# EDGAR Filing Document

**Accession Number:** 0001645194
**File Stem:** 0001752724-23-046665
**Filing Date:** 2023-2
**Character Count:** 301298
**Document Hash:** 8c15b450efdf32e43bd27ef709e13dc3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046665.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046665

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221230

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Legg Mason ETF Investment Trust
- **CENTRAL INDEX KEY:** 0001645194
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23096
- **FILM NUMBER:** 23682898

**BUSINESS ADDRESS:**
- **STREET 1:** 620 EIGHTH AVE
- **STREET 2:** 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 877-721-1926

**MAIL ADDRESS:**
- **STREET 1:** 620 EIGHTH AVE
- **STREET 2:** 49TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Legg Mason ETF InvestmentTrust
- **DATE OF NAME CHANGE:** 20170221

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** Legg Mason ETF Equity Trust
- **DATE OF NAME CHANGE:** 20150615

## Series and Classes Contracts Data

### WESTERN ASSET SHORT DURATION INCOME ETF (Series ID: S000064209)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000207671 | WESTERN ASSET SHORT DURATION INCOME ETF | WINC            |

## Nport-Ex

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| **CORPORATE BONDS & NOTES - 85.8%** |  |  |  |  |  |
| **COMMUNICATION SERVICES - 7.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services - 2.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 4.250% | 3/1/27 | $30000 | $29191 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 1.650% | 2/1/28 | 20000 | 16891 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NTT Finance Corp., Senior Notes | 1.162% | 4/3/26 | 200000 | 176871 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NTT Finance Corp., Senior Notes | 4.372% | 7/27/27 | 200000 | 195343 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 2.550% | 3/21/31 | 60000 | 49342 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Telecommunication Services* |  |  |  | *467638* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 3.755% | 3/15/27 | 120000 | 108063 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 5.050% | 3/15/42 | 10000 | 7651 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Entertainment* |  |  |  | *115714* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Interactive Media & Services - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | 1.100% | 8/15/30 | 80000 | 62606 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | 3.850% | 8/15/32 | 30000 | 26398 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Interactive Media & Services* |  |  |  | *89004* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - 3.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.908% | 7/23/25 | 30000 | 29403 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.050% | 3/30/29 | 190000 | 178759 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.400% | 4/1/33 | 30000 | 25670 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 3.400% | 4/1/30 | 100000 | 91184 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fox Corp., Senior Notes | 4.030% | 1/25/24 | 40000 | 39536 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Time Warner Cable Enterprises LLC, Senior Secured Notes | 8.375% | 3/15/23 | 540000 | 543372 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Media* |  |  |  | *907924* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Wireless Telecommunication Services - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sprint LLC, Senior Notes | 7.125% | 6/15/24 | 50000 | 50977 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 3.500% | 4/15/25 | 20000 | 19234 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 2.050% | 2/15/28 | 80000 | 68707 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 2.250% | 11/15/31 | 50000 | 39330 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Wireless Telecommunication Services* |  |  |  | *178248* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMUNICATION SERVICES** |  |  |  | 1758528 |  |
| **CONSUMER DISCRETIONARY - 10.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Auto Components - 0.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | 4.750% | 4/29/25 | 200000 | *188908* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles - 3.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 3.664% | 9/8/24 | 200000 | 190552 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 2.700% | 8/10/26 | 200000 | 173680 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | 6.125% | 10/1/25 | 250000 | 254427 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | 5.600% | 10/15/32 | 20000 | 18580 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hyundai Capital America, Senior Notes | 0.800% | 1/8/24 | 70000 | 66592 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nissan Motor Co. Ltd., Senior Notes | 3.043% | 9/15/23 | 200000 | 195954 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Automobiles* |  |  |  | *899785* | |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 1

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure - 3.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Genting New York LLC/GENNY Capital Inc., Senior Notes | 3.300% | 2/15/26 | $200000 | $174897 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 3.200% | 8/8/24 | 140000 | 132327 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 2.900% | 6/25/25 | 300000 | 275692 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Marriott International Inc., Senior Notes | 3.600% | 4/15/24 | 130000 | 127396 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | 5.900% | 8/8/28 | 200000 | 187261 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Hotels, Restaurants & Leisure* |  |  |  | *897573* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Durables - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DR Horton Inc., Senior Notes | 2.500% | 10/15/24 | 110000 | 104744 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MDC Holdings Inc., Senior Notes | 2.500% | 1/15/31 | 10000 | 7212 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Household Durables* |  |  |  | *111956* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Internet & Direct Marketing Retail - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | 1.200% | 6/3/27 | 140000 | *121238* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Multiline Retail - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dollar Tree Inc., Senior Notes | 4.000% | 5/15/25 | 50000 | 48813 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nordstrom Inc., Senior Notes | 2.300% | 4/8/24 | 20000 | 18704 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Multiline Retail* |  |  |  | *67517* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lowe's Cos. Inc., Senior Notes | 1.300% | 4/15/28 | 120000 | 99721 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER DISCRETIONARY** |  |  |  | 2386698 |  |
| **CONSUMER STAPLES - 2.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Beverages - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes (3 mo. USD LIBOR + 0.740%) | 4.659% | 1/12/24 | 100000 | 100097 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PepsiCo Inc., Senior Notes | 3.900% | 7/18/32 | 20000 | 18858 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Beverages* |  |  |  | *118955* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food & Staples Retailing - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Costco Wholesale Corp., Senior Notes | 1.375% | 6/20/27 | 10000 | *8758* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food Products - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hershey Co., Senior Notes | 1.700% | 6/1/30 | 10000 | 8007 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mondelez International Inc., Senior Notes | 1.500% | 2/4/31 | 20000 | 15378 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Food Products* |  |  |  | *23385* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Products - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Clorox Co., Senior Notes | 1.800% | 5/15/30 | 10000 | 7962 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kimberly-Clark Corp., Senior Notes | 1.050% | 9/15/27 | 10000 | 8527 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Household Products* |  |  |  | *16489* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Tobacco - 2.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 2.625% | 9/16/26 | 100000 | 91691 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 4.800% | 2/14/29 | 80000 | 76762 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BAT International Finance PLC, Senior Notes | 1.668% | 3/25/26 | 140000 | 124048 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cargill Inc., Senior Notes | 0.750% | 2/2/26 | 150000 | 132788 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Philip Morris International Inc. | 5.125% | 11/17/27 | 60000 | 60438 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Tobacco* |  |  |  | *485727* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER STAPLES** |  |  |  | 653314 |  |

---

**See Notes to Schedules of Investments.** 

2 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |
| **ENERGY - 12.4%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - 12.4%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cimarex Energy Co., Senior Notes | 4.375% | 3/15/29 | $20000 | $15578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 4.500% | 4/15/23 | 140000 | 139661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 3.800% | 6/1/24 | 40000 | 38897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 2.268% | 11/15/26 | 100000 | 86646 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | 3.900% | 5/15/27 | 110000 | 102709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | 4.375% | 3/15/29 | 80000 | 75579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DCP Midstream Operating LP, Senior Notes | 3.250% | 2/15/32 | 40000 | 33085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 5.850% | 12/15/25 | 60000 | 61083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 5.250% | 10/15/27 | 86000 | 85100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 5.875% | 6/15/28 | 12000 | 12136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 4.500% | 1/15/30 | 200000 | 186199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon OEI Operating LLC, Senior Notes | 7.500% | 9/15/27 | 20000 | 21675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diamondback Energy Inc., Senior Notes | 3.250% | 12/1/26 | 140000 | 130214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | 5.875% | 9/18/23 | 180000 | 178837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | 4.625% | 11/2/31 | 40000 | 30554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; El Paso Natural Gas Co. LLC, Senior Notes | 7.500% | 11/15/26 | 60000 | 63682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 4.200% | 9/15/23 | 20000 | 19874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 4.050% | 3/15/25 | 410000 | 397124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 2.900% | 5/15/25 | 80000 | 75340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | 3.950% | 2/15/27 | 30000 | 28773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | 2.800% | 1/31/30 | 60000 | 50971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. USD LIBOR + 2.570%) | 5.375% | 2/15/78 | 120000 | 91507 <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | 4.375% | 4/15/30 | 30000 | 29000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 5.678% | 10/1/25 | 20000 | 19903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 3.125% | 5/15/26 | 110000 | 101094 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 3.900% | 10/1/27 | 10000 | 9232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exxon Mobil Corp., Senior Notes | 3.482% | 3/19/30 | 40000 | 37304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Florida Gas Transmission Co. LLC, Senior Notes | 2.300% | 10/1/31 | 70000 | 53435 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kinder Morgan Energy Partners LP, Senior Notes | 7.300% | 8/15/33 | 10000 | 10792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MEG Energy Corp., Senior Notes | 7.125% | 2/1/27 | 70000 | 71392 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | 1.750% | 3/1/26 | 200000 | 178274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Northwest Pipeline LLC, Senior Notes | 7.125% | 12/1/25 | 20000 | 20659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 6.950% | 7/1/24 | 6000 | 6114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Parsley Energy LLC/Parsley Finance Corp., Senior Notes | 4.125% | 2/15/28 | 10000 | 9183 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co., Senior Notes | 0.550% | 5/15/23 | 100000 | 98353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Southwestern Energy Co., Senior Notes | 4.750% | 2/1/32 | 10000 | 8546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Corp., Senior Notes | 5.200% | 7/1/27 | 40000 | 39205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Corp., Senior Notes | 4.200% | 2/1/33 | 50000 | 43018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tennessee Gas Pipeline Co. LLC, Senior Notes | 7.000% | 10/15/28 | 50000 | 53407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tennessee Gas Pipeline Co. LLC, Senior Notes | 2.900% | 3/1/30 | 40000 | 33504 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 3.250% | 5/15/30 | 30000 | 26034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 3.350% | 2/1/25 | 80000 | 75698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 3.950% | 6/1/25 | 40000 | 37862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ENERGY** |  |  |  | 2887233 |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 3

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| **FINANCIALS - 28.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks - 15.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%) | 4.175% | 3/24/28 | $200000 | $185503 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (1.530% to 12/6/24 then SOFR + 0.650%) | 1.530% | 12/6/25 | 20000 | 18446 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (1.734% to 7/22/26 then SOFR + 0.960%) | 1.734% | 7/22/27 | 370000 | 324163 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.299% to 7/21/31 then SOFR + 1.220%) | 2.299% | 7/21/32 | 30000 | 23103 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) | 2.572% | 10/20/32 | 100000 | 78320 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%) | 2.592% | 4/29/31 | 130000 | 105877 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.972% to 2/4/32 then SOFR + 1.330%) | 2.972% | 2/4/33 | 200000 | 161124 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNP Paribas SA, Junior Subordinated Notes (7.750% to 8/16/29 then 5 year Treasury Constant Maturity Rate + 4.899%) | 7.750% | 8/16/29 | 200000 | 197500 | <sup>(a)(b)(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (1.675% to 6/30/26 then SOFR + 0.912%) | 1.675% | 6/30/27 | 200000 | 174051 | <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BPCE SA, Subordinated Notes | 5.700% | 10/22/23 | 200000 | 198493 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (0.981% to 5/1/24 then SOFR + 0.669%) | 0.981% | 5/1/25 | 20000 | 18729 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (1.281% to 11/3/24 then SOFR + 0.528%) | 1.281% | 11/3/25 | 80000 | 73715 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (1.462% to 6/9/26 then SOFR + 0.770%) | 1.462% | 6/9/27 | 320000 | 277570 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (3.057% to 1/25/32 then SOFR + 1.351%) | 3.057% | 1/25/33 | 130000 | 104912 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Danske Bank A/S, Senior Notes (0.976% to 9/10/24 then 1 year Treasury Constant Maturity Rate + 0.550%) | 0.976% | 9/10/25 | 200000 | 182599 | <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Danske Bank A/S, Senior Notes (3.244% to 12/20/24 then 3 mo. USD LIBOR + 1.591%) | 3.244% | 12/20/25 | 200000 | 187177 | <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Senior Notes (0.976% to 5/24/24 then SOFR + 0.708%) | 0.976% | 5/24/25 | 200000 | 185176 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Subordinated Notes | 7.625% | 5/17/32 | 10000 | 10245 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Subordinated Notes (4.762% to 3/29/32 then SOFR + 2.530%) | 4.762% | 3/29/33 | 200000 | 173332 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intesa Sanpaolo SpA, Senior Notes | 3.375% | 1/12/23 | 210000 | 209896 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (1.578% to 4/22/26 then SOFR + 0.885%) | 1.578% | 4/22/27 | 270000 | 237239 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.545% to 11/8/31 then SOFR + 1.180%) | 2.545% | 11/8/32 | 170000 | 134373 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.963% to 1/25/32 then SOFR + 1.260%) | 2.963% | 1/25/33 | 50000 | 40695 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (5.546% to 12/15/24 then SOFR + 1.070%) | 5.546% | 12/15/25 | 80000 | 80001 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Subordinated Notes (2.956% to 5/13/30 then SOFR + 2.515%) | 2.956% | 5/13/31 | 120000 | 98875 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes | 3.000% | 10/23/26 | 170000 | 157117 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (3.350% to 3/2/32 then SOFR + 1.500%) | 3.350% | 3/2/33 | 70000 | 58968 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Banks* |  |  |  | *3697199* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - 8.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp., Senior Notes (5.834% to 10/25/32 then SOFR + 2.074%) | 5.834% | 10/25/33 | 10000 | 10366 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charles Schwab Corp., Senior Notes | 1.150% | 5/13/26 | 190000 | 168825 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Junior Subordinated Notes (9.750% to 12/23/27 then 5 year Treasury Constant Maturity Rate + 6.383%) | 9.750% | 6/23/27 | 200000 | 174213 | <sup>(a)(b)(c)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Senior Notes | 3.800% | 6/9/23 | 250000 | 243437 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%) | 2.193% | 6/5/26 | 280000 | 239146 | <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (0.855% to 2/12/25 then SOFR + 0.609%) | 0.855% | 2/12/26 | 40000 | 36169 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (1.093% to 12/9/25 then SOFR + 0.789%) | 1.093% | 12/9/26 | 220000 | 193936 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (1.948% to 10/21/26 then SOFR + 0.913%) | 1.948% | 10/21/27 | 100000 | 87439 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (3.102% to 2/24/32 then SOFR + 1.410%) | 3.102% | 2/24/33 | 180000 | 146157 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intercontinental Exchange Inc., Senior Notes | 4.600% | 3/15/33 | 30000 | 28696 |  |

---

**See Notes to Schedules of Investments.** 

4 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mercedes-Benz Finance North America LLC, Senior Notes | 1.450% | 3/2/26 | $150000 | $134173 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (0.985% to 12/10/25 then SOFR + 0.720%) | 0.985% | 12/10/26 | 40000 | 35049 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (1.512% to 7/20/26 then SOFR + 0.858%) | 1.512% | 7/20/27 | 20000 | 17356 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (1.593% to 5/4/26 then SOFR + 0.879%) | 1.593% | 5/4/27 | 200000 | 175447 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) | 2.188% | 4/28/26 | 130000 | 120804 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) | 2.511% | 10/20/32 | 100000 | 78256 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UBS AG, Senior Notes | 1.250% | 6/1/26 | 200000 | 174747 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Capital Markets* |  |  |  | *2064216* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services - 1.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 2.450% | 10/29/26 | 150000 | 131166 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 3.300% | 1/30/32 | 200000 | 156352 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Element Fleet Management Corp., Senior Notes | 1.600% | 4/6/24 | 10000 | 9473 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) | 6.500% | 9/15/24 | 2307 | 1961 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Financial Services* |  |  |  | *298952* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance - 1.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American International Group Inc., Senior Notes | 2.500% | 6/30/25 | 80000 | 75312 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AmFam Holdings Inc., Senior Notes | 2.805% | 3/11/31 | 150000 | 116546 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GA Global Funding Trust, Secured Notes | 1.000% | 4/8/24 | 20000 | 18734 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; National General Holdings Corp., Senior Notes | 6.750% | 5/15/24 | 40000 | 40178 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; New York Life Global Funding, Senior Secured Notes | 0.950% | 6/24/25 | 60000 | 54328 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prudential Financial Inc., Senior Notes | 1.500% | 3/10/26 | 10000 | 9004 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reliance Standard Life Global Funding II, Secured Notes | 2.500% | 10/30/24 | 100000 | 94546 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reliance Standard Life Global Funding II, Secured Notes | 2.750% | 1/21/27 | 50000 | 45070 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Insurance* |  |  |  | *453718* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Mortgage Real Estate Investment Trusts (REITs) - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Blackstone Holdings Finance Co. LLC, Senior Notes | 6.200% | 4/22/33 | 80000 | *80641* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Thrifts & Mortgage Finance - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes | 2.875% | 10/15/26 | 20000 | *17143* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL FINANCIALS** |  |  |  | 6611869 |  |
| **HEALTH CARE - 4.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Biotechnology - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 2.600% | 11/21/24 | 30000 | 28700 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 2.950% | 11/21/26 | 150000 | 139498 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Biotechnology* |  |  |  | *168198* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Equipment & Supplies - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Becton Dickinson and Co., Senior Notes | 3.363% | 6/6/24 | 32000 | *31270* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services - 3.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bon Secours Mercy Health Inc., Secured Notes | 3.464% | 6/1/30 | 10000 | 8938 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centene Corp., Senior Notes | 4.625% | 12/15/29 | 30000 | 27415 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centene Corp., Senior Notes | 3.375% | 2/15/30 | 80000 | 67630 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cigna Corp., Senior Notes | 4.125% | 11/15/25 | 40000 | 39081 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cigna Corp., Senior Notes | 2.400% | 3/15/30 | 130000 | 108904 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CommonSpirit Health, Senior Secured Notes | 2.782% | 10/1/30 | 10000 | 8248 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSL Finance PLC, Senior Notes | 3.850% | 4/27/27 | 20000 | 19133 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSL Finance PLC, Senior Notes | 4.050% | 4/27/29 | 30000 | 28276 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 2.625% | 8/15/24 | 20000 | 19212 |  |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 5

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 2.875% | 6/1/26 | $40000 | $37339 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 1.300% | 8/21/27 | 90000 | 76197 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | 4.100% | 5/15/32 | 20000 | 18603 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | 5.500% | 10/15/32 | 60000 | 61424 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 1.150% | 5/15/26 | 70000 | 62515 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 3.700% | 5/15/27 | 80000 | 77385 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 5.350% | 2/15/33 | 150000 | 154753 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Health Care Providers & Services* |  |  |  | *815053* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Astrazeneca Finance LLC, Senior Notes | 1.200% | 5/28/26 | 40000 | 35612 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Merck & Co. Inc., Senior Notes | 1.900% | 12/10/28 | 60000 | 51514 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Pharmaceuticals* |  |  |  | *87126* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL HEALTH CARE** |  |  |  | 1101647 |  |
| **INDUSTRIALS - 8.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense - 1.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 4.875% | 5/1/25 | 50000 | 49617 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 2.196% | 2/4/26 | 280000 | 254398 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Howmet Aerospace Inc., Senior Notes | 6.875% | 5/1/25 | 50000 | 51308 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Aerospace & Defense* |  |  |  | *355323* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines - 2.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Canada Pass-Through Trust | 5.000% | 12/15/23 | 39333 | 38503 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Airlines Inc. Pass-Through Trust | 4.950% | 2/15/25 | 30930 | 29084 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes | 5.500% | 4/20/26 | 60000 | 57699 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Airlines Pass-Through Trust | 4.000% | 10/29/24 | 33121 | 31602 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc., Senior Secured Notes | 7.000% | 5/1/25 | 140000 | 143071 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.500% | 10/20/25 | 210000 | 204872 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.750% | 10/20/28 | 40000 | 37599 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discovery Communications LLC., Senior Notes | 4.900% | 3/11/26 | 50000 | 48486 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Airlines Pass-Through Trust | 4.875% | 1/15/26 | 60960 | 57996 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; US Airways Pass-Through Trust | 3.950% | 11/15/25 | 8877 | 8063 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Airlines* |  |  |  | *656975* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Waste Connections Inc., Senior Notes | 4.200% | 1/15/33 | 80000 | *74299* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Industrial Conglomerates - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Honeywell International Inc., Senior Notes | 1.950% | 6/1/30 | 50000 | 41259 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Honeywell International Inc., Senior Notes | 5.000% | 2/15/33 | 50000 | 50927 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Industrial Conglomerates* |  |  |  | *92186* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Professional Services - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equifax Inc., Senior Notes | 2.350% | 9/15/31 | 30000 | *23279* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Road & Rail - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Pacific Railway Co., Senior Notes | 1.750% | 12/2/26 | 100000 | *89114* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors - 3.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | 3.000% | 9/15/23 | 130000 | 127795 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | 0.700% | 2/15/24 | 220000 | 207811 |  |

---

**See Notes to Schedules of Investments.** 

6 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | 5.850% | 12/15/27 | $60000 | $59932 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aviation Capital Group LLC, Senior Notes | 4.125% | 8/1/25 | 370000 | 345164 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Trading Companies & Distributors* |  |  |  | *740702* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INDUSTRIALS** |  |  |  | 2031878 |  |
| **INFORMATION TECHNOLOGY - 4.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronic Equipment, Instruments & Components - 0.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TD SYNNEX Corp., Senior Notes | 1.250% | 8/9/24 | 100000 | 92874 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vontier Corp., Senior Notes | 1.800% | 4/1/26 | 60000 | 50703 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Electronic Equipment, Instruments & Components* |  |  |  | *143577* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mastercard Inc., Senior Notes | 3.300% | 3/26/27 | 120000 | 114285 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PayPal Holdings Inc., Senior Notes | 2.300% | 6/1/30 | 60000 | 49290 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; S&P Global Inc., Senior Notes | 1.250% | 8/15/30 | 10000 | 7691 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total IT Services* |  |  |  | *171266* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment - 0.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | 3.150% | 11/15/25 | 10000 | 9472 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; KLA Corp., Senior Notes | 4.650% | 7/15/32 | 20000 | 19590 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lam Research corp., Senior Notes | 1.900% | 6/15/30 | 60000 | 48888 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; QUALCOMM Inc., Senior Notes | 4.250% | 5/20/32 | 20000 | 19241 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Texas Instruments Inc., Senior Notes | 4.600% | 2/15/28 | 50000 | 49932 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Texas Instruments Inc., Senior Notes | 3.650% | 8/16/32 | 30000 | 27797 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Semiconductors & Semiconductor Equipment* |  |  |  | *174920* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software - 2.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Adobe Inc., Senior Notes | 2.300% | 2/1/30 | 60000 | 51160 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortinet Inc., Senior Notes | 1.000% | 3/15/26 | 120000 | 105033 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | 6.150% | 11/9/29 | 150000 | 155695 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Salesforce Inc., Senior Notes | 1.500% | 7/15/28 | 130000 | 110869 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Workday Inc., Senior Notes | 3.800% | 4/1/32 | 50000 | 44137 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Software* |  |  |  | *466894* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Technology Hardware, Storage & Peripherals - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apple Inc., Senior Notes | 1.400% | 8/5/28 | 140000 | *118594* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INFORMATION TECHNOLOGY** |  |  |  | 1075251 |  |
| **MATERIALS - 2.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Containers & Packaging - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Graphic Packaging International LLC, Senior Secured Notes | 1.512% | 4/15/26 | 10000 | *8723* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining - 2.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anglo American Capital PLC, Senior Notes | 3.625% | 9/11/24 | 200000 | 193512 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ArcelorMittal SA, Senior Notes | 6.550% | 11/29/27 | 30000 | 30141 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | 4.375% | 8/1/28 | 130000 | 121338 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | 1.625% | 9/1/25 | 160000 | 144815 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Yamana Gold Inc., Senior Notes | 4.625% | 12/15/27 | 70000 | 65525 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Yamana Gold Inc., Senior Notes | 2.630% | 8/15/31 | 10000 | 7467 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Metals & Mining* |  |  |  | *562798* | |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 7

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Paper & Forest Products - 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | 3.125% | 1/15/32 | $30000 | $*23388* |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL MATERIALS** |  |  |  | 594909 |
| **REAL ESTATE - 1.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Equity Real Estate Investment Trusts (REITs) - 1.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities Inc., Senior Notes | 2.000% | 5/18/32 | 10000 | 7657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diversified Healthcare Trust, Senior Notes | 4.750% | 5/1/24 | 20000 | 16900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Extra Space Storage LP, Senior Notes | 3.900% | 4/1/29 | 20000 | 17915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kimco Realty Corp., Senior Notes | 2.250% | 12/1/31 | 40000 | 30709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Simon Property Group LP, Senior Notes | 3.500% | 9/1/25 | 20000 | 19155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; VICI Properties LP, Senior Notes | 4.750% | 2/15/28 | 90000 | 85380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WEA Finance LLC/Westfield UK & Europe Finance PLC, Senior Notes | 3.750% | 9/17/24 | 200000 | 189023 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Welltower Inc., Senior Notes | 3.850% | 6/15/32 | 20000 | 16971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL REAL ESTATE** |  |  |  | 383710 |
| **UTILITIES - 2.5%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities - 2.5%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DTE Electric Co., First Mortgage Bonds | 2.625% | 3/1/31 | 30000 | 25505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Duke Energy Ohio Inc., First Mortgage Bonds | 2.125% | 6/1/30 | 10000 | 8161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Edison International, Senior Notes | 4.950% | 4/15/25 | 160000 | 157344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enel Finance International NV, Senior Notes | 6.800% | 10/14/25 | 200000 | 205366 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Secured Notes | 2.450% | 12/2/27 | 140000 | 115998 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ohio Edison Co., Senior Notes | 5.500% | 1/15/33 | 20000 | 19808 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | 2.100% | 8/1/27 | 30000 | 25621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co., First Mortgage Bonds | 3.000% | 6/15/28 | 10000 | 8645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Toledo Edison Co., First Mortgage Bonds | 2.650% | 5/1/28 | 8000 | 6988 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL UTILITIES** |  |  |  | 573436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS & NOTES**<br> (Cost - $21,682,217) |  |  |  | 20058473 |
| **ASSET-BACKED SECURITIES - 3.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABPCI Direct Lending Fund LLC, 2020-9A A1R (3 mo. USD LIBOR + 1.400%) | 5.758% | 11/18/31 | 270000 | 262170 <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AGL CLO Ltd., 2020-6A AR (3 mo. USD LIBOR + 1.200%) | 5.443% | 7/20/34 | 100000 | 97530 <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Halcyon Loan Advisors Funding Ltd., 2017-2A A2 (3 mo. USD LIBOR + 1.700%) | 5.779% | 1/17/30 | 250000 | 244190 <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Navient Private Education Refi Loan Trust, 2020-DA A | 1.690% | 5/15/69 | 32616 | 29315 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO Ltd., 2021-42A A (3 mo. USD LIBOR + 1.100%) | 5.179% | 7/16/35 | 210000 | 203243 <sup>(a)(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ASSET-BACKED SECURITIES**<br> (Cost - $861,008) |  |  |  | 836448 |
| **U.S. GOVERNMENT & AGENCY OBLIGATIONS - 1.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government Obligations - 1.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 3.250% | 5/15/42 | 80000 | 70137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 3.375% | 8/15/42 | 20000 | 17875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 4.000% | 11/15/42 | 10000 | 9791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 2.250% | 2/15/52 | 10000 | 6954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 2.875% | 5/15/52 | 20000 | 16025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes | 3.875% | 11/30/27 | 140000 | 139234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes | 4.125% | 11/15/32 | 110000 | 112252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS**<br> (Cost - $391,277) |  |  |  | 372268 |

---

**See Notes to Schedules of Investments.** 

8 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT** | **VALUE** |
| **SOVEREIGN BONDS - 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Argentina - 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes | 1.000% | 7/9/29 | $4718 | $1252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23 then 0.750%) | 0.500% | 7/9/30 | 135800 | 36624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Sovereign Bonds (Cost - $85,384)* |  |  |  | 37876 |
| **MUNICIPAL BONDS - 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **California - 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Regents of the University of California, CA, Medical Center Pooled Revenue, Taxable Bonds, Series Q<br>(Cost - $30,000) | 4.132% | 5/15/32 | 30000 | 27947 |
| **SENIOR LOANS - 0.0%††** |  |  |  |  |
| **INDUSTRIALS - 0.0%††** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines - 0.0%††** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 3.750%) (Cost - $9,927) | 7.993% | 10/20/27 | 10000 | 10180 <sup>(b)(e)(f)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM**<br> **INVESTMENTS**<br> (Cost - $23,059,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM**<br> **INVESTMENTS**<br> (Cost - $23,059,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM**<br> **INVESTMENTS**<br> (Cost - $23,059,813) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM**<br> **INVESTMENTS**<br> (Cost - $23,059,813) | 21343192 |
|  |  |  | **SHARES** |  |
| **SHORT-TERM INVESTMENTS - 7.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNY Mellon Cash Reserve Fund<br> (Cost - $1,699,435) | 2.000% |  | 1699435 | 1699435 <sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 98.5%**<br> (Cost - $24,759,248) |  |  |  | 23042627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Assets in Excess of Liabilities - 1.5% |  |  |  | 340018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL NET ASSETS - 100.0%** |  |  |  | $23382645 |

---

---

| | |
|:---|:---|
| †† | Represents less than 0.1%.  |

---

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold
in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(b) Variable rate security. Interest rate disclosed is as of the most recent information available. Certain
variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description
above.

(c) Security has no maturity date. The date shown represents the next call date.

(d) Payment-in-kind security for
which the issuer has the option at each interest payment date of making interest payments in cash or additional securities.

(e) Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are
attributable to multiple contracts under the same loan.

(f) Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive
approval from the agent bank and/or borrower prior to the disposition of a senior loan.

(g) Rate shown is one-day yield as of the end of the reporting period.

<u>Abbreviation(s) used in this schedule:</u> 

---

| | |
|:---|:---|
| CLO | — Collateralized Loan Obligation |
| LIBOR | — London Interbank Offered Rate |
| PIK | — Payment-In-Kind |
| SOFR | — Secured Overnight Financing Rate |
| USD | — United States Dollar |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 9

------

**WESTERN ASSET SHORT DURATION INCOME ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

At December 31, 2022, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Number of<br>Contracts** | **Expiration<br>Date** | **Notional<br>Amount** | **Market**<br>**Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Contracts to Buy:** |  |  |  |  |  |
|  U.S. Treasury 2-Year Notes | 20 | 3/23 | $4110949 | $4101563 | $(9386) |
|  U.S. Treasury 5-Year Notes | 127 | 3/23 | 13730172 | 13707070 | (23102) |
|  |  |  |  |  | (32488) |
| **Contracts to Sell:** |  |  |  |  |  |
|  U.S. Treasury 10-Year Notes | 78 | 3/23 | 8802507 | 8759156 | 43351 |
|  U.S. Treasury Long-Term Bonds | 8 | 3/23 | 1016808 | 1002750 | 14058 |
|  U.S. Treasury Ultra 10-Year Notes | 1 | 3/23 | 118467 | 118281 | 186 |
|  U.S. Treasury Ultra Long-Term Bonds | 1 | 3/23 | 138373 | 134313 | 4060 |
|  |  |  |  |  | 61655 |
| **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** |  | $29167 |

---

At December 31, 2022, the Fund had the following open swap contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>1</sup>**  |
| **REFERENCE ENTITY** | **NOTIONAL<br>AMOUNT<sup>2</sup>** | **TERMINATION<br>DATE** | **PERIODIC**<br>**PAYMENTS**<br>**MADE BY**<br>**THE FUND†** | **MARKET<br>VALUE<sup>3</sup>** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>DEPRECIATION** |
| MARKIT CDX.NA.HY.38 Index | $366300 | 6/20/27 | 5.000% quarterly | $(7570) | $2058 | $(9628) |
|  MARKIT CDX.NA.IG.38 Index | 1010000 | 6/20/27 | 1.000% quarterly | (10596) | (6243) | (4353) |
|  MARKIT CDX.NA.IG.39 Index | 480000 | 12/20/27 | 1.000% quarterly | (3826) | 217 | (4043) |
|  Total | $1856300 |  |  | $(21992) | $(3968) | $(18024) |

---

<sup>1</sup> 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. 

<sup>2</sup> 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. 

<sup>3</sup> The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. 

† Percentage shown is an annual percentage rate.

This Schedule of Investments is unaudited and is intended to provide information about the Fund's investments as of the date of the schedule. Other information regarding the Fund is available in the Fund's most recent annual or semi-annual shareholder report.

**See Notes to Schedules of Investments.** 

10 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **CORPORATE BONDS & NOTES - 36.4%** |  |  |  |  |  |
| **COMMUNICATION SERVICES - 4.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services - 1.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 2.550% | 12/1/33 | 20000 | $15370 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 5.350% | 9/1/40 | 20000 | 19055 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 5.550% | 8/15/41 | 10000 | 9575 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 4.350% | 6/15/45 | 19000 | 15282 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 3.500% | 9/15/53 | 30000 | 20248 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 3.550% | 9/15/55 | 37000 | 24688 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | 3.650% | 9/15/59 | 20000 | 13387 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 3.150% | 3/22/30 | 40000 | 35274 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 1.750% | 1/20/31 | 60000 | 46550 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 2.550% | 3/21/31 | 60000 | 49341 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 2.355% | 3/15/32 | 94000 | 74514 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 4.500% | 8/10/33 | 80000 | 74855 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 5.250% | 3/16/37 | 30000 | 29624 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | 3.400% | 3/22/41 | 10000 | 7519 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Telecommunication Services* |  |  |  | *435282* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 3.755% | 3/15/27 | 20000 | 18011 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 4.054% | 3/15/29 | 10000 | 8651 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 4.279% | 3/15/32 | 50000 | 41188 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 5.050% | 3/15/42 | 10000 | 7651 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | 5.141% | 3/15/52 | 70000 | 50888 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Entertainment* |  |  |  | *126389* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - 1.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500% | 8/15/30 | 10000 | 8262 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.250% | 2/1/31 | 218000 | 174861 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.908% | 7/23/25 | 40000 | 39204 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.050% | 3/30/29 | 30000 | 28225 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 2.800% | 4/1/31 | 70000 | 54496 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 5.375% | 4/1/38 | 40000 | 33302 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 3.500% | 3/1/42 | 40000 | 25630 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | 4.800% | 3/1/50 | 10000 | 7259 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 4.250% | 10/15/30 | 30000 | 28700 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 3.750% | 4/1/40 | 20000 | 16494 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 4.000% | 8/15/47 | 10000 | 7986 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 3.969% | 11/1/47 | 20000 | 15978 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 3.450% | 2/1/50 | 10000 | 7252 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | 2.800% | 1/15/51 | 40000 | 25244 |  |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 11

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Notes | 5.875% | 11/15/24 | 120000 | $111508 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | 6.550% | 5/1/37 | 10000 | 9521 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Media* |  |  |  | *593922* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Wireless Telecommunication Services - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 2.250% | 2/15/26 | 10000 | 9096 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 3.750% | 4/15/27 | 10000 | 9419 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 3.875% | 4/15/30 | 30000 | 27175 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | 2.550% | 2/15/31 | 40000 | 32677 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Wireless Telecommunication Services* |  |  |  | *78367* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMUNICATION SERVICES** |  |  |  | 1233960 |  |
| **CONSUMER DISCRETIONARY - 4.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles - 1.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Co., Senior Notes | 3.250% | 2/12/32 | 70000 | 52496 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Co., Senior Notes | 6.100% | 8/19/32 | 20000 | 18467 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | 4.000% | 11/13/30 | 200000 | 164168 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | 6.125% | 10/1/25 | 30000 | 30531 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; General Motors Co., Senior Notes | 5.950% | 4/1/49 | 10000 | 8715 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; General Motors Financial Co. Inc., Senior Notes | 3.100% | 1/12/32 | 20000 | 15671 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nissan Motor Co. Ltd., Senior Notes | 4.345% | 9/17/27 | 240000 | 217619 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Automobiles* |  |  |  | *507667* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure - 2.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 3.200% | 8/8/24 | 40000 | 37808 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | 2.900% | 6/25/25 | 80000 | 73518 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; McDonald's Corp., Senior Notes | 4.450% | 9/1/48 | 50000 | 43483 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NCL Corp. Ltd., Senior Notes | 5.875% | 3/15/26 | 130000 | 102111 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | 5.625% | 8/8/25 | 200000 | 191206 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sands China Ltd., Senior Notes | 2.800% | 3/8/27 | 200000 | 171286 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; VOC Escrow Ltd., Senior Secured Notes | 5.000% | 2/15/28 | 20000 | 17202 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Hotels, Restaurants & Leisure* |  |  |  | *636614* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Durables - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lennar Corp., Senior Notes | 4.500% | 4/30/24 | 20000 | 19733 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MDC Holdings Inc., Senior Notes | 6.000% | 1/15/43 | 10000 | 8124 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Household Durables* |  |  |  | *27857* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Internet & Direct Marketing Retail - 1.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | 3.875% | 8/22/37 | 40000 | 35437 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | 4.050% | 8/22/47 | 50000 | 42872 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | 3.100% | 5/12/51 | 30000 | 21366 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Prosus NV, Senior Notes | 3.832% | 2/8/51 | 400000 | 241667 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Internet & Direct Marketing Retail* |  |  |  | *341342* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Home Depot Inc., Senior Notes | 3.350% | 4/15/50 | 20000 | *14681* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER DISCRETIONARY** |  |  |  | 1528161 |  |

---

**See Notes to Schedules of Investments.** 

12 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **CONSUMER STAPLES - 1.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Beverages - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Senior Notes | 3.650% | 2/1/26 | 20000 | $19248 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.750% | 1/23/29 | 10000 | 9871 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.600% | 4/15/48 | 8000 | 6952 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes | 4.439% | 10/6/48 | 20000 | 17081 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide Inc., Senior Notes | 5.550% | 1/23/49 | 10000 | 9886 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Constellation Brands Inc., Senior Notes | 4.350% | 5/9/27 | 30000 | 29213 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Beverages* |  |  |  | *92251* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food Products - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co., Senior Notes | 4.375% | 6/1/46 | 30000 | 24378 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co., Senior Notes | 4.875% | 10/1/49 | 30000 | 26041 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | 3.200% | 4/1/30 | 30000 | 26796 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | 3.200% | 4/1/30 | 10000 | 8932 | <sup>(b)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Food Products* |  |  |  | *86147* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Tobacco - 0.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 5.375% | 1/31/44 | 10000 | 8814 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 3.875% | 9/16/46 | 30000 | 20059 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 5.950% | 2/14/49 | 80000 | 71138 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | 6.200% | 2/14/59 | 4000 | 3740 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | 3.557% | 8/15/27 | 30000 | 27407 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | 3.734% | 9/25/40 | 30000 | 20371 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | 4.540% | 8/15/47 | 40000 | 28263 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Tobacco* |  |  |  | *179792* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER STAPLES** |  |  |  | 358190 |  |
| **ENERGY - 5.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - 5.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BP Capital Markets America Inc., Senior Notes | 3.633% | 4/6/30 | 30000 | 27532 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cameron LNG LLC, Senior Secured Notes | 2.902% | 7/15/31 | 30000 | 25306 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cameron LNG LLC, Senior Secured Notes | 3.302% | 1/15/35 | 60000 | 48307 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cheniere Energy Inc., Senior Notes | 4.625% | 10/15/28 | 30000 | 27116 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cheniere Energy Partners LP, Senior Notes | 3.250% | 1/31/32 | 10000 | 7947 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 4.500% | 4/15/23 | 20000 | 19952 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 2.268% | 11/15/26 | 20000 | 17329 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 5.750% | 1/15/31 | 20000 | 18617 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | 4.900% | 6/1/44 | 30000 | 22241 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | 3.900% | 5/15/27 | 70000 | 65361 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coterra Energy Inc., Senior Notes | 4.375% | 3/15/29 | 70000 | 66132 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | 5.000% | 6/15/45 | 70000 | 60439 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Diamondback Energy Inc., Senior Notes | 3.500% | 12/1/29 | 20000 | 17546 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | 5.875% | 5/28/45 | 70000 | 48724 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.250% to 2/15/23 then<br>3 mo. USD LIBOR + 4.028%) | 6.250% | 2/15/23 | 10000 | 8500 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then<br>5 year Treasury Constant Maturity Rate + 5.694%) | 6.500% | 11/15/26 | 20000 | 17200 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then<br>5 year Treasury Constant Maturity Rate + 5.134%) | 6.750% | 5/15/25 | 10000 | 8650 | <sup>(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then<br>5 year Treasury Constant Maturity Rate + 5.306%) | 7.125% | 5/15/30 | 30000 | 25050 | <sup>(c)(d)</sup> |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 13

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 2.900% | 5/15/25 | 50000 | $47087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 4.950% | 6/15/28 | 10000 | 9670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 5.250% | 4/15/29 | 10000 | 9670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 3.750% | 5/15/30 | 20000 | 17634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energy Transfer LP, Senior Notes | 6.250% | 4/15/49 | 40000 | 37195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | 4.150% | 10/16/28 | 30000 | 28407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | 2.800% | 1/31/30 | 30000 | 25486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | 3.700% | 1/31/51 | 60000 | 43254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then<br>3 mo. USD LIBOR + 2.570%) | 5.375% | 2/15/78 | 10000 | 7626 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | 3.900% | 4/1/35 | 20000 | 17841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | 4.950% | 4/15/50 | 10000 | 9514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQM Midstream Partners LP, Senior Notes | 6.000% | 7/1/25 | 70000 | 67550 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 3.900% | 10/1/27 | 45000 | 41542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 5.000% | 1/15/29 | 20000 | 18775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | 3.625% | 5/15/31 | 40000 | 33897 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kinder Morgan Inc., Senior Notes | 4.300% | 3/1/28 | 10000 | 9579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kinder Morgan Inc., Senior Notes | 5.050% | 2/15/46 | 20000 | 16962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kinder Morgan Inc., Senior Notes | 5.200% | 3/1/48 | 40000 | 34514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | 4.875% | 6/1/25 | 20000 | 19693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | 4.800% | 2/15/29 | 30000 | 28708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | 4.500% | 4/15/38 | 20000 | 16847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MPLX LP, Senior Notes | 5.500% | 2/15/49 | 10000 | 8789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | 6.600% | 3/15/46 | 30000 | 30870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Parsley Energy LLC/Parsley Finance Corp., Senior Notes | 4.125% | 2/15/28 | 10000 | 9184 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petrobras Global Finance BV, Senior Notes | 5.750% | 2/1/29 | 70000 | 67988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co., Senior Notes | 2.150% | 1/15/31 | 20000 | 15808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shell International Finance BV, Senior Notes | 4.375% | 5/11/45 | 20000 | 17476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Southwestern Energy Co., Senior Notes | 5.375% | 3/15/30 | 10000 | 9120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Southwestern Energy Co., Senior Notes | 4.750% | 2/1/32 | 10000 | 8546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Corp., Senior Notes | 5.200% | 7/1/27 | 10000 | 9801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp.,<br>Senior Notes | 5.000% | 1/15/28 | 10000 | 9540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp.,<br>Senior Notes | 6.875% | 1/15/29 | 20000 | 20159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp.,<br>Senior Notes | 4.875% | 2/1/31 | 40000 | 36118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tennessee Gas Pipeline Co. LLC, Senior Notes | 2.900% | 3/1/30 | 10000 | 8376 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transcontinental Gas Pipe Line Co. LLC, Senior Notes | 7.850% | 2/1/26 | 40000 | 42691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 3.350% | 2/1/25 | 10000 | 9462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 4.500% | 3/1/28 | 10000 | 9175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 4.300% | 2/1/30 | 20000 | 17458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | 5.500% | 8/15/48 | 60000 | 49798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes (3 mo. USD LIBOR + 1.100%) | 5.041% | 1/13/23 | 10000 | 9985 <sup>(d)</sup> |

---

**See Notes to Schedules of Investments.** 

14 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | 7.750% | 6/15/31 | 70000 | $77188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | 8.750% | 3/15/32 | 40000 | 47103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ENERGY** |  |  |  | 1588035 |
| **FINANCIALS - 12.5%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks - 8.9%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes | 5.000% | 1/21/44 | 50000 | 45969 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) | 2.572% | 10/20/32 | 50000 | 39160 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.687% to 4/22/31 then SOFR + 1.320%) | 2.687% | 4/22/32 | 200000 | 160077 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (2.972% to 2/4/32 then SOFR + 1.330%) | 2.972% | 2/4/33 | 40000 | 32225 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Senior Notes (4.376% to 4/27/27 then SOFR + 1.580%) | 4.376% | 4/27/28 | 40000 | 38253 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of America Corp., Subordinated Notes | 4.200% | 8/26/24 | 70000 | 68917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of Montreal, Senior Notes | 1.850% | 5/1/25 | 30000 | 28023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%) | 4.588% | 5/4/37 | 40000 | 34134 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. USD LIBOR + 2.567%) | 5.198% | 1/10/30 | 200000 | 190063 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce, Senior Notes | 0.950% | 6/23/23 | 20000 | 19627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes | 8.125% | 7/15/39 | 80000 | 98318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (1.678% to 5/15/23 then SOFR + 1.667%) | 1.678% | 5/15/24 | 50000 | 49292 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (2.520% to 11/3/31 then SOFR + 1.177%) | 2.520% | 11/3/32 | 70000 | 54437 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (3.785% to 3/17/32 then SOFR + 1.939%) | 3.785% | 3/17/33 | 20000 | 17106 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (3.980% to 3/20/29 then 3 mo. USD LIBOR + 1.338%) | 3.980% | 3/20/30 | 60000 | 54113 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (4.412% to 3/31/30 then SOFR + 3.914%) | 4.412% | 3/31/31 | 10000 | 9183 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (4.658% to 5/24/27 then SOFR + 1.887%) | 4.658% | 5/24/28 | 30000 | 29033 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Senior Notes (4.910% to 5/24/32 then SOFR + 2.086%) | 4.910% | 5/24/33 | 20000 | 18729 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citigroup Inc., Subordinated Notes | 5.500% | 9/13/25 | 60000 | 60367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA, Senior Notes (1.339% to 6/24/25 then 1 year Treasury Constant Maturity Rate + 1.000%) | 1.339% | 6/24/26 | 250000 | 224782 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Danske Bank A/S, Senior Notes (3.773% to 3/28/24 then 1 year Treasury Constant Maturity Rate + 1.450%) | 3.773% | 3/28/25 | 250000 | 242237 <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HSBC Holdings PLC, Senior Notes (2.099% to 6/4/25 then SOFR + 1.929%) | 2.099% | 6/4/26 | 200000 | 181999 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intesa Sanpaolo SpA, Senior Notes | 3.375% | 1/12/23 | 200000 | 199901 <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%) | 2.083% | 4/22/26 | 30000 | 27849 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.545% to 11/8/31 then SOFR + 1.180%) | 2.545% | 11/8/32 | 20000 | 15809 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.580% to 4/22/31 then SOFR + 1.250%) | 2.580% | 4/22/32 | 40000 | 32042 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (2.739% to 10/15/29 then SOFR + 1.510%) | 2.739% | 10/15/30 | 40000 | 33545 <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (4.023% to 12/5/23 then 3 mo. USD LIBOR + 1.000%) | 4.023% | 12/5/24 | 10000 | 9851 <sup>(d)</sup> |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 15

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Senior Notes (4.452% to 12/5/28 then 3 mo. USD LIBOR + 1.330%) | 4.452% | 12/5/29 | 60000 | $56361 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Subordinated Notes | 4.950% | 6/1/45 | 30000 | 26803 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lloyds Banking Group PLC, Senior Notes | 4.375% | 3/22/28 | 200000 | 189819 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Royal Bank of Canada, Senior Notes | 1.150% | 6/10/25 | 20000 | 18307 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank, Senior Notes | 0.750% | 6/12/23 | 20000 | 19640 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Toronto-Dominion Bank, Senior Notes | 1.150% | 6/12/25 | 20000 | 18245 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; US Bancorp, Senior Notes | 1.450% | 5/12/25 | 40000 | 37088 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes | 3.000% | 10/23/26 | 50000 | 46211 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes | 4.150% | 1/24/29 | 50000 | 46996 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (1.654% to 6/2/23 then SOFR + 1.600%) | 1.654% | 6/2/24 | 20000 | 19677 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%) | 2.188% | 4/30/26 | 30000 | 27920 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (3.350% to 3/2/32 then SOFR + 1.500%) | 3.350% | 3/2/33 | 30000 | 25272 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (3.584% to 5/22/27 then 3 mo. USD LIBOR + 1.310%) | 3.584% | 5/22/28 | 50000 | 46425 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%) | 5.013% | 4/4/51 | 170000 | 149749 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo & Co., Subordinated Notes | 4.750% | 12/7/46 | 50000 | 41872 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Banks* |  |  |  | *2785426* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets - 2.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp., Senior Notes | 1.600% | 4/24/25 | 10000 | 9292 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Suisse Group AG, Senior Notes (2.193% to 6/5/25 then SOFR + 2.044%) | 2.193% | 6/5/26 | 250000 | 213523 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | 3.850% | 7/8/24 | 70000 | 68497 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes | 3.500% | 4/1/25 | 40000 | 38466 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (2.650% to 10/21/31 then SOFR + 1.264%) | 2.650% | 10/21/32 | 110000 | 86853 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (3.615% to 3/15/27 then SOFR + 1.846%) | 3.615% | 3/15/28 | 20000 | 18629 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Senior Notes (4.223% to 5/1/28 then<br>3 mo. USD LIBOR + 1.301%) | 4.223% | 5/1/29 | 10000 | 9316 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Goldman Sachs Group Inc., Subordinated Notes | 5.150% | 5/22/45 | 40000 | 35929 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.188% to 4/28/25 then SOFR + 1.990%) | 2.188% | 4/28/26 | 40000 | 37170 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) | 2.511% | 10/20/32 | 50000 | 39128 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. USD LIBOR + 1.628%) | 4.431% | 1/23/30 | 30000 | 27921 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley, Subordinated Notes (2.484% to 9/16/31 then SOFR + 1.360%) | 2.484% | 9/16/36 | 30000 | 21754 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%) | 7.000% | 1/31/24 | 200000 | 196765 | <sup>(a)(c)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Capital Markets* |  |  |  | *803243* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Finance - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Express Co., Senior Notes | 4.050% | 5/3/29 | 30000 | *28567* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services - 0.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | 2.450% | 10/29/26 | 200000 | 174889 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Park Aerospace Holdings Ltd., Senior Notes | 5.500% | 2/15/24 | 70000 | 69087 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Financial Services* |  |  |  | *243976* | |

---

**See Notes to Schedules of Investments.** 

16 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Berkshire Hathaway Finance Corp., Senior Notes | 4.250% | 1/15/49 | 30000 | $26706 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guardian Life Global Funding, Secured Notes | 1.100% | 6/23/25 | 20000 | 18115 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Insurance* |  |  |  | *44821* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL FINANCIALS** |  |  |  | 3906033 |  |
| **HEALTH CARE - 2.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **BIOTECHNOLOGY - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 3.750% | 11/14/23 | 10000 | 9900 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 3.200% | 11/21/29 | 70000 | 63103 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 4.750% | 3/15/45 | 60000 | 53883 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 4.875% | 11/14/48 | 10000 | 9108 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | 4.250% | 11/21/49 | 20000 | 16598 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Biotechnology* |  |  |  | *152592* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services - 0.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cigna Corp., Senior Notes | 3.750% | 7/15/23 | 4000 | 3974 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cigna Corp., Senior Notes | 4.375% | 10/15/28 | 10000 | 9644 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cigna Corp., Senior Notes | 4.900% | 12/15/48 | 20000 | 18020 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 1.875% | 2/28/31 | 10000 | 7844 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 2.125% | 9/15/31 | 20000 | 15857 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 2.700% | 8/21/40 | 40000 | 27635 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp., Senior Notes | 5.050% | 3/25/48 | 20000 | 17951 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | 4.550% | 5/15/52 | 10000 | 8687 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | 5.625% | 9/1/28 | 40000 | 39773 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | 3.500% | 9/1/30 | 50000 | 43124 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Humana Inc., Senior Notes | 3.125% | 8/15/29 | 30000 | 26296 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Humana Inc., Senior Notes | 2.150% | 2/3/32 | 10000 | 7803 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 4.200% | 5/15/32 | 20000 | 18985 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 5.700% | 10/15/40 | 10000 | 10384 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 2.900% | 5/15/50 | 20000 | 13531 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UnitedHealth Group Inc., Senior Notes | 3.250% | 5/15/51 | 20000 | 14311 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Health Care Providers & Services* |  |  |  | *283819* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | 4.250% | 10/26/49 | 20000 | 17187 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 3.150% | 10/1/26 | 240000 | 209880 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Pharmaceuticals* |  |  |  | *227067* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL HEALTH CARE** |  |  |  | 663478 |  |
| **INDUSTRIALS - 3.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense - 1.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 1.433% | 2/4/24 | 10000 | 9583 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 4.875% | 5/1/25 | 50000 | 49617 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 2.196% | 2/4/26 | 50000 | 45428 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 3.200% | 3/1/29 | 50000 | 43844 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 5.150% | 5/1/30 | 20000 | 19513 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 3.250% | 2/1/35 | 60000 | 45630 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 3.550% | 3/1/38 | 10000 | 7368 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 5.705% | 5/1/40 | 10000 | 9536 |  |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 17

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 5.805% | 5/1/50 | 20000 | $18543 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | 5.930% | 5/1/60 | 30000 | 27328 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; L3Harris Technologies Inc., Senior Notes | 4.854% | 4/27/35 | 20000 | 18636 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | 4.150% | 6/15/53 | 30000 | 25444 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Northrop Grumman Corp., Senior Notes | 3.250% | 1/15/28 | 40000 | 36890 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Northrop Grumman Corp., Senior Notes | 5.250% | 5/1/50 | 30000 | 29541 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Raytheon Technologies Corp., Senior Notes | 2.250% | 7/1/30 | 50000 | 41607 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Aerospace & Defense* |  |  |  | *428508* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines - 1.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc., Senior Secured Notes | 7.000% | 5/1/25 | 130000 | 132852 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | 4.750% | 10/20/28 | 60000 | 56398 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes | 5.750% | 1/20/26 | 10000 | 9050 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes | 6.500% | 6/20/27 | 36002 | 35794 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | 8.000% | 9/20/25 | 22000 | 22071 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Airlines Inc., Senior Secured Notes | 4.375% | 4/15/26 | 30000 | 27808 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United Airlines Inc., Senior Secured Notes | 4.625% | 4/15/29 | 120000 | 104483 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Airlines* |  |  |  | *388456* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Carrier Global Corp., Senior Notes | 2.722% | 2/15/30 | 10000 | *8419* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electrical Equipment - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vertiv Group Corp., Senior Secured Notes | 4.125% | 11/15/28 | 10000 | *8500* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Industrial Conglomerates - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3M Co., Senior Notes | 3.050% | 4/15/30 | 20000 | 17558 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3M Co., Senior Notes | 3.700% | 4/15/50 | 40000 | 30619 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Industrial Conglomerates* |  |  |  | *48177* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Road & Rail - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Pacific Railway Co., Senior Notes | 3.000% | 12/2/41 | 20000 | 15078 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Canadian Pacific Railway Co., Senior Notes | 3.100% | 12/2/51 | 10000 | 6723 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | 2.891% | 4/6/36 | 20000 | 15895 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | 3.839% | 3/20/60 | 20000 | 15450 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Union Pacific Corp., Senior Notes | 3.750% | 2/5/70 | 20000 | 14579 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Road & Rail* |  |  |  | *67725* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | 3.375% | 7/1/25 | 30000 | 28375 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; H&E Equipment Services Inc., Senior Notes | 3.875% | 12/15/28 | 10000 | 8518 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Trading Companies & Distributors* |  |  |  | *36893* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INDUSTRIALS** |  |  |  | 986678 |  |
| **INFORMATION TECHNOLOGY - 1.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PayPal Holdings Inc., Senior Notes | 2.300% | 6/1/30 | 40000 | *32860* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | 3.137% | 11/15/35 | 90000 | 66174 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | 4.750% | 3/25/50 | 10000 | 8679 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | 3.050% | 8/12/51 | 10000 | 6475 |  |

---

**See Notes to Schedules of Investments.** 

18 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NVIDIA Corp., Senior Notes | 3.500% | 4/1/40 | 50000 | $40490 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NXP BV/NXP Funding LLC/NXP USA Inc., Senior Notes | 2.700% | 5/1/25 | 30000 | 28237 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Semiconductors & Semiconductor Equipment* |  |  |  | *150055* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | 1.650% | 3/25/26 | 50000 | 44761 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | 2.875% | 3/25/31 | 50000 | 41456 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Workday Inc., Senior Notes | 3.700% | 4/1/29 | 20000 | 18349 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Workday Inc., Senior Notes | 3.800% | 4/1/32 | 20000 | 17655 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Software* |  |  |  | *122221* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INFORMATION TECHNOLOGY** |  |  |  | 305136 |  |
| **MATERIALS - 2.0%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Chemicals - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Orbia Advance Corp. SAB de CV, Senior Notes | 2.875% | 5/11/31 | 200000 | *156250* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining - 1.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Anglo American Capital PLC, Senior Notes | 4.000% | 9/11/27 | 200000 | 188423 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Barrick North America Finance LLC, Senior Notes | 5.750% | 5/1/43 | 10000 | 10098 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BHP Billiton Finance USA Ltd., Senior Notes | 5.000% | 9/30/43 | 10000 | 9688 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | 4.625% | 8/1/30 | 20000 | 18628 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | 5.450% | 3/15/43 | 65000 | 58632 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | 4.125% | 3/12/24 | 10000 | 9840 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | 4.000% | 3/27/27 | 30000 | 28312 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | 3.875% | 10/27/27 | 30000 | 28003 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Metals & Mining* |  |  |  | *351624* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Paper & Forest Products - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | 3.750% | 1/15/31 | 10000 | 8389 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | 3.125% | 1/15/32 | 130000 | 101349 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Paper & Forest Products* |  |  |  | *109738* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL MATERIALS** |  |  |  | 617612 |  |
| **UTILITIES - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Transmission Systems Inc., Senior Notes | 2.650% | 1/15/32 | 180000 | 147719 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Duke Energy Ohio Inc., Secured Bonds | 3.650% | 2/1/29 | 20000 | 18519 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL UTILITIES** |  |  |  | 166238 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CORPORATE BONDS & NOTES**<br> (COST - $13,101,689) |  |  |  | 11353521 |  |
| **MORTGAGE-BACKED SECURITIES - 24.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **FHLMC - 2.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 3.500% | 1/1/38-1/1/48 | 206139 | 192810 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 1.500% | 10/1/41 | 36488 | 29522 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 4.500% | 5/1/47-7/1/49 | 76095 | 74652 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 5.000% | 11/1/49 | 101039 | 100978 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) | 2.000% | 11/1/51 | 94151 | 76721 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC)<br>(12 mo. USD LIBOR + 1.619%) | 2.878% | 11/1/47 | 60623 | 58398 | <sup>(d)</sup> |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 19

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **FHLMC - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.621%) | 3.091% | 2/1/50 | 74249 | $71230 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.628%) | 3.009% | 11/1/48 | 137079 | 129838 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total FHLMC* |  |  |  | *734149* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **FNMA - 15.8%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.160% | 5/1/29 | 9523 | 8813 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.930% | 6/1/30 | 19046 | 17254 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.149% | 2/1/32 | 19927 | 16576 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.500% | 12/1/34-<br>6/1/49 | 430417 | 400229 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.790% | 1/1/35 | 49303 | 41987 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.000% | 7/1/35-<br>5/1/51 | 398964 | 362171 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.500% | 9/1/36-<br>7/1/61 | 340579 | 291373 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.000% | 3/1/41 | 171373 | 145945 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 6.000% | 7/1/41 | 31669 | 33071 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 4.500% | 2/1/48-<br>1/1/59 | 66048 | 64497 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 4.000% | 9/1/48-<br>1/1/49 | 402833 | 384054 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.000% | 1/1/52-<br>2/1/52 | 1200000 | 976238 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 2.500% | 1/1/52-<br>2/1/52 | 1400000 | 1185195 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.000% | 1/1/52-<br>2/1/52 | 400000 | 351010 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 3.500% | 1/1/52 | 200000 | 181661 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 4.000% | 1/1/52 | 200000 | 187532 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 4.500% | 2/1/52 | 200000 | 192443 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | 5.000% | 2/1/52 | 100000 | 98491 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total FNMA* |  |  |  | *4938540* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **GNMA - 6.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) | 3.000% | 10/15/42 | 46776 | 42819 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 3.500% | 2/20/46-<br>1/20/50 | 329240 | 305690 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 4.500% | 4/20/48-<br>4/20/50 | 177158 | 173589 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 5.000% | 11/20/48 | 25837 | 25831 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 3.000% | 1/20/50-<br>2/20/50 | 488009 | 434637 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 4.000% | 4/20/50 | 36184 | 35257 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 2.500% | 3/20/51-<br>12/20/51 | 165169 | 143496 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 2.500% | 1/1/52 | 300000 | 259907 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 4.000% | 2/1/52 | 200000 | 189282 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 5.000% | 2/1/52 | 100000 | 99042 | <sup>(e)</sup> |

---

**See Notes to Schedules of Investments.** 

20 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **GNMA - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 5.500% | 2/1/52 | 200000 | $200931 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | 6.000% | 2/1/52 | 100000 | 101370 | <sup>(e)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total GNMA* |  |  |  | *2011851* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL MORTGAGE-BACKED SECURITIES**<br> (Cost - $7,988,614) |  |  |  | 7684540 |  |
| **COLLATERALIZED MORTGAGE OBLIGATIONS<sup>(f)</sup> - 12.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2005-81 A1 (1 mo. USD LIBOR + 0.560%) | 4.949% | 2/25/37 | 135044 | 109034 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BWAY Mortgage Trust, 2015-1740 E | 4.450% | 1/10/35 | 500000 | 399698 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2019-IMC F (1 mo. USD LIBOR + 2.900%) | 7.218% | 4/15/34 | 300000 | 279713 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSMC Trust, 2021-NQM6 A3 | 1.585% | 7/25/66 | 197511 | 150013 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deephaven Residential Mortgage Trust, 2022-1 A2 | 2.961% | 1/25/67 | 240000 | 181529 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5010 IK, IO | 2.500% | 9/25/50 | 69586 | 10338 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5010 JI, IO | 2.500% | 9/25/50 | 82338 | 12639 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5018 MI, IO | 2.000% | 10/25/50 | 86887 | 11776 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5140 NI, IO | 2.500% | 5/25/49 | 91694 | 12359 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M1A (30 Day Average SOFR + 2.000%) | 5.928% | 4/25/42 | 91942 | 91482 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2014-C01 M2<br>(1 mo. USD LIBOR + 4.400%) | 8.789% | 1/25/24 | 40426 | 41498 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2014-C02 1M2<br>(1 mo. USD LIBOR + 2.600%) | 6.989% | 5/25/24 | 86509 | 87570 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2015-C03 1M2<br>(1 mo. USD LIBOR + 5.000%) | 9.389% | 7/25/25 | 17333 | 17592 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2018-C01 1B1<br>(1 mo. USD LIBOR + 3.550%) | 7.939% | 7/25/30 | 230000 | 234021 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2018-C03 1B1<br>(1 mo. USD LIBOR + 3.750%) | 8.139% | 10/25/30 | 320000 | 323186 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2019-R07 1M2<br>(1 mo. USD LIBOR + 2.100%) | 6.489% | 10/25/39 | 27782 | 27712 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) - CAS, 2022-R07 1M1<br>(30 Day Average SOFR + 2.950%) | 6.894% | 6/25/42 | 97230 | 98088 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) ACES, 2018-M9 APT2 | 3.103% | 4/25/28 | 82968 | 77439 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-74 EI, IO | 2.500% | 10/25/50 | 78631 | 13178 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2020-89 DI, IO | 2.500% | 12/25/50 | 234608 | 34660 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) REMIC, 2021-1 IG, IO | 2.500% | 2/25/51 | 173384 | 29033 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2013-50 IO, IO | 0.068% | 10/16/48 | 5365886 | 9158 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-17 AM | 3.537% | 6/16/48 | 49383 | 46887 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2016-14 H | 2.850% | 3/16/57 | 265169 | 230571 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-103 AD | 1.450% | 1/16/63 | 59569 | 47446 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-123 NI, IO | 2.500% | 8/20/50 | 80983 | 11135 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-160 YI, IO | 2.500% | 10/20/50 | 167265 | 22700 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-181 WI, IO | 2.000% | 12/20/50 | 396508 | 43676 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2020-H13 FM<br>(1 mo. USD LIBOR + 0.400%) | 4.242% | 8/20/70 | 168579 | 166703 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-3 IO, IO | 0.640% | 2/16/61 | 98328 | 4993 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-63 LM | 3.500% | 10/20/50 | 100000 | 83929 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GS Mortgage Securities Corp. II, 2018-SRP5 C (1 mo. USD LIBOR + 4.250%) | 8.568% | 9/15/31 | 364019 | 148333 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Impac CMB Trust, 2005-7 A1 (1 mo. USD LIBOR + 0.520%) | 4.909% | 11/25/35 | 129748 | 109034 | <sup>(d)</sup> |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 21

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** |  | **VALUE** |  |
| **Collateralized Mortgage Obligations<sup>(f)</sup> - (continued)** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; IndyMac INDX Mortgage Loan Trust, 2005-AR10 A1 (1 mo. USD LIBOR + 0.520%) | 4.909% | 6/25/35 | 170552 |  | $132029 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Chase Commercial Mortgage Securities Trust, 2019-BKWD D (1 mo. USD LIBOR + 2.100%) | 6.418% | 9/15/29 | 400000 |  | 365201 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LAQ Mortgage Trust, 2022-LAQ A (1 mo. Term SOFR + 1.724%) | 6.050% | 3/15/39 | 30548 |  | 29879 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust, 2005-AR8 2A1A (1 mo. USD LIBOR + 0.580%) | 4.969% | 7/25/45 | 46758 |  | 42572 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust, 2017-C41 B | 4.188% | 11/15/50 | 70000 |  | 60316 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost - $4,504,231) |  |  |  |  | 3797120 |  |
| **SOVEREIGN BONDS - 10.7%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Argentina - 0.1%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes | 1.000% | 7/9/29 | 4443 |  | 1179 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23 then 0.750%) | 0.500% | 7/9/30 | 145500 |  | 39240 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Argentina* |  |  |  |  | *40419* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Brazil - 1.8%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000% | 1/1/27 | 1684000 | <sup>BRL</sup> | 293080 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Brazilian Government International Bond, Senior Notes | 5.000% | 1/27/45 | 350000 |  | 259228 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Brazil* |  |  |  |  | *552308* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Colombia - 0.7%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Colombia Government International Bond, Senior Notes | 5.000% | 6/15/45 | 330000 |  | *224501* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Indonesia - 2.5%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 6.500% | 2/15/31 | 11316000000 | <sup>IDR</sup> | 705455 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 6.375% | 4/15/32 | 959000000 | <sup>IDR</sup> | 59245 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indonesia Treasury Bond | 7.500% | 6/15/35 | 330000000 | <sup>IDR</sup> | 21834 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Indonesia* |  |  |  |  | *786534* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Kenya - 0.5%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Republic of Kenya Government International Bond, Senior Notes | 6.300% | 1/23/34 | 200000 |  | *153600* | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Mexico - 3.7%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mexican Bonos, Senior Notes | 7.750% | 11/13/42 | 21700000 | <sup>MXN</sup> | 971627 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mexico Government International Bond, Senior Notes | 4.750% | 3/8/44 | 210000 |  | 169381 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Mexico* |  |  |  |  | *1141008* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Peru - 0.2%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | 2.783% | 1/23/31 | 90000 |  | *74451* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Russia - 0.4%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 6.000% | 10/6/27 | 1190000 | <sup>RUB</sup> | 4401 | \*<sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 7.650% | 4/10/30 | 34430000 | <sup>RUB</sup> | 127344 | \*<sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Russian Federal Bond - OFZ | 7.250% | 5/10/34 | 240000 | <sup>RUB</sup> | 888 | \*<sup>(g)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Russia* |  |  |  |  | *132633* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **South Africa - 0.8%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Republic of South Africa Government Bond, Senior Notes | 6.250% | 3/31/36 | 6310000 | <sup>ZAR</sup> | *243759* |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SOVEREIGN BONDS**<br> (Cost - $4,425,507) |  |  |  |  | 3349213 |  |
| **ASSET-BACKED SECURITIES - 7.0%** |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Allegany Park CLO Ltd., 2019-1A CR (3 mo. Term SOFR + 2.050%) | 6.013% | 1/20/35 | 250000 |  | 226605 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ECMC Group Student Loan Trust, 2020-2A A (1 mo. USD LIBOR + 1.150%) | 5.539% | 11/25/69 | 137410 |  | 133085 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Grippen Park CLO Ltd., 2017-1A E (3 mo. USD LIBOR + 5.700%) | 9.943% | 1/20/30 | 250000 |  | 217412 | <sup>(a)(d)</sup> |

---

**See Notes to Schedules of Investments.** 

22 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **ASSET-BACKED SECURITIES - (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Halsey Point CLO Ltd., 2019-1A E (3 mo. USD LIBOR + 7.700%) | 11.943% | 1/20/33 | 300000 | $273926 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hildene Community Funding CDO Ltd., 2015-1A ARR | 2.600% | 11/1/35 | 130000 | 113360 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Loanpal Solar Loan Ltd., 2021-2GS A | 2.220% | 3/20/48 | 236651 | 173057 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MF1 LLC, 2022-FL10 A (1 mo. Term SOFR + 2.635%) | 6.956% | 9/17/37 | 100000 | 99501 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley ABS Capital Inc. Trust, 2004-NC7 M1 (1 mo. USD LIBOR + 0.855%) | 5.244% | 7/25/34 | 61936 | 56854 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Morgan Stanley ABS Capital Inc. Trust, 2004-NC8 M1 (1 mo. USD LIBOR + 0.915%) | 5.304% | 9/25/34 | 151955 | 142196 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; NADG NNN Operating LP, 2019-1 A | 3.368% | 12/28/49 | 147750 | 136981 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nelnet Student Loan Trust, 2013-1A A (1 mo. USD LIBOR + 0.600%) | 4.989% | 6/25/41 | 42899 | 41794 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC, 2021-2A A | 1.350% | 9/20/38 | 113330 | 103735 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2018-C A2A | 3.630% | 11/15/35 | 58809 | 55278 | <sup>(a)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2018-C A2B (1 mo. USD LIBOR + 0.750%) | 5.068% | 11/15/35 | 123549 | 120108 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2019-B A2B (1 mo. USD LIBOR + 1.000%) | 5.318% | 6/15/37 | 58710 | 57308 | <sup>(a)(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Structured Asset Investment Loan Trust, 2005-HE1 M2 (1 mo. USD LIBOR + 0.720%) | 5.109% | 7/25/35 | 214309 | 202514 | <sup>(d)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; United States Small Business Administration, 2019-20D 1 | 2.980% | 4/1/39 | 21292 | 19633 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL ASSET-BACKED SECURITIES**<br> (Cost - $2,381,961) |  |  |  | 2173347 |  |
| **U.S. GOVERNMENT & AGENCY OBLIGATIONS - 5.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government Obligations - 5.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 4.000% | 11/15/42 | 70000 | 68534 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 3.625% | 8/15/43 | 30000 | 27579 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 2.875% | 5/15/52 | 20000 | 16025 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | 3.000% | 8/15/52 | 340000 | 280128 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes | 4.125% | 10/31/27 | 380000 | 381395 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes | 3.875% | 11/30/27 | 920000 | 914969 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS**<br> (Cost - $1,737,103) |  |  |  | 1688630 |  |
| **SENIOR LOANS - 3.3%** |  |  |  |  |  |
| **COMMUNICATION SERVICES - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media - 0.5%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Charter Communications Operating LLC, Term Loan B2 (1 mo. USD LIBOR + 1.750%) | 6.140% | 2/1/27 | 38797 | 37834 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nexstar Broadcasting Inc., Term Loan B4 (1 mo. USD LIBOR + 2.500%) | 6.884% | 9/18/26 | 50325 | 49859 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%) | 6.818% | 1/31/28 | 50000 | 49089 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Virgin Media Bristol LLC, Term Loan Facility Q (1 mo. USD LIBOR + 3.250%) | 7.568% | 1/31/29 | 20000 | 19785 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL COMMUNICATION SERVICES** |  |  |  | 156567 |  |
| **CONSUMER DISCRETIONARY - 0.4%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Caesars Resort Collection LLC, Term Loan B1 (1 mo. USD LIBOR + 3.500%) | 7.884% | 7/21/25 | 50313 | 50141 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%) | 6.173% | 6/22/26 | 30000 | 29881 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Hotels, Restaurants & Leisure* |  |  |  | *80022* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Harbor Freight Tools USA Inc., 2021 Refinancing Term Loan (1 mo. USD LIBOR + 2.750%) | 7.134% | 10/19/27 | 55787 | *53036* | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL CONSUMER DISCRETIONARY** |  |  |  | 133058 |  |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 23

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | **RATE** | **MATURITY<br>DATE** | **FACE<br>AMOUNT†** | **VALUE** |  |
| **CONSUMER STAPLES - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Products - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Energizer Holdings Inc., Term Loan (1 mo. USD LIBOR + 2.250%) | 6.625% | 12/22/27 | 17776 | $17399 | <sup>(d)(h)(i)</sup> |
| **ENERGY - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pilot Travel Centers LLC, Initial Term Loan B (1 mo. Term SOFR + 2.100%) | 6.423% | 8/4/28 | 48531 | 47912 | <sup>(d)(h)(i)</sup> |
| **FINANCIALS - 0.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Financial Services - 0.7%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Castlelake Aviation One Designated Activity Co., Initial Term Loan (3 mo. USD LIBOR + 2.750%) | 7.519% | 10/22/26 | 68878 | 68176 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Citadel Securities LP, 2021 Term Loan (1 mo. Term SOFR + 2.614%) | 6.938% | 2/2/28 | 56724 | 55547 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan (1 mo. Term SOFR + 3.750%) | 8.073% | 4/9/27 | 57505 | 53606 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UFC Holdings LLC, Term Loan B3 (3 mo. USD LIBOR + 2.750%) | 7.110% | 4/29/26 | 50121 | 49397 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Diversified Financial Services* |  |  |  | *226726* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asurion LLC, New Term Loan B10 (1 mo. Term SOFR + 4.100%) | 8.680% | 8/21/28 | 10368 | *9230* | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Mortgage Real Estate Investment Trusts (REITs) - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Apollo Commercial Real Estate Finance Inc., Initial Term Loan (1 mo. USD LIBOR + 2.750%) | 7.134% | 5/15/26 | 55988 | *53469* | <sup>(d)(h)(i)(j)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL FINANCIALS** |  |  |  | 289425 |  |
| **HEALTH CARE - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Global Medical Response Inc., 2020 Term Loan (1 mo. USD LIBOR + 4.250%) | 8.422% | 10/2/25 | 88200 | 61465 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sotera Health Holdings LLC, Term Loan (3 mo. USD LIBOR + 2.750%) | 7.165% | 12/11/26 | 50000 | 46000 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL HEALTH CARE** |  |  |  | 107465 |  |
| **INDUSTRIALS - 0.6%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Air Canada, Term Loan (3 mo. USD LIBOR + 3.500%) | 8.130% | 8/11/28 | 39800 | 39253 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 3.750%) | 7.993% | 10/20/27 | 50000 | 50900 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Airlines* |  |  |  | *90153* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ali Group North America Co., Initial Term Loan B (1 mo. Term SOFR + 2.114%) | 6.438% | 7/30/29 | 44222 | 43788 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mister Car Wash Holdings Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 3.000%) | 7.423% | 5/14/26 | 51587 | 50812 | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Total Commercial Services & Supplies* |  |  |  | *94600* | |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INDUSTRIALS** |  |  |  | 184753 |  |
| **INFORMATION TECHNOLOGY - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronic Equipment, Instruments & Components - 0.2%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; II-VI Inc., Term Loan B (1 mo. USD LIBOR + 2.750%) | 7.134% | 7/2/29 | 48982 | *48358* | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software - 0.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cloudera Inc., Term Loan (1 mo. USD LIBOR + 3.750%) | 8.134% | 10/8/28 | 39699 | *37243* | <sup>(d)(h)(i)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INFORMATION TECHNOLOGY** |  |  |  | 85601 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SENIOR LOANS**<br> (Cost - $1,066,690) |  |  |  | 1022180 |  |

---

**See Notes to Schedules of Investments.** 

24 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
|  **Schedules of investments (unaudited) (cont'd)**<br>(Percentages shown based on Fund net assets) | **December 31, 2022** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SECURITY** | | **EXPIRATION<br>DATE** | **CONTRACTS** | **NOTIONAL<br>AMOUNT†** | **VALUE** |
| **PURCHASED OPTIONS - 0.1%** |  |  |  |  |  |
| **EXCHANGE-TRADED PURCHASED OPTIONS - 0.1%** | **EXCHANGE-TRADED PURCHASED OPTIONS - 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $95.25 |  | 6/16/23 | 40 | 100000 | $15000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $95.50 |  | 6/16/23 | 22 | 55000 | 4813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $95.63 |  | 1/13/23 | 12 | 30000 | 1575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $95.88 |  | 1/13/23 | 12 | 30000 | 4350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $114.00 |  | 1/27/23 | 32 | 32000 | 10000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $109.00 |  | 1/27/23 | 2 | 2000 | 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED PURCHASED OPTIONS**<br> (Cost - $58,433) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED PURCHASED OPTIONS**<br> (Cost - $58,433) |  |  |  | 35957 |
|  | **COUNTERPARTY** |  |  |  |  |
| **OTC PURCHASED OPTIONS - 0.0%††** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit default swaption to sell protection on Markit CDX.NA.HY.39 Index, Call @ 101.00<sup>bps</sup><br>(Cost - $2,730) | JPMorgan Chase &<br>Co. | 1/18/23 | 300000 | 300000 | 1580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL PURCHASED OPTIONS**<br> (Cost - $61,163) |  |  |  |  | 37537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS**<br> (Cost - $35,266,958) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS**<br> (Cost - $35,266,958) |  |  |  | 31106088 |
|  |  | **RATE** | **MATURITY**<br>**DATE** | **FACE<br>AMOUNT†** |  |
| **SHORT-TERM INVESTMENTS - 8.3%** |  |  |  |  |  |
| **U.S. TREASURY BILLS - 5.9%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 0.000% | 1/3/23 | 120000 | 120000 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 3.682% | 1/31/23 | 120000 | 119632 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 4.063% | 2/21/23 | 400000 | 397737 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 4.230% | 3/21/23 | 400000 | 396384 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 4.226% | 3/28/23 | 280000 | 277251 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 4.623% | 5/25/23 | 540000 | 530391 <sup>(k)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL U.S. TREASURY BILLS**<br> (Cost - $1,840,699) |  |  |  |  | 1841395 |
| **COMMERCIAL PAPER - 0.3%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Federal Home Loan Bank (FHLB)<br> (Cost - $99,888) |  | 3.688% | 1/12/23 | 100000 | 99881 <sup>(k)</sup> |
|  |  |  |  | **SHARES** |  |
| **OVERNIGHT DEPOSITS - 2.1%** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BNY Mellon Cash Reserve Fund<br> (Cost - $631,706) |  | 2.000% |  | 631706 | 631706 <sup>(l)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost - $2,572,293) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL SHORT-TERM INVESTMENTS**<br>(Cost - $2,572,293) |  |  |  | 2572982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 108.1%**<br> (Cost - $37,839,251) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL INVESTMENTS - 108.1%**<br> (Cost - $37,839,251) |  |  |  | 33679070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets - (8.1)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets - (8.1)% |  |  |  | (2515322) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL NET ASSETS - 100.0%** |  |  |  |  | $31163748 |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 25

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

† Face amount/notional amount denominated in U.S. dollars, unless otherwise noted.

---

| | |
|:---|:---|
| †† | Represents less than 0.1%.  |

---

\* Non-income producing security.

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold
in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(b) Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to
securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(c) Security has no maturity date. The date shown represents the next call date.

(d) Variable rate security. Interest rate disclosed is as of the most recent information available. Certain
variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description
above.

(e) This security is traded on a to-be-announced ("TBA") basis. At December 31, 2022, the Fund held TBA securities with a total cost of $3,907,979.

(f) Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through
certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or
other financial indicators and may be subject to an upper and/or lower limit.

(g) The coupon payment on this security is currently in default as of December 31, 2022.

(h) Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are
attributable to multiple contracts under the same loan.

(i) Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive
approval from the agent bank and/or borrower prior to the disposition of a senior loan.

(j) Security is valued using significant unobservable inputs (Note 1).

(k) Rate shown represents yield-to-maturity.

(l) Rate shown is one-day yield as of the end of the reporting period.

<u>Abbreviation(s) used in this schedule:</u> 

---

| | |
|:---|:---|
| ACES | — Alternative Credit Enhancement Securities |
| bps | — basis point spread (100 basis points = 1.00%) |
| BRL | — Brazilian Real |
| CAS | — Connecticut Avenue Securities |
| CDO | — Collateralized Debt Obligation |
| CLO | — Collateralized Loan Obligation |
| ICE | — Intercontinental Exchange |
| IDR | — Indonesian Rupiah |
| IO | — Interest Only |
| LIBOR | — London Interbank Offered Rate |
| MXN | — Mexican Peso |
| OFZ | — Obligatsyi Federal'novo Zaima (Russian Federal Loan Obligation) |
| REMIC | — Real Estate Mortgage Investment Conduit |
| RUB | — Russian Ruble |
| SOFR | — Secured Overnight Financing Rate |
| USD | — United States Dollar |
| ZAR | — South African Rand |

---

At December 31, 2022, the Fund had the following written options contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **EXCHANGE-TRADED WRITTEN OPTIONS**<br>**SECURITY** | <br>**EXPIRATION<br>DATE** | <br>**STRIKE<br>PRICE** | <br>**CONTRACTS** | <br>**NOTIONAL<br>AMOUNT** | <br>**VALUE** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call | 12/15/23 | $96.50 | 52 | $130000 | $(25350) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call | 12/15/23 | 96.63 | 43 | 107500 | (18544) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call | 9/15/23 | 98.25 | 71 | 177500 | (3106) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call | 9/15/23 | 98.75 | 215 | 537500 | (6719) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call | 6/16/23 | 96.00 | 22 | 55000 | (2200) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Call | 6/16/23 | 96.87 | 40 | 100000 | (18750) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call | 1/27/23 | 109.50 | 36 | 36000 | (4781) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call | 2/24/23 | 115.50 | 32 | 32000 | (10000) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call | 2/24/23 | 116.00 | 10 | 10000 | (2500) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put | 2/24/23 | 112.00 | 10 | 10000 | (12032) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received — $276,636) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received — $276,636) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received — $276,636) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **TOTAL EXCHANGE-TRADED WRITTEN OPTIONS**<br> (Premiums received — $276,636) |  | $(103982) |

---

**See Notes to Schedules of Investments.** 

26 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **OTC WRITTEN OPTIONS**<br>**SECURITY** | <br>**COUNTERPARTY** | <br>**EXPIRATION<br>DATE** | <br>**STRIKE<br>PRICE** |  | <br>**CONTRACTS** | <br>**NOTIONAL<br>AMOUNT** | <br>**VALUE** |
| Credit default swaption to buy protection on Markit CDX.NA.HY.39 Index, Call | JPMorgan Chase & Co. | 1/18/23 | 103.00 | <sup>bps</sup> | 450000 | $450000‡ | $(331) |
| Credit default swaption to sell protection on Markit CDX.NA.HY.39 Index, Put | JPMorgan Chase & Co. | 1/18/23 | 95.00 | <sup>bps</sup> | 300000 | 300000‡ | (274) |
| **Total OTC Written Options (Premiums received - $2,850)** | **Total OTC Written Options (Premiums received - $2,850)** |  |  |  |  |  | $(605) |
| **Total Written Options (Premiums received - $279,486)** | **Total Written Options (Premiums received - $279,486)** |  |  |  |  |  | $(104587) |

---

‡ In the event an option is exercised and a credit event occurs as defined under the terms of the swap agreement,
the notional amount is the maximum potential amount that could be required to be paid as a seller of credit protection or received as a buyer of credit protection.

<u>Abbreviation(s) used in this schedule:</u> 

---

| | |
|:---|:---|
| bps | — basis point spread (100 basis points = 1.00%) |
| SOFR | — Secured Overnight Financing Rate |

---

At December 31, 2022, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Number of<br>Contracts** | **Expiration<br>Date** | **Notional<br>Amount** | **Market**<br>**Value** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Contracts to Buy:** |  |  |  |  |  |
|  3-Month SOFR | 2 | 9/23 | $482804 | $475200 | $(7604) |
|  3-Month SOFR | 18 | 12/23 | 4332188 | 4283325 | (48863) |
|  3-Month SOFR | 15 | 3/25 | 3618144 | 3624750 | 6606 |
|  3-Month SOFR | 3 | 3/26 | 722894 | 726150 | 3256 |
|  90-Day Eurodollar | 5 | 3/23 | 1188405 | 1186562 | (1843) |
|  Australian 10-Year Bonds | 5 | 3/23 | 414454 | 392247 | (22207) |
|  Euro-Bobl | 2 | 3/23 | 256095 | 247069 | (9026) |
|  Euro-Bund | 1 | 3/23 | 146340 | 141869 | (4471) |
|  Euro-OAT | 2 | 3/23 | 287165 | 266361 | (20804) |
|  U.S. Treasury 5-Year Notes | 140 | 3/23 | 15186910 | 15110156 | (76754) |
|  U.S. Treasury Long-Term Bonds | 41 | 3/23 | 5200743 | 5139094 | (61649) |
|  U.S. Treasury Ultra Long-Term Bonds | 19 | 3/23 | 2571290 | 2551938 | (19352) |
|  |  |  |  |  | (262711) |
| **Contracts to Sell:** |  |  |  |  |  |
|  3-Month SOFR | 16 | 3/24 | 3829791 | 3818800 | 10991 |
|  U.S. Treasury 2-Year Notes | 111 | 3/23 | 22743535 | 22763672 | (20137) |
|  U.S. Treasury 10-Year Notes | 58 | 3/23 | 6529912 | 6513219 | 16693 |
|  U.S. Treasury Ultra 10-Year Notes | 4 | 3/23 | 473994 | 473125 | 869 |
|  |  |  |  |  | 8416 |
| **Net unrealized depreciation on open futures contracts** |  |  |  |  | $(254295) |

---

<u>Abbreviation(s) used in this table:</u> 

---

| | |
|:---|:---|
| Bobl | — Bundesobligation |
| OAT | — Obligations Assimilables du Trésor (French Treasury Bonds) |
| SOFR | — Secured Overnight Financing Rate |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 27

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

At December 31, 2022, the Fund had the following open forward foreign currency contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Currency**<br>**Purchased** | **Currency**<br>**Purchased** | **Currency**<br>**Sold** | **Currency**<br>**Sold** | **Counterparty** | **Settlement<br>Date** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| MXN | 2156569 | USD | 107204 | Bank of America N.A. | 1/18/23 | $3057 |
| USD | 1304129 | MXN | 26570313 | Bank of America N.A. | 1/18/23 | (54357) |
| GBP | 130000 | USD | 146665 | Goldman Sachs Group Inc. | 1/18/23 | 9795 |
| USD | 29854 | GBP | 25941 | Goldman Sachs Group Inc. | 1/18/23 | (1367) |
| USD | 3961 | JPY | 522000 | Goldman Sachs Group Inc. | 1/18/23 | (6) |
| USD | 58740 | JPY | 8396590 | Goldman Sachs Group Inc. | 1/18/23 | (5057) |
| EUR | 319262 | USD | 312592 | JPMorgan Chase & Co. | 1/18/23 | 28587 |
| EUR | 776528 | USD | 805971 | JPMorgan Chase & Co. | 1/18/23 | 23867 |
| IDR | 500245590 | USD | 31735 | JPMorgan Chase & Co. | 1/18/23 | 392 |
| IDR | 749200960 | USD | 47717 | JPMorgan Chase & Co. | 1/18/23 | 399 |
| JPY | 86328054 | USD | 602923 | JPMorgan Chase & Co. | 1/18/23 | 52997 |
| MXN | 6213250 | USD | 315554 | JPMorgan Chase & Co. | 1/18/23 | 2117 |
| NZD | 197521 | USD | 112180 | JPMorgan Chase & Co. | 1/18/23 | 12778 |
| USD | 140013 | CNH | 994991 | JPMorgan Chase & Co. | 1/18/23 | (4009) |
| USD | 231524 | IDR | 3538615057 | JPMorgan Chase & Co. | 1/18/23 | 4264 |
| USD | 391455 | IDR | 5971650000 | JPMorgan Chase & Co. | 1/18/23 | 7938 |
| USD | 21529 | JPY | 3033260 | JPMorgan Chase & Co. | 1/18/23 | (1517) |
| USD | 312592 | NOK | 3345671 | JPMorgan Chase & Co. | 1/18/23 | (27301) |
| AUD | 471711 | USD | 304725 | Morgan Stanley & Co. Inc. | 1/18/23 | 15420 |
| CAD | 737797 | USD | 540285 | Morgan Stanley & Co. Inc. | 1/18/23 | 4283 |
| COP | 508148260 | USD | 111421 | Morgan Stanley & Co. Inc. | 1/18/23 | (6986) |
| EUR | 27500 | USD | 28985 | Morgan Stanley & Co. Inc. | 1/18/23 | 403 |
| EUR | 255542 | USD | 256753 | Morgan Stanley & Co. Inc. | 1/18/23 | 16332 |
| INR | 16088345 | USD | 195052 | Morgan Stanley & Co. Inc. | 1/18/23 | (791) |
| MXN | 1610232 | USD | 80964 | Morgan Stanley & Co. Inc. | 1/18/23 | 1364 |
| NOK | 5480555 | USD | 512264 | Morgan Stanley & Co. Inc. | 1/18/23 | 44516 |
| USD | 21094 | AUD | 31931 | Morgan Stanley & Co. Inc. | 1/18/23 | (578) |
| USD | 33592 | AUD | 52578 | Morgan Stanley & Co. Inc. | 1/18/23 | (2092) |
| USD | 18684 | CAD | 25188 | Morgan Stanley & Co. Inc. | 1/18/23 | 93 |
| USD | 27564 | CAD | 37602 | Morgan Stanley & Co. Inc. | 1/18/23 | (191) |
| USD | 50796 | CAD | 69620 | Morgan Stanley & Co. Inc. | 1/18/23 | (590) |
| USD | 74065 | CAD | 102000 | Morgan Stanley & Co. Inc. | 1/18/23 | (1221) |
| USD | 122930 | CAD | 168760 | Morgan Stanley & Co. Inc. | 1/18/23 | (1632) |
| USD | 129472 | CNH | 930000 | Morgan Stanley & Co. Inc. | 1/18/23 | (5142) |
| USD | 68687 | EUR | 69075 | Morgan Stanley & Co. Inc. | 1/18/23 | (5130) |
| USD | 475056 | EUR | 461635 | Morgan Stanley & Co. Inc. | 1/18/23 | (18271) |
| USD | 175572 | GBP | 145830 | Morgan Stanley & Co. Inc. | 1/18/23 | 61 |
| USD | 40148 | JPY | 5913688 | Morgan Stanley & Co. Inc. | 1/18/23 | (4784) |
| USD | 279151 | JPY | 36996750 | Morgan Stanley & Co. Inc. | 1/18/23 | (1950) |
|  Total | Total | Total | Total | Total | Total | $85691 |

---

<u>Abbreviation(s) used in this table:</u> 

---

| | |
|:---|:---|
| AUD | — Australian Dollar |
| CAD | — Canadian Dollar |
| CNH | — Chinese Offshore Yuan |
| COP | — Colombian Peso |
| EUR | — Euro |
| GBP | — British Pound |
| IDR | — Indonesian Rupiah |
| INR | — Indian Rupee |
| JPY | — Japanese Yen |
| MXN | — Mexican Peso |
| NOK | — Norwegian Krone |
| NZD | — New Zealand Dollar |
| USD | — United States Dollar |

---

**See Notes to Schedules of Investments.** 

28 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

At December 31, 2022, the Fund had the following open swap contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** | **CENTRALLY CLEARED INTEREST RATE SWAPS** |
|  | **NOTIONAL<br>AMOUNT** | **TERMINATION<br>DATE** | **PAYMENTS**<br>**MADE BY**<br>**THE FUND†** | **PAYMENTS<br>RECEIVED BY**<br>**THE FUND†** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>APPRECIATION<br>(DEPRECIATION)** |
|  | $16958000 | 7/11/24 | Daily SOFR annually | 1.323% annually | $(610665) | $(226863) |
|  | 10919000 | 8/10/25 | Daily SOFR annually | 2.725% annually | (69108) | (180017) |
|  | 8311000 | 3/16/27 | Daily SOFR annually | 3.550% annually | (93049) | 11398 |
|  | 2991000 | 4/30/29 | 3.270% annually | Daily SOFR annually | (3805) | 62339 |
|  | 583000 | 3/18/32 | 2.000% annually | Daily SOFR annually | 4351 | 65073 |
|  | 2370000 | 5/15/32 | 3.220% annually | Daily SOFR annually | (9264) | 73277 |
|  | 1530000 | 7/11/32 | 1.800% annually | Daily SOFR annually |  | 215972 |
|  | 2424000 | 8/10/33 | 2.480% annually | Daily SOFR annually | 41542 | 143864 |
|  | 653000 | 2/15/48 | 2.600% annually | Daily SOFR annually | 44369 | 34752 |
|  | 139000 | 2/15/48 | 3.050% annually | Daily SOFR annually | 4241 | 2140 |
|  | 780000 | 7/11/52 | 1.780% annually | Daily SOFR annually |  | 208649 |
|  Total | $47658000 |  |  |  | $(691388) | $410584 |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<sup>1</sup>**  |
| **SWAP COUNTERPARTY**<br> **(REFERENCE ENTITY)** | **NOTIONAL<br>AMOUNT<sup>2</sup>** |  | **TERMINATION<br>DATE** | **IMPLIED<br>CREDIT<br>SPREAD AT<br>DECEMBER 31,<br>2022<sup>3</sup>** | **PERIODIC<br>PAYMENTS<br>RECEIVED BY<br>THE FUND†** | **MARKET<br>VALUE** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>DEPRECIATION** |
| BNP Paribas SA (Volkswagen International Finance NV, 0.875%, due 1/16/23) | 530000 | <sup>EUR</sup> | 12/20/24 | 0.929% | 1.000% quarterly | $763 | $6734 | $(5971) |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  | **OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION<sup>4</sup>**  |
| **SWAP COUNTERPARTY**<br> **(REFERENCE ENTITY)** | **NOTIONAL<br>AMOUNT<sup>2</sup>** |  | **TERMINATION<br>DATE** | **IMPLIED<br>CREDIT<br>SPREAD AT<br>DECEMBER 31,<br>2022<sup>3</sup>** | **PERIODIC<br>PAYMENTS<br>MADE BY THE<br>FUND†** | **MARKET<br>VALUE** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>DEPRECIATION** |
| BNP Paribas SA (Daimler AG, 1.400%, due 1/12/24) | 530000 | <sup>EUR</sup> | 12/20/24 | 0.489% | 1.000% quarterly | $(5554) | $(5082) | $(472) |

---

**See Notes to Schedules of Investments.** 

Western Asset ETFs 2022 Quarterly Report 29

------

**WESTERN ASSET TOTAL RETURN ETF** 

---

| | |
|:---|:---|
| **Schedules of investments (unaudited) (cont'd)**<br>| **December 31, 2022** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<sup>1</sup>**  |
| **REFERENCE ENTITY** | **NOTIONAL<br>AMOUNT<sup>2</sup>** | **TERMINATION<br>DATE** | **PERIODIC<br>PAYMENTS<br>RECEIVED BY<br>THE FUND†** | **MARKET<br>VALUE<sup>5</sup>** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>APPRECIATION** |
| MARKIT CDX.NA.IG.39 Index | $6140000 | 12/20/27 | 1.000% quarterly | $48936 | $(15415) | $64351 |
| MARKIT CDX.NA.IG.39 Index | 1498000 | 12/20/32 | 1.000% quarterly | (20544) | (24275) | 3731 |
| Total | $7638000 |  |  | $28392 | $(39690) | $68082 |
| **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  | **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION<sup>4</sup>**  |
| **REFERENCE ENTITY** | **NOTIONAL<br>AMOUNT<sup>2</sup>** | **TERMINATION<br>DATE** | **PERIODIC<br>PAYMENTS<br>MADE BY THE<br>FUND†** | **MARKET<br>VALUE<sup>5</sup>** | **UPFRONT<br>PREMIUMS PAID<br>(RECEIVED)** | **UNREALIZED<br>DEPRECIATION** |
| MARKIT CDX.NA.HY.39 Index | $832000 | 12/20/27 | 5.000% quarterly | $(4845) | $33195 | $(38040) |

---

<sup>1</sup> 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. 

<sup>2</sup> 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. 

<sup>3</sup> Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues 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. 

<sup>4</sup> 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. 

<sup>5</sup> The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. 

† Percentage shown is an annual percentage rate.

<u>Abbreviation(s) used in this table:</u> 

EUR — Euro <br> SOFR — Secured Overnight Financing Rate

This Schedule of Investments is unaudited and is intended to provide information about the Fund's investments as of the date of the schedule. Other information regarding the Fund is available in the Fund's most recent annual or semi-annual shareholder report.

**See Notes to Schedules of Investments.** 

30 &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Western Asset ETFs 2022 Quarterly Report

------

**Notes to Schedules of Investments (unaudited)** 

**1. Organization and significant accounting policies** 

Western Asset Short Duration Income ETF ("Short Duration Income ETF") and Western Asset Total Return ETF ("Total Return ETF") (the "Funds") are separate diversified investment series of Legg Mason ETF Investment Trust (the "Trust"). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company.

The Funds are actively managed exchange-traded funds ("ETFs"). ETFs are funds that trade like other publicly-traded securities. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value ("NAV"), shares of the Funds may be directly purchased from and redeemed by the Funds at NAV solely by certain large institutional investors who have entered into agreements with the Funds' distributor ("Authorized Participants"). Also unlike shares of a mutual fund, shares of the Funds are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.

Shares of the Funds are listed and traded at market prices on NASDAQ. The market price for a Fund's shares may be different from a Fund's NAV. The Funds issue and redeem shares at NAV only in blocks of a specified number of shares or multiples thereof ("Creation Units"). Only Authorized Participants may purchase or redeem Creation Units directly with the Funds at NAV. Creation Units generally are issued and redeemed in cash. However, Creation Units may also be issued and redeemed partially in-kind for a basket of securities and partially in cash. Except when aggregated in Creation Units, shares of the Funds are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Funds at NAV.

The Funds follows the accounting and reporting guidance in Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946, *Financial Services – Investment Companies* ("ASC 946"). The following are significant accounting policies consistently followed by the Funds and are in conformity with U.S. generally accepted accounting principles ("GAAP"), including, but not limited to, ASC 946.

**(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 typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. 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 Funds hold securities or other assets that are denominated in a foreign currency, the Funds will normally use the currency exchange rates, generally determined as of 4:00 p.m. (London 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 each Fund calculates its net asset value, the Funds value these securities as determined in accordance with procedures approved by the Funds' Board of Trustees.

Pursuant to policies adopted by the Board of Trustees, the Funds' manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Funds' manager is assisted by the Global Fund Valuation Committee (the "Valuation Committee"). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Funds' pricing policies, and reporting to the Funds' manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Funds, 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

<br>31<br>

------

**Notes to Schedules of Investments (unaudited) (cont'd)** 

deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer's financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts' research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

The Funds use 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:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 — unadjusted quoted prices in active markets for identical investments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 — other significant observable inputs (including quoted prices for similar investments,
interest rates, prepayment speeds, credit risk, etc.)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 — significant unobservable inputs (including the Funds' 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 Funds' assets and liabilities carried at fair value:

**Short Duration Income ETF** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| **DESCRIPTION** | **QUOTED PRICES**<br>**(LEVEL 1)** | **OTHER SIGNIFICANT**<br>**OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT**<br>**UNOBSERVABLE**<br>**INPUTS**<br>**(LEVEL 3)** | **TOTAL** |
|  Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds & Notes |  | $20058473 |  | $20058473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 836448 |  | 836448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations |  | 372268 |  | 372268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sovereign Bonds |  | 37876 |  | 37876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 27947 |  | 27947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Senior Loans |  | 10180 |  | 10180 |
|  Total Long-Term Investments |  | 21343192 |  | 21343192 |
|  Short-Term Investments† |  | 1699435 |  | 1699435 |
|  Total Investments |  | $23042627 |  | $23042627 |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | $61655 |  |  | $61655 |
|  Total | $61655 | $23042627 |  | $23104282 |

---

<br>32<br>

------

**Notes to Schedules of Investments (unaudited) (cont'd)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
| **DESCRIPTION** | **QUOTED PRICES<br>(LEVEL 1)** | **OTHER SIGNIFICANT<br>OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT<br>UNOBSERVABLE<br>INPUTS<br>(LEVEL 3)** | **TOTAL** |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | $32488 |  |  | $32488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection†† |  | $18024 |  | 18024 |
|  Total | $32488 | $18024 |  | $50512 |

---

† See Schedule of Investments for additional detailed categorizations.

†† Reflects the unrealized appreciation (depreciation) of the instruments.

**Total Return ETF** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| **DESCRIPTION** | **QUOTED PRICES**<br>**(LEVEL 1)** | **OTHER SIGNIFICANT**<br>**OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT**<br>**UNOBSERVABLE**<br>**INPUTS**<br>**(LEVEL 3)** | **TOTAL** |
|  Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds & Notes |  | $11353521 |  | $11353521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mortgage-Backed Securities |  | 7684540 |  | 7684540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations |  | 3797120 |  | 3797120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sovereign Bonds |  | 3349213 |  | 3349213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities |  | 2173347 |  | 2173347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations |  | 1688630 |  | 1688630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Senior Loans: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials |  | 235956 | $53469 | 289425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Senior Loans |  | 732755 |  | 732755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Purchased Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Purchased Options | $35957 |  |  | 35957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Purchased Options |  | 1580 |  | 1580 |
|  Total Long-Term Investments | 35957 | 31016662 | 53469 | 31106088 |
|  Short-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 1841395 |  | 1841395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Paper |  | 99881 |  | 99881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Overnight Deposits |  | 631706 |  | 631706 |
|  Total Short-Term Investments |  | 2572982 |  | 2572982 |
|  Total Investments | $35957 | $33589644 | $53469 | $33679070 |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | $38415 |  |  | $38415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† |  | $228663 |  | 228663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† |  | 817464 |  | 817464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Credit Default Swaps on Corporate Issues - Sell Protection‡ |  | 763 |  | 763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection†† |  | 68082 |  | 68082 |
|  Total Other Financial Instruments | $38415 | $1114972 |  | $1153387 |
|  Total | $74372 | $34704616 | $53469 | $34832457 |

---

<br>33<br>

------

**Notes to Schedules of Investments (unaudited) (cont'd)** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** | **LIABILITIES** |
| **DESCRIPTION** | **QUOTED PRICES<br>(LEVEL 1)** | **OTHER SIGNIFICANT<br>OBSERVABLE INPUTS<br>(LEVEL 2)** | **SIGNIFICANT<br>UNOBSERVABLE<br>INPUTS**<br>**(LEVEL 3)** | **TOTAL** |
|  Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Written Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Written Options | $103982 |  |  | $103982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Written Options |  | $605 |  | 605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts†† | 292710 |  |  | 292710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† |  | 142972 |  | 142972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† |  | 406880 |  | 406880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Credit Default Swaps on Corporate Issues - Buy Protection‡ |  | 5554 |  | 5554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection†† |  | 38040 |  | 38040 |
|  Total | $396692 | $594051 |  | $990743 |

---

† See Schedule of Investments for additional detailed categorizations.

†† Reflects the unrealized appreciation (depreciation) of the instruments.

‡ Value includes any premium paid or received with respect to swap contracts.

<br>34<br>

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Legg Mason ETF Investment Trust

- **b. Investment Company Act file number:** 811-23096

- **c. CIK number of Registrant:** 0001645194

- **d. LEI of Registrant:** 549300D7ZZ1A7JJ9G964

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-721-1926

**Item A.2. Information about the Series.**

- **a. Name of Series:** Western Asset Short Duration Income ETF

- **b. EDGAR series identifier (if any):** S000064209

- **c. LEI of Series:** 5493003DQQTPY0OF6U21

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-03-31

- **b. Date as of which information is reported:** 2022-12-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $23518842.32

**Total Liabilities:** $133029.87

**Net Assets:** $23385812.45

**Cash Not Reported:** $136027.00

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 46.99000000 | **1-Year:** 1672.23000000 | **5-Year:** 3519.38000000 | **10-Year:** 1114.77000000 | **30-Year:** 0.36000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.63000000 | **1-Year:** 84.41000000 | **5-Year:** 36.42000000 | **10-Year:** 1.27000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000207671 | 0.02%                | 2.17%                | 0.14%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-52304.11               | $-34400.73                                 |
| Month 2  | $-14528.09               | $603814.43                                 |
| Month 3  | $-233716.00              | $214791.13                                 |

### Schedule of Portfolio Investments

| Name                                        | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7650.82      | 0.03%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $9790.63      | 0.04%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORTINET INC                                | Fortinet Inc                                                                    | CUSIP: 34959EAA7<br>LEI: 549300O0QJWDBAS0QX03 | Long             | DBT              | CORP              | US        |    120000 | PA      | $105032.95    | 0.45%             | 2026-03-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                 | Equifax Inc                                                                     | CUSIP: 294429AT2<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23278.54     | 0.10%             | 2031-09-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| RELIANCE STAND LIFE II                      | Reliance Standard Life Global Funding II                                        | CUSIP: 75951AAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $45070.15     | 0.19%             | 2027-01-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                         | PayPal Holdings Inc                                                             | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |     60000 | PA      | $49290.07     | 0.21%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                    | Discovery Communications LLC                                                    | CUSIP: 25470DAL3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48485.79     | 0.21%             | 2026-03-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58967.84     | 0.25%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-2B PTT                      | Air Canada 2015-2 Class B Pass Through Trust                                    | CUSIP: 009088AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     39333 | PA      | $38502.70     | 0.16%             | 2023-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                     | GA Global Funding Trust                                                         | CUSIP: 36143L2B0<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18734.59     | 0.08%             | 2024-04-08      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL GENERAL HLDG CO                    | National General Holdings Corp                                                  | CUSIP: 636220AC9<br>LEI: 549300HUE7OCQI86BK16 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40177.98     | 0.17%             | 2024-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DB8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      6000 | PA      | $6114.12      | 0.03%             | 2024-07-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PARSLEY ENERGY LLC/FINAN                    | Parsley Energy LLC / Parsley Finance Corp                                       | CUSIP: 701885AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9183.49      | 0.04%             | 2028-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                     | Becton Dickinson and Co                                                         | CUSIP: 075887BV0<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     32000 | PA      | $31270.28     | 0.13%             | 2024-06-06      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                  | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59931.78     | 0.26%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                             | DR Horton Inc                                                                   | CUSIP: 23331ABM0<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    110000 | PA      | $104743.98    | 0.45%             | 2024-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155694.89    | 0.67%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                     | Honeywell International Inc                                                     | CUSIP: 438516BZ8<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41258.56     | 0.18%             | 2030-06-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                        | Edison International                                                            | CUSIP: 281020AR8<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157344.20    | 0.67%             | 2025-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AX6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $174213.47    | 0.74%             | N/A             | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                   | Apple Inc                                                                       | CUSIP: 037833EH9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    140000 | PA      | $118594.23    | 0.51%             | 2028-08-05      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                      | Diamondback Energy Inc                                                          | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    140000 | PA      | $130213.60    | 0.56%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT US Long Bond                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $14058.41     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| AVIATION CAPITAL GROUP                      | Aviation Capital Group LLC                                                      | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    370000 | PA      | $345164.63    | 1.48%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Private Education Refi Loan Trust 2020-D                                | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32616 | PA      | $29315.27     | 0.13%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| EL PASO NATURAL GAS                         | El Paso Natural Gas Co LLC                                                      | CUSIP: 283695BE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $63681.75     | 0.27%             | 2026-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON COMPANY                       | Toledo Edison Co/The                                                            | CUSIP: 889175BF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8000 | PA      | $6987.51      | 0.03%             | 2028-05-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT 5 Year US Treasury Note                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       127 | NC      | $-23101.57    | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17355.76     | 0.07%             | 2027-07-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                 | Cargill Inc                                                                     | CUSIP: 141781BN3<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    150000 | PA      | $132787.71    | 0.57%             | 2026-02-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                    | Neuberger Berman Loan Advisers Clo 42 Ltd                                       | CUSIP: 64133WAA3<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |    210000 | PA      | $203243.15    | 0.87%             | 2035-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     40000 | PA      | $37598.93     | 0.16%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                    | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28696.27     | 0.12%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                        | BAT International Finance PLC                                                   | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    140000 | PA      | $124047.62    | 0.53%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8645.03      | 0.04%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    130000 | PA      | $120804.49    | 0.52%             | 2026-04-28      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40695.11     | 0.17%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75339.59     | 0.32%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                  | CUSIP: 00912XAT1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127795.07    | 0.55%             | 2023-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                              | Ohio Edison Co                                                                  | CUSIP: 677347CH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $19807.71     | 0.08%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GENTING NY LLC/GENNY CAP                    | Genting New York LLC / GENNY Capital Inc                                        | CUSIP: 37255JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $174897.23    | 0.75%             | 2026-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| US AIRWAYS 2013-1A PTT                      | US Airways 2013-1 Class A Pass Through Trust                                    | CUSIP: 90346WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8877 | PA      | $8062.70      | 0.03%             | 2025-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $6953.91      | 0.03%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110000 | PA      | $112251.56    | 0.48%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91184.14     | 0.39%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $185176.42    | 0.79%             | 2025-05-24      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139497.62    | 0.60%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    270000 | PA      | $237238.86    | 1.01%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CBOT 10 Year US Treasury Note                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -78 | NC      | $43350.42     | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| BNY CASH RESERVE                            | BNY CASH RESERVE                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1699435 | NS      | $1699435.31   | 7.27%             |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                | Ecopetrol SA                                                                    | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    180000 | PA      | $178836.61    | 0.76%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     86000 | PA      | $85099.63     | 0.36%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | CDS CDX.NA.IG.38.V1                                                             | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              | CORP              | FR        |         1 | NC      | $-10904.66    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                    | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAK6<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     80000 | PA      | $80640.53     | 0.34%             | 2033-04-22      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                  | Cigna Corp                                                                      | CUSIP: 125523AG5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39081.33     | 0.17%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $187176.82    | 0.80%             | 2025-12-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| TD SYNNEX CORP                              | TD SYNNEX Corp                                                                  | CUSIP: 87162WAD2<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92873.96     | 0.40%             | 2024-08-09      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| KIMCO REALTY CORP                           | Kimco Realty Corp                                                               | CUSIP: 49446RAY5<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |     40000 | PA      | $30709.31     | 0.13%             | 2031-12-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                     | BPCE SA                                                                         | CUSIP: 05578QAA1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $198492.81    | 0.85%             | 2023-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FBB6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9472.33      | 0.04%             | 2025-11-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CIMAREX ENERGY CO                           | Cimarex Energy Co                                                               | CUSIP: 171798AE1<br>LEI: 11KYOFXPU1C4CQL1CL44 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15577.82     | 0.07%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    120000 | PA      | $98874.69     | 0.42%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                        | Targa Resources Corp                                                            | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39205.28     | 0.17%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CONTL AIRLINES 2012-2 A                     | Continental Airlines 2012-2 Class A Pass Through Trust                          | CUSIP: 210795QB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     33121 | PA      | $31601.99     | 0.14%             | 2024-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18603.34     | 0.08%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                | QUALCOMM Inc                                                                    | CUSIP: 747525BQ5<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19240.87     | 0.08%             | 2032-05-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES/AADVAN                    | American Airlines Inc/AAdvantage Loyalty IP Ltd                                 | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     60000 | PA      | $57698.79     | 0.25%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIVERSIFIED HEALTHCARE T                    | Diversified Healthcare Trust                                                    | CUSIP: 81721MAK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $16900.00     | 0.07%             | 2024-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                      | Mondelez International Inc                                                      | CUSIP: 609207AX3<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15377.44     | 0.07%             | 2031-02-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    210000 | PA      | $204872.18    | 0.88%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $25669.77     | 0.11%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                         | Kimberly-Clark Corp                                                             | CUSIP: 494368CC5<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8527.20      | 0.04%             | 2027-09-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    220000 | PA      | $193935.73    | 0.83%             | 2026-12-09      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| DEVON OEI OPERATING LLC                     | Devon OEI Operating LLC                                                         | CUSIP: 812007AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $21675.04     | 0.09%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | ALTRIA GROUP INC                                                                | CUSIP: 02209SAU7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91691.07     | 0.39%             | 2026-09-16      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                     | DCP Midstream Operating LP                                                      | CUSIP: 23311VAK3<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33085.20     | 0.14%             | 2032-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $29403.03     | 0.13%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEC2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     70000 | PA      | $62515.33     | 0.27%             | 2026-05-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    150000 | PA      | $154753.17    | 0.66%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBL6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28772.61     | 0.12%             | 2027-02-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                          | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    110000 | PA      | $102709.31    | 0.44%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AH0<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    300000 | PA      | $275691.51    | 1.18%             | 2025-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     12000 | PA      | $12136.56     | 0.05%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                      | UnitedHealth Group Inc                                                          | CUSIP: 91324PEG3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77384.84     | 0.33%             | 2027-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AW3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61423.48     | 0.26%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YBZ1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28699.78     | 0.12%             | 2024-11-21      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397WW9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190552.00    | 0.81%             | 2024-09-08      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                     | Astrazeneca Finance LLC                                                         | CUSIP: 04636NAA1<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35612.43     | 0.15%             | 2026-05-28      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18728.82     | 0.08%             | 2025-05-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                      | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBM8<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10365.94     | 0.04%             | 2033-10-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                               | ZF North America Capital Inc                                                    | CUSIP: 98877DAC9<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    200000 | PA      | $188907.91    | 0.81%             | 2025-04-29      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MEG ENERGY CORP                             | MEG Energy Corp                                                                 | CUSIP: 552704AE8<br>LEI: 5493002WXPTG5ZC1T326 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $71392.44     | 0.31%             | 2027-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 17-1B PTT                      | American Airlines 2017-1 Class B Pass Through Trust                             | CUSIP: 02378WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30930 | PA      | $29083.74     | 0.12%             | 2025-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    135800 | PA      | $36623.85     | 0.16%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                    | Florida Gas Transmission Co LLC                                                 | CUSIP: 340711BA7<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |     70000 | PA      | $53435.54     | 0.23%             | 2031-10-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                        | Howmet Aerospace Inc                                                            | CUSIP: 443201AA6<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51308.50     | 0.22%             | 2025-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     80000 | PA      | $80001.41     | 0.34%             | 2025-12-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NORTHWEST PIPELINE LLC                      | Northwest Pipeline LLC                                                          | CUSIP: 667748AF4<br>LEI: 549300FFKMN9OW536A14 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20659.01     | 0.09%             | 2025-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76762.23     | 0.33%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                    | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 035240AK6<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100096.76    | 0.43%             | 2024-01-12      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| HERSHEY COMPANY                             | Hershey Co/The                                                                  | CUSIP: 427866BE7<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8007.41      | 0.03%             | 2030-06-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                 | PepsiCo Inc                                                                     | CUSIP: 713448FM5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18857.80     | 0.08%             | 2032-07-18      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    370000 | PA      | $324163.06    | 1.39%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| SkyMiles IP Ltd                             | SkyMiles IP Ltd                                                                 | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |     10000 | PA      | $10180.00     | 0.04%             | 2027-10-20      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                    | Graphic Packaging International LLC                                             | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8723.07      | 0.04%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    170000 | PA      | $157116.65    | 0.67%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DOLLAR TREE INC                             | Dollar Tree Inc                                                                 | CUSIP: 256746AG3<br>LEI: 549300PMSTQITB1WHR43 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48813.37     | 0.21%             | 2025-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967ND9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     80000 | PA      | $73714.88     | 0.32%             | 2025-11-03      | Fixed         | 1.28%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                     | Exxon Mobil Corp                                                                | CUSIP: 30231GBK7<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37304.10     | 0.16%             | 2030-03-19      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                         | American International Group Inc                                                | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75312.00     | 0.32%             | 2025-06-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                  | Sprint LLC                                                                      | CUSIP: 85207UAH8<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50977.00     | 0.22%             | 2024-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                        | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAH3<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8161.51      | 0.03%             | 2030-06-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                              | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26398.11     | 0.11%             | 2032-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                    | Prudential Financial Inc                                                        | CUSIP: 74432QCH6<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9003.79      | 0.04%             | 2026-03-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    200000 | PA      | $156352.15    | 0.67%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| RELIANCE STAND LIFE II                      | Reliance Standard Life Global Funding II                                        | CUSIP: 75951AAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $94545.99     | 0.40%             | 2024-10-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                            | NTT Finance Corp                                                                | CUSIP: 62954WAC9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $176871.12    | 0.76%             | 2026-04-03      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $17875.00     | 0.08%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RDQ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29190.78     | 0.12%             | 2027-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    250000 | PA      | $254427.48    | 1.09%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2020-1 B PTT                     | United Airlines 2020-1 Class B Pass Through Trust                               | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60960 | PA      | $57996.45     | 0.25%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                            | ArcelorMittal SA                                                                | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |     30000 | PA      | $30141.15     | 0.13%             | 2027-11-29      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXS8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     40000 | PA      | $36168.90     | 0.15%             | 2026-02-12      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                     | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $26033.81     | 0.11%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                          | VICI Properties LP                                                              | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85380.09     | 0.37%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                            | MDC Holdings Inc                                                                | CUSIP: 552676AU2<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7211.81      | 0.03%             | 2031-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                    | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7657.11      | 0.03%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                    | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    540000 | PA      | $543372.40    | 2.32%             | 2023-03-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                         | CommonSpirit Health                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8248.24      | 0.04%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $139234.38    | 0.60%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                        | Mercedes-Benz Finance North America LLC                                         | CUSIP: 233851EC4<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    150000 | PA      | $134172.77    | 0.57%             | 2026-03-02      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68706.56     | 0.29%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                           | General Motors Co                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18579.93     | 0.08%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                              | Merck & Co Inc                                                                  | CUSIP: 58933YBD6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     60000 | PA      | $51513.63     | 0.22%             | 2028-12-10      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272AX6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    160000 | PA      | $144814.28    | 0.62%             | 2025-09-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| ABPCI Direct Lending Fund CLO               | ABPCI Direct Lending Fund IX LLC                                                | CUSIP: 000806AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    270000 | PA      | $262170.00    | 1.12%             | 2031-11-18      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                      | Extra Space Storage LP                                                          | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17914.84     | 0.08%             | 2029-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 6174468V4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35048.63     | 0.15%             | 2026-12-10      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                    | Canadian Pacific Railway Co                                                     | CUSIP: 13645RBE3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $89113.77     | 0.38%             | 2026-12-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    110000 | PA      | $101093.86    | 0.43%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAD9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     80000 | PA      | $62606.12     | 0.27%             | 2030-08-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| SALESFORCE INC                              | Salesforce Inc                                                                  | CUSIP: 79466LAH7<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |    130000 | PA      | $110868.94    | 0.47%             | 2028-07-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    120000 | PA      | $91506.86     | 0.39%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.IG.39.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-3972.30     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    280000 | PA      | $239145.68    | 1.02%             | 2026-06-05      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    100000 | PA      | $78320.24     | 0.33%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding               | Halcyon Loan Advisors Funding 2017-2 Ltd                                        | CUSIP: 40490BAC2<br>LEI: 549300IKIM3YK4H3N895 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244189.49    | 1.04%             | 2030-01-17      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                              | Amazon.com Inc                                                                  | CUSIP: 023135BR6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    140000 | PA      | $121238.35    | 0.52%             | 2027-06-03      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                    | New York Life Global Funding                                                    | CUSIP: 64952WDQ3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     60000 | PA      | $54327.60     | 0.23%             | 2025-06-24      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $178759.15    | 0.76%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                           | EOG Resources Inc                                                               | CUSIP: 26875PAU5<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28999.98     | 0.12%             | 2030-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| YAMANA GOLD INC                             | Yamana Gold Inc                                                                 | CUSIP: 98462YAF7<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |     10000 | PA      | $7467.23      | 0.03%             | 2031-08-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16891.02     | 0.07%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $16025.00     | 0.07%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                     | Simon Property Group LP                                                         | CUSIP: 828807CV7<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19154.72     | 0.08%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                | Ecopetrol SA                                                                    | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     40000 | PA      | $30553.59     | 0.13%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87438.50     | 0.37%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    320000 | PA      | $277570.51    | 1.19%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                       | Texas Instruments Inc                                                           | CUSIP: 882508BV5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49931.89     | 0.21%             | 2028-02-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $197500.00    | 0.84%             | N/A             | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                  | Cigna Corp                                                                      | CUSIP: 125523CL2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    130000 | PA      | $108904.36    | 0.47%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |     30000 | PA      | $23388.12     | 0.10%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $78256.13     | 0.33%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    130000 | PA      | $105876.67    | 0.45%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                     | Hyundai Capital America                                                         | CUSIP: 44891ABR7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66591.72     | 0.28%             | 2024-01-08      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                    | Fox Corp                                                                        | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39536.13     | 0.17%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                      | Marriott International Inc/MD                                                   | CUSIP: 571900BB4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127396.36    | 0.54%             | 2024-04-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| UNIV OF CALIFORNIA CA RGTS MED              | Regents of the University of California Medical Center Pooled Revenue           | CUSIP: 913366KV1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     30000 | PA      | $27946.89     | 0.12%             | 2032-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                          | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75579.58     | 0.32%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139661.20    | 0.60%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCG8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    130000 | PA      | $121338.10    | 0.52%             | 2028-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                              | S&P Global Inc                                                                  | CUSIP: 78409VAS3<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7690.90      | 0.03%             | 2030-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                      | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25620.94     | 0.11%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $173332.18    | 0.74%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958254AE4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37862.40     | 0.16%             | 2025-06-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     60000 | PA      | $50971.47     | 0.22%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC                               | Welltower Inc                                                                   | CUSIP: 95040QAR5<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16971.61     | 0.07%             | 2032-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                     | MPLX LP                                                                         | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    200000 | PA      | $178274.03    | 0.76%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                      | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $53406.65     | 0.23%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                               | UBS AG/London                                                                   | CUSIP: 902674YH7<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $174747.24    | 0.75%             | 2026-06-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186198.70    | 0.80%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                         | Delta Air Lines Inc                                                             | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143071.70    | 0.61%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CLOROX COMPANY                              | Clorox Co/The                                                                   | CUSIP: 189054AX7<br>LEI: 54930044KVSC06Z79I06 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7961.69      | 0.03%             | 2030-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                     | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550AQ9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10792.25     | 0.05%             | 2033-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                             | Danske Bank A/S                                                                 | CUSIP: 23636ABA8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    200000 | PA      | $182598.61    | 0.78%             | 2025-09-10      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273RBD0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    410000 | PA      | $397123.74    | 1.70%             | 2025-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60438.20     | 0.26%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                             | CSL Finance PLC                                                                 | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |     30000 | PA      | $28276.10     | 0.12%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ROCKETMTGE CO-ISSUER INC                    | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer Inc                             | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $17143.25     | 0.07%             | 2026-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49617.15     | 0.21%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19902.79     | 0.09%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $185.77       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     60000 | PA      | $49341.51     | 0.21%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                  | CUSIP: 00914AAL6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    220000 | PA      | $207810.77    | 0.89%             | 2024-02-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                | Centene Corp                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     80000 | PA      | $67629.60     | 0.29%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    140000 | PA      | $132326.73    | 0.57%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                               | Nordstrom Inc                                                                   | CUSIP: 655664AX8<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18704.00     | 0.08%             | 2024-04-08      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      4718 | PA      | $1252.53      | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | CDS CDX.NA.HY.38.V1                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-8129.77     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61082.96     | 0.26%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                         | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    210000 | PA      | $209896.31    | 0.90%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                     | Honeywell International Inc                                                     | CUSIP: 438516CK0<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50927.02     | 0.22%             | 2033-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DE7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19212.19     | 0.08%             | 2024-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKE8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18446.01     | 0.08%             | 2025-12-06      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                        | Enel Finance International NV                                                   | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $205365.73    | 0.88%             | 2025-10-14      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39329.96     | 0.17%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29278NAC7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19874.46     | 0.08%             | 2023-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                    | KLA Corp                                                                        | CUSIP: 482480AL4<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19590.01     | 0.08%             | 2032-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                             | Sands China Ltd                                                                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $187260.60    | 0.80%             | 2028-08-08      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC/WESTFIEL                    | WEA Finance LLC / Westfield UK & Europe Finance PLC                             | CUSIP: 92890HAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $189022.87    | 0.81%             | 2024-09-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38897.09     | 0.17%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                             | Nissan Motor Co Ltd                                                             | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $195954.25    | 0.84%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                    | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $131166.25    | 0.56%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    200000 | PA      | $161123.74    | 0.69%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| ADOBE INC                                   | Adobe Inc                                                                       | CUSIP: 00724PAD1<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |     60000 | PA      | $51160.13     | 0.22%             | 2030-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                         | Charles Schwab Corp/The                                                         | CUSIP: 808513BR5<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    190000 | PA      | $168825.22    | 0.72%             | 2026-05-13      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                | Vontier Corp                                                                    | CUSIP: 928881AB7<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |     60000 | PA      | $50702.96     | 0.22%             | 2026-04-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                        | Targa Resources Corp                                                            | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43018.17     | 0.18%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                              | Mastercard Inc                                                                  | CUSIP: 57636QAR5<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    120000 | PA      | $114284.92    | 0.49%             | 2027-03-26      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                | Centene Corp                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27415.07     | 0.12%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650CU2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37339.11     | 0.16%             | 2026-06-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| LAM RESEARCH CORP                           | Lam Research Corp                                                               | CUSIP: 512807AV0<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |     60000 | PA      | $48888.17     | 0.21%             | 2030-06-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    120000 | PA      | $108063.54    | 0.46%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                       | Costco Wholesale Corp                                                           | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8758.49      | 0.04%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        20 | NC      | $-9386.15     | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    170000 | PA      | $134373.27    | 0.57%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                    | Element Fleet Management Corp                                                   | CUSIP: 286181AF9<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     10000 | PA      | $9473.18      | 0.04%             | 2024-04-06      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                               | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    130000 | PA      | $104911.92    | 0.45%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                       | Waste Connections Inc                                                           | CUSIP: 94106BAF8<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     80000 | PA      | $74299.52     | 0.32%             | 2033-01-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| YAMANA GOLD INC                             | Yamana Gold Inc                                                                 | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $65525.14     | 0.28%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     80000 | PA      | $70137.50     | 0.30%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958667AB3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75697.60     | 0.32%             | 2025-02-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | CME Ultra Long Term US Treasury Bond                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $4060.77      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                      | Anglo American Capital PLC                                                      | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $193511.87    | 0.83%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9231.65      | 0.04%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    140000 | PA      | $115997.68    | 0.50%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                              | Lowe's Cos Inc                                                                  | CUSIP: 548661DX2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    120000 | PA      | $99720.42     | 0.43%             | 2028-04-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                             | CVS Health Corp                                                                 | CUSIP: 126650DM9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     90000 | PA      | $76197.13     | 0.33%             | 2027-08-21      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                             | CSL Finance PLC                                                                 | CUSIP: 12661PAA7<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |     20000 | PA      | $19132.56     | 0.08%             | 2027-04-27      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                        | Bank of America Corp                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23103.20     | 0.10%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                     | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    180000 | PA      | $146156.50    | 0.62%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $185502.94    | 0.79%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                              | Morgan Stanley                                                                  | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    200000 | PA      | $175446.89    | 0.75%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| AGL CLO 6 LTD                               | AGL CLO 6 LTD                                                                   | CUSIP: 00119VAN9<br>LEI: 5493008ZSC34VKNPZN79 | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $97529.69     | 0.42%             | 2034-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GLOBAL AIR LEASE CO LTD                     | Global Aircraft Leasing Co Ltd                                                  | CUSIP: 37960JAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2307 | PA      | $1960.95      | 0.01%             | 2024-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 09659W2Q6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $174051.46    | 0.74%             | 2027-06-30      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| AMFAM HOLDINGS INC                          | AmFam Holdings Inc                                                              | CUSIP: 03115AAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $116545.60    | 0.50%             | 2031-03-11      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                            | NTT Finance Corp                                                                | CUSIP: 62954WAK1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $195343.32    | 0.84%             | 2027-07-27      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                 | Workday Inc                                                                     | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44136.85     | 0.19%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                    | Pioneer Natural Resources Co                                                    | CUSIP: 723787AU1<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98353.19     | 0.42%             | 2023-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $173680.00    | 0.74%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86645.67     | 0.37%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| BON SECOURS MERCY                           | Bon Secours Mercy Health Inc                                                    | CUSIP: 09778PAA3<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8937.40      | 0.04%             | 2030-06-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                           | HSBC Holdings PLC                                                               | CUSIP: 404280AF6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     10000 | PA      | $10244.67     | 0.04%             | 2032-05-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                             | DTE Electric Co                                                                 | CUSIP: 23338VAM8<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25505.47     | 0.11%             | 2031-03-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                       | Texas Instruments Inc                                                           | CUSIP: 882508BP8<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27797.12     | 0.12%             | 2032-08-16      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    280000 | PA      | $254397.54    | 1.09%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                      | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $33503.80     | 0.14%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19234.10     | 0.08%             | 2025-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                      | Credit Suisse Group AG                                                          | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $243437.50    | 1.04%             | 2023-06-09      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                      | Southwestern Energy Co                                                          | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8545.90      | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ENERGY CO                      | Southwestern Energy Co                                                          | CUSIP: 84546SAU7<br>LEI: EFWMP121W54QV9MGOP87 | Long             | LON              | CORP              | US        |     19850 | PA      | $19601.88     | 0.08%             | 2027-06-22      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** Legg Mason ETF Investment Trust

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer