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)
|
|
55 Water Street New York, NY
|
|
10041
|
(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, 2010
|
|
|
|
|
|
|
|
|
ITEM
1. SCHEDULE OF
INVESTMENTS
WESTERN ASSET PREMIER BOND FUND
FORM N-Q
SEPTEMBER 30, 2010
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited)
September 30,
2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
CORPORATE
BONDS & NOTES 55.0%
|
|
|
|
|
|
|
|
|
|
CONSUMER
DISCRETIONARY 7.5%
|
|
|
|
|
|
|
|
|
|
Automobiles 1.5%
|
|
|
|
|
|
|
|
|
|
DaimlerChrysler NA Holding
Corp., Notes
|
|
8.500%
|
|
1/18/31
|
|
1,000,000
|
|
$
|
1,374,549
|
|
DaimlerChrysler North
America Holding Corp., Notes
|
|
7.300%
|
|
1/15/12
|
|
1,000,000
|
|
1,075,456
|
|
Ford Motor Credit Co.,
LLC, Senior Notes
|
|
7.500%
|
|
8/1/12
|
|
70,000
|
|
74,309
|
|
Total Automobiles
|
|
|
|
|
|
|
|
2,524,314
|
|
Diversified Consumer
Services 0.0%
|
|
|
|
|
|
|
|
|
|
Service Corp.
International, Senior Notes
|
|
7.625%
|
|
10/1/18
|
|
5,000
|
|
5,350
|
|
Service Corp.
International, Senior Notes
|
|
7.500%
|
|
4/1/27
|
|
60,000
|
|
57,300
|
|
Total Diversified Consumer Services
|
|
|
|
|
|
|
|
62,650
|
|
Hotels,
Restaurants & Leisure 0.9%
|
|
|
|
|
|
|
|
|
|
CCM Merger Inc., Notes
|
|
8.000%
|
|
8/1/13
|
|
140,000
|
|
128,100
|
(a)
|
El Pollo Loco Inc., Senior
Notes
|
|
11.750%
|
|
11/15/13
|
|
375,000
|
|
270,000
|
|
Harrahs Operating Co.
Inc., Senior Notes
|
|
10.750%
|
|
2/1/16
|
|
300,000
|
|
241,500
|
|
Inn of the Mountain Gods
Resort & Casino, Senior Notes
|
|
12.000%
|
|
11/15/10
|
|
530,000
|
|
217,300
|
(b)(c)
|
Landrys Restaurants Inc.,
Senior Secured Notes
|
|
11.625%
|
|
12/1/15
|
|
110,000
|
|
116,050
|
|
Mohegan Tribal Gaming
Authority, Senior Secured Notes
|
|
11.500%
|
|
11/1/17
|
|
170,000
|
|
152,150
|
(a)
|
NCL Corp. Ltd., Senior
Secured Notes
|
|
11.750%
|
|
11/15/16
|
|
170,000
|
|
190,400
|
|
Sbarro Inc., Senior Notes
|
|
10.375%
|
|
2/1/15
|
|
90,000
|
|
54,000
|
|
Snoqualmie Entertainment
Authority, Senior Secured Notes
|
|
4.428%
|
|
2/1/14
|
|
110,000
|
|
90,750
|
(a)(d)
|
Station Casinos Inc.,
Senior Notes
|
|
7.750%
|
|
8/15/16
|
|
205,000
|
|
20
|
(b)(c)
|
Station Casinos Inc.,
Senior Subordinated Notes
|
|
6.625%
|
|
3/15/18
|
|
100,000
|
|
391
|
(b)(c)
|
Total Hotels,
Restaurants & Leisure
|
|
|
|
|
|
|
|
1,460,661
|
|
Leisure Equipment &
Products 0.4%
|
|
|
|
|
|
|
|
|
|
Eastman Kodak Co., Senior
Notes
|
|
7.250%
|
|
11/15/13
|
|
640,000
|
|
614,400
|
|
Media 4.1%
|
|
|
|
|
|
|
|
|
|
Cablevision Systems Corp.,
Senior Notes
|
|
7.750%
|
|
4/15/18
|
|
30,000
|
|
31,725
|
|
CCH II LLC/CCH II Capital
Corp., Senior Notes
|
|
13.500%
|
|
11/30/16
|
|
108,083
|
|
128,349
|
|
Cengage Learning
Acquisitions Inc., Senior Notes
|
|
10.500%
|
|
1/15/15
|
|
270,000
|
|
268,312
|
(a)
|
Charter Communications
Operating LLC/Charter Communications Operating Capital, Senior Secured Notes
|
|
10.875%
|
|
9/15/14
|
|
280,000
|
|
317,100
|
(a)
|
CMP Susquehanna Corp.
|
|
3.531%
|
|
5/15/14
|
|
14,000
|
|
9,940
|
(a)(d)
|
Comcast Corp.
|
|
5.900%
|
|
3/15/16
|
|
400,000
|
|
462,054
|
|
Comcast Corp., Notes
|
|
7.050%
|
|
3/15/33
|
|
1,000,000
|
|
1,171,402
|
|
CSC Holdings Inc., Senior
Notes
|
|
6.750%
|
|
4/15/12
|
|
250,000
|
|
261,563
|
|
DISH DBS Corp., Senior
Notes
|
|
7.000%
|
|
10/1/13
|
|
600,000
|
|
636,750
|
|
DISH DBS Corp., Senior
Notes
|
|
7.750%
|
|
5/31/15
|
|
120,000
|
|
127,950
|
|
DISH DBS Corp., Senior
Notes
|
|
7.875%
|
|
9/1/19
|
|
385,000
|
|
414,356
|
|
News America Holdings Inc.
|
|
8.875%
|
|
4/26/23
|
|
400,000
|
|
546,949
|
|
Sun Media Corp., Senior
Notes
|
|
7.625%
|
|
2/15/13
|
|
55,000
|
|
55,275
|
|
Time Warner Inc., Senior
Debentures
|
|
7.700%
|
|
5/1/32
|
|
1,150,000
|
|
1,437,063
|
|
Univision Communications
Inc., Senior Secured Notes
|
|
12.000%
|
|
7/1/14
|
|
420,000
|
|
459,375
|
(a)
|
Virgin Media Finance PLC,
Senior Notes
|
|
9.125%
|
|
8/15/16
|
|
335,000
|
|
358,450
|
|
Total Media
|
|
|
|
|
|
|
|
6,686,613
|
|
Multiline Retail 0.3%
|
|
|
|
|
|
|
|
|
|
Neiman Marcus Group Inc.,
Senior Notes
|
|
9.000%
|
|
10/15/15
|
|
279,478
|
|
290,308
|
(e)
|
Neiman Marcus Group Inc.,
Senior Secured Notes
|
|
7.125%
|
|
6/1/28
|
|
330,000
|
|
311,025
|
|
Total Multiline Retail
|
|
|
|
|
|
|
|
601,333
|
|
Specialty Retail 0.1%
|
|
|
|
|
|
|
|
|
|
American Greetings Corp.,
Senior Notes
|
|
7.375%
|
|
6/1/16
|
|
20,000
|
|
20,350
|
|
Michaels Stores Inc.,
Senior Notes
|
|
10.000%
|
|
11/1/14
|
|
80,000
|
|
84,300
|
|
Total Specialty Retail
|
|
|
|
|
|
|
|
104,650
|
|
Textiles,
Apparel & Luxury Goods 0.2%
|
|
|
|
|
|
|
|
|
|
Oxford Industries Inc.,
Senior Secured Notes
|
|
11.375%
|
|
7/15/15
|
|
255,000
|
|
286,875
|
|
TOTAL CONSUMER
DISCRETIONARY
|
|
|
|
|
|
|
|
12,341,496
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
1
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
CONSUMER
STAPLES 6.0%
|
|
|
|
|
|
|
|
|
|
Food & Staples
Retailing 5.4%
|
|
|
|
|
|
|
|
|
|
CVS Corp.
|
|
9.350%
|
|
1/10/23
|
|
700,000
|
|
$
|
738,052
|
(a)
|
CVS Corp.
|
|
5.789%
|
|
1/10/26
|
|
811,636
|
|
846,537
|
(a)
|
CVS Pass-Through Trust
|
|
7.507%
|
|
1/10/32
|
|
1,978,212
|
|
2,321,155
|
(a)
|
CVS Pass-Through Trust,
Secured Notes
|
|
5.880%
|
|
1/10/28
|
|
916,640
|
|
967,935
|
|
CVS Pass-Through Trust,
Secured Notes
|
|
6.036%
|
|
12/10/28
|
|
907,807
|
|
960,614
|
|
CVS Pass-Through Trust,
Secured Notes
|
|
6.943%
|
|
1/10/30
|
|
1,887,578
|
|
2,125,809
|
|
Delhaize America Inc.,
Debentures
|
|
9.000%
|
|
4/15/31
|
|
166,000
|
|
234,604
|
|
Safeway Inc., Notes
|
|
5.800%
|
|
8/15/12
|
|
500,000
|
|
540,627
|
|
Total Food & Staples
Retailing
|
|
|
|
|
|
|
|
8,735,333
|
|
Food Products 0.5%
|
|
|
|
|
|
|
|
|
|
Ahold Lease USA Inc.,
Pass-Through Certificates, Series 2001 A-2
|
|
8.620%
|
|
1/2/25
|
|
714,462
|
|
819,846
|
(f)
|
Tobacco 0.1%
|
|
|
|
|
|
|
|
|
|
Alliance One International
Inc., Senior Notes
|
|
10.000%
|
|
7/15/16
|
|
160,000
|
|
173,200
|
|
TOTAL CONSUMER STAPLES
|
|
|
|
|
|
|
|
9,728,379
|
|
ENERGY
6.9%
|
|
|
|
|
|
|
|
|
|
Energy
Equipment & Services 0.7%
|
|
|
|
|
|
|
|
|
|
Complete Production
Services Inc., Senior Notes
|
|
8.000%
|
|
12/15/16
|
|
150,000
|
|
154,500
|
|
GulfMark Offshore Inc.,
Senior Subordinated Notes
|
|
7.750%
|
|
7/15/14
|
|
270,000
|
|
271,013
|
|
Hercules Offshore LLC,
Senior Secured Notes
|
|
10.500%
|
|
10/15/17
|
|
155,000
|
|
128,650
|
(a)
|
Sonat Inc., Notes
|
|
7.625%
|
|
7/15/11
|
|
500,000
|
|
518,345
|
|
Total Energy Equipment &
Services
|
|
|
|
|
|
|
|
1,072,508
|
|
Oil, Gas &
Consumable Fuels 6.2%
|
|
|
|
|
|
|
|
|
|
Anadarko Finance Co.,
Senior Notes
|
|
7.500%
|
|
5/1/31
|
|
570,000
|
|
616,461
|
|
Belden & Blake
Corp., Secured Notes
|
|
8.750%
|
|
7/15/12
|
|
750,000
|
|
735,000
|
|
Berry Petroleum Co.,
Senior Notes
|
|
10.250%
|
|
6/1/14
|
|
160,000
|
|
180,400
|
|
Burlington Resources
Finance Co.
|
|
7.400%
|
|
12/1/31
|
|
450,000
|
|
579,505
|
|
Chesapeake Energy Corp.,
Senior Notes
|
|
7.250%
|
|
12/15/18
|
|
300,000
|
|
323,250
|
|
Colorado Interstate Gas
Co., Senior Notes
|
|
6.800%
|
|
11/15/15
|
|
150,000
|
|
176,763
|
|
Compagnie Generale de
Geophysique-Veritas, Senior Notes
|
|
7.500%
|
|
5/15/15
|
|
210,000
|
|
213,675
|
|
CONSOL Energy Inc., Senior
Notes
|
|
8.250%
|
|
4/1/20
|
|
440,000
|
|
480,700
|
(a)
|
Devon Energy Corp.,
Debentures
|
|
7.950%
|
|
4/15/32
|
|
310,000
|
|
420,138
|
|
Devon Financing Corp. ULC,
Notes
|
|
6.875%
|
|
9/30/11
|
|
1,000,000
|
|
1,057,917
|
|
El Paso Corp., Medium-Term
Notes
|
|
7.800%
|
|
8/1/31
|
|
190,000
|
|
197,195
|
|
Hess Corp., Notes
|
|
7.875%
|
|
10/1/29
|
|
1,640,000
|
|
2,123,003
|
|
Hess Corp., Notes
|
|
7.300%
|
|
8/15/31
|
|
60,000
|
|
73,813
|
|
Kinder Morgan Energy
Partners LP, Senior Notes
|
|
7.125%
|
|
3/15/12
|
|
500,000
|
|
536,756
|
|
LUKOIL International
Finance BV, Bonds
|
|
6.356%
|
|
6/7/17
|
|
340,000
|
|
354,875
|
(a)
|
OPTI Canada Inc., Senior
Secured Notes
|
|
7.875%
|
|
12/15/14
|
|
45,000
|
|
33,863
|
|
OPTI Canada Inc., Senior
Secured Notes
|
|
8.250%
|
|
12/15/14
|
|
190,000
|
|
144,400
|
|
Plains
Exploration & Production Co., Senior Notes
|
|
10.000%
|
|
3/1/16
|
|
140,000
|
|
159,600
|
|
Plains
Exploration & Production Co., Senior Notes
|
|
8.625%
|
|
10/15/19
|
|
125,000
|
|
136,563
|
|
Quicksilver Resources
Inc., Senior Notes
|
|
11.750%
|
|
1/1/16
|
|
185,000
|
|
216,912
|
|
Teekay Corp., Senior Notes
|
|
8.500%
|
|
1/15/20
|
|
310,000
|
|
337,512
|
|
TNK-BP Finance SA, Senior
Notes
|
|
7.875%
|
|
3/13/18
|
|
220,000
|
|
248,050
|
(a)
|
Williams Cos. Inc.,
Debentures
|
|
7.500%
|
|
1/15/31
|
|
668,000
|
|
755,817
|
|
Williams Cos. Inc., Senior
Notes
|
|
8.750%
|
|
3/15/32
|
|
63,000
|
|
78,946
|
|
Total Oil, Gas &
Consumable Fuels
|
|
|
|
|
|
|
|
10,181,114
|
|
TOTAL ENERGY
|
|
|
|
|
|
|
|
11,253,622
|
|
FINANCIALS
8.2%
|
|
|
|
|
|
|
|
|
|
Capital Markets 1.2%
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Group Inc.,
Notes
|
|
6.600%
|
|
1/15/12
|
|
900,000
|
|
959,199
|
|
Morgan Stanley, Notes
|
|
6.600%
|
|
4/1/12
|
|
1,000,000
|
|
1,075,420
|
|
Total Capital Markets
|
|
|
|
|
|
|
|
2,034,619
|
|
Commercial Banks 0.1%
|
|
|
|
|
|
|
|
|
|
ICICI Bank Ltd.,
Subordinated Bonds
|
|
6.375%
|
|
4/30/22
|
|
184,000
|
|
184,948
|
(a)(d)
|
Consumer Finance 2.4%
|
|
|
|
|
|
|
|
|
|
Ford Motor Credit Co.,
LLC, Senior Notes
|
|
12.000%
|
|
5/15/15
|
|
1,030,000
|
|
1,297,251
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
2
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Consumer Finance continued
|
|
|
|
|
|
|
|
|
|
Ford Motor Credit Co.,
LLC, Senior Notes
|
|
8.000%
|
|
12/15/16
|
|
680,000
|
|
$
|
768,652
|
|
GMAC Inc., Senior Notes
|
|
6.875%
|
|
8/28/12
|
|
94,000
|
|
98,113
|
|
HSBC Finance Corp.
|
|
4.750%
|
|
7/15/13
|
|
1,670,000
|
|
1,778,538
|
|
Total Consumer Finance
|
|
|
|
|
|
|
|
3,942,554
|
|
Diversified Financial
Services 3.8%
|
|
|
|
|
|
|
|
|
|
Air 2 US, Notes
|
|
8.027%
|
|
10/1/19
|
|
373,624
|
|
364,284
|
(a)
|
Citigroup Inc.
|
|
6.625%
|
|
6/15/32
|
|
1,000,000
|
|
1,033,423
|
|
International Lease
Finance Corp., Senior Notes
|
|
8.750%
|
|
3/15/17
|
|
1,380,000
|
|
1,480,050
|
(a)
|
JPMorgan Chase &
Co., Subordinated Notes
|
|
5.125%
|
|
9/15/14
|
|
1,300,000
|
|
1,425,366
|
|
Liberty Media LLC
|
|
3.750%
|
|
2/15/30
|
|
1,860,000
|
|
1,041,600
|
|
Smurfit Kappa Funding PLC,
Senior Subordinated Notes
|
|
7.750%
|
|
4/1/15
|
|
150,000
|
|
151,500
|
|
UFJ Finance Aruba AEC
|
|
6.750%
|
|
7/15/13
|
|
500,000
|
|
563,542
|
|
Unitymedia GmbH, Senior
Secured Bonds
|
|
8.125%
|
|
12/1/17
|
|
100,000
|
|
104,000
|
(a)
|
Total Diversified Financial
Services
|
|
|
|
|
|
|
|
6,163,765
|
|
Insurance 0.7%
|
|
|
|
|
|
|
|
|
|
XL Capital Ltd.
|
|
5.250%
|
|
9/15/14
|
|
1,000,000
|
|
1,065,616
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
13,391,502
|
|
HEALTH
CARE 1.3%
|
|
|
|
|
|
|
|
|
|
Health Care
Providers & Services 1.3%
|
|
|
|
|
|
|
|
|
|
Community Health Systems
Inc., Senior Notes
|
|
8.875%
|
|
7/15/15
|
|
200,000
|
|
212,500
|
|
HCA Inc., Debentures
|
|
7.500%
|
|
11/15/95
|
|
185,000
|
|
146,150
|
|
HCA Inc., Notes
|
|
6.375%
|
|
1/15/15
|
|
430,000
|
|
428,925
|
|
HCA Inc., Notes
|
|
7.690%
|
|
6/15/25
|
|
90,000
|
|
84,150
|
|
HCA Inc., Senior Notes
|
|
6.250%
|
|
2/15/13
|
|
85,000
|
|
86,488
|
|
HCA Inc., Senior Secured
Notes
|
|
9.250%
|
|
11/15/16
|
|
195,000
|
|
211,087
|
|
HCA Inc., Senior Secured
Notes
|
|
9.625%
|
|
11/15/16
|
|
399,000
|
|
432,915
|
(e)
|
US Oncology Holdings Inc.,
Senior Notes
|
|
6.737%
|
|
3/15/12
|
|
292,477
|
|
277,122
|
(d)(e)
|
Vanguard Health Holdings
Co., II LLC, Senior Notes
|
|
8.000%
|
|
2/1/18
|
|
215,000
|
|
218,225
|
|
TOTAL HEALTH CARE
|
|
|
|
|
|
|
|
2,097,562
|
|
INDUSTRIALS
11.2%
|
|
|
|
|
|
|
|
|
|
Aerospace &
Defense 1.7%
|
|
|
|
|
|
|
|
|
|
Boeing Co., Notes
|
|
6.125%
|
|
2/15/33
|
|
600,000
|
|
709,155
|
|
L-3 Communications Corp.,
Senior Subordinated Notes
|
|
6.375%
|
|
10/15/15
|
|
535,000
|
|
551,719
|
|
Northrop Grumman Corp.,
Debentures
|
|
7.750%
|
|
2/15/31
|
|
1,000,000
|
|
1,373,042
|
|
Systems 2001 Asset Trust
|
|
6.664%
|
|
9/15/13
|
|
152,575
|
|
168,321
|
(a)
|
Total Aerospace &
Defense
|
|
|
|
|
|
|
|
2,802,237
|
|
Airlines 8.2%
|
|
|
|
|
|
|
|
|
|
America West Airlines
Inc., Ambac Assurance Corp.
|
|
8.057%
|
|
7/2/20
|
|
2,398,107
|
|
2,506,022
|
|
Continental Airlines Inc.
|
|
7.160%
|
|
9/24/14
|
|
429,450
|
|
430,524
|
(f)
|
Continental Airlines Inc.
|
|
6.820%
|
|
5/1/18
|
|
913,728
|
|
934,286
|
|
Continental Airlines Inc.,
Pass-Through Certificates
|
|
6.900%
|
|
1/2/18
|
|
889,557
|
|
934,035
|
|
Continental Airlines Inc.,
Pass-Through Certificates
|
|
6.545%
|
|
2/2/19
|
|
1,139,496
|
|
1,187,925
|
|
Continental Airlines Inc.,
Pass-Through Certificates
|
|
6.703%
|
|
6/15/21
|
|
749,748
|
|
783,487
|
|
Continental Airlines Inc.,
Pass-Through Certificates, 2000-1 A-1
|
|
8.048%
|
|
11/1/20
|
|
528,655
|
|
570,947
|
|
DAE Aviation Holdings
Inc., Senior Notes
|
|
11.250%
|
|
8/1/15
|
|
460,000
|
|
463,496
|
(a)
|
Delta Air Lines Inc.,
Pass-Through Certificates, Secured Notes
|
|
8.021%
|
|
8/10/22
|
|
187,269
|
|
188,206
|
|
Delta Air Lines Inc.,
Senior Secured Notes
|
|
9.500%
|
|
9/15/14
|
|
67,000
|
|
72,695
|
(a)
|
Northwest Airlines Corp.,
Pass-Through Certificates
|
|
7.575%
|
|
9/1/20
|
|
503,014
|
|
496,726
|
|
Northwest Airlines Inc.
|
|
0.758%
|
|
2/6/15
|
|
2,744,643
|
|
2,456,456
|
(d)
|
US Airways Pass-Through
Trust
|
|
6.850%
|
|
1/30/18
|
|
2,483,746
|
|
2,384,396
|
|
Total Airlines
|
|
|
|
|
|
|
|
13,409,201
|
|
Building Products 0.0%
|
|
|
|
|
|
|
|
|
|
Ashton Woods USA
LLC/Ashton Woods Finance Co., Senior Subordinated Notes, step bond
|
|
0.000%
|
|
6/30/15
|
|
65,000
|
|
32,500
|
(a)(c)
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
3
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Commercial
Services & Supplies 0.7%
|
|
|
|
|
|
|
|
|
|
AAC Group Holding Corp.,
Senior Discount Notes
|
|
10.250%
|
|
10/1/12
|
|
440,000
|
|
$
|
431,200
|
(a)
|
ACCO Brands Corp., Senior
Secured Notes
|
|
10.625%
|
|
3/15/15
|
|
220,000
|
|
245,850
|
|
Altegrity Inc., Senior
Subordinated Notes
|
|
10.500%
|
|
11/1/15
|
|
310,000
|
|
307,287
|
(a)
|
RSC Equipment Rental
Inc./RSC Holdings III LLC, Senior Secured Notes
|
|
10.000%
|
|
7/15/17
|
|
170,000
|
|
189,125
|
(a)
|
Total Commercial
Services & Supplies
|
|
|
|
|
|
|
|
1,173,462
|
|
Marine 0.1%
|
|
|
|
|
|
|
|
|
|
Trico Shipping AS, Senior
Secured Notes
|
|
11.875%
|
|
11/1/14
|
|
200,000
|
|
178,500
|
(a)
|
Road & Rail
0.2%
|
|
|
|
|
|
|
|
|
|
Kansas City Southern de
Mexico, Senior Notes
|
|
12.500%
|
|
4/1/16
|
|
111,000
|
|
132,923
|
|
RailAmerica Inc., Senior
Secured Notes
|
|
9.250%
|
|
7/1/17
|
|
208,000
|
|
228,020
|
|
Total Road & Rail
|
|
|
|
|
|
|
|
360,943
|
|
Trading
Companies & Distributors 0.3%
|
|
|
|
|
|
|
|
|
|
Ashtead Capital Inc.,
Notes
|
|
9.000%
|
|
8/15/16
|
|
129,000
|
|
133,515
|
(a)
|
H&E Equipment Services
Inc., Senior Notes
|
|
8.375%
|
|
7/15/16
|
|
245,000
|
|
245,000
|
|
Total Trading
Companies & Distributors
|
|
|
|
|
|
|
|
378,515
|
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
18,335,358
|
|
INFORMATION
TECHNOLOGY 0.5%
|
|
|
|
|
|
|
|
|
|
IT Services 0.5%
|
|
|
|
|
|
|
|
|
|
Ceridian Corp., Senior
Notes
|
|
12.250%
|
|
11/15/15
|
|
138,450
|
|
131,181
|
(e)
|
Electronic Data Systems
Corp., Notes
|
|
7.450%
|
|
10/15/29
|
|
500,000
|
|
668,625
|
|
Total IT Services
|
|
|
|
|
|
|
|
799,806
|
|
Semiconductors &
Semiconductor Equipment 0.0%
|
|
|
|
|
|
|
|
Freescale Semiconductor
Inc., Senior Subordinated Notes
|
|
10.125%
|
|
12/15/16
|
|
80,000
|
|
72,800
|
|
TOTAL INFORMATION
TECHNOLOGY
|
|
|
|
|
|
|
|
872,606
|
|
MATERIALS
3.4%
|
|
|
|
|
|
|
|
|
|
Chemicals 0.7%
|
|
|
|
|
|
|
|
|
|
Dow Chemical Co.
|
|
6.000%
|
|
10/1/12
|
|
1,000,000
|
|
1,083,524
|
|
Westlake Chemical Corp.,
Senior Notes
|
|
6.625%
|
|
1/15/16
|
|
70,000
|
|
70,525
|
|
Total Chemicals
|
|
|
|
|
|
|
|
1,154,049
|
|
Metals & Mining
1.6%
|
|
|
|
|
|
|
|
|
|
Alcoa Inc.
|
|
5.375%
|
|
1/15/13
|
|
570,000
|
|
606,026
|
|
CII Carbon LLC
|
|
11.125%
|
|
11/15/15
|
|
580,000
|
|
603,925
|
(a)
|
Freeport-McMoRan
Copper & Gold Inc., Senior Notes
|
|
8.375%
|
|
4/1/17
|
|
730,000
|
|
814,863
|
|
Metals USA Inc., Senior
Secured Notes
|
|
11.125%
|
|
12/1/15
|
|
445,000
|
|
471,700
|
|
Vedanta Resources PLC,
Senior Notes
|
|
8.750%
|
|
1/15/14
|
|
130,000
|
|
139,750
|
(a)
|
Total Metals & Mining
|
|
|
|
|
|
|
|
2,636,264
|
|
Paper & Forest
Products 1.1%
|
|
|
|
|
|
|
|
|
|
Appleton Papers Inc.,
Senior Secured Notes
|
|
11.250%
|
|
12/15/15
|
|
235,000
|
|
173,900
|
(a)
|
NewPage Corp., Senior
Secured Notes
|
|
11.375%
|
|
12/31/14
|
|
595,000
|
|
538,475
|
|
PE Paper Escrow GmbH,
Senior Secured Notes
|
|
12.000%
|
|
8/1/14
|
|
100,000
|
|
115,500
|
(a)
|
Weyerhaeuser Co.,
Debentures
|
|
7.375%
|
|
3/15/32
|
|
1,000,000
|
|
1,018,407
|
|
Total Paper & Forest
Products
|
|
|
|
|
|
|
|
1,846,282
|
|
TOTAL MATERIALS
|
|
|
|
|
|
|
|
5,636,595
|
|
TELECOMMUNICATION
SERVICES 4.4%
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication
Services 2.8%
|
|
|
|
|
|
|
|
Angel Lux Common SA,
Senior Secured Bonds
|
|
8.875%
|
|
5/1/16
|
|
285,000
|
|
302,813
|
(a)
|
Cincinnati Bell Telephone
Co., Senior Debentures
|
|
6.300%
|
|
12/1/28
|
|
25,000
|
|
19,000
|
|
Deutsche Telekom
International Finance BV
|
|
5.250%
|
|
7/22/13
|
|
600,000
|
|
658,138
|
|
France Telecom SA, Notes
|
|
8.500%
|
|
3/1/31
|
|
600,000
|
|
867,822
|
|
Frontier Communications
Corp., Senior Notes
|
|
8.750%
|
|
4/15/22
|
|
91,000
|
|
100,100
|
|
Hawaiian Telcom
Communications Inc., Senior Subordinated Notes
|
|
12.500%
|
|
5/1/15
|
|
135,000
|
|
14
|
(b)(c)
|
Intelsat Jackson Holdings
Ltd., Senior Notes
|
|
9.500%
|
|
6/15/16
|
|
35,000
|
|
37,319
|
|
Intelsat Jackson Holdings
Ltd., Senior Notes
|
|
11.250%
|
|
6/15/16
|
|
340,000
|
|
369,750
|
|
Level 3 Financing Inc.,
Senior Notes
|
|
9.250%
|
|
11/1/14
|
|
280,000
|
|
263,200
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes
to Schedule of Investments.
4
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Diversified Telecommunication
Services continued
|
|
|
|
|
|
|
|
Qwest Communications
International Inc., Senior Notes
|
|
7.500%
|
|
2/15/14
|
|
140,000
|
|
$
|
142,800
|
|
Qwest Corp., Senior Notes
|
|
7.875%
|
|
9/1/11
|
|
390,000
|
|
412,912
|
|
Qwest Corp., Senior Notes
|
|
7.500%
|
|
10/1/14
|
|
150,000
|
|
169,500
|
|
Wind Acquisition Finance
SA, Senior Bonds
|
|
12.000%
|
|
12/1/15
|
|
500,000
|
|
529,375
|
(a)
|
Windstream Corp., Senior
Notes
|
|
8.625%
|
|
8/1/16
|
|
635,000
|
|
671,512
|
|
Total Diversified
Telecommunication Services
|
|
|
|
|
|
|
|
4,544,255
|
|
Wireless
Telecommunication Services 1.6%
|
|
|
|
|
|
|
|
|
|
Cingular Wireless LLC
|
|
6.500%
|
|
12/15/11
|
|
250,000
|
|
266,703
|
|
Sprint Capital Corp.,
Senior Notes
|
|
8.375%
|
|
3/15/12
|
|
1,450,000
|
|
1,551,500
|
|
True Move Co., Ltd.
|
|
10.750%
|
|
12/16/13
|
|
590,000
|
|
626,875
|
(a)
|
True Move Co., Ltd.,
Notes
|
|
10.750%
|
|
12/16/13
|
|
200,000
|
|
212,500
|
(a)
|
Total Wireless
Telecommunication Services
|
|
|
|
|
|
|
|
2,657,578
|
|
TOTAL TELECOMMUNICATION
SERVICES
|
|
|
|
|
|
|
|
7,201,833
|
|
UTILITIES
5.6%
|
|
|
|
|
|
|
|
|
|
Electric Utilities
2.9%
|
|
|
|
|
|
|
|
|
|
Duke Energy Corp., Notes
|
|
6.250%
|
|
1/15/12
|
|
250,000
|
|
267,569
|
|
EEB International Ltd.,
Senior Bonds
|
|
8.750%
|
|
10/31/14
|
|
820,000
|
|
893,800
|
(a)
|
FirstEnergy Corp., Notes
|
|
6.450%
|
|
11/15/11
|
|
27,000
|
|
28,293
|
|
FirstEnergy Corp., Notes
|
|
7.375%
|
|
11/15/31
|
|
3,040,000
|
|
3,303,100
|
|
MidAmerican Energy
Holdings Co., Senior Notes
|
|
5.875%
|
|
10/1/12
|
|
250,000
|
|
271,281
|
|
Total Electric Utilities
|
|
|
|
|
|
|
|
4,764,043
|
|
Gas Utilities 0.0%
|
|
|
|
|
|
|
|
|
|
Southern Natural Gas Co.,
Senior Notes
|
|
8.000%
|
|
3/1/32
|
|
20,000
|
|
23,471
|
|
Independent
Power Producers & Energy Traders 2.2%
|
|
|
|
|
|
|
|
AES Corp., Senior Notes
|
|
9.750%
|
|
4/15/16
|
|
360,000
|
|
414,000
|
|
AES Corp., Senior Notes
|
|
8.000%
|
|
10/15/17
|
|
525,000
|
|
567,000
|
|
AES Corp., Senior Notes
|
|
8.000%
|
|
6/1/20
|
|
100,000
|
|
108,500
|
|
Edison Mission Energy,
Senior Notes
|
|
7.750%
|
|
6/15/16
|
|
180,000
|
|
140,850
|
|
Edison Mission Energy,
Senior Notes
|
|
7.625%
|
|
5/15/27
|
|
179,000
|
|
120,378
|
|
Energy Future Holdings
Corp., Senior Notes
|
|
11.250%
|
|
11/1/17
|
|
369,805
|
|
176,582
|
(e)
|
Energy Future Intermediate
Holding Co. LLC/EFIH Finance Inc., Senior Secured Notes
|
|
10.000%
|
|
12/1/20
|
|
885,531
|
|
878,814
|
|
NRG Energy Inc., Senior
Notes
|
|
7.375%
|
|
2/1/16
|
|
815,000
|
|
838,431
|
|
NRG Energy Inc., Senior
Notes
|
|
7.375%
|
|
1/15/17
|
|
225,000
|
|
230,625
|
|
Total Independent Power
Producers & Energy Traders
|
|
|
|
|
|
|
|
3,475,180
|
|
Multi-Utilities 0.5%
|
|
|
|
|
|
|
|
|
|
Dominion Resources Inc.,
Senior Notes
|
|
5.700%
|
|
9/17/12
|
|
770,000
|
|
839,490
|
|
TOTAL UTILITIES
|
|
|
|
|
|
|
|
9,102,184
|
|
TOTAL CORPORATE
BONDS & NOTES (Cost $85,398,260)
|
|
|
|
|
89,961,137
|
|
ASSET-BACKED
SECURITIES 26.0%
|
|
|
|
|
|
|
|
|
|
FINANCIALS
26.0%
|
|
|
|
|
|
|
|
|
|
Automobiles 0.0%
|
|
|
|
|
|
|
|
|
|
AmeriCredit Automobile
Receivables Trust, 2007-CM A3B
|
|
0.288%
|
|
5/7/12
|
|
76,971
|
|
76,971
|
(d)
|
Diversified Financial
Services 1.5%
|
|
|
|
|
|
|
|
|
|
Global Franchise Trust,
1998-1 A2
|
|
6.659%
|
|
10/10/11
|
|
611,495
|
|
579,142
|
(a)
|
Green Tree Recreational
Equiptment & Consumer Trust, 1996-C CTFS
|
|
7.650%
|
|
10/15/17
|
|
128,023
|
|
111,416
|
|
PAMCO CLO, 1997-1A B
|
|
7.910%
|
|
8/6/11
|
|
778,115
|
|
155,623
|
(b)
|
Pegasus Aviation Lease
Securitization, 2000-1 A2
|
|
8.370%
|
|
3/25/30
|
|
1,600,000
|
|
640,000
|
(a)(f)
|
Settlement Fee Finance LLC,
2004-1A A
|
|
9.100%
|
|
7/25/34
|
|
1,029,177
|
|
926,259
|
(a)(f)
|
Total Diversified Financial
Services
|
|
|
|
|
|
|
|
2,412,440
|
|
Home Equity 16.8%
|
|
|
|
|
|
|
|
|
|
ABFS Mortgage Loan Trust,
2002-3 M1
|
|
5.902%
|
|
9/15/33
|
|
1,130,000
|
|
875,174
|
|
ACE Securities Corp.,
2005-SD1 A1
|
|
0.656%
|
|
11/25/50
|
|
28,631
|
|
28,138
|
(d)
|
Bayview Financial
Acquisition Trust, 2007-B 2A1
|
|
0.556%
|
|
8/28/47
|
|
1,104,308
|
|
1,048,967
|
(d)
|
Bayview Financial Asset
Trust, 2004-SSRA A1
|
|
0.856%
|
|
12/25/39
|
|
422,562
|
|
291,568
|
(a)(d)(f)
|
Bayview Financial Asset
Trust, 2007-SR1A A
|
|
0.706%
|
|
3/25/37
|
|
2,364,083
|
|
1,702,140
|
(a)(d)(f)
|
Bayview Financial Asset
Trust, 2007-SR1A M3
|
|
1.406%
|
|
3/25/37
|
|
589,681
|
|
235,872
|
(a)(d)(f)
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
5
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Home Equity continued
|
|
|
|
|
|
|
|
|
|
Bayview Financial Asset
Trust, 2007-SR1A M4
|
|
1.756%
|
|
3/25/37
|
|
160,822
|
|
$
|
53,071
|
(a)(d)(f)
|
Bear Stearns Asset Backed
Securities Trust, 2006-SD3 1P0, STRIPS
|
|
0.000%
|
|
8/25/36
|
|
1,336,363
|
|
963,919
|
|
Bear Stearns Asset Backed
Securities Trust, 2007-SD1 1A3A
|
|
6.500%
|
|
10/25/36
|
|
1,354,871
|
|
970,922
|
|
Centex Home Equity Loan
Trust, 2003-B AF4
|
|
3.735%
|
|
2/25/32
|
|
349,152
|
|
329,321
|
|
Citigroup Mortgage Loan
Trust Inc., 2006-SHL1 A1
|
|
0.456%
|
|
11/25/45
|
|
233,327
|
|
191,725
|
(a)(d)
|
Citigroup Mortgage Loan
Trust Inc., 2007-SHL1 A
|
|
0.656%
|
|
11/25/46
|
|
1,134,438
|
|
587,706
|
(a)(d)
|
Contimortgage Home Equity
Trust, 1997-4 B1F
|
|
7.330%
|
|
10/15/28
|
|
460,650
|
|
444,030
|
|
Countrywide Asset-Backed
Certificates, 2007-13 2A1
|
|
1.156%
|
|
10/25/47
|
|
1,233,807
|
|
827,628
|
(d)
|
Countrywide Asset-Backed
Certificates, 2007-SEA2 1A1
|
|
1.256%
|
|
8/25/47
|
|
65,509
|
|
38,949
|
(a)(d)
|
Countrywide Home Equity
Loan Trust, 2006-HW 2A1B
|
|
0.407%
|
|
11/15/36
|
|
629,547
|
|
456,598
|
(d)
|
Countrywide Home Equity
Loan Trust, 2007-B A
|
|
0.407%
|
|
2/15/37
|
|
760,321
|
|
560,412
|
(d)
|
Countrywide Home Equity
Loan Trust, 2007-GW A
|
|
0.807%
|
|
8/15/37
|
|
1,521,752
|
|
1,221,821
|
(d)
|
Credit-Based Asset Servicing
and Securitization LLC, 2004-CB2 M1
|
|
0.776%
|
|
7/25/33
|
|
2,209,205
|
|
1,564,833
|
(d)
|
Credit-Based Asset
Servicing and Securitization LLC, 2005-RP1 M1
|
|
0.876%
|
|
1/25/35
|
|
780,000
|
|
679,686
|
(a)(d)
|
CS First Boston Mortgage
Securities Corp., 2004-CF2 2A1
|
|
0.726%
|
|
5/25/44
|
|
56,453
|
|
55,417
|
(a)(d)
|
Ellington Loan Acquisition
Trust, 2007-1 A2A1
|
|
1.256%
|
|
5/26/37
|
|
249,341
|
|
222,962
|
(a)(d)
|
EMC Mortgage Loan Trust,
2003-B A1
|
|
0.806%
|
|
11/25/41
|
|
118,876
|
|
105,462
|
(a)(d)
|
First Horizon ABS Trust,
2007-HE1 A
|
|
0.386%
|
|
9/25/29
|
|
947,665
|
|
700,422
|
(d)
|
Fremont Home Loan Trust,
2006-2 2A2
|
|
0.366%
|
|
2/25/36
|
|
348,949
|
|
344,732
|
(d)
|
GMAC Mortgage Corp. Loan
Trust, 2004-VF1 A1
|
|
1.006%
|
|
2/25/31
|
|
565,669
|
|
435,644
|
(a)(d)
|
Green Tree Home
Improvement Loan Trust, 1996-D HIB2
|
|
8.000%
|
|
9/15/27
|
|
57,726
|
|
41,593
|
|
GSAA Home Equity Trust,
2006-19 A3A
|
|
0.496%
|
|
12/25/36
|
|
914,594
|
|
488,212
|
(d)
|
GSAMP Trust, 2003-SEA2 A1
|
|
4.422%
|
|
7/25/33
|
|
2,135,987
|
|
1,865,237
|
|
Lehman XS Trust, 2006-GP4
3A1A
|
|
0.326%
|
|
8/25/46
|
|
57,858
|
|
56,945
|
(d)
|
Lehman XS Trust, 2007-1 WF1
|
|
7.000%
|
|
1/25/37
|
|
999,436
|
|
587,629
|
|
Morgan Stanley ABS Capital
I, 2003-SD1 A1
|
|
0.756%
|
|
3/25/33
|
|
25,114
|
|
20,870
|
(d)
|
MSDWCC Heloc Trust, 2003-2
A
|
|
0.516%
|
|
4/25/16
|
|
164,708
|
|
141,439
|
(d)
|
New Century Home Equity
Loan Trust, 2004-2 A2
|
|
0.626%
|
|
8/25/34
|
|
475,320
|
|
357,812
|
(d)
|
New Century Home Equity
Loan Trust, 2004-3 M1
|
|
1.186%
|
|
11/25/34
|
|
917,006
|
|
657,549
|
(d)
|
Park Place Securities
Inc., 2004-WCW1 M2
|
|
0.936%
|
|
9/25/34
|
|
1,900,000
|
|
1,690,939
|
(d)
|
Park Place Securities
Inc., 2004-WHQ2 M2
|
|
0.886%
|
|
2/25/35
|
|
750,000
|
|
655,723
|
(d)
|
Peoples Choice Home Loan
Securities Trust, 2004-1 A3
|
|
1.296%
|
|
6/25/34
|
|
400,842
|
|
356,521
|
(d)
|
RAAC Series, 2007-RP1 M1
|
|
0.806%
|
|
5/25/46
|
|
210,000
|
|
5,801
|
(a)(d)
|
Renaissance Home Equity
Loan Trust, 2004-2 AF4
|
|
5.392%
|
|
7/25/34
|
|
664,718
|
|
672,030
|
|
Renaissance Home Equity
Loan Trust, 2005-3 AV3
|
|
0.636%
|
|
11/25/35
|
|
800,000
|
|
662,715
|
(d)
|
Residential Asset Mortgage
Products Inc., 2004-RZ1 AII
|
|
0.736%
|
|
3/25/34
|
|
396,083
|
|
238,761
|
(d)
|
Residential Asset
Securities Corp., 2001-KS3 AII
|
|
0.716%
|
|
9/25/31
|
|
300,571
|
|
246,244
|
(d)
|
Residential Asset
Securities Corp., 2002-KS2 AI6
|
|
6.228%
|
|
4/25/32
|
|
698,163
|
|
713,064
|
(d)
|
Residential Asset
Securities Corp., 2003-KS8 AI6
|
|
4.830%
|
|
10/25/33
|
|
1,036,054
|
|
1,007,747
|
(d)
|
Saxon Asset Securities
Trust, 2000-2 MF1
|
|
8.870%
|
|
7/25/30
|
|
45,687
|
|
46,002
|
(d)
|
Structured Asset
Securities Corp., 2002-AL1 A3
|
|
3.450%
|
|
2/25/32
|
|
888,153
|
|
842,012
|
|
Structured Asset
Securities Corp., 2003-AL1 A
|
|
3.357%
|
|
4/25/31
|
|
127,395
|
|
121,275
|
(a)
|
Structured Asset
Securities Corp., 2005-4XS 2A1A
|
|
2.062%
|
|
3/25/35
|
|
594,954
|
|
472,947
|
(d)
|
Structured Asset
Securities Corp., 2007-BC1 A2
|
|
0.306%
|
|
2/25/37
|
|
657,068
|
|
632,059
|
(d)
|
Total Home Equity
|
|
|
|
|
|
|
|
27,518,245
|
|
Manufactured Housing
7.1%
|
|
|
|
|
|
|
|
|
|
Associates Manufactured
Housing Pass Through Certificates, 1997-CLB2
|
|
8.900%
|
|
6/15/28
|
|
2,942,177
|
|
2,942,177
|
(f)
|
Associates Manufactured
Housing Pass-Through Certificates, 1997-1 B1
|
|
7.600%
|
|
6/15/28
|
|
400,000
|
|
430,745
|
(c)(d)
|
Bank of America
Manufactured Housing Contract Trust, 1997-2M
|
|
6.900%
|
|
4/10/28
|
|
100,000
|
|
128,331
|
(d)
|
Conseco Finance
Securitizations Corp., 2002-1 A
|
|
6.681%
|
|
12/1/33
|
|
382,763
|
|
404,879
|
(d)
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
6
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Manufactured Housing
continued
|
|
|
|
|
|
|
|
|
|
Firstfed Corp.
Manufactured Housing Contract, 1996-1 B
|
|
8.060%
|
|
10/15/22
|
|
2,100,000
|
|
$
|
1,858,874
|
(a)
|
Green Tree Financial
Corp., 1992-2 B
|
|
9.150%
|
|
1/15/18
|
|
167,628
|
|
99,650
|
|
Green Tree Financial
Corp., 1993-1 B
|
|
8.450%
|
|
4/15/18
|
|
226,593
|
|
204,337
|
|
Greenpoint Manufactured
Housing, 1999-5 A5
|
|
7.820%
|
|
12/15/29
|
|
706,000
|
|
746,152
|
(d)
|
Indymac Manufactured
Housing Contract, 1997-1 A5
|
|
6.970%
|
|
2/25/28
|
|
254,936
|
|
241,080
|
|
Merit Securities Corp., 13
A4
|
|
7.944%
|
|
12/28/33
|
|
3,063,872
|
|
3,128,740
|
(d)
|
Oakwood Mortgage Investors
Inc., 2002-B A3
|
|
6.060%
|
|
3/15/25
|
|
282,800
|
|
257,586
|
(d)
|
Vanderbilt Mortgage
Finance, 1997-B 1B2
|
|
8.155%
|
|
10/7/26
|
|
439,962
|
|
413,438
|
|
Vanderbilt Mortgage
Finance, 1997-C 1B2
|
|
7.830%
|
|
8/7/27
|
|
109,997
|
|
108,651
|
(d)
|
Vanderbilt Mortgage
Finance, 2000-B IB2
|
|
9.250%
|
|
7/7/30
|
|
827,501
|
|
679,738
|
(d)
|
Total Manufactured Housing
|
|
|
|
|
|
|
|
11,644,378
|
|
Student Loan 0.6%
|
|
|
|
|
|
|
|
|
|
SLM Student Loan Trust,
2001-4 B
|
|
0.998%
|
|
1/25/21
|
|
1,000,000
|
|
941,600
|
(d)
|
TOTAL ASSET-BACKED
SECURITIES (Cost $38,899,210)
|
|
|
|
|
42,593,634
|
|
COLLATERALIZED MORTGAGE
OBLIGATIONS 36.1%
|
|
|
|
|
|
|
|
American Home Mortgage
Investment Trust, 2007-A 4A
|
|
0.706%
|
|
7/25/46
|
|
834,060
|
|
290,478
|
(a)(d)
|
Bayview Commercial Asset
Trust, 2005-3A A2
|
|
0.656%
|
|
11/25/35
|
|
731,428
|
|
514,998
|
(a)(d)(f)
|
Bayview Commercial Asset
Trust, 2005-4A A1
|
|
0.556%
|
|
1/25/36
|
|
421,890
|
|
303,556
|
(a)(d)
|
BCAP LLC Trust, 2009-RR12
2A2
|
|
0.689%
|
|
3/26/35
|
|
1,844,014
|
|
663,845
|
(a)(d)(f)
|
Bear Stearns Alt-A Trust,
2004-3 A1
|
|
0.896%
|
|
4/25/34
|
|
506,640
|
|
390,659
|
(d)
|
Bear Stearns Alt-A Trust,
2004-8 1A
|
|
0.606%
|
|
9/25/34
|
|
272,861
|
|
222,728
|
(d)
|
Bear Stearns Alt-A Trust,
2005-10 21A1
|
|
3.261%
|
|
1/25/36
|
|
1,257,672
|
|
711,281
|
(d)
|
Bear Stearns Asset Backed
Securities Trust, 2002-AC1 B4
|
|
7.000%
|
|
1/25/32
|
|
950,501
|
|
143,458
|
(a)
|
Bella Vista Mortgage
Trust, 2004-2 A1
|
|
0.626%
|
|
2/25/35
|
|
2,229,673
|
|
1,332,830
|
(d)
|
BlackRock Capital Finance
LP, 1997-R2 B5
|
|
6.188%
|
|
12/25/35
|
|
433,950
|
|
21,698
|
(a)(d)(f)
|
CBA Commercial Small
Balance Commercial Trust, 2005-1A
|
|
0.576%
|
|
7/25/35
|
|
1,709,452
|
|
1,020,503
|
(a)(d)
|
Chevy Chase Mortgage
Funding Corp., 2004-3A A1
|
|
0.506%
|
|
8/25/35
|
|
1,588,760
|
|
983,768
|
(a)(d)
|
Chevy Chase Mortgage
Funding Corp., 2004-4A A1
|
|
0.486%
|
|
10/25/35
|
|
2,207,202
|
|
1,306,267
|
(a)(d)
|
Chevy Chase Mortgage
Funding Corp., 2005-4A A1
|
|
0.456%
|
|
10/25/36
|
|
2,077,698
|
|
1,075,670
|
(a)(d)
|
CNL Funding, 1998-1 C2
|
|
1.007%
|
|
9/18/11
|
|
3,360,000
|
|
3,020,640
|
(a)(d)
|
Countrywide Home Loan
Mortgage Pass-Through Trust, 2004-HYB5 7A1
|
|
2.405%
|
|
4/20/35
|
|
3,542,859
|
|
2,859,385
|
(d)
|
Countrywide Home Loans,
2004-R1 1AF
|
|
0.656%
|
|
11/25/34
|
|
1,806,236
|
|
1,506,607
|
(a)(d)
|
Countrywide Home Loans,
2004-R2 1AF1
|
|
0.676%
|
|
11/25/34
|
|
557,459
|
|
452,878
|
(a)(d)
|
Countrywide Home Loans,
2005-7 1A1
|
|
0.526%
|
|
3/25/35
|
|
1,529,799
|
|
1,155,167
|
(d)
|
Countrywide Home Loans
Mortgage Pass-Through Trust, 2005-9 1A1
|
|
0.556%
|
|
5/25/35
|
|
1,760,339
|
|
1,098,402
|
(d)
|
Credit Suisse Mortgage
Capital Certificates, 2007-C3 A4
|
|
5.910%
|
|
6/15/39
|
|
242,000
|
|
241,198
|
(d)
|
GMAC Commercial Mortgage
Securities Inc., 1998-C2 F
|
|
6.500%
|
|
5/15/35
|
|
1,000,000
|
|
1,047,330
|
(a)
|
Greenpoint Mortgage
Funding Trust, 2005-AR5 2A2
|
|
0.526%
|
|
11/25/46
|
|
3,170,656
|
|
824,371
|
(d)
|
Greenpoint Mortgage
Funding Trust, 2005-AR5 3A2
|
|
0.526%
|
|
11/25/46
|
|
1,925,153
|
|
488,330
|
(d)
|
GS Mortgage Securities
Corp., 2010-C1 X
|
|
1.725%
|
|
8/10/43
|
|
13,065,256
|
|
1,264,595
|
(a)(d)
|
GSMPS Mortgage Loan Trust,
2001-2 A
|
|
7.500%
|
|
6/19/32
|
|
1,663,898
|
|
1,449,482
|
(a)(d)
|
GSMPS Mortgage Loan Trust,
2005-RP1 1AF
|
|
0.606%
|
|
1/25/35
|
|
293,501
|
|
239,998
|
(a)(d)
|
GSMPS Mortgage Loan Trust,
2005-RP1 2A1
|
|
4.455%
|
|
1/25/35
|
|
1,685,459
|
|
1,448,127
|
(a)(d)
|
GSMPS Mortgage Loan Trust,
2005-RP3 1AF
|
|
0.606%
|
|
9/25/35
|
|
1,357,001
|
|
1,141,439
|
(a)(d)
|
Harborview Mortgage Loan
Trust, 2004-10 4A
|
|
2.792%
|
|
1/19/35
|
|
468,716
|
|
462,225
|
(d)
|
Harborview Mortgage Loan
Trust, 2004-8 3A2
|
|
0.657%
|
|
11/19/34
|
|
191,909
|
|
111,483
|
(d)
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
7
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Harborview Mortgage Loan
Trust, 2005-9 B10
|
|
2.007%
|
|
6/20/35
|
|
1,117,506
|
|
$
|
85,293
|
(d)
|
Impac CMB Trust, 2004-9
1A1
|
|
1.016%
|
|
1/25/35
|
|
59,164
|
|
43,160
|
(d)
|
Impac CMB Trust, 2A-10
|
|
0.896%
|
|
3/25/35
|
|
493,453
|
|
286,796
|
(d)
|
Indymac Index Mortgage
Loan Trust, 2005-AR14 BX, STRIPS
|
|
2.400%
|
|
7/25/35
|
|
1,320,468
|
|
26,409
|
(c)(f)
|
Indymac Index Mortgage
Loan Trust, 2007-AR15 2A1
|
|
5.307%
|
|
8/25/37
|
|
5,435,830
|
|
3,461,912
|
(d)
|
Jefferies & Co.,
2009-B 9A
|
|
0.588%
|
|
11/21/35
|
|
199,000
|
|
322,361
|
(a)(d)(f)
|
JPMorgan Mortgage Trust,
2007-A2 4A2
|
|
5.975%
|
|
4/25/37
|
|
300,000
|
|
251,569
|
(d)
|
LB-UBS Commercial Mortgage
Trust, 2001-C3 X, STRIPS
|
|
1.127%
|
|
6/15/36
|
|
2,416,183
|
|
9,506
|
(a)(c)(d)
|
Luminent Mortgage Trust,
2006-6 A1
|
|
0.456%
|
|
10/25/46
|
|
1,183,452
|
|
759,205
|
(d)
|
MASTR Adjustable Rate
Mortgages Trust, 2004-13 3A7
|
|
2.903%
|
|
11/21/34
|
|
2,000,000
|
|
1,810,896
|
(d)
|
MASTR Alternative Loans
Trust, PAC, 2003-7 7A1
|
|
0.656%
|
|
11/25/33
|
|
318,704
|
|
309,357
|
(d)
|
MASTR ARM Trust, 2004-7
6M1
|
|
0.906%
|
|
8/25/34
|
|
800,000
|
|
630,908
|
(d)
|
Merit Securities Corp.,
11PA B3
|
|
2.506%
|
|
9/28/32
|
|
850,000
|
|
277,892
|
(a)(d)
|
Merrill Lynch Mortgage
Investors Inc., 2005-A2
|
|
2.799%
|
|
2/25/35
|
|
401,516
|
|
381,413
|
(d)
|
Metropolitan Asset Funding
Inc., 1998-BI B1
|
|
8.000%
|
|
11/20/24
|
|
896,761
|
|
362,259
|
(d)
|
Morgan Stanley Capital I,
1999-LIFE E
|
|
7.065%
|
|
4/15/33
|
|
1,656,127
|
|
1,661,545
|
(d)
|
Nomura Asset Acceptance
Corp., 2004-AR4 1A1
|
|
2.454%
|
|
12/25/34
|
|
509,199
|
|
477,709
|
(d)
|
Prime Mortgage Trust,
2005-2 2XB, STRIPS
|
|
1.740%
|
|
10/25/32
|
|
3,617,235
|
|
161,329
|
(d)
|
Prime Mortgage Trust,
2005-5 1X, STRIPS
|
|
0.920%
|
|
7/25/34
|
|
8,260,989
|
|
187,150
|
(d)
|
Prime Mortgage Trust,
2005-5 1XB, STRIPS
|
|
1.390%
|
|
7/25/34
|
|
3,134,661
|
|
41,691
|
(d)
|
Regal Trust IV, 1999-1 A
|
|
3.297%
|
|
9/29/31
|
|
115,412
|
|
108,874
|
(a)(d)
|
Residential Asset Mortgage
Products Inc., 2004-SL4 A5
|
|
7.500%
|
|
7/25/32
|
|
1,408,418
|
|
1,444,502
|
|
Residential Asset Mortgage
Products, Inc., 2005-SL2 AP0, STRIPS
|
|
0.010%
|
|
2/25/32
|
|
335,155
|
|
275,251
|
|
Residential Asset
Securitization Trust, 2003-A1 A2
|
|
0.756%
|
|
3/25/33
|
|
323,123
|
|
307,286
|
(d)
|
Sequoia Mortgage Trust,
2003-2 A2
|
|
1.144%
|
|
6/20/33
|
|
54,669
|
|
44,818
|
(d)
|
Sequoia Mortgage Trust,
2004-10 A1A
|
|
0.567%
|
|
11/20/34
|
|
30,030
|
|
28,348
|
(d)
|
Sequoia Mortgage Trust,
2004-11 A1
|
|
0.557%
|
|
12/20/34
|
|
46,241
|
|
39,794
|
(d)
|
Sequoia Mortgage Trust,
2004-12 A1
|
|
0.527%
|
|
1/20/35
|
|
369,958
|
|
303,720
|
(d)
|
Structured Asset
Securities Corp., 1998-RF2 A
|
|
8.081%
|
|
7/15/27
|
|
488,475
|
|
492,443
|
(a)(d)
|
Structured Asset Securities
Corp., 2002-9 A2
|
|
0.556%
|
|
10/25/27
|
|
1,085,188
|
|
955,496
|
(d)
|
Structured Asset
Securities Corp., 2004-NP1 A
|
|
0.656%
|
|
9/25/33
|
|
262,201
|
|
222,871
|
(a)(d)(f)
|
Structured Asset
Securities Corp., 2005-4XS 3A4
|
|
4.790%
|
|
3/25/35
|
|
890,000
|
|
826,346
|
|
Structured Asset
Securities Corp., 2005-RF2 A
|
|
0.606%
|
|
4/25/35
|
|
1,331,918
|
|
1,105,994
|
(a)(d)
|
Structured Asset
Securities Corp., 2005-RF3 2A
|
|
4.490%
|
|
6/25/35
|
|
2,243,775
|
|
1,895,312
|
(a)(d)
|
Thornburg Mortgage
Securities Trust, 2003-4 A1
|
|
0.576%
|
|
9/25/43
|
|
1,003,397
|
|
930,317
|
(d)
|
Thornburg Mortgage
Securities Trust, 2004-03 A
|
|
0.626%
|
|
9/25/44
|
|
980,537
|
|
928,776
|
(d)
|
Thornburg Mortgage
Securities Trust, 2007-4 2A1
|
|
6.188%
|
|
9/25/37
|
|
780,307
|
|
741,130
|
(d)
|
Thornburg Mortgage
Securities Trust, 2007-4 3A1
|
|
6.178%
|
|
9/25/37
|
|
823,130
|
|
801,396
|
(d)
|
WaMu Mortgage Pass-Through
Certificates, 2004-AR13 A2A
|
|
0.683%
|
|
11/25/34
|
|
2,060,747
|
|
1,542,954
|
(d)
|
WaMu Mortgage Pass-Through
Certificates, 2007-HY7 2A3
|
|
5.665%
|
|
7/25/37
|
|
2,000,000
|
|
1,296,634
|
(d)
|
Washington Mutual
Alternative Mortgage Pass-Through Certificates, 2006-5 3A3
|
|
6.221%
|
|
7/25/36
|
|
873,467
|
|
482,544
|
|
Washington Mutual
Alternative Mortgage Pass-Through Certificates, 2006-7 A2A
|
|
5.667%
|
|
9/25/36
|
|
1,489,008
|
|
756,710
|
|
Washington Mutual
Alternative Mortgage Pass-Through Certificates, 2006-7 A3
|
|
6.081%
|
|
9/25/36
|
|
181,384
|
|
119,654
|
|
Washington Mutual Inc.,
2004-AR11
|
|
2.718%
|
|
10/25/34
|
|
87,835
|
|
81,453
|
(d)
|
Washington Mutual Inc.,
2004-AR12 A2A
|
|
0.703%
|
|
10/25/44
|
|
195,826
|
|
157,438
|
(d)
|
Washington Mutual Inc.,
2005-AR8 2A1A
|
|
0.546%
|
|
7/25/45
|
|
483,307
|
|
391,810
|
(d)
|
Washington Mutual Inc.
Mortgage Pass-Through Certificates, 2004-AR13 A1A
|
|
0.673%
|
|
11/25/34
|
|
1,465,339
|
|
1,257,189
|
(d)
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
8
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Washington Mutual Inc.,
Mortgage Pass-Through Certificates, 2005-AR06 2A1A
|
|
0.486%
|
|
4/25/45
|
|
435,481
|
|
$
|
358,697
|
(d)
|
Washington Mutual Inc.,
Mortgage Pass-Through Certificates, 2005-AR08 1A1A
|
|
0.526%
|
|
7/25/45
|
|
32,294
|
|
26,398
|
(d)
|
Washington Mutual Inc.,
Mortgage Pass-Through Certificates, 2005-AR13 A1A1
|
|
0.546%
|
|
10/25/45
|
|
391,798
|
|
317,690
|
(d)
|
Washington Mutual Inc.,
Mortgage Pass-Through Certificates, 2005-AR19 A1A1
|
|
0.526%
|
|
12/25/45
|
|
802,064
|
|
666,885
|
(d)
|
Washington Mutual Inc.,
Mortgage Pass-Through Certificates, 2005-AR9 A1A
|
|
0.576%
|
|
7/25/45
|
|
227,835
|
|
190,571
|
(d)
|
Washington Mutual Inc.,
MSC Pass-Through Certificates, 2004-RA1 2A
|
|
7.000%
|
|
3/25/34
|
|
55,784
|
|
58,175
|
|
Washington Mutual Mortgage
Pass-Through Certificates, 2006-AR5 3A
|
|
1.310%
|
|
7/25/46
|
|
1,414,505
|
|
661,363
|
(d)
|
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS (Cost $57,643,318)
|
|
59,160,595
|
|
MORTGAGE-BACKED
SECURITIES 0.4%
|
|
|
|
|
|
|
|
|
|
FNMA 0.4%
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage
Association (FNMA), Whole Loan (Cost - $567,793)
|
|
6.500%
|
|
8/25/44
|
|
551,238
|
|
621,693
|
|
MUNICIPAL
BONDS 2.7%
|
|
|
|
|
|
|
|
|
|
Pennsylvania 2.7%
|
|
|
|
|
|
|
|
|
|
Pennsylvania State Higher
Education Assistance Agency, Student Loan Revenue (Cost - $4,438,053)
|
|
0.957%
|
|
6/1/47
|
|
5,000,000
|
|
4,425,000
|
(d)(f)
|
SOVEREIGN
BONDS 5.3%
|
|
|
|
|
|
|
|
|
|
Brazil 5.3%
|
|
|
|
|
|
|
|
|
|
Brazil Nota do Tesouro
Nacional
|
|
6.000%
|
|
5/15/45
|
|
4,700,000
|
BRL
|
5,426,794
|
|
Brazil Nota do Tesouro
Nacional, Notes
|
|
10.000%
|
|
1/1/14
|
|
280,000
|
BRL
|
157,145
|
|
Brazil Nota do Tesouro
Nacional, Notes
|
|
6.000%
|
|
8/15/50
|
|
5,023,478
|
BRL
|
3,012,876
|
|
Total Brazil
|
|
|
|
|
|
|
|
8,596,815
|
|
Honduras 0.0%
|
|
|
|
|
|
|
|
|
|
Republic of Honduras
|
|
0.235%
|
|
10/1/11
|
|
50,891
|
|
50,437
|
(d)
|
Venezuela 0.0%
|
|
|
|
|
|
|
|
|
|
Bolivarian Republic of
Venezuela, Collective Action Securities, Global Senior Bonds
|
|
9.375%
|
|
1/13/34
|
|
2,000
|
|
1,360
|
|
TOTAL SOVEREIGN BONDS
(Cost $8,093,174)
|
|
|
|
|
8,648,612
|
|
U.S. GOVERNMENT &
AGENCY OBLIGATIONS 1.9%
|
|
|
|
|
|
|
|
U.S. Government
Obligations 1.9%
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bonds
|
|
4.500%
|
|
8/15/39
|
|
600,000
|
|
687,000
|
|
U.S. Treasury Notes
|
|
3.625%
|
|
8/15/19
|
|
570,000
|
|
626,822
|
|
U.S. Treasury Notes
|
|
3.375%
|
|
11/15/19
|
|
930,000
|
|
1,001,858
|
|
U.S. Treasury Notes
|
|
3.625%
|
|
2/15/20
|
|
650,000
|
|
712,918
|
|
TOTAL U.S. GOVERNMENT &
AGENCY OBLIGATIONS (Cost $2,759,207)
|
|
|
3,028,598
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES
|
|
|
|
COMMON
STOCKS 0.2%
|
|
|
|
|
|
|
|
|
|
CONSUMER
DISCRETIONARY 0.1%
|
|
|
|
|
|
|
|
|
|
Media 0.1%
|
|
|
|
|
|
|
|
|
|
Charter
Communications Inc., Class A Shares
|
|
|
|
|
|
4,936
|
|
160,420
|
*
|
Dex
One Corp.
|
|
|
|
|
|
1,048
|
|
12,870
|
*
|
SuperMedia
Inc.
|
|
|
|
|
|
568
|
|
6,005
|
*
|
TOTAL CONSUMER
DISCRETIONARY
|
|
|
|
|
|
|
|
179,295
|
|
ENERGY
0.0%
|
|
|
|
|
|
|
|
|
|
Oil, Gas &
Consumable Fuels 0.0%
|
|
|
|
|
|
|
|
|
|
SemGroup Corp., Class A
Shares
|
|
|
|
|
|
789
|
|
18,349
|
*
|
INDUSTRIALS
0.0%
|
|
|
|
|
|
|
|
|
|
Building Products 0.0%
|
|
|
|
|
|
|
|
|
|
Ashton Woods USA LLC,
Class B Membership
|
|
|
|
|
|
20
|
|
9,001
|
(c)(f)
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
9
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
|
|
|
|
SHARES
|
|
VALUE
|
|
Building Products continued
|
|
|
|
|
|
|
|
|
|
Nortek Inc.
|
|
|
|
|
|
1,206
|
|
$
|
47,094
|
*
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
56,095
|
|
MATERIALS
0.1%
|
|
|
|
|
|
|
|
|
|
Chemicals 0.1%
|
|
|
|
|
|
|
|
|
|
Georgia Gulf Corp.
|
|
|
|
|
|
8,950
|
|
146,243
|
*
|
TOTAL COMMON STOCKS (Cost
$1,344,491)
|
|
|
|
|
|
399,982
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATE
|
|
|
|
|
|
|
|
CONVERTIBLE
PREFERRED STOCKS 1.2%
|
|
|
|
|
|
|
|
|
|
CONSUMER
DISCRETIONARY 1.1%
|
|
|
|
|
|
|
|
|
|
Automobiles 1.1%
|
|
|
|
|
|
|
|
|
|
Motors Liquidation Co.,
Senior Debentures, Series B
|
|
5.250%
|
|
|
|
225,000
|
|
1,766,250
|
*
|
FINANCIALS
0.1%
|
|
|
|
|
|
|
|
|
|
Diversified Financial
Services 0.1%
|
|
|
|
|
|
|
|
|
|
Citigroup Inc.
|
|
7.500%
|
|
|
|
1,652
|
|
195,779
|
|
Thrifts & Mortgage
Finance 0.0%
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage Association
(FNMA)
|
|
5.375%
|
|
|
|
15
|
|
20,625
|
*
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
216,404
|
|
TOTAL CONVERTIBLE
PREFERRED STOCKS (Cost $5,208,200)
|
|
|
|
1,982,654
|
|
PREFERRED
STOCKS 0.2%
|
|
|
|
|
|
|
|
|
|
CONSUMER
DISCRETIONARY 0.0%
|
|
|
|
|
|
|
|
|
|
Media 0.0%
|
|
|
|
|
|
|
|
|
|
CMP Susquehanna Radio
Holdings Corp.
|
|
0.000%
|
|
|
|
3,171
|
|
0
|
*(a)(c)
|
FINANCIALS
0.2%
|
|
|
|
|
|
|
|
|
|
Diversified Financial
Services 0.2%
|
|
|
|
|
|
|
|
|
|
Corporate-Backed Trust
Certificates, Series 2001-8, Class A-1
|
|
7.375%
|
|
|
|
33,900
|
|
237,300
|
*(b)
|
Thrifts & Mortgage
Finance 0.0%
|
|
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage
Corp. (FHLMC)
|
|
0.000%
|
|
|
|
100
|
|
64
|
*
|
Federal Home Loan Mortgage
Corp. (FHLMC)
|
|
5.000%
|
|
|
|
200
|
|
110
|
*
|
Federal Home Loan Mortgage
Corp. (FHLMC)
|
|
8.375%
|
|
|
|
20,500
|
|
8,815
|
*(d)
|
Total Thrifts & Mortgage
Finance
|
|
|
|
|
|
|
|
8,989
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
246,289
|
|
TOTAL PREFERRED STOCKS
(Cost $1,023,458)
|
|
|
|
|
|
246,289
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXPIRATION
DATE
|
|
WARRANTS
|
|
|
|
WARRANTS
0.0%
|
|
|
|
|
|
|
|
|
|
Buffets Restaurant
Holdings
|
|
|
|
4/28/14
|
|
224
|
|
2
|
*(c)(f)
|
Charter Communications
Inc.
|
|
|
|
11/30/14
|
|
265
|
|
1,352
|
*
|
CNB Capital Trust
|
|
|
|
3/23/19
|
|
3,624
|
|
0
|
*(a)(c)(f)
|
Nortek Inc.
|
|
|
|
12/7/14
|
|
576
|
|
5,760
|
*
|
SemGroup Corp.
|
|
|
|
11/30/14
|
|
831
|
|
4,361
|
*
|
TOTAL WARRANTS (Cost
$7,974)
|
|
|
|
|
|
|
|
11,475
|
|
TOTAL INVESTMENTS BEFORE
SHORT-TERM INVESTMENTS (Cost $205,383,138)
|
|
211,079,669
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
10
WESTERN ASSET PREMIER BOND FUND
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
SHORT-TERM
INVESTMENTS 13.5%
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
13.5%
|
|
|
|
|
|
|
|
|
|
Banc of America Securties
LLC repurchase agreement dated 9/30/10; Proceeds at maturity - $16,300,091;
(Fully collateralized by U.S. government obligations, 2.125% due 11/30/14;
Market value - $16,626,001)
|
|
0.200%
|
|
10/1/10
|
|
16,300,000
|
|
$
|
16,300,000
|
|
Barclays Capital Inc.,
repurchase agreement dated 9/30/10; Proceeds at maturity - $5,772,029; (Fully
collateralized by U.S. government obligations, 1.125% due 12/15/12; Market
value - $5,887,439)
|
|
0.180%
|
|
10/1/10
|
|
5,772,000
|
|
5,772,000
|
|
TOTAL SHORT-TERM
INVESTMENTS (Cost $22,072,000)
|
|
|
|
22,072,000
|
|
TOTAL INVESTMENTS 142.5%
(Cost $227,455,138#)
|
|
|
|
|
233,151,669
|
|
Other Assets in Excess of
Liabilities 1.5%
|
|
|
|
|
|
|
|
2,500,546
|
|
Liquidation value of
Preferred Shares (44.0)%
|
|
|
|
|
(72,000,000
|
)
|
TOTAL NET ASSETS 100.0%
|
|
|
|
|
|
|
|
$
|
163,652,215
|
|
|
|
Face amount denominated in U.S. dollars, unless
otherwise noted.
|
*
|
|
Non-income producing security.
|
(a)
|
|
Security is exempt from registration under Rule 144A
of the Securities Act of 1933. This security may be resold in transactions
that are exempt from registration, normally to qualified institutional
buyers. This security has been deemed liquid pursuant to guidelines approved
by the Board of Trustees, unless otherwise noted.
|
(b)
|
|
The coupon payment on these securities is currently
in default as of September 30, 2010.
|
(c)
|
|
Illiquid security.
|
(d)
|
|
Variable rate security. Interest rate disclosed is
that which is in effect at September 30, 2010.
|
(e)
|
|
Payment-in-kind security for which part of the
income earned may be paid as additional principal.
|
(f)
|
|
Security is valued in good faith at fair value in
accordance with procedures approved by the Board of Trustees (See Note 1).
|
#
|
|
Aggregate cost for federal income tax purposes is
substantially the same.
|
|
|
|
|
|
Abbreviations used in this schedule:
|
|
|
ARM
|
- Adjustable Rate Mortgage
|
|
|
BRL
|
- Brazilian Real
|
|
|
CMB
|
- Cash Management Bill
|
|
|
PAC
|
- Planned Amortization Class
|
|
|
STRIPS
|
- Separate Trading of Registered Interest and
Principal Securities
|
See Notes to Schedule of
Investments.
11
Notes to Schedule of Investments (unaudited)
1. Organization and Significant Accounting Policies
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).
(a) Investment
Valuation.
Debt securities are valued at the last quoted bid
price 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.
Publicly traded foreign government debt securities are typically traded
internationally in the over-the-counter market and are valued at the bid prices
as of the close of business of that market. Equity securities for which market
quotations are readily available are valued at the last reported sales price or
official closing price on the primary market or exchange on which they trade. 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 may value these securities at fair value as
determined in accordance with procedures approved by the Funds Board of
Trustees. Short-term obligations with maturities of 60 days or less are valued
at amortized cost, which approximates fair value.
The
Fund has adopted Financial Accounting Standards Board Codification Topic 820 (ASC
Topic 820). ASC Topic 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 1quoted
prices in active markets for identical investments
·
Level 2other
significant observable inputs (including quoted prices for similar investments,
interest rates, prepayment speeds, credit risk, etc.)
·
Level
3significant unobservable inputs (including the Funds own assumptions in
determining the fair value of investments)
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 and/or income approach, depending on the type of security
and the particular circumstance. The market approach uses prices and other
relevant information generated by market transactions involving identical or
comparable securities. The income approach uses valuation techniques to
discount estimated future cash flows to present value.
The
following is a summary of the inputs used in valuing the Funds assets and
liabilties 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 & notes
|
|
|
|
$
|
89,141,291
|
|
$
|
819,846
|
|
$
|
89,961,137
|
|
Asset-backed securities
|
|
|
|
36,442,546
|
|
6,151,088
|
|
42,593,634
|
|
Collateralized mortgage obligations
|
|
|
|
58,225,772
|
|
934,823
|
|
59,160,595
|
|
Mortgage-backed securities
|
|
|
|
621,693
|
|
|
|
621,693
|
|
Municipal bonds
|
|
|
|
|
|
4,425,000
|
|
4,425,000
|
|
Sovereign bonds
|
|
|
|
8,648,612
|
|
|
|
8,648,612
|
|
U.S. government & agency obligations
|
|
|
|
3,028,598
|
|
|
|
3,028,598
|
|
Common stocks
|
|
$
|
390,981
|
|
|
|
9,001
|
|
399,982
|
|
Convertible preferred stocks
|
|
195,779
|
|
1,786,875
|
|
|
|
1,982,654
|
|
Preferred stocks
|
|
246,289
|
|
0
|
*
|
|
|
246,289
|
|
Warrants
|
|
1,352
|
|
10,121
|
|
2
|
|
11,475
|
|
Total long-term investments
|
|
$
|
834,401
|
|
$
|
197,905,508
|
|
$
|
12,339,760
|
|
$
|
211,079,669
|
|
Short-term investments
|
|
|
|
22,072,000
|
|
|
|
22,072,000
|
|
Total investments
|
|
$
|
834,401
|
|
$
|
219,977,508
|
|
$
|
12,339,760
|
|
$
|
233,151,669
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
Credit default swaps on corporate issues - buy protection
|
|
|
|
|
(169,280
|
)
|
|
|
(169,280
|
)
|
Credit default swaps on credit indices - sell protection
|
|
|
|
135,708
|
|
|
|
135,708
|
|
Total other financial instruments
|
|
|
|
$
|
(33,572
|
)
|
|
|
$
|
(33,572
|
)
|
Total
|
|
$
|
834,401
|
|
$
|
219,943,936
|
|
$
|
12,339,760
|
|
$
|
233,118,097
|
|
12
Notes to Schedule of Investments (unaudited) (continued)
See Schedule of Investments for additional detailed categorizations.
Values
include any premiums paid or received with respect to swap contracts.
*
Value is less than $1.
The
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
|
|
COLLATERALIZED
MORTGAGE
OBLIGATIONS
|
|
Balance
as of December 31, 2009
|
|
|
|
$
|
3,926,578
|
|
|
|
Accrued
premiums/discounts
|
|
$
|
(108
|
)
|
73,739
|
|
$
|
996
|
|
Realized
gain(loss)
1
|
|
|
|
(94,081
|
)
|
3,421
|
|
Change
in unrealized appreciation (depreciation)
2
|
|
108
|
|
97,878
|
|
(605
|
)
|
Net
purchases (sales)
|
|
819,846
|
|
(82,606
|
)
|
219,059
|
|
Transfers
in to Level 3
|
|
|
|
2,229,580
|
|
711,952
|
|
Transfers
out of Level 3
|
|
|
|
|
|
|
|
Balance
as of September 30, 2010
|
|
$
|
819,846
|
|
$
|
6,151,088
|
|
$
|
934,823
|
|
Net
change in unrealized appreciation (depreciation) for investments in
securities still held at September 30, 2010
2
|
|
$
|
108
|
|
$
|
97,878
|
|
$
|
(605
|
)
|
INVESTMENTS IN SECURITIES
|
|
MUNICIPAL
BONDS
|
|
COMMON
STOCKS
|
|
PREFERRED
STOCKS
|
|
WARRANTS
|
|
TOTAL
|
|
Balance
as of December 31, 2009
|
|
|
|
$
|
18,940
|
|
$
|
3
|
|
$
|
7,348
|
|
$
|
3,952,869
|
|
Accrued
premiums/discounts
|
|
$
|
553
|
|
|
|
|
|
|
|
75,180
|
|
Realized
gain(loss)
1
|
|
|
|
|
|
|
|
|
|
(90,660
|
)
|
Change
in unrealized appreciation (depreciation)
2
|
|
(13,053
|
)
|
8,409
|
|
(3
|
)
|
2,776
|
|
95,510
|
|
Net
purchases (sales)
|
|
4,437,500
|
|
|
|
|
|
|
|
5,393,799
|
|
Transfers
in to Level 3
|
|
|
|
|
|
|
|
|
|
2,941,532
|
|
Transfers
out of Level 3
|
|
|
|
(18,348
|
)
|
0
|
*
|
(10,122
|
)
|
(28,470
|
)
|
Balance
as of September 30, 2010
|
|
$
|
4,425,000
|
|
$
|
9,001
|
|
|
|
|
$
|
2
|
|
$
|
12,339,760
|
|
Net
change in unrealized appreciation (depreciation) for investments in securities
still held at September 30, 2010
2
|
|
$
|
(13,053
|
)
|
$
|
9,001
|
|
|
|
$
|
(1
|
)
|
$
|
93,328
|
|
13
Notes to Schedule of Investments
(unaudited) (continued)
*
Value is less than $1.
1
This amount is included in net realized gain
(loss) from investment transactions.
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.
(b) 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, the Fund acquires a debt
security subject to an obligation of the seller to repurchase, and of the Fund
to resell, the security at an agreed-upon price and time, thereby determining
the yield during the Funds holding period. When entering into repurchase
agreements, it is the Funds policy that its custodian or a third party
custodian, acting on the Funds behalf, 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 maturity exceeds one business
day, the value of the collateral is marked to market and measured against the
value of the agreement in an effort 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.
(c) Foreign
Currency Translation.
Investment
securities and other assets and liabilities denominated in foreign currencies
are translated into U.S. dollar amounts based upon prevailing exchange rates on
the date of valuation. Purchases and
sales of investment securities and income and expense items denominated in
foreign currencies are translated into U.S. dollar amounts based upon
prevailing exchange rates on the respective dates of such transactions.
Foreign
security and currency transactions may involve certain considerations and risks
not typically associated with those of U.S. dollar denominated transactions as
a result of, among other factors, the possibility of lower levels of
governmental supervision and regulation of foreign securities markets and the
possibility of political or economic instability.
(d) Swap Agreements.
The Fund may invest in
swaps for the purpose of managing its 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. 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 posted
as collateral for swap contracts are identified in the Schedule of Investments.
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 the Fund has exposure to an 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 is 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
14
Notes to Schedule of Investments (unaudited) (continued)
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 the 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.
The
Funds maximum risk of loss from counterparty risk, as the protection buyer, is
the fair value of the contract (this risk is mitigated by the posting of
collateral by the counterparty to the Fund to cover the Funds exposure to the
counterparty). As the protection seller, the Funds maximum risk is the
notional amount of the contract. Credit default swaps are considered to have
credit risk-related contingent features since they require payment by the
protection seller to the protection buyer upon the occurrence of a defined
credit event.
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 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.
(e) Credit and Market Risk.
Investments in securities
that are collateralized by residential real estate mortgages are subject to
certain credit and liquidity risks. When market conditions result in an
increase in default rates of the underlying mortgages and foreclosure values of
underlying real estate properties are materially below the outstanding amount
of these underlying mortgages, collection of the full amount of accrued
interest and principal on these investments may be doubtful. Such market
conditions may significantly impair the value and liquidity of these
investments and may result in a lack of correlation between their credit ratings
and values.
(f) Security Transactions.
Security transactions are accounted for on a
trade date basis.
2. Investments
At
September 30, 2010, the aggregate gross unrealized appreciation and
depreciation of investments for federal income tax purposes were substantially
as follows:
Gross unrealized appreciation
|
|
$
|
22,722,374
|
|
Gross unrealized depreciation
|
|
(17,025,843
|
)
|
Net unrealized appreciation
|
|
$
|
5,696,531
|
|
At
September 30, 2010, the Fund had the following open swap contracts:
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION
1
SWAP COUNTERPARTY
(REFERENCE ENTITY)
|
|
NOTIONAL
AMOUNT
2
|
|
TERMINATION
DATE
|
|
PERIODIC
PAYMENTS
MADE BY THE
FUND
|
|
MARKET
VALUE
|
|
UPFRONT
PREMIUMS
PAID
(RECEIVED)
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Group Inc.
(Citigroup Inc., 6.500%, due 1/18/11)
|
|
$
|
1,700,000
|
|
3/20/14
|
|
4.700% Quarterly
|
|
$
|
(183,985
|
)
|
|
|
$
|
(183,985
|
)
|
Goldman Sachs Group, Inc.
(CVS Corporation, 4.875%, due 9/15/14)
|
|
2,000,000
|
|
12/20/14
|
|
0.680% Quarterly
|
|
(12,365
|
)
|
$
|
(26,516
|
)
|
14,151
|
|
Goldman Sachs Group Inc.
(Assured Guaranty Municipal Corp., 0.480%, due 11/15/13)
|
|
100,000
|
|
3/20/11
|
|
5.000% Quarterly
|
|
(42
|
)
|
(486
|
)
|
444
|
|
Goldman Sachs Group Inc.
(Assured Guaranty Municipal Corp., 0.480% due 11/15/13)
|
|
100,000
|
|
3/20/15
|
|
5.000% Quarterly
|
|
5,179
|
|
873
|
|
4,306
|
|
Goldman Sachs Group Inc.
(Assured Guaranty Municipal Corp., 0.480% due 11/15/13)
|
|
130,000
|
|
3/20/20
|
|
5.000% Quarterly
|
|
9,295
|
|
3,243
|
|
6,052
|
|
Goldman Sachs Group Inc.
(Assured Guaranty Municipal Corp., 0.480%, due 11/15/13)
|
|
70,000
|
|
3/20/13
|
|
5.000% Quarterly
|
|
1,353
|
|
(382
|
)
|
1,735
|
|
Goldman Sachs Group Inc.
(Assured Guaranty Municipal Corp., 0.480%, due 11/15/13)
|
|
120,000
|
|
3/20/11
|
|
5.000% Quarterly
|
|
(50
|
)
|
(526
|
)
|
476
|
|
Goldman Sachs Group Inc.
(Assured Guaranty Municipal Corp., 0.480%, due 11/15/13)
|
|
80,000
|
|
3/20/13
|
|
5.000% Quarterly
|
|
1,546
|
|
(262
|
)
|
1,808
|
|
Goldman Sachs Group Inc.
(Assured Guaranty Municipal Corp., 0.480%, due 11/15/13)
|
|
120,000
|
|
3/20/15
|
|
5.000% Quarterly
|
|
6,214
|
|
1,460
|
|
4,754
|
|
Goldman Sachs Group Inc.
(Assured Guaranty Municipal Corp., 0.480%, due 11/15/13)
|
|
50,000
|
|
3/20/20
|
|
5.000% Quarterly
|
|
3,575
|
|
1,512
|
|
2,063
|
|
Total
|
|
$
|
4,470,000
|
|
|
|
|
|
$
|
(169,280
|
)
|
$
|
(21,084
|
)
|
$
|
(148,196
|
)
|
15
Notes to Schedule of Investments (unaudited) (continued)
CREDIT
DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION
3
SWAP COUNTERPARTY
(REFERENCE ENTITY)
|
|
NOTIONAL AMOUNT
2
|
|
TERMINATION
DATE
|
|
PERIODIC
PAYMENTS
RECEIVED BY
THE FUND
|
|
MARKET
VALUE
4
|
|
UPFRONT
PREMIUMS
PAID
(RECEIVED)
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
|
|
Merrill Lynch & Co., Inc.
(CDX HY 8)
|
|
$
|
21,666,202
|
|
6/20/12
|
|
0.860% Quarterly
|
|
$
|
135,708
|
|
|
|
|
$
|
135,708
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 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
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.
3. Derivative Instruments and Hedging Activities
Financial
Accounting Standards Board Codification 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, 2010.
Primary
Underlying
Risk Disclosure
|
|
Swap
Contracts, at
value
|
|
Credit
Contracts
|
|
$
|
(33,572
|
)
|
|
|
|
|
|
During
the period ended September 30, 2010, the volume of derivative activity for the
Fund was as follows:
|
|
Average Notional
Balance
|
|
Credit
default swap contracts (to buy protection)
|
|
$
|
4,473,440
|
|
Credit
default swap contracts (to sell protection)
|
|
21,666,202
|
|
|
|
|
|
|
The
Fund has several credit related contingent features that if triggered would
allow its derivatives counterparties to close out and demand payment or
additional collateral to cover their exposure from the Fund. Credit related
contingent features are established between the Fund and its derivatives
counterparties to reduce the risk that the Fund will not fulfill its payment
obligations to its counterparties. These triggering features include, but are
not limited to, a percentage decrease in the Funds net assets and/or a percentage
decrease in the Funds Net Asset Value or NAV. The contingent features are
established within the Funds International Swap and Derivatives Association, Inc.
master agreements which govern positions in swaps, over-the-counter options,
and forward currency exchange contracts for each individual counterparty.
16
Notes to Schedule of Investments (unaudited) (continued)
As
of September 30, 2010, the total value of swap positions with credit related
contingent features in a net liability position was $196,442. If a contingent
feature would have been triggered as of September 30, 2010, the Fund would have
been required to pay this amount in cash to its counterparties. The Fund posted
collateral for its swap transactions in the amount of $300,000.
17
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 and Trustee
|
|
|
|
Date: November 23, 2010
|
|
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 and Trustee
|
|
|
|
Date: November 23, 2010
|
|
By
|
/s/ Kaprel Ozsolak
|
|
|
Kaprel Ozsolak
|
|
|
Principal Financial and
Accounting Officer
|
|
|
|
Date: November 23, 2010
|
|
Grafico Azioni Western Asset Premier (NYSE:WEA)
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Grafico Azioni Western Asset Premier (NYSE:WEA)
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