/33
|
609,429
|
612,180
(f)(g)(h)
|
|
|
|
|||||
|
Total Communication Services
|
1,388,768
|
||||
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
|
|||||
|
Consumer Discretionary — 0.1%
|
|||||
|
Specialty Retail — 0.1%
|
|||||
|
Harbor Freight Tools USA Inc., Initial Term Loan (1 mo. Term SOFR +
2.250%)
|
5.936%
|
6/11/31
|
575,394
|
$577,540
(f)(g)(h)
|
|
|
|
|||||
|
Financials — 0.5%
|
|||||
|
Capital Markets — 0.1%
|
|||||
|
Focus Financial Partners LLC, Incremental Term Loan B (1 mo. Term
SOFR + 2.500%)
|
6.186%
|
9/15/31
|
577,093
|
571,356
(f)(g)(h)
|
|
|
Insurance — 0.4%
|
|||||
|
AmWINS Group Inc., 2026 Refinancing Term Loan (3 mo. Term SOFR +
2.000%)
|
5.732%
|
1/30/32
|
766,111
|
759,829
(f)(g)(h)
|
|
|
Asurion LLC, New Term Loan B14 (3 mo. Term SOFR + 3.750%)
|
7.573%
|
2/23/33
|
608,475
|
584,389
(f)(g)(h)
|
|
|
HUB International Ltd., 2025 Incremental Term Loan (3 mo. Term SOFR
+ 2.250%)
|
5.984%
|
6/20/30
|
79,527
|
79,813
(f)(g)(h)
|
|
|
Sedgwick Claims Management Services Inc., 2024 Term Loan (1 mo.
Term SOFR + 2.500%)
|
6.186%
|
7/31/31
|
596,985
|
597,734
(f)(g)(h)
|
|
|
Truist Insurance Holdings LLC, 2024 Term Loan B (3 mo. Term SOFR +
2.750%)
|
6.482%
|
5/6/31
|
40,000
|
39,480
(f)(g)(h)
|
|
|
Total Insurance
|
2,061,245
|
||||
|
|
|||||
|
Total Financials
|
2,632,601
|
||||
|
Health Care — 0.1%
|
|||||
|
Health Care Technology — 0.1%
|
|||||
|
AthenaHealth Group Inc., Fourth Amendment Term Loan (1 mo. Term
SOFR + 3.250%)
|
6.936%
|
2/17/32
|
538,640
|
539,122
(f)(g)(h)
|
|
|
|
|||||
|
Information Technology — 0.3%
|
|||||
|
Software — 0.3%
|
|||||
|
Cloud Software Group Inc., Tenth Amendment Term Loan B2 (3 mo.
Term SOFR + 3.250%)
|
6.982%
|
3/21/31
|
615,338
|
589,956
(f)(g)(h)
|
|
|
Cloudera Inc., Term Loan (1 mo. Term SOFR + 3.850%)
|
7.536%
|
10/8/28
|
547,136
|
503,821
(f)(g)(h)
|
|
|
UKG Inc., Term Loan B (3 mo. Term SOFR + 2.250%)
|
6.073%
|
2/10/31
|
606,942
|
590,977
(f)(g)(h)
|
|
|
|
|||||
|
Total Information Technology
|
1,684,754
|
||||
|
Materials — 0.2%
|
|||||
|
Containers & Packaging — 0.2%
|
|||||
|
Clydesdale Acquisition Holdings Inc., 2025 Incremental Closing Date
Term Loan B (1 mo. Term SOFR + 3.250%)
|
6.936%
|
4/1/32
|
1,134,271
|
1,120,093
(f)(g)(h)
|
|
|
|
|||||
|
Utilities — 0.1%
|
|||||
|
Independent Power and Renewable Electricity Producers — 0.1%
|
|||||
|
Pathfinder Power LLC, Term Loan B
|
—
|
6/22/33
|
700,000
|
700,878
(i)
|
|
|
|
|||||
|
Total Senior Loans (Cost — $8,658,294)
|
8,643,756
|
||||
|
Total Investments before Short-Term Investments (Cost — $796,522,492)
|
750,200,439
|
||||
|
|
|
|
|
Shares
|
|
|
Short-Term Investments — 1.9%
|
|||||
|
Western Asset Premier Institutional Government Reserves, Premium
Shares (Cost — $10,623,535)
|
3.616%
|
|
10,623,535
|
10,623,535
(j)(k)
|
|
|
Total Investments — 134.0% (Cost — $807,146,027)
|
760,823,974
|
||||
|
Liabilities in Excess of Other Assets — (34.0)%
|
(193,220,791
)
|
||||
|
Total Net Assets — 100.0%
|
$567,603,183
|
||||
|
†
|
Face amount denominated in U.S. dollars, unless otherwise noted.
|
|
††
|
Represents less than 0.1%.
|
|
(a)
|
All or a portion of this security is held by the counterparty as collateral for open
reverse repurchase agreements.
|
|
(b)
|
All or a portion of this security is held at the broker as collateral for open futures
contracts.
|
|
(c)
|
All or a portion of this security is held at the broker as collateral for open centrally
cleared swap contracts.
|
|
(d)
|
Collateralized mortgage obligations are secured by an underlying pool of mortgages
or mortgage pass-through certificates that are structured to direct
payments on underlying collateral to different series or classes of the obligations.
The interest rate may change positively or inversely in relation to one or
more interest rates, financial indices or other financial indicators and may be subject
to an upper and/or lower limit.
|
|
(e)
|
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.
|
|
(f)
|
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.
|
|
(g)
|
Interest rates disclosed represent the effective rates on senior loans. Ranges in
interest rates are attributable to multiple contracts under the same loan.
|
|
(h)
|
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.
|
|
(i)
|
All or a portion of this loan has not settled as of August 31, 2026. Interest rates
are not effective until settlement date. Interest rates shown, if any, are for
the settled portion of the loan.
|
|
(j)
|
Rate shown is one-day yield as of the end of the reporting period.
|
|
(k)
|
In this instance, as defined in the Investment Company Act of 1940, as amended (the
“1940 Act”), 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 August 31, 2026,
the total market value of investments in Affiliated Companies was $10,623,535 and
the cost was $10,623,535 (Note 2).
|
|
Abbreviation(s) used in this schedule:
|
||
|
BRL
|
—
|
Brazilian Real
|
|
CAS
|
—
|
Connecticut Avenue Securities
|
|
DAC
|
—
|
Designated Activity Company
|
|
GTD
|
—
|
Guaranteed
|
|
INR
|
—
|
Indian Rupee
|
|
IO
|
—
|
Interest Only
|
|
MXN
|
—
|
Mexican Peso
|
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
Counterparty
|
Rate
|
Effective
Date
|
Maturity
Date
|
Face Amount
of Reverse
Repurchase
Agreements
|
Asset Class
of Collateral*
|
Collateral
Value**
|
|
Morgan Stanley
& Co. Inc.
|
3.860%
|
6/5/2026
|
12/7/2026
|
$199,091,417
|
U.S. Treasury Inflation Protected Securities
Cash
|
$199,664,683
3,250,000
|
|
|
|
|
|
$199,091,417
|
|
$202,914,683
|
|
*
|
Refer to the Consolidated Schedule of Investments for positions held at the counterparty
as collateral for reverse repurchase agreements.
|
|
**
|
Including accrued interest.
|
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Contracts to Buy:
|
|
|
|
|
|
|
Australian Dollar
|
62
|
9/26
|
$4,356,218
|
$4,441,060
|
$84,842
|
|
U.S. Treasury 5-Year Notes
|
67
|
12/26
|
7,129,817
|
7,082,110
|
(47,707)
|
|
|
|
|
|
|
37,135
|
|
Contracts to Sell:
|
|
|
|
|
|
|
U.S. Treasury 2-Year Notes
|
4
|
12/26
|
822,923
|
820,938
|
1,985
|
|
U.S. Treasury 10-Year Notes
|
139
|
12/26
|
15,094,058
|
14,964,219
|
129,839
|
|
U.S. Treasury Ultra 10-Year Notes
|
5
|
12/26
|
551,442
|
547,109
|
4,333
|
|
U.S. Treasury Ultra Long-Term Bonds
|
77
|
12/26
|
8,570,576
|
8,472,406
|
98,170
|
|
|
|
|
|
|
234,327
|
|
Net unrealized appreciation on open futures contracts
|
$271,462
|
||||
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
||
|
BRL
|
61,014,273
|
USD
|
11,775,180
|
JPMorgan Chase & Co.
|
9/2/26
|
$(4,008)
|
|
USD
|
11,802,285
|
BRL
|
61,014,273
|
JPMorgan Chase & Co.
|
9/2/26
|
31,113
|
|
USD
|
4,032,119
|
BRL
|
21,060,000
|
Goldman Sachs Group Inc.
|
10/2/26
|
(2,860)
|
|
USD
|
7,649,591
|
BRL
|
39,954,273
|
Goldman Sachs Group Inc.
|
10/2/26
|
(5,426)
|
|
USD
|
7,155,750
|
MXN
|
125,978,904
|
BNP Paribas SA
|
10/16/26
|
(229,316)
|
|
USD
|
1,873,432
|
INR
|
180,300,984
|
Citibank N.A.
|
10/16/26
|
(14,668)
|
|
ZAR
|
49,134,342
|
USD
|
3,002,052
|
Citibank N.A.
|
10/16/26
|
38,527
|
|
Net unrealized depreciation on open forward foreign currency contracts
|
$(186,638)
|
|||||
|
Abbreviation(s) used in this table:
|
||
|
BRL
|
—
|
Brazilian Real
|
|
INR
|
—
|
Indian Rupee
|
|
MXN
|
—
|
Mexican Peso
|
|
USD
|
—
|
United States Dollar
|
|
ZAR
|
—
|
South African Rand
|
|
CENTRALLY CLEARED INTEREST RATE SWAPS
|
|||||||
|
|
Notional
Amount
|
Termination
Date
|
Payments
Made by
the Fund†
|
Payments
Received by
the Fund†
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
(Depreciation)
|
|
|
$12,565,000
|
6/29/31
|
2.368%
|
CPURNSA
|
$46,515
|
—
|
$46,515
|
|
|
16,020,000
|
7/30/31
|
CPURNSA
|
2.316%
|
(40,162)
|
—
|
(40,162)
|
|
|
16,020,000
|
7/30/36
|
2.346%
|
CPURNSA
|
64,781
|
—
|
64,781
|
|
Total
|
$44,605,000
|
|
|
|
$71,134
|
—
|
$71,134
|
|
CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1
|
||||||
|
Reference Entity
|
Notional
Amount2
|
Termination
Date
|
Periodic
Payments
Received by
the Fund†
|
Market
Value3
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
|
|
Markit CDX.NA.HY.46 Index
|
$23,464,140
|
6/20/31
|
5.000% quarterly
|
$1,858,200
|
$856,961
|
$1,001,239
|
|
Markit CDX.NA.IG.46 Index
|
23,605,000
|
6/20/31
|
1.000% quarterly
|
504,812
|
360,250
|
144,562
|
|
Total
|
$47,069,140
|
|
|
$2,363,012
|
$1,217,211
|
$1,145,801
|
|
OTC TOTAL RETURN SWAPS
|
|||||||
|
Swap
Counterparty
|
Notional
Amount
|
Termination
Date
|
Periodic
Payments
Made by
the Fund†
|
Periodic
Payments
Received by
the Fund‡
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Depreciation
|
|
JPMorgan Chase & Co.
|
$8,736,000
|
10/9/26
|
Daily SOFR
Compound +
1.100%**
|
JPEIFNTR^**
|
$(59,538)
|
—
|
$(59,538)
|
|
1
|
If the Fund is a seller of protection and a credit event occurs, as defined under
the terms of that particular swap agreement, the Fund will either (i) pay to
the buyer of protection an amount equal to the notional amount of the swap and take
delivery of the referenced obligation or underlying securities
comprising the referenced index or (ii) pay a net settlement amount in the form of
cash or securities equal to the notional amount of the swap less the
recovery value of the referenced obligation or underlying securities comprising the
referenced index.
|
|
2
|
The maximum potential amount the Fund could be required to pay as a seller of credit
protection or receive as a buyer of credit protection if a credit event
occurs as defined under the terms of that particular swap agreement.
|
|
3
|
The quoted market prices and resulting values for credit default swap agreements on
asset-backed securities and credit indices serve as an indicator of the
current status of the payment/performance risk and represent the likelihood of an
expected loss (or profit) for the credit derivative had the notional amount
of the swap agreement been closed/sold as of the period end. Decreasing market values
(sell protection) or increasing market values (buy protection), when
compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of
default or other credit event occurring as defined under the terms of the agreement.
|
|
†
|
Percentage shown is an annual percentage rate.
|
|
‡
|
Periodic payments made/received by the Fund are based on the total return of the referenced
entity.
|
|
^
|
Custom emerging markets debt basket is comprised of 41 bonds in the Sovereign Frontier
sector.
|
|
**
|
One time payment made at termination date.
|
|
Reference Index
|
Reference
Rate
|
|
CPURNSA
|
3.350%
|
|
Daily SOFR Compound
|
3.680%
|
|
Abbreviation(s) used in this table:
|
||
|
CPURNSA
|
—
|
U.S. CPI Urban Consumers NSA Index
|
|
JPEIFNTR
|
—
|
Western Asset Management Emerging Markets Frontier Custom Basket
|
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
|
Security
|
Face
Amount
|
Value
|
Weight
|
|
Angolan Government International Bond, 9.125% due
11/26/49
|
12,920,556
|
$11,963,660
|
6.24%
|
|
Argentine Republic Government International Bond,
3.500% due 7/9/41
|
8,594,492
|
6,061,265
|
3.16%
|
|
Argentine Republic Government International Bond,
5.000% due 1/9/38
|
7,590,467
|
6,026,831
|
3.15%
|
|
Bahamas Government International Bond, 8.250% due
6/24/36
|
6,777,686
|
7,482,565
|
3.91%
|
|
Benin Government International Bond, 7.960% due 2/13/38
|
5,683,236
|
6,019,968
|
3.14%
|
|
Costa Rica Government International Bond, 6.550% due
4/3/34
|
6,515,408
|
6,831,601
|
3.57%
|
|
Dominican Republic International Bond, 4.500% due
1/30/30
|
8,669,466
|
8,353,030
|
4.36%
|
|
Ecuador Government International Bond, 6.900% due
7/31/35
|
8,084,612
|
7,391,356
|
3.86%
|
|
Ecuador Government International Bond, 8.750% due
1/29/34
|
2,720,532
|
2,712,806
|
1.42%
|
|
Egypt Government International Bond, 5.800% due 9/30/27
|
2,466,225
|
2,463,931
|
1.29%
|
|
Egypt Government International Bond, 7.903% due 2/21/48
|
4,655,184
|
4,184,359
|
2.18%
|
|
El Salvador Government International Bond, 7.125% due
1/20/50
|
6,714,870
|
6,137,391
|
3.20%
|
|
Ethiopia International Bond, 6.625% due 12/11/27(a)
|
6,636,265
|
7,068,244
|
3.69%
|
|
Ghana Government International Bond, 5.000% due 7/3/29
|
2,655,721
|
1,964,050
|
1.02%
|
|
Ghana Government International Bond, 5.000% due 7/3/35
|
4,434,962
|
4,131,145
|
2.16%
|
|
Guatemala Government Bond, 5.375% due 4/24/32
|
5,936,111
|
5,864,878
|
3.06%
|
|
Ivory Coast Government International Bond, 6.750% due
2/25/41
|
7,175,739
|
6,835,968
|
3.57%
|
|
Ivory Coast Government International Bond, 7.625% due
1/30/33
|
5,614,868
|
5,959,284
|
3.11%
|
|
Jordan Government International Bond, 7.500% due
1/13/29
|
3,702,694
|
3,835,903
|
2.00%
|
|
KazMunayGas National Co. JSC, 6.375% due 10/24/48
|
2,941,617
|
2,843,720
|
1.48%
|
|
Mozambique International Bond, 9.000% due 9/15/31
|
4,593,984
|
4,201,979
|
2.19%
|
|
Nigeria Government International Bond, 7.375% due
9/28/33
|
12,028,879
|
12,284,613
|
6.41%
|
|
OCP SA, 6.700% due 3/1/36
|
3,791,951
|
3,885,764
|
2.03%
|
|
Paraguay Government International Bond, 6.100% due
8/11/44
|
4,817,303
|
4,698,677
|
2.45%
|
|
Petroleos de Venezuela SA, 5.375% due 4/12/27(a)
|
26,257,317
|
9,691,503
|
5.06%
|
|
Provincia de Buenos Aires/Government Bonds, 6.625% due
9/1/37
|
4,794,615
|
3,269,497
|
1.71%
|
|
Republic of Kenya Government International Bond, 6.300%
due 1/23/34
|
4,348,672
|
3,973,512
|
2.07%
|
|
Republic of South Africa Government International Bond,
5.000% due 10/12/46
|
9,396,291
|
7,214,895
|
3.77%
|
|
Republic of Uzbekistan International Bond, 3.900% due
10/19/31
|
6,321,710
|
5,795,617
|
3.02%
|
|
Senegal Government International Bond, 6.250% due
5/23/33
|
3,348,827
|
1,670,227
|
0.87%
|
|
Security
|
Face
Amount
|
Value
|
Weight
|
|
Senegal Government International Bond, 6.750% due
3/13/48
|
7,159,132
|
$3,542,643
|
1.85%
|
|
Sri Lanka Government International Bond, 3.100% due
1/15/30
|
2,511,761
|
2,586,172
|
1.35%
|
|
Sri Lanka Government International Bond, 3.350% due
3/15/33
|
2,157,801
|
2,073,819
|
1.08%
|
|
Sri Lanka Government International Bond, 3.600% due
6/15/35
|
1,848,978
|
1,526,886
|
0.80%
|
|
Sri Lanka Government International Bond, 4.000% due
4/15/28
|
4,139,206
|
2,092,868
|
1.09%
|
|
Ukraine Government International Bond, 0.000% due
2/1/34
|
2,192,016
|
1,216,569
|
0.63%
|
|
Ukraine Government International Bond, 0.000% due
2/1/35
|
1,877,089
|
1,085,896
|
0.57%
|
|
Ukraine Government International Bond, 0.000% due
2/1/36
|
1,886,444
|
1,087,535
|
0.57%
|
|
Ukraine Government International Bond, 4.500% due
2/1/34
|
3,287,505
|
2,256,872
|
1.18%
|
|
Ukraine Government International Bond, 4.500% due
2/1/35
|
3,256,104
|
2,191,358
|
1.14%
|
|
Ukraine Government International Bond, 4.500% due
2/1/36
|
1,705,595
|
1,132,515
|
0.59%
|
|
Total
|
|
191,611,372
|
100.00%
|
|
ASSETS
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Long-Term Investments†:
|
|
|
|
|
|
U.S. Treasury Inflation Protected Securities
|
—
|
$606,066,236
|
—
|
$606,066,236
|
|
Collateralized Mortgage Obligations
|
—
|
52,432,800
|
—
|
52,432,800
|
|
Corporate Bonds & Notes
|
—
|
48,098,970
|
—
|
48,098,970
|
|
Non-U.S. Treasury Inflation Protected Securities
|
—
|
22,691,986
|
—
|
22,691,986
|
|
Sovereign Bonds
|
—
|
12,266,691
|
—
|
12,266,691
|
|
Senior Loans
|
—
|
8,643,756
|
—
|
8,643,756
|
|
Total Long-Term Investments
|
—
|
750,200,439
|
—
|
750,200,439
|
|
Short-Term Investments†
|
$10,623,535
|
—
|
—
|
10,623,535
|
|
Total Investments
|
$10,623,535
|
$750,200,439
|
—
|
$760,823,974
|
|
Other Financial Instruments:
|
|
|
|
|
|
Futures Contracts††
|
$319,169
|
—
|
—
|
$319,169
|
|
Forward Foreign Currency Contracts††
|
—
|
$69,640
|
—
|
69,640
|
|
Centrally Cleared Interest Rate Swaps††
|
—
|
111,296
|
—
|
111,296
|
|
Centrally Cleared Credit Default Swaps on Credit Indices — Sell
Protection††
|
—
|
1,145,801
|
—
|
1,145,801
|
|
Total Other Financial Instruments
|
$319,169
|
$1,326,737
|
—
|
$1,645,906
|
|
Total
|
$10,942,704
|
$751,527,176
|
—
|
$762,469,880
|
|
LIABILITIES
|
||||
|
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
|
Other Financial Instruments:
|
|
|
|
|
|
Futures Contracts††
|
$47,707
|
—
|
—
|
$47,707
|
|
Forward Foreign Currency Contracts††
|
—
|
$256,278
|
—
|
256,278
|
|
Centrally Cleared Interest Rate Swaps††
|
—
|
40,162
|
—
|
40,162
|
|
OTC Total Return Swaps
|
—
|
59,538
|
—
|
59,538
|
|
Total
|
$47,707
|
$355,978
|
—
|
$403,685
|
|
†
|
See Consolidated Schedule of Investments for additional detailed categorizations.
|
|
††
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
|
|
Affiliate
Value at
November 30, 2025
|
Purchased
|
Sold
|
||
|
Cost
|
Shares
|
Proceeds
|
Shares
|
||
|
Western Asset Premier
Institutional Government
Reserves, Premium
Shares
|
$6,001,049
|
$205,126,749
|
205,126,749
|
$200,504,263
|
200,504,263
|
|
(cont’d)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
August 31,
2026
|
|
Western Asset Premier
Institutional Government
Reserves, Premium Shares
|
—
|
$255,389
|
—
|
$10,623,535
|