UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment
Company Act file number
|
811-10603
|
|
|
Western
Asset Premier Bond Fund
|
(Exact name of registrant as specified in charter)
|
|
385 East Colorado Boulevard
Pasadena, CA
|
|
91101
|
(Address of principal executive offices)
|
|
(Zip code)
|
|
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
|
(Name and address of agent for service)
|
|
Registrants
telephone number, including area code:
|
888-777-0102
|
|
|
Date of
fiscal year end:
|
December 31
|
|
|
|
|
Date of
reporting period:
|
September
30, 2009
|
|
|
|
|
|
|
|
|
ITEM
1. SCHEDULE OF
INVESTMENTS
WESTERN
ASSET PREMIER BOND FUND
FORM N-Q
SEPTEMBER
30, 2009
Quarterly
Report to Shareholders
Portfolio
of Investments
Western
Asset Premier Bond Fund
September 30,
2009 (Unaudited)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities
145.0%
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and
Notes 70.3%
|
|
|
|
|
|
|
|
|
|
Aerospace and Defense
2.1%
|
|
|
|
|
|
|
|
|
|
L-3 Communications Corp.
|
|
6.375
|
%
|
10/15/15
|
|
$
|
535,000
|
|
$
|
540,350
|
|
Northrop Grumman Corp.
|
|
7.750
|
%
|
2/15/31
|
|
1,000,000
|
|
1,318,684
|
|
The Boeing Co.
|
|
6.125
|
%
|
2/15/33
|
|
600,000
|
|
668,419
|
|
TransDigm Inc.
|
|
7.750
|
%
|
7/15/14
|
|
405,000
|
|
393,356
|
A
|
|
|
|
|
|
|
|
|
2,920,809
|
|
Airlines 9.2%
|
|
|
|
|
|
|
|
|
|
America West Airlines Inc.
|
|
8.057
|
%
|
7/2/20
|
|
2,577,779
|
|
2,268,446
|
|
Continental Airlines Inc.
|
|
7.160
|
%
|
3/24/13
|
|
625,312
|
|
569,257
|
B
|
Continental Airlines Inc.
|
|
6.900
|
%
|
1/2/18
|
|
931,816
|
|
866,589
|
|
Continental Airlines Inc.
|
|
6.820
|
%
|
5/1/18
|
|
913,728
|
|
785,806
|
B
|
Continental Airlines Inc.
|
|
6.545
|
%
|
2/2/19
|
|
1,435,863
|
|
1,356,891
|
|
Continental Airlines Inc.
|
|
8.048
|
%
|
11/1/20
|
|
636,843
|
|
605,001
|
|
Continental Airlines Inc.
|
|
6.703
|
%
|
6/15/21
|
|
819,937
|
|
746,143
|
|
DAE Aviation Holdings Inc.
|
|
11.250
|
%
|
8/1/15
|
|
460,000
|
|
358,800
|
A
|
Delta Air Lines Inc.
|
|
9.500
|
%
|
9/15/14
|
|
75,000
|
|
75,000
|
A
|
Delta Air Lines Inc.
|
|
12.250
|
%
|
3/15/15
|
|
80,000
|
|
74,600
|
A
|
Northwest Airlines Corp.
|
|
7.575
|
%
|
9/1/20
|
|
586,536
|
|
480,959
|
|
Northwest Airlines Inc.
|
|
1.487
|
%
|
8/6/13
|
|
2,951,780
|
|
2,213,885
|
B,C
|
United Air Lines Inc.
|
|
7.032
|
%
|
10/1/10
|
|
82,728
|
|
81,694
|
B
|
United Air Lines Inc.
|
|
7.186
|
%
|
4/1/11
|
|
17,378
|
|
16,944
|
|
US Airways Pass-Through Trust
|
|
6.850
|
%
|
1/30/18
|
|
2,824,448
|
|
2,092,630
|
B
|
|
|
|
|
|
|
|
|
12,592,645
|
|
Auto Components N.M.
|
|
|
|
|
|
|
|
|
|
Visteon Corp.
|
|
8.250
|
%
|
8/1/10
|
|
42,000
|
|
10,290
|
D
|
Visteon Corp.
|
|
12.250
|
%
|
12/31/16
|
|
136,000
|
|
34,680
|
A,D
|
|
|
|
|
|
|
|
|
44,970
|
|
Automobiles 1.7%
|
|
|
|
|
|
|
|
|
|
DaimlerChrysler NA Holding Corp.
|
|
7.300
|
%
|
1/15/12
|
|
1,000,000
|
|
1,078,797
|
|
DaimlerChrysler NA Holding Corp.
|
|
8.500
|
%
|
1/18/31
|
|
1,000,000
|
|
1,183,269
|
|
General Motors Corp.
|
|
8.375
|
%
|
7/15/33
|
|
410,000
|
|
66,625
|
D
|
|
|
|
|
|
|
|
|
2,328,691
|
|
Building Products 0.4%
|
|
|
|
|
|
|
|
|
|
Associated Materials Inc.
|
|
11.250
|
%
|
3/1/14
|
|
590,000
|
|
445,450
|
|
Nortek Inc.
|
|
8.500
|
%
|
9/1/14
|
|
45,000
|
|
31,050
|
D,E
|
NTK Holdings Inc.
|
|
10.750
|
%
|
3/1/14
|
|
500,000
|
|
13,750
|
E
|
|
|
|
|
|
|
|
|
490,250
|
|
Capital Markets 1.5%
|
|
|
|
|
|
|
|
|
|
Morgan Stanley
|
|
6.600
|
%
|
4/1/12
|
|
1,000,000
|
|
1,086,687
|
|
The Goldman Sachs Group Inc.
|
|
6.600
|
%
|
1/15/12
|
|
900,000
|
|
977,284
|
|
|
|
|
|
|
|
|
|
2,063,971
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
Quarterly Report to Shareholders
Portfolio
of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30,
2009 (Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and Notes
Continued
|
|
|
|
|
|
|
|
|
|
Chemicals 0.8%
|
|
|
|
|
|
|
|
|
|
The Dow Chemical Co.
|
|
6.000
|
%
|
10/1/12
|
|
$
|
1,000,000
|
|
$
|
1,065,052
|
|
Westlake Chemical Corp.
|
|
6.625
|
%
|
1/15/16
|
|
70,000
|
|
65,800
|
|
|
|
|
|
|
|
|
|
1,130,852
|
|
Commercial Services and
Supplies 2.2%
|
|
|
|
|
|
|
|
|
|
ACCO Brands Corp.
|
|
10.625
|
%
|
3/15/15
|
|
105,000
|
|
109,725
|
A
|
RCS Equipment Rental Inc.
|
|
9.500
|
%
|
12/1/14
|
|
300,000
|
|
289,500
|
|
US Investigations Services Inc.
|
|
10.500
|
%
|
11/1/15
|
|
310,000
|
|
261,950
|
A
|
Waste Management Inc.
|
|
7.375
|
%
|
5/15/29
|
|
2,000,000
|
|
2,264,380
|
|
Waste Management Inc.
|
|
7.750
|
%
|
5/15/32
|
|
40,000
|
|
48,598
|
|
|
|
|
|
|
|
|
|
2,974,153
|
|
Communications Equipment
0.5%
|
|
|
|
|
|
|
|
|
|
EchoStar DBS Corp.
|
|
7.000
|
%
|
10/1/13
|
|
600,000
|
|
604,500
|
|
EchoStar DBS Corp.
|
|
7.750
|
%
|
5/31/15
|
|
120,000
|
|
122,400
|
|
|
|
|
|
|
|
|
|
726,900
|
|
Consumer Finance 2.7%
|
|
|
|
|
|
|
|
|
|
Ford Motor Credit Co.
|
|
7.500
|
%
|
8/1/12
|
|
70,000
|
|
67,212
|
|
Ford Motor Credit Co.
|
|
12.000
|
%
|
5/15/15
|
|
1,030,000
|
|
1,134,984
|
|
Ford Motor Credit Co.
|
|
8.000
|
%
|
12/15/16
|
|
680,000
|
|
630,881
|
|
GMAC LLC
|
|
6.875
|
%
|
8/28/12
|
|
94,000
|
|
86,480
|
A
|
GMAC LLC
|
|
8.000
|
%
|
11/1/31
|
|
939,000
|
|
755,895
|
A
|
SLM Corp.
|
|
0.664
|
%
|
7/26/10
|
|
1,020,000
|
|
968,980
|
C
|
|
|
|
|
|
|
|
|
3,644,432
|
|
Distributors 0.1%
|
|
|
|
|
|
|
|
|
|
Keystone Automotive Operations Inc.
|
|
9.750
|
%
|
11/1/13
|
|
250,000
|
|
65,625
|
|
Diversified Consumer
Services 0.3%
|
|
|
|
|
|
|
|
|
|
Education Management LLC
|
|
8.750
|
%
|
6/1/14
|
|
55,000
|
|
58,300
|
|
Education Management LLC
|
|
10.250
|
%
|
6/1/16
|
|
310,000
|
|
344,100
|
|
Service Corp. International
|
|
7.625
|
%
|
10/1/18
|
|
5,000
|
|
5,037
|
|
Service Corp. International
|
|
7.500
|
%
|
4/1/27
|
|
60,000
|
|
53,550
|
|
|
|
|
|
|
|
|
|
460,987
|
|
Diversified Financial
Services 5.1%
|
|
|
|
|
|
|
|
|
|
AAC Group Holding Corp.
|
|
10.250
|
%
|
10/1/12
|
|
440,000
|
|
422,400
|
A
|
Air 2 US
|
|
8.027
|
%
|
10/1/19
|
|
469,309
|
|
394,219
|
A
|
CCM Merger Inc.
|
|
8.000
|
%
|
8/1/13
|
|
140,000
|
|
114,800
|
A
|
Citigroup Inc.
|
|
6.625
|
%
|
6/15/32
|
|
1,000,000
|
|
908,617
|
|
DI Finance LLC
|
|
9.500
|
%
|
2/15/13
|
|
362,000
|
|
369,240
|
|
HSBC Finance Corp.
|
|
4.750
|
%
|
7/15/13
|
|
1,670,000
|
|
1,697,645
|
|
JPMorgan Chase and Co.
|
|
5.125
|
%
|
9/15/14
|
|
1,300,000
|
|
1,354,357
|
|
Liberty Media LLC
|
|
3.750
|
%
|
2/15/30
|
|
1,860,000
|
|
930,000
|
F
|
TNK-BP Finance SA
|
|
7.875
|
%
|
3/13/18
|
|
220,000
|
|
214,786
|
A
|
|
|
|
|
|
|
|
|
|
|
|
|
2
Quarterly Report to
Shareholders
Portfolio
of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30,
2009 (Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and Notes
Continued
|
|
|
|
|
|
|
|
|
|
Diversified Financial
Services Continued
|
|
|
|
|
|
|
|
|
|
Vanguard Health Holding Co. II LLC
|
|
9.000
|
%
|
10/1/14
|
|
$
|
535,000
|
|
$
|
545,700
|
|
|
|
|
|
|
|
|
|
6,951,764
|
|
Diversified
Telecommunication Services 1.7%
|
|
|
|
|
|
|
|
|
|
Cincinnati Bell Inc.
|
|
6.300
|
%
|
12/1/28
|
|
25,000
|
|
18,625
|
|
Citizens Communications Co.
|
|
9.250
|
%
|
5/15/11
|
|
90,000
|
|
98,100
|
|
Hawaiian Telcom Communications Inc.
|
|
12.500
|
%
|
5/1/15
|
|
135,000
|
|
169
|
D,E
|
Intelsat Corp.
|
|
9.250
|
%
|
8/15/14
|
|
140,000
|
|
143,500
|
|
Level 3 Financing Inc.
|
|
9.250
|
%
|
11/1/14
|
|
660,000
|
|
581,625
|
|
Qwest Communications International Inc.
|
|
7.250
|
%
|
2/15/11
|
|
160,000
|
|
162,200
|
|
Qwest Communications International Inc.
|
|
7.500
|
%
|
2/15/14
|
|
140,000
|
|
138,250
|
|
Qwest Corp.
|
|
7.875
|
%
|
9/1/11
|
|
390,000
|
|
402,188
|
|
Qwest Corp.
|
|
7.500
|
%
|
10/1/14
|
|
150,000
|
|
151,500
|
|
Windstream Corp.
|
|
8.625
|
%
|
8/1/16
|
|
635,000
|
|
649,287
|
|
|
|
|
|
|
|
|
|
2,345,444
|
|
Electric Utilities
3.9%
|
|
|
|
|
|
|
|
|
|
Duke Energy Corp.
|
|
6.250
|
%
|
1/15/12
|
|
250,000
|
|
272,452
|
|
Energy Future Holdings Corp.
|
|
11.250
|
%
|
11/1/17
|
|
1,674,800
|
|
1,105,368
|
G
|
FirstEnergy Corp.
|
|
6.450
|
%
|
11/15/11
|
|
27,000
|
|
29,202
|
|
FirstEnergy Corp.
|
|
7.375
|
%
|
11/15/31
|
|
3,040,000
|
|
3,407,618
|
|
Orion Power Holdings Inc.
|
|
12.000
|
%
|
5/1/10
|
|
150,000
|
|
155,250
|
|
TXU Electric Delivery Co.
|
|
7.000
|
%
|
9/1/22
|
|
250,000
|
|
285,335
|
|
|
|
|
|
|
|
|
|
5,255,225
|
|
Energy Equipment and
Services 1.3%
|
|
|
|
|
|
|
|
|
|
Complete Production Services Inc.
|
|
8.000
|
%
|
12/15/16
|
|
150,000
|
|
136,500
|
|
EEB International Ltd.
|
|
8.750
|
%
|
10/31/14
|
|
820,000
|
|
881,500
|
A
|
Gulfmark Offshore Inc.
|
|
7.750
|
%
|
7/15/14
|
|
270,000
|
|
264,600
|
|
Parker Drilling Co.
|
|
9.625
|
%
|
10/1/13
|
|
300,000
|
|
297,375
|
|
Pride International Inc.
|
|
7.375
|
%
|
7/15/14
|
|
240,000
|
|
246,000
|
|
|
|
|
|
|
|
|
|
1,825,975
|
|
Food and Staples
Retailing 3.9%
|
|
|
|
|
|
|
|
|
|
CVS Corp.
|
|
5.789
|
%
|
1/10/26
|
|
844,744
|
|
756,046
|
A
|
CVS Lease Pass-Through Trust
|
|
5.880
|
%
|
1/10/28
|
|
928,083
|
|
874,959
|
|
CVS Lease Pass-Through Trust
|
|
6.036
|
%
|
12/10/28
|
|
934,620
|
|
900,927
|
|
CVS Pass-Through Trust
|
|
6.943
|
%
|
1/10/30
|
|
1,932,505
|
|
1,952,139
|
|
Delhaize America Inc.
|
|
9.000
|
%
|
4/15/31
|
|
166,000
|
|
218,421
|
|
Safeway Inc.
|
|
5.800
|
%
|
8/15/12
|
|
500,000
|
|
541,953
|
|
|
|
|
|
|
|
|
|
5,244,445
|
|
Food Products 0.2%
|
|
|
|
|
|
|
|
|
|
Dole Food Co. Inc.
|
|
7.250
|
%
|
6/15/10
|
|
205,000
|
|
205,000
|
|
Dole Food Co. Inc.
|
|
8.000
|
%
|
10/1/16
|
|
80,000
|
|
80,300
|
A
|
|
|
|
|
|
|
|
|
285,300
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3
Quarterly Report to Shareholders
Portfolio
of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30,
2009 (Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and Notes
Continued
|
|
|
|
|
|
|
|
|
|
Gas Utilities 0.4%
|
|
|
|
|
|
|
|
|
|
Southern Natural Gas Co.
|
|
8.000
|
%
|
3/1/32
|
|
$
|
20,000
|
|
$
|
23,648
|
|
Suburban Propane Partners LP
|
|
6.875
|
%
|
12/15/13
|
|
580,000
|
|
573,475
|
|
|
|
|
|
|
|
|
|
597,123
|
|
Health Care Providers
and Services 1.5%
|
|
|
|
|
|
|
|
|
|
Community Health Systems Inc.
|
|
8.875
|
%
|
7/15/15
|
|
200,000
|
|
205,000
|
|
DaVita Inc.
|
|
6.625
|
%
|
3/15/13
|
|
70,000
|
|
69,300
|
|
DaVita Inc.
|
|
7.250
|
%
|
3/15/15
|
|
260,000
|
|
257,400
|
|
HCA Inc.
|
|
6.250
|
%
|
2/15/13
|
|
85,000
|
|
81,175
|
|
HCA Inc.
|
|
6.375
|
%
|
1/15/15
|
|
430,000
|
|
382,700
|
|
HCA Inc.
|
|
9.250
|
%
|
11/15/16
|
|
195,000
|
|
201,581
|
|
HCA Inc.
|
|
9.625
|
%
|
11/15/16
|
|
399,000
|
|
414,960
|
G
|
HCA Inc.
|
|
7.690
|
%
|
6/15/25
|
|
90,000
|
|
73,085
|
|
HCA Inc.
|
|
7.500
|
%
|
11/15/95
|
|
185,000
|
|
130,885
|
|
U.S. Oncology Holdings Inc.
|
|
7.178
|
%
|
3/15/12
|
|
275,000
|
|
239,250
|
C,G
|
|
|
|
|
|
|
|
|
2,055,336
|
|
Hotels, Restaurants and
Leisure 1.3%
|
|
|
|
|
|
|
|
|
|
Dennys Holdings Inc.
|
|
10.000
|
%
|
10/1/12
|
|
90,000
|
|
90,900
|
|
El Pollo Loco Inc.
|
|
11.750
|
%
|
11/15/13
|
|
295,000
|
|
271,400
|
|
Harrahs Operating Co. Inc.
|
|
10.750
|
%
|
2/1/16
|
|
300,000
|
|
242,250
|
|
Harrahs Operating Co. Inc.
|
|
10.000
|
%
|
12/15/18
|
|
460,000
|
|
365,700
|
A
|
Inn of the Mountain Gods Resort and Casino
|
|
12.000
|
%
|
11/15/10
|
|
530,000
|
|
245,125
|
D,E
|
MGM MIRAGE
|
|
11.375
|
%
|
3/1/18
|
|
175,000
|
|
164,500
|
A
|
River Rock Entertainment Authority
|
|
9.750
|
%
|
11/1/11
|
|
180,000
|
|
165,600
|
|
Sbarro Inc.
|
|
10.375
|
%
|
2/1/15
|
|
90,000
|
|
71,100
|
|
Snoqualmie Entertainment Authority
|
|
4.683
|
%
|
2/1/14
|
|
110,000
|
|
53,900
|
A,C
|
Station Casinos Inc.
|
|
7.750
|
%
|
8/15/16
|
|
205,000
|
|
61,500
|
D,E
|
Station Casinos Inc.
|
|
6.625
|
%
|
3/15/18
|
|
100,000
|
|
3,500
|
D,E
|
|
|
|
|
|
|
|
|
1,735,475
|
|
Household Durables
0.4%
|
|
|
|
|
|
|
|
|
|
American Greetings Corp.
|
|
7.375
|
%
|
6/1/16
|
|
20,000
|
|
19,150
|
|
Norcraft Cos.
|
|
9.000
|
%
|
11/1/11
|
|
360,000
|
|
360,000
|
|
Norcraft Holdings LP
|
|
9.750
|
%
|
9/1/12
|
|
155,000
|
|
147,250
|
|
|
|
|
|
|
|
|
|
526,400
|
|
Independent Power
Producers and Energy
Traders 2.1%
|
|
|
|
|
|
|
|
|
|
Dynegy Holdings Inc.
|
|
7.750
|
%
|
6/1/19
|
|
650,000
|
|
554,125
|
|
Edison Mission Energy
|
|
7.750
|
%
|
6/15/16
|
|
180,000
|
|
157,500
|
|
Edison Mission Energy
|
|
7.625
|
%
|
5/15/27
|
|
179,000
|
|
127,985
|
|
Mirant North America LLC
|
|
7.375
|
%
|
12/31/13
|
|
350,000
|
|
348,250
|
|
NRG Energy Inc.
|
|
7.375
|
%
|
2/1/16
|
|
500,000
|
|
483,750
|
|
NRG Energy Inc.
|
|
7.375
|
%
|
1/15/17
|
|
225,000
|
|
217,688
|
|
The AES Corp.
|
|
9.750
|
%
|
4/15/16
|
|
360,000
|
|
392,400
|
A
|
|
|
|
|
|
|
|
|
|
|
|
|
4
Quarterly Report to
Shareholders
Portfolio
of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30,
2009 (Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and Notes
Continued
|
|
|
|
|
|
|
|
|
|
Independent Power Producers and
Energy
Traders
Continued
|
|
|
|
|
|
|
|
|
|
|
|
The AES Corp.
|
|
8.000
|
%
|
10/15/17
|
|
$
|
525,000
|
|
$
|
528,281
|
|
The AES Corp.
|
|
8.000
|
%
|
6/1/20
|
|
100,000
|
|
99,250
|
|
|
|
|
|
|
|
|
|
2,909,229
|
|
Industrial Conglomerates
2.2%
|
|
|
|
|
|
|
|
|
|
Tyco International Ltd. / Tyco International Finance
SA
|
|
6.875
|
%
|
1/15/21
|
|
2,615,000
|
|
2,935,222
|
|
IT Services 0.9%
|
|
|
|
|
|
|
|
|
|
Ceridian Corp.
|
|
12.250
|
%
|
11/15/15
|
|
130,000
|
|
110,500
|
G
|
Electronic Data Systems Corp.
|
|
7.450
|
%
|
10/15/29
|
|
500,000
|
|
633,844
|
|
SunGard Data Systems Inc.
|
|
10.250
|
%
|
8/15/15
|
|
520,000
|
|
530,400
|
|
|
|
|
|
|
|
|
|
1,274,744
|
|
Leisure Equipment and
Products 0.5%
|
|
|
|
|
|
|
|
|
|
Eastman Kodak Co.
|
|
7.250
|
%
|
11/15/13
|
|
760,000
|
|
623,200
|
|
Media 5.7%
|
|
|
|
|
|
|
|
|
|
Affinion Group Inc.
|
|
10.125
|
%
|
10/15/13
|
|
430,000
|
|
441,825
|
|
Affinion Group Inc.
|
|
11.500
|
%
|
10/15/15
|
|
225,000
|
|
231,187
|
|
CCH I Holdings LLC
|
|
11.000
|
%
|
10/1/15
|
|
927,000
|
|
171,495
|
D,E
|
CCH II Holdings LLC
|
|
10.250
|
%
|
10/1/13
|
|
150,000
|
|
168,000
|
D,E
|
Charter Communications Holdings LLC
|
|
11.750
|
%
|
5/15/11
|
|
80,000
|
|
200
|
D,E
|
Charter Communications Holdings LLC
|
|
12.125
|
%
|
1/15/12
|
|
40,000
|
|
100
|
D,E
|
Charter Communications Operating LLC
|
|
12.875
|
%
|
9/15/14
|
|
280,000
|
|
303,100
|
A,D,E
|
CMP Susquehanna Corp.
|
|
0.000
|
%
|
5/15/14
|
|
14,000
|
|
5,950
|
A,E,H
|
Comcast Corp.
|
|
5.900
|
%
|
3/15/16
|
|
400,000
|
|
429,881
|
|
Comcast Corp.
|
|
7.050
|
%
|
3/15/33
|
|
1,000,000
|
|
1,134,065
|
|
CSC Holdings Inc.
|
|
7.625
|
%
|
4/1/11
|
|
50,000
|
|
51,875
|
|
CSC Holdings Inc.
|
|
6.750
|
%
|
4/15/12
|
|
250,000
|
|
257,500
|
|
DISH DBS Corp.
|
|
7.875
|
%
|
9/1/19
|
|
385,000
|
|
388,850
|
A
|
Idearc Inc.
|
|
8.000
|
%
|
11/15/16
|
|
720,000
|
|
32,400
|
D
|
News America Holdings Inc.
|
|
8.875
|
%
|
4/26/23
|
|
400,000
|
|
456,725
|
|
R.H. Donnelley Corp.
|
|
8.875
|
%
|
10/15/17
|
|
320,000
|
|
18,400
|
D
|
Time Warner Inc.
|
|
6.875
|
%
|
5/1/12
|
|
1,400,000
|
|
1,541,148
|
|
Time Warner Inc.
|
|
7.700
|
%
|
5/1/32
|
|
1,150,000
|
|
1,300,405
|
|
TL Acquisitions Inc.
|
|
10.500
|
%
|
1/15/15
|
|
270,000
|
|
255,150
|
A
|
Univision Communications Inc.
|
|
12.000
|
%
|
7/1/14
|
|
420,000
|
|
451,500
|
A
|
Virgin Media Finance PLC
|
|
9.500
|
%
|
8/15/16
|
|
100,000
|
|
105,250
|
|
|
|
|
|
|
|
|
|
7,745,006
|
|
Metals and Mining 1.9%
|
|
|
|
|
|
|
|
|
|
Alcoa Inc.
|
|
5.375
|
%
|
1/15/13
|
|
750,000
|
|
768,743
|
|
CII Carbon LLC
|
|
11.125
|
%
|
11/15/15
|
|
580,000
|
|
556,800
|
A
|
Freeport-McMoRan Copper & Gold Inc.
|
|
8.375
|
%
|
4/1/17
|
|
730,000
|
|
776,537
|
|
Metals USA Inc.
|
|
11.125
|
%
|
12/1/15
|
|
445,000
|
|
427,756
|
|
Noranda Aluminium Acquisition Corp.
|
|
6.163
|
%
|
5/15/15
|
|
75,508
|
|
53,233
|
C,G
|
|
|
|
|
|
|
|
|
2,583,069
|
|
5
Quarterly Report to Shareholders
Portfolio of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30, 2009
(Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and Notes
Continued
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 0.8%
|
|
|
|
|
|
|
|
|
|
Dominion Resources Inc.
|
|
5.700
|
%
|
9/17/12
|
|
$
|
770,000
|
|
$
|
841,135
|
|
MidAmerican Energy Holdings Co.
|
|
5.875
|
%
|
10/1/12
|
|
250,000
|
|
272,382
|
|
|
|
|
|
|
|
|
|
1,113,517
|
|
Multiline Retail 0.4%
|
|
|
|
|
|
|
|
|
|
Dollar General Corp.
|
|
10.625
|
%
|
7/15/15
|
|
60,000
|
|
66,300
|
|
The Neiman-Marcus Group Inc.
|
|
9.000
|
%
|
10/15/15
|
|
272,829
|
|
233,269
|
G
|
The Neiman-Marcus Group Inc.
|
|
7.125
|
%
|
6/1/28
|
|
330,000
|
|
282,150
|
|
|
|
|
|
|
|
|
|
581,719
|
|
Oil, Gas and Consumable
Fuels 9.2%
|
|
|
|
|
|
|
|
|
|
Belden and Blake Corp.
|
|
8.750
|
%
|
7/15/12
|
|
750,000
|
|
697,500
|
|
Berry Petroleum Co.
|
|
10.250
|
%
|
6/1/14
|
|
160,000
|
|
170,800
|
|
Chesapeake Energy Corp.
|
|
6.375
|
%
|
6/15/15
|
|
480,000
|
|
445,800
|
|
Chesapeake Energy Corp.
|
|
6.625
|
%
|
1/15/16
|
|
30,000
|
|
28,350
|
|
Chesapeake Energy Corp.
|
|
7.250
|
%
|
12/15/18
|
|
300,000
|
|
283,500
|
|
Colorado Interstate Gas Co.
|
|
6.800
|
%
|
11/15/15
|
|
150,000
|
|
166,807
|
|
DCP Midstream LP
|
|
7.875
|
%
|
8/16/10
|
|
750,000
|
|
786,127
|
|
Devon Energy Corp.
|
|
7.950
|
%
|
4/15/32
|
|
1,000,000
|
|
1,253,668
|
|
Devon Financing Corp. ULC
|
|
6.875
|
%
|
9/30/11
|
|
1,000,000
|
|
1,087,932
|
|
El Paso Corp.
|
|
7.750
|
%
|
6/15/10
|
|
1,496,000
|
|
1,501,996
|
|
El Paso Corp.
|
|
7.800
|
%
|
8/1/31
|
|
190,000
|
|
174,253
|
|
Exco Resources Inc.
|
|
7.250
|
%
|
1/15/11
|
|
465,000
|
|
460,931
|
|
Hess Corp.
|
|
7.875
|
%
|
10/1/29
|
|
1,640,000
|
|
1,920,945
|
|
Hess Corp.
|
|
7.300
|
%
|
8/15/31
|
|
60,000
|
|
67,448
|
|
International Coal Group Inc.
|
|
10.250
|
%
|
7/15/14
|
|
220,000
|
|
200,200
|
|
Kinder Morgan Energy Partners LP
|
|
7.125
|
%
|
3/15/12
|
|
500,000
|
|
546,087
|
|
Petrohawk Energy Corp.
|
|
9.125
|
%
|
7/15/13
|
|
145,000
|
|
148,987
|
|
Plains Exploration and Production Co.
|
|
10.000
|
%
|
3/1/16
|
|
140,000
|
|
150,850
|
|
Plains Exploration and Production Co.
|
|
8.625
|
%
|
10/15/19
|
|
125,000
|
|
126,563
|
|
Quicksilver Resources Inc.
|
|
11.750
|
%
|
1/1/16
|
|
185,000
|
|
203,962
|
|
SemGroup LP
|
|
8.750
|
%
|
11/15/15
|
|
305,000
|
|
19,825
|
A,D,E
|
Sonat Inc.
|
|
7.625
|
%
|
7/15/11
|
|
500,000
|
|
510,234
|
|
Stone Energy Corp.
|
|
8.250
|
%
|
12/15/11
|
|
160,000
|
|
150,400
|
|
The Williams Cos. Inc.
|
|
7.500
|
%
|
1/15/31
|
|
902,000
|
|
921,287
|
|
The Williams Cos. Inc.
|
|
8.750
|
%
|
3/15/32
|
|
85,000
|
|
97,475
|
|
Valero Energy Corp.
|
|
7.500
|
%
|
4/15/32
|
|
400,000
|
|
397,835
|
|
|
|
|
|
|
|
|
|
12,519,762
|
|
Paper and Forest
Products 1.8%
|
|
|
|
|
|
|
|
|
|
Appleton Papers Inc.
|
|
8.125
|
%
|
6/15/11
|
|
5,000
|
|
4,056
|
E
|
Appleton Papers Inc.
|
|
9.750
|
%
|
6/15/14
|
|
305,000
|
|
137,631
|
E
|
Appleton Papers Inc.
|
|
11.250
|
%
|
12/15/15
|
|
40,000
|
|
39,527
|
A
|
NewPage Corp.
|
|
6.738
|
%
|
5/1/12
|
|
335,000
|
|
207,700
|
C
|
NewPage Corp.
|
|
11.375
|
%
|
12/31/14
|
|
505,000
|
|
496,162
|
A
|
|
|
|
|
|
|
|
|
|
|
|
|
6
Quarterly Report to Shareholders
Portfolio of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30, 2009
(Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and Notes Continued
|
|
|
|
|
|
|
|
|
|
|
|
Paper and Forest Products Continued
|
|
|
|
|
|
|
|
|
|
|
|
Weyerhaeuser Co.
|
|
6.750
|
%
|
3/15/12
|
|
$
|
680,000
|
|
$
|
708,410
|
|
Weyerhaeuser Co.
|
|
7.375
|
%
|
3/15/32
|
|
1,000,000
|
|
885,780
|
|
|
|
|
|
|
|
|
|
2,479,266
|
|
Pharmaceuticals N.M.
|
|
|
|
|
|
|
|
|
|
Leiner Health Products Inc.
|
|
11.000
|
%
|
6/1/12
|
|
280,000
|
|
700
|
D,E
|
|
|
|
|
|
|
|
|
|
|
Real Estate Investment
Trusts (REITs) 0.2%
|
|
|
|
|
|
|
|
|
|
Ventas Inc.
|
|
6.750
|
%
|
4/1/17
|
|
260,000
|
|
254,800
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management
and Development 0.2%
|
|
|
|
|
|
|
|
|
|
Ashton Woods USA LLC
|
|
0.000
|
%
|
6/30/15
|
|
65,000
|
|
24,375
|
A,E,I
|
Realogy Corp.
|
|
12.375
|
%
|
4/15/15
|
|
495,000
|
|
273,488
|
|
|
|
|
|
|
|
|
|
297,863
|
|
Road and Rail 0.3%
|
|
|
|
|
|
|
|
|
|
RailAmerica Inc.
|
|
9.250
|
%
|
7/1/17
|
|
260,000
|
|
272,350
|
A
|
Swift Transportation Co.
|
|
8.190
|
%
|
5/15/15
|
|
30,000
|
|
21,300
|
A,C
|
Swift Transportation Co.
|
|
12.500
|
%
|
5/15/17
|
|
75,000
|
|
56,250
|
A
|
|
|
|
|
|
|
|
|
349,900
|
|
Semiconductors and
Semiconductor Equipment 0.1%
|
|
|
|
|
|
|
|
Freescale Semiconductor Inc.
|
|
8.875
|
%
|
12/15/14
|
|
25,000
|
|
19,125
|
|
Freescale Semiconductor Inc.
|
|
10.125
|
%
|
12/15/16
|
|
80,000
|
|
53,200
|
|
|
|
|
|
|
|
|
|
72,325
|
|
Specialty Retail 0.4%
|
|
|
|
|
|
|
|
|
|
Blockbuster Inc.
|
|
9.000
|
%
|
9/1/12
|
|
170,000
|
|
108,800
|
|
Blockbuster Inc.
|
|
11.750
|
%
|
10/1/14
|
|
330,000
|
|
314,325
|
A
|
Michaels Stores Inc.
|
|
10.000
|
%
|
11/1/14
|
|
80,000
|
|
78,800
|
|
|
|
|
|
|
|
|
|
501,925
|
|
Textiles, Apparel and
Luxury Goods 0.2%
|
|
|
|
|
|
|
|
|
|
Oxford Industries Inc.
|
|
11.375
|
%
|
7/15/15
|
|
255,000
|
|
273,169
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 0.2%
|
|
|
|
|
|
|
|
|
|
Alliance One International Inc.
|
|
10.000
|
%
|
7/15/16
|
|
130,000
|
|
134,225
|
A
|
Alliance One International Inc.
|
|
10.000
|
%
|
7/15/16
|
|
70,000
|
|
72,275
|
A
|
|
|
|
|
|
|
|
|
206,500
|
|
Trading Companies and
Distributors 0.5%
|
|
|
|
|
|
|
|
|
|
Ashtead Capital Inc.
|
|
9.000
|
%
|
8/15/16
|
|
129,000
|
|
123,840
|
A
|
H&E Equipment Services Inc.
|
|
8.375
|
%
|
7/15/16
|
|
245,000
|
|
224,175
|
|
Penhall International Corp.
|
|
12.000
|
%
|
8/1/14
|
|
390,000
|
|
187,200
|
A,E
|
RSC Equipment Rental Inc.
|
|
10.000
|
%
|
7/15/17
|
|
170,000
|
|
182,750
|
A
|
|
|
|
|
|
|
|
|
717,965
|
|
7
Quarterly Report to Shareholders
Portfolio of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30, 2009
(Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Corporate Bonds and Notes
Continued
|
|
|
|
|
|
|
|
|
|
Transportation
Infrastructure 0.2%
|
|
|
|
|
|
|
|
|
|
Hawker Beechcraft Acquisition Co.
|
|
8.875
|
%
|
4/1/15
|
|
$
|
500,000
|
|
$
|
320,000
|
G
|
|
|
|
|
|
|
|
|
|
|
Wireless
Telecommunication Services 1.3%
|
|
|
|
|
|
|
|
|
|
AT&T Mobility LLC
|
|
6.500
|
%
|
12/15/11
|
|
250,000
|
|
274,821
|
|
Sprint Capital Corp.
|
|
8.375
|
%
|
3/15/12
|
|
1,450,000
|
|
1,497,125
|
|
|
|
|
|
|
|
|
|
1,771,946
|
|
TOTAL CORPORATE BONDS AND NOTES
(Cost $99,932,543)
|
|
|
|
|
|
|
|
95,798,599
|
|
ASSET-BACKED SECURITIES
26.6%
|
|
|
|
|
|
|
|
|
|
Fixed Rate Securities
8.6%
|
|
|
|
|
|
|
|
|
|
Associates Manufactured Housing Pass Through
Certificates 1997-CLB2
|
|
8.900
|
%
|
6/15/28
|
|
3,221,492
|
|
2,955,397
|
B
|
Bear Stearns Asset Backed Securities Trust
2007-SD1 1A3A
|
|
6.500
|
%
|
10/25/36
|
|
1,435,932
|
|
763,124
|
|
Captiva CBO 1997-1A A
|
|
6.860
|
%
|
11/30/09
|
|
295,431
|
|
207,806
|
A,B,J
|
Contimortgage Home Equity Trust 1997-4 B1F
|
|
7.330
|
%
|
10/15/28
|
|
531,679
|
|
425,990
|
B
|
Firstfed Corp. Manufactured Housing Contract
1996-1 B
|
|
8.060
|
%
|
10/15/22
|
|
2,100,000
|
|
2,137,403
|
A,B
|
Global Franchise Trust 1998-1 A2
|
|
6.659
|
%
|
10/10/11
|
|
858,899
|
|
472,394
|
A
|
Green Tree Financial Corp. 1992-2 B
|
|
9.150
|
%
|
1/15/18
|
|
239,145
|
|
159,113
|
|
Green Tree Financial Corp. 1993-1 B
|
|
8.450
|
%
|
4/15/18
|
|
321,229
|
|
279,167
|
|
Green Tree Home Improvement Loan Trust 1996-D HIB2
|
|
8.000
|
%
|
9/15/27
|
|
84,813
|
|
62,117
|
|
Green Tree Recreational Equiptment &
Consumer Trust 1996-C CTFS
|
|
7.650
|
%
|
10/15/17
|
|
261,433
|
|
182,778
|
|
Indymac Manufactured Housing Contract 1997-1 A5
|
|
6.970
|
%
|
2/25/28
|
|
300,685
|
|
220,621
|
|
Lehman XS Trust 2007-1 WF1
|
|
7.000
|
%
|
1/25/37
|
|
1,140,775
|
|
650,242
|
|
PAMCO CLO 1997-1A B
|
|
7.910
|
%
|
8/6/10
|
|
894,402
|
|
44,720
|
D
|
Pegasus Aviation Lease Securitization 2000-1 A2
|
|
8.370
|
%
|
3/25/30
|
|
1,600,000
|
|
424,000
|
A,B
|
Renaissance Home Equity Loan Trust 2004-2 AF4
|
|
5.392
|
%
|
7/25/34
|
|
834,120
|
|
758,319
|
|
Settlement Fee Finance LLC 2004-1A A
|
|
9.100
|
%
|
7/25/34
|
|
874,853
|
|
681,510
|
A,B
|
Structured Asset Securities Corp. 2002-AL1 A3
|
|
3.450
|
%
|
2/25/32
|
|
1,020,997
|
|
849,108
|
|
Structured Asset Securities Corp. 2003-AL1
|
|
3.357
|
%
|
4/25/31
|
|
144,670
|
|
126,324
|
A
|
Vanderbilt Mortgage Finance 1997-B 1B2
|
|
8.155
|
%
|
10/7/26
|
|
451,012
|
|
356,557
|
|
|
|
|
|
|
|
|
|
11,756,690
|
|
Indexed Securities
C
10.2%
|
|
|
|
|
|
|
|
|
|
ACE Securities Corp. 2005-SD1 A1
|
|
0.646
|
%
|
11/25/50
|
|
62,660
|
|
60,930
|
|
AmeriCredit Automobile Receivables Trust 2007-CM
A3B
|
|
0.306
|
%
|
5/7/12
|
|
1,480,032
|
|
1,469,636
|
|
Bayview Financial Acquisition Trust 2007-B 2A1
|
|
0.546
|
%
|
8/28/47
|
|
1,642,080
|
|
1,491,438
|
|
Bayview Financial Asset Trust 2004-SSRA A1
|
|
0.846
|
%
|
12/25/39
|
|
493,574
|
|
335,631
|
A
|
Bayview Financial Asset Trust 2007-SR1A A
|
|
0.696
|
%
|
3/25/37
|
|
2,594,299
|
|
1,089,606
|
A
|
Bayview Financial Asset Trust 2007-SR1A M3
|
|
1.396
|
%
|
3/25/37
|
|
647,104
|
|
110,008
|
A
|
Bayview Financial Asset Trust 2007-SR1A M4
|
|
1.746
|
%
|
3/25/37
|
|
176,483
|
|
21,707
|
A,B
|
Citigroup Mortgage Loan Trust Inc. 2006-SHL1 A1
|
|
0.446
|
%
|
11/25/45
|
|
311,592
|
|
187,966
|
A
|
|
|
|
|
|
|
|
|
|
|
|
|
8
Quarterly Report to Shareholders
Portfolio of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30, 2009
(Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
Continued
|
|
|
|
|
|
|
|
|
|
Indexed Securities Continued
|
|
|
|
|
|
|
|
|
|
Citigroup Mortgage Loan Trust Inc. 2007-SHL1 A
|
|
0.646
|
%
|
11/25/46
|
|
$
|
1,298,782
|
|
$
|
513,019
|
A
|
Countrywide Asset-Backed Certificates 2007-13 2A1
|
|
1.146
|
%
|
10/25/47
|
|
1,314,368
|
|
769,004
|
|
Countrywide Asset-Backed Certificates 2007-SEA2
1A1
|
|
1.314
|
%
|
8/25/47
|
|
74,140
|
|
39,540
|
A,B
|
Countrywide Home Equity Loan Trust 2007-GW A
|
|
0.793
|
%
|
11/15/28
|
|
2,728,269
|
|
1,259,155
|
B
|
Credit-Based Asset Servicing and Securitization
2004-CB2 M1
|
|
0.766
|
%
|
7/25/33
|
|
2,209,205
|
|
1,370,988
|
|
CS First Boston Mortgage Securities Corp. 2004-CF2
2A1
|
|
0.716
|
%
|
5/25/44
|
|
128,129
|
|
110,240
|
A
|
Ellington Loan Acquisition Trust 2007-1 A2A1
|
|
1.246
|
%
|
5/26/37
|
|
357,636
|
|
290,964
|
A
|
EMC Mortgage Loan Trust 2003-B
|
|
0.796
|
%
|
11/25/41
|
|
159,090
|
|
130,565
|
A
|
Fremont Home Loan Trust 2006-2 2A2
|
|
0.424
|
%
|
2/25/36
|
|
856,388
|
|
810,001
|
|
GMAC Mortgage Corp. Loan Trust 2004-VF1 A1
|
|
0.996
|
%
|
2/25/31
|
|
695,207
|
|
386,190
|
A
|
GSAA Home Equity Trust 2006-19 A3A
|
|
0.486
|
%
|
12/25/36
|
|
1,000,000
|
|
442,412
|
|
IXIS Real Estate Capital Trust 2005-HE3 A4
|
|
0.616
|
%
|
12/25/35
|
|
23,963
|
|
23,150
|
|
Lehman XS Trust 2006-GP4
|
|
0.316
|
%
|
8/25/46
|
|
275,083
|
|
237,237
|
|
Long Beach Mortgage Loan Trust 2005-WL2 3A1
|
|
0.426
|
%
|
8/25/35
|
|
27,115
|
|
26,674
|
|
Morgan Stanley ABS Capital I 2003-SD1 A1
|
|
0.814
|
%
|
3/25/33
|
|
25,114
|
|
17,963
|
|
MSDWCC Heloc Trust 2003-2 A
|
|
0.506
|
%
|
4/25/16
|
|
239,080
|
|
138,311
|
|
New Century Home Equity Loan Trust 2004-2 A2
|
|
0.616
|
%
|
8/25/34
|
|
475,320
|
|
283,302
|
|
RAAC Series 2007-RP1 M1
|
|
0.796
|
%
|
5/25/46
|
|
210,000
|
|
3,937
|
A,B
|
Renaissance Home Equity Loan Trust 2005-3 AV3
|
|
0.626
|
%
|
11/25/35
|
|
800,000
|
|
359,791
|
|
Residential Asset Mortgage Products Inc. 2004-RZ1
AII
|
|
0.726
|
%
|
3/25/34
|
|
435,135
|
|
239,333
|
|
Residential Asset Securities Corp. 2001-KS3 AII
|
|
0.706
|
%
|
9/25/31
|
|
332,133
|
|
216,589
|
|
Salomon Brothers Mortgage Securities VII 2002-CIT1
|
|
0.546
|
%
|
3/25/32
|
|
324,832
|
|
306,123
|
|
Structured Asset Securities Corp. 2007-BC1 A2
|
|
0.296
|
%
|
2/25/37
|
|
998,331
|
|
930,043
|
|
Wachovia Asset Securitization Inc. 2002-HE1
|
|
0.616
|
%
|
9/27/32
|
|
234,334
|
|
141,147
|
|
Wachovia Asset Securitization Inc. 2002-HE2
|
|
0.676
|
%
|
12/25/32
|
|
86,595
|
|
55,556
|
|
Wachovia Asset Securitization Inc. 2003-HE1
|
|
0.536
|
%
|
3/25/33
|
|
31,805
|
|
20,543
|
|
|
|
|
|
|
|
|
|
13,888,699
|
|
Stripped Securities
0.6%
|
|
|
|
|
|
|
|
|
|
Bear Stearns Asset Backed Securities Trust
2006-SD3 1P0
|
|
0.000
|
%
|
8/25/36
|
|
1,580,032
|
|
713,056
|
B,K2
|
Oakwood Mortgage Investors Inc. 2002-C AIO
|
|
6.000
|
%
|
8/15/10
|
|
512,050
|
|
23,442
|
E,K1
|
|
|
|
|
|
|
|
|
736,498
|
|
Variable Rate Securities
H
7.2%
|
|
|
|
|
|
|
|
|
|
BankAmerica Manufactured Housing Contract
1997-2 M
|
|
6.900
|
%
|
4/10/28
|
|
100,000
|
|
127,461
|
|
Conseco Finance Securitizations Corp. 2002-1 A
|
|
6.681
|
%
|
12/1/33
|
|
489,986
|
|
454,497
|
|
GMAC Mortgage Corp. Loan Trust 2005-HE2 A3
|
|
4.622
|
%
|
11/25/35
|
|
231,958
|
|
225,751
|
|
Green Tree 2008-MH1 A1
|
|
7.000
|
%
|
4/25/38
|
|
81,875
|
|
83,315
|
A
|
Greenpoint Manufactured Housing 1999-5 A5
|
|
7.820
|
%
|
12/15/29
|
|
706,000
|
|
610,232
|
|
GSAMP Trust 2003-SEA2 A1
|
|
4.422
|
%
|
7/25/33
|
|
2,279,323
|
|
1,824,033
|
|
Merit Securities Corp. 13 A4
|
|
7.966
|
%
|
12/28/33
|
|
3,520,870
|
|
3,496,923
|
|
Oakwood Mortgage Investors Inc. 2002-B A3
|
|
6.060
|
%
|
3/15/25
|
|
307,970
|
|
229,909
|
|
Residential Asset Securities Corp. 2002-KS2 AI6
|
|
6.228
|
%
|
4/25/32
|
|
917,908
|
|
750,244
|
|
Residential Asset Securities Corp. 2003-KS8 AI6
|
|
4.830
|
%
|
10/25/33
|
|
1,162,775
|
|
946,430
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9
Quarterly Report to Shareholders
Portfolio of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30, 2009 (Unaudited)
(continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
Continued
|
|
|
|
|
|
|
|
|
|
Variable Rate Securities
Continued
|
|
|
|
|
|
|
|
|
|
Saxon Asset Securities Trust 2000-2 MF1
|
|
8.870
|
%
|
7/25/30
|
|
$
|
160,541
|
|
$
|
156,563
|
|
Vanderbilt Mortgage Finance 1997-C
|
|
7.830
|
%
|
8/7/27
|
|
131,485
|
|
103,500
|
|
Vanderbilt Mortgage Finance 2000-B IB2
|
|
9.250
|
%
|
7/7/30
|
|
936,033
|
|
805,743
|
|
|
|
|
|
|
|
|
|
9,814,601
|
|
TOTAL ASSET-BACKED SECURITIES
(Cost $37,668,455)
|
|
|
|
|
|
|
|
36,196,488
|
|
MORTGAGE-BACKED
SECURITIES 35.0%
|
|
|
|
|
|
|
|
|
|
Fixed Rate Securities
4.1%
|
|
|
|
|
|
|
|
|
|
Banc of America Commercial Mortgage Inc.
2007-5 A3
|
|
5.620
|
%
|
2/10/51
|
|
800,000
|
|
737,606
|
|
Bear Stearns Asset Backed Securities Trust
2002-AC1 B4
|
|
7.000
|
%
|
1/25/32
|
|
1,023,400
|
|
200,449
|
A
|
Enterprise Mortgage Acceptance Co. 1999-1 A1
|
|
6.420
|
%
|
10/15/25
|
|
6,948
|
|
4,517
|
A,B
|
GMAC Commercial Mortgage Securities Inc. 1998-C2 F
|
|
6.500
|
%
|
5/15/35
|
|
1,000,000
|
|
1,003,755
|
|
JP Morgan Chase Commercial Mortgage Securities
Corp. 2008-C2 A1
|
|
5.017
|
%
|
2/12/51
|
|
302,936
|
|
304,751
|
|
Metropolitan Asset Funding Inc. 1998-BI B1
|
|
8.000
|
%
|
11/20/24
|
|
937,039
|
|
393,991
|
|
Residential Asset Mortgage Products Inc. 2004-SL4
|
|
7.500
|
%
|
7/25/32
|
|
1,648,305
|
|
1,550,437
|
|
Washington Mutual Alternative Mortgage Pass-Through
Certificates 2006-5 3A3
|
|
6.221
|
%
|
7/25/36
|
|
905,000
|
|
529,250
|
|
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2006-7 A2A
|
|
5.667
|
%
|
9/25/36
|
|
1,519,910
|
|
723,606
|
|
Washington Mutual Alternative Mortgage
Pass-Through Certificates 2006-7 A3
|
|
6.081
|
%
|
9/25/36
|
|
185,000
|
|
78,211
|
|
Washington Mutual MSC Mortgage Pass-Through
Certificates 2004-RA1
|
|
7.000
|
%
|
3/25/34
|
|
77,445
|
|
75,896
|
|
|
|
|
|
|
|
|
|
5,602,469
|
|
Indexed Securities
C
24.9%
|
|
|
|
|
|
|
|
|
|
American Home Mortgage Investment Trust 2007-A 4A
|
|
0.696
|
%
|
7/25/46
|
|
975,137
|
|
541,230
|
A,B
|
Bayview Commercial Asset Trust 2005-3A A2
|
|
0.646
|
%
|
11/25/35
|
|
814,352
|
|
469,433
|
A
|
Bayview Commercial Asset Trust 2005-4A A1
|
|
0.546
|
%
|
1/25/36
|
|
469,790
|
|
295,704
|
A
|
Bayview Commercial Asset Trust 2007-5A A1
|
|
0.896
|
%
|
10/25/37
|
|
442,164
|
|
424,477
|
A
|
Bear Stearns Alt-A Trust 2004-3 A1
|
|
0.886
|
%
|
4/25/34
|
|
586,530
|
|
431,060
|
|
Bear Stearns Alt-A Trust 2004-8 1A
|
|
0.596
|
%
|
9/25/34
|
|
332,560
|
|
241,588
|
|
Bella Vista Mortgage Trust 2004-2 A1
|
|
0.616
|
%
|
2/25/35
|
|
2,437,616
|
|
1,486,139
|
|
BlackRock Capital Finance LP 1997-R2 B5
|
|
6.188
|
%
|
12/25/35
|
|
510,044
|
|
25,502
|
A
|
CBA Commercial Small Balance Commercial Trust
2005-1A
|
|
0.566
|
%
|
7/25/35
|
|
1,997,287
|
|
798,915
|
A
|
Chevy Chase Mortgage Funding Corp. 2004-3A A1
|
|
0.496
|
%
|
8/25/35
|
|
1,831,587
|
|
790,956
|
A
|
Chevy Chase Mortgage Funding Corp. 2004-4A A1
|
|
0.476
|
%
|
10/25/35
|
|
2,613,112
|
|
1,371,186
|
A
|
Chevy Chase Mortgage Funding Corp. 2005-4A A1
|
|
0.446
|
%
|
10/25/36
|
|
2,364,466
|
|
1,186,549
|
A
|
CNL Funding 1998-1 C2
|
|
0.994
|
%
|
9/18/11
|
|
3,360,000
|
|
1,075,200
|
A
|
Countrywide Alternative Loan Trust 2005-J12
|
|
0.516
|
%
|
8/25/35
|
|
317,036
|
|
153,446
|
|
Countrywide Home Loans 2004-HYB5 7A1
|
|
2.372
|
%
|
4/20/35
|
|
3,973,180
|
|
1,787,931
|
|
Countrywide Home Loans 2004-R1 1AF
|
|
0.646
|
%
|
11/25/34
|
|
2,289,089
|
|
2,076,145
|
A
|
|
|
|
|
|
|
|
|
|
|
|
|
10
Quarterly Report to Shareholders
Portfolio of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30, 2009
(Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities
Continued
|
|
|
|
|
|
|
|
|
|
Indexed Securities Continued
|
|
|
|
|
|
|
|
|
|
Countrywide Home Loans 2004-R2 1AF1
|
|
0.666
|
%
|
11/25/34
|
|
$
|
706,180
|
|
$
|
466,525
|
A
|
Countrywide Home Loans 2005-09 1A1
|
|
0.546
|
%
|
5/25/35
|
|
1,901,546
|
|
1,004,605
|
|
Countrywide Home Loans 2005-7 1A1
|
|
0.516
|
%
|
3/25/35
|
|
1,736,142
|
|
1,082,142
|
|
Greenpoint Mortgage Funding Trust 2005-AR5 2A2
|
|
0.516
|
%
|
11/25/46
|
|
3,510,195
|
|
1,163,259
|
|
Greenpoint Mortgage Funding Trust 2005-AR5 3A2
|
|
0.516
|
%
|
11/25/46
|
|
2,119,260
|
|
643,135
|
|
GSMPS Mortgage Loan Trust 2005-RP1 1AF
|
|
0.596
|
%
|
1/25/35
|
|
323,904
|
|
197,417
|
A
|
GSMPS Mortgage Loan Trust 2005-RP1 2A1
|
|
5.146
|
%
|
1/25/35
|
|
1,835,204
|
|
1,413,751
|
A
|
GSMPS Mortgage Loan Trust 2005-RP3
|
|
0.596
|
%
|
9/25/35
|
|
1,481,424
|
|
951,969
|
A
|
Harborview Mortgage Loan Trust 2004-8 3A2
|
|
0.646
|
%
|
11/19/34
|
|
221,887
|
|
108,812
|
|
Harborview Mortgage Loan Trust 2005-9 B10
|
|
1.996
|
%
|
6/20/35
|
|
1,148,954
|
|
82,579
|
|
Impac CMB Trust 2004-9 1A1
|
|
1.006
|
%
|
1/25/35
|
|
67,409
|
|
45,330
|
|
Impac CMB Trust 2A-10
|
|
0.886
|
%
|
3/25/35
|
|
556,548
|
|
229,122
|
|
IndyMac Index Mortgage Loan Trust 2007-AR15 2A1
|
|
5.653
|
%
|
8/25/37
|
|
6,163,834
|
|
3,330,386
|
|
Luminent Mortgage Trust 2006-6 A1
|
|
0.446
|
%
|
10/25/46
|
|
1,347,093
|
|
617,756
|
|
MASTR Adjustable Rate Mortgages Trust 2004-13
|
|
3.111
|
%
|
11/21/34
|
|
2,000,000
|
|
1,584,861
|
|
MASTR Alternative Loans Trust 2003-7 7A1
|
|
0.646
|
%
|
11/25/33
|
|
432,617
|
|
389,958
|
|
Merit Securities Corp. 11PA B3
|
|
2.496
|
%
|
9/28/32
|
|
850,000
|
|
185,045
|
A,B
|
Regal Trust IV 1999-1 A
|
|
2.880
|
%
|
9/29/31
|
|
141,491
|
|
113,198
|
A,B
|
Residential Asset Securitization Trust 2003-A1 A2
|
|
0.746
|
%
|
3/25/33
|
|
648,791
|
|
578,189
|
|
Sequoia Mortgage Trust 2003-2 A2
|
|
1.447
|
%
|
6/20/33
|
|
60,606
|
|
52,629
|
|
Sequoia Mortgage Trust 2004-10 A1A
|
|
0.556
|
%
|
11/20/34
|
|
33,377
|
|
24,777
|
|
Sequoia Mortgage Trust 2004-11 A1
|
|
0.546
|
%
|
12/20/34
|
|
48,677
|
|
33,582
|
|
Sequoia Mortgage Trust 2004-12 A1
|
|
0.516
|
%
|
1/20/35
|
|
407,006
|
|
287,757
|
|
Structured Asset Securities Corp. 2002-9 A2
|
|
0.546
|
%
|
10/25/27
|
|
1,217,125
|
|
1,011,783
|
|
Structured Asset Securities Corp. 2005-RF3 2A
|
|
5.312
|
%
|
6/25/35
|
|
2,437,336
|
|
1,987,030
|
A,B
|
WaMu Mortgage Pass-Through Certificates 2004-AR13
A1A
|
|
0.610
|
%
|
11/25/34
|
|
1,705,656
|
|
985,313
|
|
WaMu Mortgage Pass-Through Certificates 2004-AR13
A2A
|
|
0.683
|
%
|
11/25/34
|
|
2,398,712
|
|
1,354,410
|
|
Washington Mutual Inc. 2004-AR12 A2A
|
|
0.703
|
%
|
10/25/44
|
|
228,692
|
|
153,505
|
|
Washington Mutual Mortgage Pass-Through
Certificates 2006-AR5 3A
|
|
1.841
|
%
|
7/25/46
|
|
1,521,345
|
|
659,505
|
|
|
|
|
|
|
|
|
|
33,893,791
|
|
Stripped Securities
0.8%
|
|
|
|
|
|
|
|
|
|
Indymac Index Mortgage Loan Trust 2005-AR14 BX
|
|
2.400
|
%
|
7/25/35
|
|
6,566,579
|
|
73,546
|
B,E,K1
|
LB-UBS Commercial Mortgage Trust 2001-C3 X
|
|
1.143
|
%
|
6/15/36
|
|
2,508,859
|
|
35,135
|
A,E,K1
|
Prime Mortgage Trust 2005-2 2XB
|
|
1.740
|
%
|
10/25/32
|
|
3,759,518
|
|
345,196
|
K1
|
Prime Mortgage Trust 2005-5 1X
|
|
0.860
|
%
|
7/25/34
|
|
9,937,957
|
|
164,672
|
K1
|
Prime Mortgage Trust 2005-5 1XB
|
|
1.480
|
%
|
7/25/34
|
|
3,167,722
|
|
122,631
|
K1
|
Residential Asset Mortgage Products, Inc.
2005-SL2 AP0
|
|
0.000
|
%
|
2/25/32
|
|
415,367
|
|
353,913
|
K2
|
|
|
|
|
|
|
|
|
1,095,093
|
|
Variable Rate Securities
H
5.2%
|
|
|
|
|
|
|
|
|
|
Bear Stearns Alt-A Trust 2005 -10 21A1
|
|
4.654
|
%
|
1/25/36
|
|
1,405,815
|
|
815,373
|
|
Credit Suisse Mortgage Capital Certificates
2007-C3 A4
|
|
5.912
|
%
|
6/15/39
|
|
242,000
|
|
191,050
|
|
GSMPS Mortgage Loan Trust 2001-2 A
|
|
7.500
|
%
|
6/19/32
|
|
1,835,880
|
|
1,524,250
|
A
|
|
|
|
|
|
|
|
|
|
|
|
|
11
Quarterly Report to Shareholders
Portfolio
of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30,
2009 (Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed
Securities Continued
|
|
|
|
|
|
|
|
|
|
Variable Rate Securities
Continued
|
|
|
|
|
|
|
|
|
|
Harborview Mortgage Loan Trust 2004-10 4A
|
|
4.297
|
%
|
1/19/35
|
|
$
|
547,904
|
|
$
|
459,822
|
|
JP Morgan Mortgage Trust 2007-A2 4A2
|
|
6.028
|
%
|
4/25/37
|
|
300,000
|
|
207,635
|
|
Merrill Lynch Mortgage Investors Inc. 2005-A2
|
|
4.479
|
%
|
2/25/35
|
|
496,591
|
|
445,438
|
|
Nomura Asset Acceptance Corp. 2004-AR4 1A1
|
|
4.813
|
%
|
12/25/34
|
|
576,208
|
|
541,635
|
|
Thornburg Mortgage Securities Trust 2007-4 2A1
|
|
6.206
|
%
|
9/25/37
|
|
999,264
|
|
804,867
|
|
Thornburg Mortgage Securities Trust 2007-4 3A1
|
|
6.194
|
%
|
9/25/37
|
|
982,052
|
|
799,709
|
|
WaMu Mortgage Pass-Through Certificates 2004-AR11
|
|
3.530
|
%
|
10/25/34
|
|
109,603
|
|
103,905
|
|
WaMu Mortgage Pass-Through Certificates 2007-HY7
2A3
|
|
5.796
|
%
|
7/25/37
|
|
2,000,000
|
|
1,250,393
|
|
|
|
|
|
|
|
|
|
7,144,077
|
|
TOTAL MORTGAGE-BACKED
SECURITIES
(Cost $53,142,931)
|
|
|
|
|
|
|
|
47,735,430
|
|
U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES 0.6%
|
|
|
|
|
|
|
|
|
|
Fixed Rate Securities
0.6%
|
|
|
|
|
|
|
|
|
|
Fannie Mae
|
|
6.500
|
%
|
8/25/44
|
|
702,609
|
|
759,064
|
L
|
TOTAL U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES
(Cost $725,547)
|
|
|
|
|
|
|
|
759,064
|
|
YANKEE BONDS
J
7.9%
|
|
|
|
|
|
|
|
|
|
Aerospace and Defense
0.1%
|
|
|
|
|
|
|
|
|
|
Systems 2001 Asset Trust
|
|
6.664
|
%
|
9/15/13
|
|
167,413
|
|
166,148
|
A
|
Chemicals N.M.
|
|
|
|
|
|
|
|
|
|
Methanex Corp.
|
|
8.750
|
%
|
8/15/12
|
|
15,000
|
|
15,375
|
|
Commercial Banks 0.1%
|
|
|
|
|
|
|
|
|
|
ICICI Bank Ltd.
|
|
6.375
|
%
|
4/30/22
|
|
184,000
|
|
150,514
|
A,I
|
Containers and Packaging
0.1%
|
|
|
|
|
|
|
|
|
|
Smurfit Kappa Funding PLC
|
|
7.750
|
%
|
4/1/15
|
|
150,000
|
|
132,000
|
|
Diversified Financial
Services 0.6%
|
|
|
|
|
|
|
|
|
|
Lukoil International Finance BV
|
|
6.356
|
%
|
6/7/17
|
|
340,000
|
|
327,692
|
A
|
UFJ Finance Aruba AEC
|
|
6.750
|
%
|
7/15/13
|
|
500,000
|
|
555,612
|
|
|
|
|
|
|
|
|
|
883,304
|
|
Diversified
Telecommunication Services 2.0%
|
|
|
|
|
|
|
|
|
|
Deutsche Telekom International Finance BV
|
|
5.250
|
%
|
7/22/13
|
|
600,000
|
|
639,859
|
|
France Telecom SA
|
|
8.500
|
%
|
3/1/31
|
|
600,000
|
|
829,608
|
M
|
Intelsat Bermuda Ltd.
|
|
11.250
|
%
|
6/15/16
|
|
340,000
|
|
363,800
|
|
Intelsat Jackson Holdings Ltd.
|
|
9.500
|
%
|
6/15/16
|
|
35,000
|
|
36,750
|
|
Nordic Telephone Co. Holdings ApS
|
|
8.875
|
%
|
5/1/16
|
|
285,000
|
|
294,975
|
A
|
Wind Acquisition Finance SA
|
|
10.750
|
%
|
12/1/15
|
|
500,000
|
|
550,000
|
A
|
|
|
|
|
|
|
|
|
2,714,992
|
|
Energy Equipment and
Services 0.1%
|
|
|
|
|
|
|
|
|
|
Compagnie Generale de Geophysique-Veritas
|
|
7.500
|
%
|
5/15/15
|
|
210,000
|
|
208,950
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12
Quarterly Report to
Shareholders
Portfolio
of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30,
2009 (Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
Yankee Bonds Continued
|
|
|
|
|
|
|
|
|
|
Foreign Governments
0.1%
|
|
|
|
|
|
|
|
|
|
Republic of Honduras
|
|
1.926
|
%
|
10/1/11
|
|
$
|
84,158
|
|
$
|
82,281
|
C
|
Republic of Venezuela
|
|
9.375
|
%
|
1/13/34
|
|
2,000
|
|
1,540
|
|
|
|
|
|
|
|
|
|
83,821
|
|
Insurance 0.7%
|
|
|
|
|
|
|
|
|
|
XL Capital Ltd.
|
|
5.250
|
%
|
9/15/14
|
|
1,000,000
|
|
981,669
|
|
Media 0.3%
|
|
|
|
|
|
|
|
|
|
NTL Cable PLC
|
|
9.125
|
%
|
8/15/16
|
|
335,000
|
|
344,213
|
|
Sun Media Corp.
|
|
7.625
|
%
|
2/15/13
|
|
55,000
|
|
42,075
|
|
|
|
|
|
|
|
|
|
386,288
|
|
Metals and Mining 0.2%
|
|
|
|
|
|
|
|
|
|
Novelis Inc.
|
|
7.250
|
%
|
2/15/15
|
|
115,000
|
|
99,475
|
|
Vedanta Resources PLC
|
|
8.750
|
%
|
1/15/14
|
|
130,000
|
|
129,675
|
A
|
|
|
|
|
|
|
|
|
229,150
|
|
Oil, Gas and Consumable
Fuels 2.0%
|
|
|
|
|
|
|
|
|
|
Anadarko Finance Co.
|
|
6.750
|
%
|
5/1/11
|
|
750,000
|
|
797,035
|
|
Anadarko Finance Co.
|
|
7.500
|
%
|
5/1/31
|
|
1,000,000
|
|
1,106,379
|
|
Burlington Resources Finance Co.
|
|
7.400
|
%
|
12/1/31
|
|
450,000
|
|
542,303
|
|
OPTI Canada Inc.
|
|
7.875
|
%
|
12/15/14
|
|
240,000
|
|
183,600
|
|
OPTI Canada Inc.
|
|
8.250
|
%
|
12/15/14
|
|
190,000
|
|
147,250
|
|
|
|
|
|
|
|
|
|
2,776,567
|
|
Paper and Forest
Products 0.5%
|
|
|
|
|
|
|
|
|
|
Abitibi-Consolidated Co. of Canada
|
|
13.750
|
%
|
4/1/11
|
|
520,000
|
|
512,200
|
A,D
|
PE Paper Escrow GmbH
|
|
12.000
|
%
|
8/1/14
|
|
100,000
|
|
108,000
|
A
|
|
|
|
|
|
|
|
|
620,200
|
|
Pharmaceuticals N.M.
|
|
|
|
|
|
|
|
|
|
ELAN Corp. PLC
|
|
8.750
|
%
|
10/15/16
|
|
50,000
|
|
49,250
|
A
|
Road and Rail 0.4%
|
|
|
|
|
|
|
|
|
|
Grupo Transportacion Ferroviaria Mexicana SA de CV
|
|
9.375
|
%
|
5/1/12
|
|
370,000
|
|
375,550
|
|
Kansas City Southern de Mexico
|
|
12.500
|
%
|
4/1/16
|
|
170,000
|
|
187,850
|
A
|
|
|
|
|
|
|
|
|
563,400
|
|
Semiconductors and
Semiconductor
Equipment 0.1%
|
|
|
|
|
|
|
|
|
|
Sensata Technologies BV
|
|
8.000
|
%
|
5/1/14
|
|
110,000
|
|
102,575
|
|
Wireless
Telecommunication Services 0.6%
|
|
|
|
|
|
|
|
|
|
True Move Co. Ltd.
|
|
10.750
|
%
|
12/16/13
|
|
590,000
|
|
566,400
|
A
|
True Move Co. Ltd.
|
|
10.750
|
%
|
12/16/13
|
|
200,000
|
|
192,000
|
A
|
|
|
|
|
|
|
|
|
758,400
|
|
TOTAL YANKEE BONDS
(Cost $10,488,508)
|
|
|
|
|
|
|
|
10,822,603
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13
Quarterly Report to Shareholders
Portfolio
of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30,
2009 (Unaudited) (continued)
|
|
Rate
|
|
Maturity
Date
|
|
Par/Shares
|
|
Value
|
|
Long-Term Securities Continued
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS AND EQUITY
INTERESTS 0.2%
|
|
|
|
|
|
|
|
Chemicals 0.2%
|
|
|
|
|
|
|
|
|
|
Georgia Gulf Corp.
|
|
|
|
|
|
383
|
shs
|
$
|
268,500
|
N
|
TOTAL COMMON STOCKS AND EQUITY
INTERESTS
(Cost $267,280)
|
|
|
|
|
|
|
|
268,500
|
|
PREFERRED STOCKS 0.8%
|
|
|
|
|
|
|
|
|
|
CMP Susquehanna Radio Holdings Corp.
|
|
0.000
|
%
|
|
|
3,171
|
|
1,347
|
A,B,H,N
|
Fannie Mae
|
|
5.375
|
%
|
|
|
15
|
|
88,125
|
F,L,N
|
Freddie Mac
|
|
8.375
|
%
|
|
|
20,500
|
|
37,105
|
I,L,N
|
Freddie Mac
|
|
5.160
|
%
|
|
|
100
|
|
250
|
F,L,N
|
Freddie Mac
|
|
5.000
|
%
|
|
|
200
|
|
530
|
L,N
|
General Motors Corp.
|
|
5.250
|
%
|
|
|
225,000
|
|
810,000
|
F
|
Preferred Blocker Inc.
|
|
7.000
|
%
|
|
|
254
|
|
147,709
|
A
|
TOTAL PREFERRED STOCKS
(Cost $5,644,586)
|
|
|
|
|
|
|
|
1,085,066
|
|
TRUST PREFERRED
SECURITIES 3.6%
|
|
|
|
|
|
|
|
|
|
Corp-Backed Trust Certificates
|
|
7.375
|
%
|
|
|
33,900
|
|
62,715
|
B
|
Corp-Backed Trust Certificates
|
|
8.000
|
%
|
|
|
15,600
|
|
263,640
|
|
CORTS Trust for Ford Motor Co.
|
|
8.000
|
%
|
|
|
155,100
|
|
2,652,210
|
|
PreferredPlus TR-CCR1
|
|
8.250
|
%
|
|
|
5,100
|
|
89,250
|
|
SATURNS-F 2003-5
|
|
8.125
|
%
|
|
|
104,100
|
|
1,839,447
|
|
TOTAL TRUST PREFERRED
SECURITIES
(Cost $5,033,601)
|
|
|
|
|
|
|
|
4,907,262
|
|
WARRANTS N.M.
|
|
|
|
|
|
|
|
|
|
Commercial Banks N.M.
|
|
|
|
|
|
|
|
|
|
CNB Capital Trust
|
|
0.000
|
%
|
3/23/19
|
|
3,624
|
wts
|
100
|
A,B,N
|
Hotels, Restaurants and
Leisure N.M.
|
|
|
|
|
|
|
|
|
|
Buffets Restaurants Holdings Inc.
|
|
0.000
|
%
|
4/28/14
|
|
224
|
|
|
B,E,N
|
TOTAL WARRANTS
(Cost $100)
|
|
|
|
|
|
|
|
100
|
|
TOTAL LONG-TERM SECURITIES
(Cost $212,903,551)
|
|
|
|
|
|
|
|
197,573,112
|
|
SHORT-TERM SECURITIES
6.0%
|
|
|
|
|
|
|
|
|
|
REPURCHASE AGREEMENT
6.0%
|
|
|
|
|
|
|
|
|
|
Morgan Stanley 0.01%, dated 9/30/09, to be
repurchased at $8,234,002 on 10/1/09 (Collateral: $8,390,000 Freddie Mac
Note, 2.050% due 3/9/11, value $8,398,684)
|
|
|
|
|
|
$
|
8,234,000
|
|
8,234,000
|
|
TOTAL SHORT-TERM SECURITIES
(Cost $8,234,000)
|
|
|
|
|
|
|
|
8,234,000
|
|
TOTAL INVESTMENTS 151.0%
(Cost $221,137,551)
O
|
|
|
|
|
|
|
|
205,807,112
|
|
Other Assets Less Liabilities 1.8%
|
|
|
|
|
|
|
|
2,482,999
|
|
Liquidation value of preferred shares (52.8)%
|
|
|
|
|
|
|
|
(72,000,000
|
)
|
|
|
|
|
|
|
|
|
|
|
Net
Assets Applicable to Common Shareholders
100.0%
|
|
|
|
|
|
$
|
136,290,111
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14
Quarterly Report to
Shareholders
Portfolio
of Investments - Continued
Western
Asset Premier Bond Fund - Continued
September 30,
2009 (Unaudited) (continued)
N.M.
|
Not
Meaningful.
|
A
|
Rule 144a
Security - A security purchased pursuant to Rule 144a under the
Securities Act of 1933 which may not be resold subject to that
rule except to qualified institutional buyers. These securities, which
the Funds investment adviser has determined to be liquid, unless otherwise
noted, represent 26.98% of net assets.
|
B
|
Security
is valued in good faith at fair value by or under the direction of the Board
of Trustees.
|
C
|
Indexed
Security - The rates of interest earned on these securities are tied to the
London Interbank Offered Rate (LIBOR), the Euro Interbank Offered Rate
(EURIBOR) Index, the Consumer Price Index (CPI), the one-year Treasury
Bill Rate or the ten-year Japanese Government Bond Rate. The coupon rates are
the rates as of September 30, 2009.
|
D
|
Bond
is currently in default.
|
E
|
Illiquid
security valued at fair value under the procedures approved by the Board of
Trustees.
|
F
|
Convertible
Security - Security may be converted into the issuers common stock.
|
G
|
Pay-in-Kind
(PIK) security - A security in which interest or dividends during the
initial few years is paid in additional PIK securities rather than in cash.
|
H
|
The
coupon rates shown on variable rate securities are the rates at
September 30, 2009. These rates vary with the weighted average coupon of
the underlying loans.
|
I
|
Stepped
Coupon Security - A security with a predetermined schedule of interest or
dividend rate changes at which time it begins to accrue interest or pay
dividends according to the predetermined schedule.
|
J
|
Yankee
Bond - A dollar-denominated bond issued in the U.S. by foreign entities.
|
K
|
Stripped
Security - Security with interest-only or principal-only payment streams,
denoted by a 1 or 2, respectively. For interest-only securities, the amount
shown as principal is the notional balance used to calculate the amount of
interest due.
|
L
|
On
September 7, 2008, the Federal Housing Finance Agency placed Fannie Mae
(FNMA) and Freddie Mac (FHLMC) into conservatorship.
|
M
|
Credit
Linked Security - The rates of interest earned on these securities are tied
to the credit rating assigned by Standard & Poors Rating Service
and/or Moodys Investors Services.
|
N
|
Non-income
producing.
|
O
|
Aggregate
cost for federal income tax purposes is substantially the same as book cost.
At September 30, 2009, the aggregate gross unrealized appreciation and
depreciation of investments for federal income tax purposes were
substantially as follows:
|
|
|
|
Gross unrealized appreciation
|
|
$
|
15,637,245
|
|
|
|
Gross unrealized depreciation
|
|
(30,967,684
|
)
|
|
|
Net unrealized depreciation
|
|
$
|
(15,330,439
|
)
|
|
15
Notes of Portfolio of Investments
(unaudited)
Organization and Significant Accounting Policies (unaudited)
Western
Asset Premier Bond Fund (the Fund) is registered under the Investment Company
Act of 1940, as amended (the 1940 Act), as a diversified, closed-end
management investment company. The Fund commenced investment operations on March 28,
2002.
The
Funds investment objective is to provide current income and capital
appreciation by investing primarily in a diversified portfolio of investment grade
bonds. The Fund currently seeks to achieve its investment objective by
investing substantially all of its assets in bonds, including corporate bonds,
U.S. government and agency securities and mortgage-related securities. The
ability of the issuers of the securities held by the Fund to meet their
obligations might be affected by, among other things, economic developments in
a specific state, industry or region.
The
following are significant accounting policies consistently followed by the Fund
and are in conformity with U.S. generally accepted accounting principles (GAAP).
Investment
Valuation
The
Funds securities are valued under policies approved by and under the general
oversight of the Board of Trustees.
The Fund has adopted Financial Accounting
Standards Board Codification Section 820 (formerly Statement of Financial
Accounting Standards No. 157) (ASC Section 820). ASC Section 820
establishes a single definition of fair value, creates a three-tier hierarchy
as a framework for measuring fair value based on inputs used to value the Funds
investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized below.
·
Level 1 quoted prices in active markets for
identical investments
·
Level 2 other significant observable inputs
(including quoted prices for similar investments, interest rates, prepayment
speeds, credit risk, etc.)
·
Level 3 significant unobservable inputs
(including the Funds own assumptions in determining the fair value of
investments)
Debt
securities are valued at the last quoted bid prices provided by an independent
pricing service that are based on transactions in debt obligations, quotations
from bond dealers, market transactions in comparable securities and various
other relationships between securities. Futures contracts are valued daily at
the settlement price established by the board of trade or exchange on which
they are traded. Equity securities for which market quotations are available
are valued at the last sale price or official closing price on the primary
market or exchange on which they trade. Publicly traded foreign government debt
securities are typically traded internationally in the over-the-counter market
and are valued at the bid price as of the close of business of that market.
When prices are not readily available, or are determined not to reflect fair
value, 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 at fair value as determined in accordance with the
procedures approved by the Funds Board of Trustees.
The
inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
The
Fund uses valuation techniques to measure fair value that are consistent with
the market approach, income approach and/or cost approach, depending on the
type of the security and the particular circumstance.
The
following is a summary of the inputs used in valuing the Funds assets carried
at fair value:
Description
|
|
Quoted
Prices
(Level 1)
|
|
Other
Significant
Observable
Inputs
(Level 2)
|
|
Significant
Unobservable
Inputs
(Level 3)
|
|
Total
|
|
Long-term investments:
|
|
|
|
|
|
|
|
|
|
Corporate bonds and notes
|
|
|
|
$
|
95,768,274
|
|
$
|
30,325
|
|
$
|
95,798,599
|
|
Asset-backed securities
|
|
|
|
32,330,068
|
|
3,866,420
|
|
36,196,488
|
|
Mortgage-backed securities
|
|
|
|
47,550,385
|
|
185,045
|
|
47,735,430
|
|
U.S. government agency mortgage-backed securities
|
|
|
|
759,064
|
|
|
|
759,064
|
|
Yankee bonds
|
|
|
|
10,822,603
|
|
|
|
10,822,603
|
|
Common stock and equity interests
|
|
$
|
268,500
|
|
|
|
|
|
268,500
|
|
Preferred stocks
|
|
847,885
|
|
235,834
|
|
1,347
|
|
1,085,066
|
|
Trust preferred securities
|
|
4,844,547
|
|
|
|
62,715
|
|
4,907,262
|
|
Warrants
|
|
|
|
|
|
100
|
|
100
|
|
Total long-term investments
|
|
5,960,932
|
|
187,466,228
|
|
4,145,952
|
|
197,573,112
|
|
Short-term investments
|
|
|
|
8,234,000
|
|
|
|
8,234,000
|
|
Total investments
|
|
5,960,932
|
|
195,700,228
|
|
4,145,952
|
|
205,807,112
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
Credit default swaps on corporate issues buy
|
|
|
|
612,281
|
|
|
|
612,281
|
|
Credit default swaps on credit indices sell
|
|
|
|
(702,486
|
)
|
|
|
(702,486
|
)
|
Total other financial instruments
|
|
|
|
(90,205
|
)
|
|
|
(90,205
|
)
|
Total
|
|
$
|
5,960,932
|
|
$
|
195,610,023
|
|
$
|
4,145,952
|
|
$
|
205,716,907
|
|
See Portfolio of Investments for additional detailed categorizations.
Values include any premiums paid or received with respect to swap contracts.
16
Following
is a reconciliation of investments in which significant unobservable inputs
(Level 3) were used in determining fair value:
Investments in Securities
|
|
Corporate
Bonds &
Notes
|
|
Asset-
Backed
Securities
|
|
Mortgage-
Backed
Securities
|
|
Trust
Preferred
Securities
|
|
Preferred
Stock
|
|
Warrants
|
|
Total
|
|
Balance
as of December 31, 2008
|
|
|
|
$
|
276,041
|
|
$
|
185,045
|
|
|
|
|
|
|
|
$
|
461,086
|
|
Accrued
premiums/discounts
|
|
$
|
3,341
|
|
27,529
|
|
17,292
|
|
|
|
|
|
|
|
48,162
|
|
Realized
gain/(loss)
1
|
|
|
|
(144,769
|
)
|
|
|
|
|
|
|
|
|
(144,769
|
)
|
Change
in unrealized appreciation (depreciation)
2
|
|
(9,282
|
)
|
1,411,412
|
|
(17,292
|
)
|
|
|
|
|
|
|
1,384,838
|
|
Net
purchases (sales)
|
|
36,266
|
|
2,296,207
|
|
|
|
|
|
$
|
1,347
|
|
$
|
100
|
|
2,333,920
|
|
Net
transfers in and/or out of Level 3
|
|
|
|
|
|
|
|
$
|
62,715
|
|
|
|
|
|
62,715
|
|
Balance
as of September 30, 2009
|
|
$
|
30,325
|
|
$
|
3,866,420
|
|
$
|
185,045
|
|
$
|
62,715
|
|
$
|
1,347
|
|
$
|
100
|
|
$
|
4,145,952
|
|
Net
unrealized appreciation (depreciation) for investments in securities still
held at September 30, 2009
2
|
|
$
|
(9,282
|
)
|
$
|
1,391,827
|
|
$
|
(133,015
|
)
|
$
|
(434,656
|
)
|
$
|
|
|
$
|
|
|
$
|
814,874
|
|
1
This
amount is included in net realized gain (loss) from investment.
2
Change in
unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation)
resulting from changes in investment values during the reporting period and the
reversal of previously recorded unrealized appreciation (depreciation) when
gains or losses are realized.
Foreign Currency Translation
Assets
and liabilities initially expressed in non-U.S. currencies are translated into
U.S. dollars using currency exchange rates determined prior to the close of
trading on the New York Stock Exchange, usually at 2:00 p.m. Eastern Time.
Purchases and sales of securities and income and expenses are translated into
U.S. dollars at the prevailing market rates on the dates of such transactions.
The effects of changes in non-U.S. currency exchange rates on investment
securities and other assets and liabilities are included with the net realized
and unrealized gain or loss on investment securities.
Repurchase Agreements
The
Fund may enter into repurchase agreements with institutions that its investment
adviser has determined are creditworthy. Each repurchase agreement is recorded
at cost. Under the terms of a typical repurchase agreement, a fund takes
possession of an underlying
17
debt
obligation subject to an obligation of the seller to repurchase, and of the
fund to resell, the obligation at an agreed-upon price and time, thereby
determining the yield during a funds holding period. When entering into
repurchase agreements, it is the Funds policy that its custodian acting on the
funds behalf, or a third party custodian take possession of the underlying
collateral securities, the market value of which, at all times, at least equals
the principal amount of the repurchase transaction, including accrued interest.
To the extent that any repurchase transaction exceeds one business day, the value
of the collateral is marked-to-market to ensure the adequacy of the collateral.
If the counterparty defaults, the Fund generally has the right to use the
collateral to satisfy the terms of the repurchase transaction. However, if the
market value of the collateral declines during the period in which the Fund
seeks to assert its rights or if bankruptcy proceedings are commenced with
respect to the seller of the security, realization of the collateral by the
Fund may be delayed or limited.
Swap Agreements
The Fund may invest in swaps for the purpose of
managing their exposure to interest rate, credit or market risk, or for other
purposes. The use of swaps involves risks that are different from those
associated with ordinary portfolio transactions.
Swap contracts are marked-to-market daily and
changes in value are recorded as unrealized appreciation/(depreciation). Gains
or losses are realized upon termination of the swap agreement. Periodic
payments and premiums received or made by a Fund are recorded as realized gains
or losses, respectively. Collateral, in the form of restricted cash or
securities, may be required to be held in segregated accounts with the Funds
custodian in compliance with the terms of the swap contracts. Securities held
as collateral for swap contracts are identified in the Portfolio of
Investments. The risks include changes in the returns of the underlying
instruments, failure of the counterparties to perform under the contracts
terms, and the possible lack of liquidity with respect to the swap agreements.
As disclosed in the Fair Values of Derivatives
Balance Sheet table that follows each Funds summary of open swap contracts,
the aggregate fair value of credit default swaps in a net liability position as
of September 30, 2009 was $892,291. The aggregate fair value of assets
posted as collateral for all swaps was $800,000. If a defined credit event had
occurred as of September 30, 2009, the swaps credit-risk-related
contingent features would have been triggered and the Fund would have been
required to pay up to $21,666,202 less the value of the contracts related
reference obligations.
Credit default swaps
The Fund may enter into credit default swap (CDS)
contracts for investment purposes, to manage its credit risk or to add leverage.
CDS agreements involve one party making a stream of payments to another party
in exchange for the right to receive a specified return in the event of a
default by a third party, typically corporate or sovereign issuers, on a
specified obligation, or in the event of a write-down, principal shortfall,
interest shortfall or default of all or part of the referenced entities
comprising a credit index. The Fund may use a CDS to provide protection against
defaults of the issuers (i.e., to reduce risk where a Fund has exposure to a
sovereign issuer) or to take an active long or short position with respect to
the likelihood of a particular issuers default. As a seller of protection, the
Fund generally receives an upfront payment or a stream of payments throughout
the term of the swap provided that there is no credit event. If the Fund is a
seller of protection and a credit event occurs, as defined under the terms of
that particular swap agreement, the maximum potential amount of future payments
(undiscounted) that the Fund could be required to make under a credit default
swap agreement would be an amount equal to the notional amount of the
agreement. These amounts of potential payments will be partially offset by any
recovery of values from the respective referenced obligations. As a seller of
protection, the Fund effectively adds leverage to its portfolio because, in
addition to its total net assets, the Fund would be subject to investment
exposure on the notional amount of the swap. As a buyer of protection, the Fund
generally receives an amount up to the notional value of the swap if a credit
event occurs.
Implied spreads are the theoretical prices a lender
receives for credit default protection. When spreads rise, market perceived
credit risk rises and when spreads fall, market perceived credit risk falls.
The implied credit spread of a particular referenced entity reflects the cost
of buying/selling protection and may include upfront payments required to enter
into the agreement. Wider credit spreads and decreasing market values, when
compared to the notional amount of the swap, represent a deterioration of the
referenced entitys credit soundness and a greater likelihood or risk of
default or other credit event occurring as defined under the terms of the agreement.
Credit spreads utilized in determining the period end market value of credit
default swap agreements on corporate or sovereign issues are disclosed in the
Notes to Schedule of Investments and serve as an indicator of the current
status of the payment/ performance risk and represent the likelihood or risk of
default for credit derivatives. For credit default swap agreements on
asset-backed securities and credit indices, the quoted market prices and
resulting values, particularly in relation to the notional amount of the
contract as well as the annual payment rate, serve as an indication of the
current status of the payment/ performance risk.
Entering into a CDS agreement involves, to varying
degrees, elements of credit, market and documentation risk. Such risks involve
the possibility that there will be no liquid market for these agreements, that
the counterparty to the agreement may default on its
18
obligation to perform or disagree as to the meaning
of the contractual terms in the agreement, and that there will be unfavorable
changes in net interest rates.
As of September, 2009, the
one-month London Interbank Offered Rates (LIBOR) was 0.24563%.
The
following is a summary of open swap contracts outstanding as of September 30,
2009.
CREDIT DEFAULT SWAPS ON CORPORATE
ISSUESBUY PROTECTION
(1)
Swap Counterparty (Reference
Entity)
|
|
Termination Date
|
|
Periodic Payments
Made by the Fund
|
|
Contract Notional
Amount
2
|
|
Market Value
|
|
Upfront Premiums
Paid/(Received)
|
|
Unrealized Appreciation/
(Depreciation)
|
|
Credit Suisse First Boston USA (AAMES Mortgage
Investment Trust 2005-1 M8, 1-Month LIBOR + 160 bp, due 6/25/35)
|
|
June 25, 2035
|
|
1.28% Monthly
|
|
$
|
43,000
|
|
$
|
41,123
|
|
|
|
|
$
|
41,123
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (AAMES Mortgage
Investment Trust 2005-1 M9, 1-Month LIBOR + 250 bp, due 6/25/35)
|
|
June 25, 2035
|
|
2.05% Monthly
|
|
43,000
|
|
41,935
|
|
|
|
41,935
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (ACE Securities Corp.
2005-HE1 M8, 1-Month LIBOR + 138 bp, due 2/25/35)
|
|
February 25, 2035
|
|
1.31% Monthly
|
|
12,708
|
|
23,546
|
|
|
|
23,546
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Aegis Asset Backed
Securities Trust 2004-4 B2, 1-Month LIBOR + 190bp, due 10/25/34)
|
|
October 25, 2034
|
|
1.37% Monthly
|
|
30,513
|
|
26,788
|
|
|
|
26,788
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Aegis Asset Backed
Securities Trust 2005 B2, 1-Month LIBOR + 130 bp, due 3/25/35)
|
|
March 25, 2035
|
|
1.31% Monthly
|
|
43,000
|
|
42,960
|
|
|
|
42,960
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Aegis Asset Backed
Securities Trust 2005 B3, 1-Month LIBOR + 200 bp, due 3/25/35)
|
|
March 25, 2035
|
|
2.18% Monthly
|
|
43,000
|
|
42,967
|
|
|
|
42,967
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Argent Securities
Inc. 2004-W11 M10, 1-Month LIBOR + 350bp, due 11/25/34)
|
|
November 25, 2034
|
|
2.15% Monthly
|
|
16,384
|
|
16,091
|
|
|
|
16,091
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19
Swap Counterparty (Reference
Entity)
|
|
Termination Date
|
|
Periodic Payments
Made by the Fund
|
|
Contract Notional
Amount
2
|
|
Market Value
|
|
Upfront Premiums
Paid/(Received)
|
|
Unrealized Appreciation/
(Depreciation)
|
|
Credit Suisse First Boston USA (Argent Securities
Inc. 2004-W11 M9, 1-Month LIBOR + 225bp, due 11/25/34)
|
|
November 25, 2034
|
|
1.33% Monthly
|
|
$
|
16,384
|
|
$
|
15,973
|
|
|
|
$
|
15,973
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Argent Securities
Inc. 2004-W4 M3, 1-Month LIBOR + 300 bp, due 3/25/34)
|
|
March 25, 2034
|
|
2.2% Monthly
|
|
20,620
|
|
16,015
|
|
|
|
16,015
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Finance America
Mortgage Loan Trust 2004-3 M8, 1-Month LIBOR + 180bp, due 11/25/34)
|
|
November 25, 2034
|
|
1.31% Monthly
|
|
15,633
|
|
15,544
|
|
|
|
15,544
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Finance America
Mortgage Loan Trust 2004-3 M9, 1-Month LIBOR + 315bp, due 11/25/34)
|
|
November 25, 2034
|
|
2.18% Monthly
|
|
2,604
|
|
2,604
|
|
|
|
2,604
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Fremont Home Loan
Trust 2005-A M8, 1-Month LIBOR + 135 bp, due 1/25/35)
|
|
January 25, 2035
|
|
1.31% Monthly
|
|
17,046
|
|
16,630
|
|
|
|
16,630
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Fremont Home Loan
Trust 2005-A, 1-Month LIBOR + 100bp, due 1/25/35)
|
|
January 25, 2035
|
|
2.08% Monthly
|
|
2,722
|
|
2,714
|
|
|
|
2,714
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (IndyMac Home Equity
Loan Asset-Backed, Trust 2004-C M8, 1-Month LIBOR + 190bp, due 3/25/35)
|
|
March 25, 2035
|
|
1.28% Monthly
|
|
22,446
|
|
20,846
|
|
|
|
20,846
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (IndyMac Home Equity
Loan Asset-Backed, Trust 2004-C M9, 1-Month LIBOR + 325bp, due 3/25/35)
|
|
March 25, 2035
|
|
2.05% Monthly
|
|
17,912
|
|
16,760
|
|
|
|
16,760
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Long Beach Mortgage
Loan Trust 2004-1 M9, 1-Month LIBOR + 350bp, due 2/25/34)
|
|
February 25, 2034
|
|
2.15% Monthly
|
|
10,233
|
|
8,017
|
|
|
|
8,017
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20
Swap Counterparty (Reference
Entity)
|
|
Termination Date
|
|
Periodic Payments
Made by the Fund
|
|
Contract Notional
Amount
2
|
|
Market Value
|
|
Upfront Premiums
Paid/(Received)
|
|
Unrealized Appreciation/
(Depreciation)
|
|
Credit Suisse First Boston USA (Long Beach Mortgage
Loan Trust 2005-1 M8, 1-Month LIBOR + 170 bp, due 2/25/35)
|
|
February 25, 2035
|
|
1.31% Monthly
|
|
$
|
20,879
|
|
$
|
20,792
|
|
|
|
$
|
20,792
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Long Beach Mortgage
Loan Trust 2005-1 M9, 1-Month LIBOR + 275bp, due 2/25/35)
|
|
February 25, 2035
|
|
2.08% Monthly
|
|
6,551
|
|
6,542
|
|
|
|
6,542
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (MASTR Asset Backed
Securities Trust 2005-NC1 M8, 1-Month LIBOR + 153bp, due 12/25/34)
|
|
December 25, 2034
|
|
1.31% Monthly
|
|
25,304
|
|
23,624
|
|
|
|
23,624
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (MASTR Asset Backed
Securities Trust 2005-NC1 M9, 1-Month LIBOR + 240bp, due 12/25/34)
|
|
December 25, 2034
|
|
2.08% Monthly
|
|
22,737
|
|
21,896
|
|
|
|
21,896
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Merrill Lynch
Mortgage Investors, Inc. 2004-WMC1 B3, 1-Month LIBOR + 225bp, due
9/25/35)
|
|
September 25, 2035
|
|
2.05% Monthly
|
|
11,329
|
|
10,734
|
|
|
|
10,734
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Merrill Lynch
Mortgage Investors, Inc. 2004-WMC4 B3, 1-Month LIBOR + 375bp, due
4/25/35)
|
|
April 25, 2035
|
|
2.15% Monthly
|
|
11,687
|
|
11,437
|
|
|
|
11,437
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Merrill Lynch
Mortgage Investors, Inc. 2005-NC1 B2, 1-Month LIBOR + 130bp, due
10/25/35)
|
|
October 25, 2035
|
|
1.28% Monthly
|
|
15,387
|
|
14,562
|
|
|
|
14,562
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Merrill Lynch
Mortgage Investors, Inc. 2005-NC1 B3, 1-Month LIBOR + 205bp, due
10/25/35)
|
|
October 25, 2035
|
|
2.05% Monthly
|
|
15,461
|
|
14,702
|
|
|
|
14,702
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21
Swap Counterparty (Reference
Entity)
|
|
Termination Date
|
|
Periodic Payments
Made by the Fund
|
|
Contract Notional
Amount
2
|
|
Market Value
|
|
Upfront Premiums
Paid/(Received)
|
|
Unrealized Appreciation/
(Depreciation)
|
|
Credit Suisse First Boston USA (Merrill Lynch
Mortgage Investors, Inc. 2005-WMC1 B2, 1-Month LIBOR + 135bp, due
9/25/35)
|
|
September 25, 2035
|
|
1.28% Monthly
|
|
$
|
14,594
|
|
$
|
13,797
|
|
|
|
$
|
13,797
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Morgan Stanley ABS
Capital I 2005-WMC1 B2, 1-Month LIBOR + 130 bp, due 1/25/35)
|
|
January 25, 2035
|
|
1.31% Monthly
|
|
13,639
|
|
13,342
|
|
|
|
13,342
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Morgan Stanley ABS
Capital I 2005-WMC1 B3, 1-Month LIBOR + 215bp, due 1/25/35)
|
|
January 25, 2035
|
|
2.18% Monthly
|
|
2,937
|
|
2,930
|
|
|
|
2,930
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (New Century Home
Equity Loan Trust 2004-2 M9, 1-Month LIBOR + 325bp, due 8/25/34)
|
|
August 25, 2034
|
|
2.15% Monthly
|
|
16,634
|
|
9,733
|
|
|
|
9,733
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (New Century Home
Equity Loan Trust 2005-1 M8, 1-Month LIBOR + 140 bp, due 3/25/35)
|
|
March 25, 2035
|
|
1.31% Monthly
|
|
21,085
|
|
20,115
|
|
|
|
20,115
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (New Century Home
Equity Loan Trust 2005-1 M9, 1-Month LIBOR + 205 bp, due 3/25/35)
|
|
March 25, 2035
|
|
2.18% Monthly
|
|
18,390
|
|
17,667
|
|
|
|
17,667
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Novastar Home Equity
Loan 2005-1 B2, 1-Month LIBOR + 135 bp, due 6/25/35)
|
|
June 25, 2035
|
|
1.28% Monthly
|
|
43,000
|
|
41,070
|
|
|
|
41,070
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Novastar Home Equity
Loan 2005-4 B3, 1-Month LIBOR + 195 bp, due 6/25/35)
|
|
June 25, 2035
|
|
2.05% Monthly
|
|
43,000
|
|
41,702
|
|
|
|
41,702
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22
Swap Counterparty (Reference
Entity)
|
|
Termination Date
|
|
Periodic Payments
Made by the Fund
|
|
Contract Notional
Amount
2
|
|
Market Value
|
|
Upfront Premiums
Paid/(Received)
|
|
Unrealized Appreciation/
(Depreciation)
|
|
Credit Suisse First Boston USA (Park Place Securities
Inc. 2005-WCH1 M8, 1-Month LIBOR + 155bp, due 1/25/36)
|
|
January 25, 2036
|
|
1.36% Monthly
|
|
$
|
43,000
|
|
$
|
42,065
|
|
|
|
$
|
42,065
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Park Place Securities, Inc.
2005-WCH1 M9, 1-Month LIBOR + 250 bp, due 1/25/36)
|
|
January 25, 2036
|
|
2.18% Monthly
|
|
31,420
|
|
31,261
|
|
|
|
31,261
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Peoples Choice Home
Loan Securities Trust 2004-1 M6, 1-Month LIBOR + 230bp, due 6/25/34)
|
|
June 25, 2034
|
|
1.37% Quarterly
|
|
17,049
|
|
16,956
|
|
|
|
16,956
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Peoples Choice Home
Loan Securities Trust 2005-1 B3, 1-Month LIBOR + 260bp, due 1/25/35)
|
|
January 25, 2035
|
|
2.05% Monthly
|
|
33,714
|
|
33,687
|
|
|
|
33,687
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Suisse First Boston USA (Peoples Choice Home
Loan Securities Trust 2005-1, 1-Month LIBOR + 165bp, due 1/25/35)
|
|
January 25, 2035
|
|
1.28% Monthly
|
|
43,000
|
|
42,959
|
|
|
|
42,959
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Goldman Sachs Group, Inc. (Citigroup Inc.,
6.5%, due 1/18/11)
|
|
March 20, 2014
|
|
4.7% Quarterly
|
|
1,700,000
|
|
(189,805
|
)
|
|
|
(189,805
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized appreciation on buys of credit default
swaps on corporate issues
|
|
|
|
|
|
|
|
$
|
612,281
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23
CREDIT DEFAULT SWAP ON CREDIT
INDICESSELL PROTECTION
(3)
Swap Counterparty
(Reference Entity)
|
|
Termination Date
|
|
Periodic
Payments
Received by
the Fund
|
|
Contract Notional
Amount
2
|
|
Market Value
4
|
|
Upfront
Premiums
Paid/(Received)
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
Merrill
Lynch & Co., Inc. (CDX HY 8)
|
|
June 20, 2012
|
|
0.86% Quarterly
|
|
$
|
21,666,202
|
|
$
|
(702,486
|
)
|
|
|
|
$
|
(702,486
|
)*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized depreciation on sales of credit
default swaps on credit indices
|
|
|
|
$
|
(702,486
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 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 underlying securities
comprising the referenced index.
2
The
maximum potential amount the Fund could be required to make 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
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.
4
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 liability (or profit) for the credit derivative should the notional
amount of the swap agreement been closed/sold as of the period end. Decreasing
market values when compared to the notional amount of the swap, represent a deterioration
of the referenced entitys 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.
* Security is valued in good faith at fair value
by or under the direction of the Board of Trustees.
Derivative Instruments and Hedging Activities
Financial
Accounting Standards Board Codification Section 815 (formerly Statement of
Financial Accounting Standards No. 161) (ASC Topic 815) requires enhanced disclosure about
an entitys derivative and hedging activities.
The
following is a summary of the Funds derivative instruments categorized by risk
exposure at September 30, 2009.
Primary Underlying Risk Disclosure
|
|
Swap Contracts, at value
|
|
Total
|
|
Credit
Contracts
|
|
$
|
(90,205
|
)
|
$
|
(90,205
|
)
|
|
|
|
|
|
|
|
|
The
Fund had average notional balances of $2,295,152 and $28,434,111 in credit
default swap contracts (to buy protection) and credit default swap contracts
(to sell protection), respectively during the period ended September 30,
2009.
Other
information regarding the Fund is available in the Funds most recent Report to
Shareholders. This information is
available on the Securities and Exchange Commissions website (www.sec.gov).
24
ITEM 2.
CONTROLS
AND PROCEDURES.
(a)
The
registrants principal executive officer and principal financial officer have
concluded that the registrants disclosure controls and procedures (as defined
in Rule 30a- 3(c) under the Investment Company Act of 1940, as
amended (the 1940 Act)) are effective as of a date within 90 days of the
filing date of this report that includes the disclosure required by this
paragraph, based on their evaluation of the disclosure controls and procedures
required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under
the Securities Exchange Act of 1934.
(b)
There
were no changes in the registrants internal control over financial reporting
(as defined in Rule 30a-3(d) under the 1940 Act) that occurred during
the registrants last fiscal quarter that have materially affected, or are
likely to materially affect the registrants internal control over financial
reporting.
ITEM 3.
EXHIBITS.
Certifications
pursuant to Rule 30a-2(a) under the Investment Company Act of 1940,
as amended, are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has
duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
Western Asset Premier Bond Fund
By
|
/s/ R. Jay Gerken
|
|
|
R. Jay Gerken
|
|
|
President, Western Asset Premier Bond Fund
|
|
Date: November 23,
2009
Pursuant to the requirements of the Securities
Exchange Act of 1934 and the Investment Company Act of 1940, this report has
been signed below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
By
|
/s/ R. Jay Gerken
|
|
|
R. Jay Gerken
|
|
|
President, Western Asset Premier Bond Fund
|
|
Date: November 23,
2009
By
|
/s/ Frances M. Guggino
|
|
|
Frances M. Guggino
|
|
|
Principal Financial and Accounting Officer, Western
Asset Premier Bond Fund
|
Date: November 23,
2009
Grafico Azioni Western Asset Premier (NYSE:WEA)
Storico
Da Giu 2024 a Lug 2024
Grafico Azioni Western Asset Premier (NYSE:WEA)
Storico
Da Lug 2023 a Lug 2024