Western Asset Absolute Return I (WAARX)

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Issue Coupon Maturity Date Amount Owned % of Fund
3mo Euribor Interest Rate Ftrs Sep11 Xlif 2011-09-19 $46,250,000 22.04
Deutsche Bank Tri Party Repo Tri Party 0.15 2011-04-01 $27,034,000 9.26
Bank Of America Repo Term 0.06 2011-04-01 $23,294,000 7.98
Ultra Long Us Treas Bond Ftrs Jun11 Xcbt 0 2011-06-21 $17,600,000 7.45
90day Eurodollar Futures Cme Mar13 Xcme 0 2013-03-18 $19,000,000 6.36
US Treasury Note 2.25% 2.25 2016-03-31 $15,830,000 5.43
0wp190010 Cds Usd R V 00mevent Red Cd 2165brhk9 1 2015-12-20 $14,100,000 4.83
US Treasury Note 2.375% 2.38 2017-07-31 $13,415,000 4.5
US Treasury Note 3.5% 3.5 2020-05-15 $12,889,000 4.47
US Treasury Note 3.625% 3.62 2021-02-15 $10,490,000 3.64
US Treasury Note 2.75% 2.75 2018-02-28 $10,550,000 3.59
US Treasury Note 1.875% 1.88 2017-10-31 $8,680,000 2.81
FNMA 0 2011-07-05 $6,700,000 2.29
Citigroup 5.5% 5.5 2017-02-15 $5,570,000 1.98
Ford Motor Credit Co 7% 7 2013-10-01 $4,800,000 1.77
Euro BOBL (Fut) 0 2011-06-08 $2,800,000 1.56
Engy Transfer Prtnrs L P 6.7% 6.7 2018-07-01 $3,800,000 1.47
Merrill Lynch Co Inc Mtn Be 5.45% 5.45 2013-02-05 $3,490,000 1.27
Delhaize Grp Sa 6.5% 6.5 2017-06-15 $3,014,000 1.16
US Treasury Note 2.125% 2.12 2016-02-29 $3,330,000 1.14
FHLMC 0 2011-05-26 $3,220,000 1.1
0wp190010 Cds Usd P F 5.00000 5 2015-12-20 $14,100,000 -4.99
US Treasury Bond (Fut) 0 2011-06-30 $15,700,000 -5.88
90day Eurodollar Futures Cme Mar12 Xcme 0 2012-03-19 $19,000,000 -6.45
US Treasury Bond (Fut) 0 2011-06-21 $101,700,000 -41.53