WESTERN ASSET LIMITED DURATION BOND FUND
|
|
|
|
|
Schedule of investments (unaudited) (cont’d)
|
|
September 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
RATE
|
|
|
MATURITY
DATE
|
|
|
FACE
AMOUNT
|
|
|
VALUE
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government National Mortgage Association (GNMA), 2010-H03 FA
|
|
|
0.785
|
%
|
|
|
3/20/60
|
|
|
$
|
195,086
|
|
|
$
|
195,413
|
(b)
|
|
Government National Mortgage Association (GNMA), 2010-H10 FB
|
|
|
1.235
|
%
|
|
|
5/20/60
|
|
|
|
219,401
|
|
|
|
224,331
|
(b)
|
|
Government National Mortgage Association (GNMA), 2011-H01 AF
|
|
|
0.694
|
%
|
|
|
11/20/60
|
|
|
|
655,378
|
|
|
|
654,007
|
(b)
|
|
Government National Mortgage Association (GNMA), 2011-H05 FB
|
|
|
0.744
|
%
|
|
|
12/20/60
|
|
|
|
92,379
|
|
|
|
92,426
|
(b)
|
|
Government National Mortgage Association (GNMA), 2011-H06 FA
|
|
|
0.694
|
%
|
|
|
2/20/61
|
|
|
|
95,214
|
|
|
|
95,015
|
(b)
|
|
Government National Mortgage Association (GNMA), 2011-H07 FA
|
|
|
0.744
|
%
|
|
|
2/20/61
|
|
|
|
263,447
|
|
|
|
263,578
|
(b)
|
|
Government National Mortgage Association (GNMA), 2011-H19 FA
|
|
|
0.714
|
%
|
|
|
8/20/61
|
|
|
|
1,645,401
|
|
|
|
1,643,671
|
(b)
|
|
Government National Mortgage Association (GNMA), 2012-H21 FA
|
|
|
0.750
|
%
|
|
|
7/20/62
|
|
|
|
1,400,000
|
|
|
|
1,396,500
|
(b)(d)
|
|
Government National Mortgage Association (GNMA), 2012-H23 WA
|
|
|
0.730
|
%
|
|
|
9/28/72
|
|
|
|
600,000
|
|
|
|
601,500
|
(b)(d)
|
|
GSMPS Mortgage Loan Trust, 2005-RP3 1AF
|
|
|
0.567
|
%
|
|
|
9/25/35
|
|
|
|
261,461
|
|
|
|
211,383
|
(a)(b)
|
|
Luminent Mortgage Trust, 2006-7 2A2
|
|
|
0.437
|
%
|
|
|
12/25/36
|
|
|
|
516,220
|
|
|
|
94,717
|
(b)
|
|
Merrill Lynch Mortgage Investors Inc., 2003-H A3
|
|
|
2.323
|
%
|
|
|
1/25/29
|
|
|
|
11,500
|
|
|
|
11,666
|
(b)
|
|
Merrill Lynch Mortgage Investors Trust, 2004-A1 2A1
|
|
|
2.704
|
%
|
|
|
2/25/34
|
|
|
|
126,485
|
|
|
|
126,813
|
(b)
|
|
Morgan Stanley Capital I, 2011-C1 A1
|
|
|
2.602
|
%
|
|
|
9/15/47
|
|
|
|
195,057
|
|
|
|
201,147
|
(a)
|
|
Morgan Stanley Dean Witter Capital I, 2002-IQ3 A4
|
|
|
5.080
|
%
|
|
|
9/15/37
|
|
|
|
59,192
|
|
|
|
59,201
|
|
|
NCUA Guaranteed Notes, 2011-R1 1A
|
|
|
0.678
|
%
|
|
|
1/8/20
|
|
|
|
146,280
|
|
|
|
147,048
|
(b)
|
|
Prime Mortgage Trust, 2005-2 2A1
|
|
|
7.018
|
%
|
|
|
10/25/32
|
|
|
|
54,996
|
|
|
|
54,529
|
(b)
|
|
Residential Asset Mortgage Products Inc., 2004-SL1
|
|
|
7.000
|
%
|
|
|
11/25/31
|
|
|
|
7,085
|
|
|
|
7,090
|
|
|
Residential Asset Mortgage Products Inc., 2004-SL2 A4
|
|
|
8.500
|
%
|
|
|
10/25/31
|
|
|
|
15,624
|
|
|
|
16,786
|
|
|
Sequoia Mortgage Trust, 2003-2 A2
|
|
|
1.068
|
%
|
|
|
6/20/33
|
|
|
|
15,488
|
|
|
|
14,890
|
(b)
|
|
Sequoia Mortgage Trust, 2004-6 A1
|
|
|
2.251
|
%
|
|
|
7/20/34
|
|
|
|
77,908
|
|
|
|
76,765
|
(b)
|
|
Structured ARM Loan Trust, 2005-12 3A1
|
|
|
2.721
|
%
|
|
|
6/25/35
|
|
|
|
242,085
|
|
|
|
209,852
|
(b)
|
|
Structured Asset Securities Corp., 2003-22A 3A
|
|
|
2.836
|
%
|
|
|
6/25/33
|
|
|
|
282,156
|
|
|
|
284,784
|
(b)
|
|
Structured Asset Securities Corp., 2004-NP1 A
|
|
|
0.617
|
%
|
|
|
9/25/33
|
|
|
|
79,559
|
|
|
|
72,327
|
(a)(b)
|
|
Structured Asset Securities Corp., 2005-4XS 3A4
|
|
|
4.790
|
%
|
|
|
3/25/35
|
|
|
|
131,384
|
|
|
|
131,668
|
|
|
Wachovia Mortgage Loan Trust LLC, 2005-A 1A1
|
|
|
2.991
|
%
|
|
|
8/20/35
|
|
|
|
91,553
|
|
|
|
73,952
|
(b)
|
|
WaMu Mortgage Pass-Through Certificates, 2003-AR8 A
|
|
|
2.462
|
%
|
|
|
8/25/33
|
|
|
|
115,378
|
|
|
|
117,999
|
(b)
|
|
WaMu Mortgage Pass-Through Certificates, 2005-AR19
|
|
|
0.627
|
%
|
|
|
12/25/45
|
|
|
|
318,835
|
|
|
|
273,364
|
(b)
|
|
Washington Mutual Inc., Mortgage Pass-Through Certificates, 2006-AR04 DA
|
|
|
1.118
|
%
|
|
|
6/25/46
|
|
|
|
310,065
|
|
|
|
154,845
|
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost - $10,115,374)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,171,710
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES - 3.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FNMA - 1.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage Association (FNMA)
|
|
|
5.500
|
%
|
|
|
3/1/18-9/1/21
|
|
|
|
251,396
|
|
|
|
273,983
|
|
|
Federal National Mortgage Association (FNMA)
|
|
|
2.497
|
%
|
|
|
12/1/34
|
|
|
|
46,602
|
|
|
|
49,908
|
(b)
|
|
Federal National Mortgage Association (FNMA)
|
|
|
2.505
|
%
|
|
|
12/1/34
|
|
|
|
30,300
|
|
|
|
32,449
|
(b)
|
|
Federal National Mortgage Association (FNMA)
|
|
|
2.293
|
%
|
|
|
1/1/35
|
|
|
|
114,670
|
|
|
|
121,874
|
(b)
|
|
Federal National Mortgage Association (FNMA)
|
|
|
2.335
|
%
|
|
|
3/1/35
|
|
|
|
230,233
|
|
|
|
246,251
|
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total FNMA
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
724,465
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
GNMA - 2.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government National Mortgage Association (GNMA)
|
|
|
6.500
|
%
|
|
|
8/15/34
|
|
|
|
134,144
|
|
|
|
157,525
|
|
See
Notes to Schedule of Investments.
6
WESTERN ASSET LIMITED DURATION BOND FUND
|
|
|
|
|
Schedule of investments (unaudited) (cont’d)
|
|
September 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
RATE
|
|
|
MATURITY
DATE
|
|
|
FACE
AMOUNT
|
|
|
VALUE
|
|
|
GNMA - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government National Mortgage Association (GNMA)
|
|
|
7.000
|
%
|
|
|
3/15/36
|
|
|
$
|
283,410
|
|
|
$
|
338,658
|
|
|
Government National Mortgage Association (GNMA)
|
|
|
2.321
|
%
|
|
|
8/20/60
|
|
|
|
168,904
|
|
|
|
179,038
|
(b)
|
|
Government National Mortgage Association (GNMA) II
|
|
|
1.650
|
%
|
|
|
1/20/60
|
|
|
|
229,458
|
|
|
|
230,960
|
(b)(d)
|
|
Government National Mortgage Association (GNMA) II
|
|
|
1.426
|
%
|
|
|
7/20/60
|
|
|
|
96,246
|
|
|
|
98,277
|
(b)
|
|
Government National Mortgage Association (GNMA) II
|
|
|
1.484
|
%
|
|
|
7/20/60
|
|
|
|
194,022
|
|
|
|
198,368
|
(b)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total GNMA
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,202,826
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(Cost - $1,874,149)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,927,291
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SOVEREIGN BONDS - 1.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Norway - 0.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Kommunalbanken AS, Senior Notes
|
|
|
2.375
|
%
|
|
|
1/19/16
|
|
|
|
300,000
|
|
|
|
316,253
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Russia - 0.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Russian Foreign Bond-Eurobond, Senior Notes
|
|
|
3.625
|
%
|
|
|
4/29/15
|
|
|
|
300,000
|
|
|
|
315,750
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SOVEREIGN BONDS
(Cost - $604,093)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
632,003
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 4.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agencies - 2.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal Farm Credit Bank (FFCB), Bonds
|
|
|
1.500
|
%
|
|
|
11/16/15
|
|
|
|
320,000
|
|
|
|
330,903
|
|
|
Federal National Mortgage Association (FNMA), Notes
|
|
|
1.050
|
%
|
|
|
9/9/13
|
|
|
|
300,000
|
|
|
|
301,910
|
|
|
Federal National Mortgage Association (FNMA), Notes
|
|
|
0.875
|
%
|
|
|
8/28/17
|
|
|
|
420,000
|
|
|
|
422,115
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Agencies
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,054,928
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Obligations - 2.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Notes
|
|
|
0.250
|
%
|
|
|
1/15/15
|
|
|
|
420,000
|
|
|
|
419,869
|
|
|
U.S. Treasury Notes
|
|
|
0.375
|
%
|
|
|
3/15/15
|
|
|
|
240,000
|
|
|
|
240,581
|
|
|
U.S. Treasury Notes
|
|
|
1.000
|
%
|
|
|
9/30/16
|
|
|
|
270,000
|
|
|
|
275,738
|
|
|
U.S. Treasury Notes
|
|
|
0.500
|
%
|
|
|
7/31/17
|
|
|
|
90,000
|
|
|
|
89,557
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Obligations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,025,745
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost - $2,056,408)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,080,673
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $49,896,417)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,704,222
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS - 6.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agencies - 2.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes
|
|
|
0.125
|
%
|
|
|
12/24/12
|
|
|
|
750,000
|
|
|
|
749,930
|
(i)
|
|
Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes
|
|
|
0.135
|
%
|
|
|
12/27/12
|
|
|
|
500,000
|
|
|
|
499,952
|
(i)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Government Agencies
(Cost - $1,249,618)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,249,882
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements - 4.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Capital Inc. repurchase agreement dated 9/28/12; Proceeds at maturity - $2,346,029; (Fully collateralized by U.S.
Treasury Notes, 0.875% due 1/31/17; Market value - $2,431,535) (Cost - $2,346,000)
|
|
|
0.150
|
%
|
|
|
10/1/12
|
|
|
|
2,346,000
|
|
|
|
2,346,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS
(Cost - $3,595,618)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,595,882
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 100.3%
(Cost - $53,492,035#)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52,300,104
|
|
|
Liabilities in Excess of Other Assets - (0.3)%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(141,861
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL NET ASSETS - 100.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
52,158,243
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
7
WESTERN ASSET LIMITED DURATION BOND FUND
|
|
|
|
|
Schedule of investments (unaudited) (cont’d)
|
|
September 30, 2012
|
|
(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 Directors, unless otherwise noted.
|
|
(b)
|
Variable rate security. Interest rate disclosed is as of the most recent information available.
|
|
(c)
|
The coupon payment on these securities is currently in default as of September 30, 2012.
|
|
(d)
|
Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1).
|
|
(f)
|
Value is less than $1.
|
|
(g)
|
Security has no maturity date. The date shown represents the next call date.
|
|
(h)
|
The maturity principal is currently in default as of September 30, 2012.
|
|
(i)
|
Rate shown represents yield-to-maturity.
|
|
#
|
Aggregate cost for federal income tax purposes is substantially the same.
|
Abbreviations used in this schedule:
|
|
|
|
|
|
|
|
ARM
|
|
— Adjustable Rate Mortgage
|
SCHEDULE OF WRITTEN OPTIONS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
EXPIRATION
DATE
|
|
|
STRIKE
RATE
|
|
|
NOTIONAL
PAR
|
|
|
VALUE
|
|
|
Interest Rate Swaption with Barclays Capital Inc., Put
(Premiums received - $79,776)
|
|
|
8/26/14
|
|
|
|
2.00
|
%
|
|
|
19,108,000
|
|
|
$
|
6,225
|
|
See
Notes to Schedule of Investments.
8
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Limited Duration Bond Fund (formerly known as Western Asset Limited Duration Bond Portfolio) (the “Fund”) is a separate diversified investment series of Western Asset Funds, Inc.
(the “Corporation”). The Corporation, a Maryland corporation, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting
principles (“GAAP”).
(a) Investment valuation.
The valuations for fixed income securities (which may include, but are not
limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which
may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment
speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not
reflect an investment’s fair value. 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 reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange
rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the
manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily
available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values
these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.
The Board of Directors is
responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North American Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies
adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party
pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples
of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to
maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of
security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial
institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or
comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair
valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair
valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are
consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or
comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP
establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
|
|
•
|
|
Level 1 – quoted prices in active markets for identical investments
|
9
Notes to Schedule of Investments (unaudited) (continued)
|
|
•
|
|
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
|
|
|
•
|
|
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
|
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with
investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at
fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSETS
|
|
|
DESCRIPTION
|
|
QUOTED PRICES
(LEVEL 1)
|
|
|
OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)
|
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
|
|
|
TOTAL
|
|
|
Long-term investments†:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate bonds & notes
|
|
|
—
|
|
|
$
|
23,153,233
|
|
|
$
|
0
|
*
|
|
$
|
23,153,233
|
|
|
Asset-backed securities
|
|
|
—
|
|
|
|
11,739,312
|
|
|
|
—
|
|
|
|
11,739,312
|
|
|
Collateralized mortgage obligations
|
|
|
—
|
|
|
|
9,171,710
|
|
|
|
—
|
|
|
|
9,171,710
|
|
|
Mortgage-backed securities
|
|
|
—
|
|
|
|
1,927,291
|
|
|
|
—
|
|
|
|
1,927,291
|
|
|
Sovereign bonds
|
|
|
—
|
|
|
|
632,003
|
|
|
|
—
|
|
|
|
632,003
|
|
|
U.S. government &agency obligations
|
|
|
—
|
|
|
|
2,080,673
|
|
|
|
—
|
|
|
|
2,080,673
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total long-term investments
|
|
|
—
|
|
|
$
|
48,704,222
|
|
|
$
|
0
|
*
|
|
$
|
48,704,222
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-term investments†
|
|
|
—
|
|
|
|
3,595,882
|
|
|
|
—
|
|
|
|
3,595,882
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investments
|
|
|
—
|
|
|
$
|
52,300,104
|
|
|
$
|
0
|
*
|
|
$
|
52,300,104
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
$
|
10,566
|
|
|
|
—
|
|
|
|
—
|
|
|
$
|
10,566
|
|
|
Credit default swaps on corporate issues - buy protection‡
|
|
|
—
|
|
|
$
|
240
|
|
|
|
—
|
|
|
|
240
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total other financial instruments
|
|
$
|
10,566
|
|
|
$
|
240
|
|
|
|
—
|
|
|
$
|
10,806
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
10,566
|
|
|
$
|
52,300,344
|
|
|
$
|
0
|
*
|
|
$
|
52,310,910
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
|
|
|
DESCRIPTION
|
|
QUOTED PRICES
(LEVEL 1)
|
|
|
OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)
|
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL
3)
|
|
|
TOTAL
|
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Written options
|
|
|
—
|
|
|
$
|
6,225
|
|
|
|
—
|
|
|
$
|
6,225
|
|
|
Futures contracts
|
|
$
|
46,421
|
|
|
|
—
|
|
|
|
—
|
|
|
|
46,421
|
|
|
Credit default swaps on corporate issues - buy protection‡
|
|
|
—
|
|
|
|
402
|
|
|
|
—
|
|
|
|
402
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
46,421
|
|
|
$
|
6,627
|
|
|
|
—
|
|
|
$
|
53,048
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
|
‡
|
Values include any premiums paid or received with respect to swap contracts.
|
(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 Fund’s holding period. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian, acting on the Fund’s 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) Written options.
When the Fund writes an option, an amount equal to the premium
received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option
10
Notes to Schedule of Investments (unaudited) (continued)
expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the
Fund’s basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a
realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased by the Fund from the exercise of the written put option to form the Fund’s basis in the
underlying security purchased. The writer or buyer of an option traded on an exchange can liquidate the position before the exercise of the option by entering into a closing transaction. The cost of a closing transaction is deducted from the
original premium received resulting in a realized gain or loss to the Fund.
The risk in writing a covered call option is that the Fund may
forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and
the option is exercised. The risk in writing an uncovered call option is that the Fund is exposed to the risk of loss if the market price of the underlying security increases. In addition, there is the risk that the Fund may not be able to enter
into a closing transaction because of an illiquid secondary market.
(d) Futures contracts.
The Fund uses futures contracts generally
to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on
a specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount
equal to a certain percentage of the contract amount. This is known as the “initial margin” and subsequent payments (“variation margin”) are made or received by the Fund each day, depending on the daily fluctuation in the value
of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price
established by the board of trade or exchange on which they are traded.
Futures contracts involve, to varying degrees, risk of loss. In
addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(e)
Swaptions.
The Fund purchases and writes swaption contracts to manage exposure to an underlying instrument. The Fund may also purchase or write options to manage exposure to fluctuations in interest rates or to enhance yield. Swaption contracts
written by the Fund represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract at a future date. Swaption contracts purchased by the Fund represent an option that gives the
Fund the right, but not the obligation, to enter into a previously agreed upon swap contract at a future date.
When the Fund writes a
swaption, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the swaption written. If the swaption expires, the Fund realizes a gain
equal to the amount of the premium received.
When the Fund purchases a swaption, an amount equal to the premium paid by the Fund is recorded
as an investment, the value of which is marked-to-market daily to reflect the current market value of the swaption purchased. If the swaption expires, the Fund realizes a loss equal to the amount of the premium paid.
Swaptions are marked-to-market daily based upon quotations from market makers.
(f) Swap agreements.
The Fund invests 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 other 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 Fund’s custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Schedule of Investments.
The Fund’s maximum exposure in the event of a defined credit event on a credit default swap to sell protection is the notional amount. As of
September 30, 2012, the Fund did not hold any credit default swaps to sell protection.
For average
notional amounts of swaps held during the period ended September 30, 2012, see Note 3.
Credit default swaps
The Fund enters 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
11
Notes to Schedule of Investments (unaudited) (continued)
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 issuer’s 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 entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. 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
Fund’s 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 Fund’s exposure to the
counterparty). As the protection seller, the Fund’s 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.
Interest rate swaps
The Fund may enter into interest rate swap contracts to manage its exposure to interest rate risk. Interest rate swaps are agreements
between two parties to exchange cash flows based on a notional principal amount. The Fund may elect to pay a fixed rate and receive a floating rate, or receive a fixed rate and pay a floating rate, on a notional principal amount. Interest rate swaps
are marked-to-market daily based upon quotations from market makers.
The risks of interest rate swaps include changes in market conditions
that will affect the value of the contract or changes in the present value of the future cash flow streams and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund’s maximum risk of loss from
counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive. This risk is mitigated by the posting of collateral by
the counterparty to the Fund to cover the Fund’s exposure to the counterparty.
(g) 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 the 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.
(h) Foreign investment risks.
The Fund’s investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may
require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund.
Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
12
Notes to Schedule of Investments (unaudited) (continued)
(i) Counterparty risk and credit-risk-related contingent features of
derivative instruments.
The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may
also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The
Fund’s investment manager attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual
counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the investment
manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
The Fund has
entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events of default or termination and credit related contingent features. The credit related
contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or NAV over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate
the positions and demand payment or require additional collateral.
As of September 30, 2012, the Fund held written options and credit
default swaps with credit related contingent features which had a liability position of $6,627. If a contingent feature in the master agreements would have been triggered, the Fund would have been required to pay this amount to its derivatives
counterparties.
(j) Security transactions.
Security transactions are accounted for on a trade date basis.
2. Investments
At September 30,
2012, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
1,096,668
|
|
|
Gross unrealized depreciation
|
|
|
(2,288,599
|
)
|
|
|
|
|
|
|
|
Net unrealized depreciation
|
|
$
|
(1,191,931
|
)
|
|
|
|
|
|
|
At September 30, 2012, the Fund had the following open futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts
|
|
|
Expiration
Date
|
|
|
Basis
Value
|
|
|
Market
Value
|
|
|
Unrealized
Gain (loss)
|
|
|
Contracts to Buy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 2-Year Notes
|
|
|
100
|
|
|
|
12/12
|
|
|
$
|
22,042,559
|
|
|
$
|
22,053,125
|
|
|
$
|
10,566
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
90-Day Eurodollar
|
|
|
5
|
|
|
|
3/13
|
|
|
|
1,236,609
|
|
|
|
1,245,937
|
|
|
|
(9,328
|
)
|
|
90-Day Eurodollar
|
|
|
5
|
|
|
|
9/13
|
|
|
|
1,232,921
|
|
|
|
1,245,625
|
|
|
|
(12,704
|
)
|
|
U.S. Treasury 5-Year Notes
|
|
|
45
|
|
|
|
12/12
|
|
|
|
5,584,088
|
|
|
|
5,608,477
|
|
|
|
(24,389
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(46,421
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized loss on open futures contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(35,855
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
During the period ended September 30, 2012, written option transactions for the Fund were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
Par/
contracts
|
|
|
Premiums
|
|
|
Written options, outstanding December 31, 2011
|
|
|
19,108,020
|
|
|
$
|
84,086
|
|
|
Options written
|
|
|
10
|
|
|
|
1,030
|
|
|
Options closed
|
|
|
(20
|
)
|
|
|
(4,310
|
)
|
|
Options exercised
|
|
|
—
|
|
|
|
—
|
|
|
Options expired
|
|
|
(10
|
)
|
|
|
(1,030
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Written options, outstanding as of September 30, 2012
|
|
|
19,108,000
|
|
|
$
|
79,776
|
|
|
|
|
|
|
|
|
|
|
|
13
Notes to Schedule of Investments (unaudited) (continued)
At September 30, 2012, the Fund held the following credit default swap
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CREDIT DEFAULT SWAPS ON CORPORATE ISSUES
- BUY PROTECTION
1
|
|
|
SWAP COUNTERPARTY
(REFERENCE
ENTITY)
|
|
NOTIONAL
AMOUNT
2
|
|
|
TERMINATION
DATE
|
|
|
IMPLIED
CREDIT
SPREAD
AT
SEPTEMBER 30,
2012
3
|
|
|
PERIODIC
PAYMENTS
MADE BY
THE FUND
†
|
|
|
MARKET
VALUE
|
|
|
UPFRONT
PREMIUMS
PAID
(RECEIVED)
|
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
|
|
|
Goldman Sachs Group Inc. (Assured Guaranty Municipal Corp., 0.480% due 11/15/13)
|
|
$
|
40,000
|
|
|
|
3/20/15
|
|
|
|
5.261
|
%
|
|
|
5.000
quarterly
|
%
|
|
$
|
240
|
|
|
$
|
193
|
|
|
$
|
47
|
|
|
Goldman Sachs Group Inc. (Assured Guaranty Municipal Corp., 0.480%, due 11/15/13)
|
|
|
30,000
|
|
|
|
3/20/13
|
|
|
|
2.180
|
%
|
|
|
5.000
quarterly
|
%
|
|
|
(402
|
)
|
|
|
(31
|
)
|
|
|
(371
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
70,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(162
|
)
|
|
$
|
162
|
|
|
$
|
(324
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1
|
If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from
the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or
securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index.
|
|
2
|
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as
defined under the terms of that particular swap agreement.
|
|
3
|
Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of
period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of
buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default
or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.
|
|
†
|
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 entity’s derivative and hedging activities.
The following is a summary of the Fund’s derivative instruments categorized by risk exposure at September 30, 2012.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
|
|
|
|
|
|
Primary Underlying Risk Disclosure
|
|
Written Options,
at value
|
|
|
Unrealized
Appreciation
|
|
|
Unrealized
Depreciation
|
|
|
Swap Contracts,
at value
|
|
|
Total
|
|
|
Interest Rate Risk
|
|
$
|
(6,225
|
)
|
|
$
|
10,566
|
|
|
$
|
(46,421
|
)
|
|
|
—
|
|
|
$
|
(42,080
|
)
|
|
Credit Risk
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
$
|
(162
|
)
|
|
|
(162
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
(6,225
|
)
|
|
$
|
10,566
|
|
|
$
|
(46,421
|
)
|
|
$
|
(162
|
)
|
|
$
|
(42,242
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
During the period ended September 30, 2012, the volume of derivative activity for the Fund was as follows:
|
|
|
|
|
|
|
|
|
Average market value
|
|
|
Purchased options†
|
|
$
|
1,519
|
|
|
Written options
|
|
|
25,930
|
|
|
Futures contracts (to buy)
|
|
|
24,832,632
|
|
|
Futures contracts (to sell)
|
|
|
11,257,554
|
|
|
|
|
|
|
|
Average notional balance
|
|
|
Credit default swap contracts (to buy protection)
|
|
$
|
95,000
|
|
|
†
|
At September 30, 2012, there were no open positions held in this derivative.
|
14
|
ITEM 2.
|
CONTROLS AND PROCEDURES.
|
|
|
(a)
|
The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s 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 registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the
registrant’s last fiscal quarter that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.
|
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 Funds, Inc.
|
|
|
|
|
By:
|
|
/s/ R. J
AY
G
ERKEN
|
|
|
|
R. Jay Gerken
|
|
|
|
President
|
|
|
|
|
Date:
|
|
November 26, 2012
|
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. J
AY
G
ERKEN
|
|
|
|
R. Jay Gerken
|
|
|
|
President
|
|
|
|
|
Date:
|
|
November 26, 2012
|
|
|
|
|
By:
|
|
/s/ R
ICHARD
F.
S
ENNETT
|
|
|
|
Richard F. Sennett
|
|
|
|
Principal Financial Officer
|
|
|
|
|
Date:
|
|
November 26, 2012
|
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