Investment Commentary and Annual Report to ... - Western Asset

Annual Report to ShareholdersPortfolio of Investments—ContinuedWestern Asset Premier Bond Fund—Continued%OFNET ASSETSMATURITYDATEPAR/SHARESRATEVALUEMortgage-Backed Securities—ContinuedIndexed Securities C —ContinuedHarborview Mortgage Loan Trust2004-8 3A2 1.874% 11/19/34 $ 238,184 $ 113,218Harborview Mortgage Loan Trust2005-9 B10 4.567% 6/20/35 1,198,490 101,872Impac CMB Trust 2A-10 1.111% 3/25/35 629,520 268,568IndyMac Index Mortgage Loan Trust2007-AR15 2A1 5.940% 8/25/37 6,513,482 2,644,415Luminent Mortgage Trust 2006-6 A1 0.671% 10/25/46 1,495,730 613,088Merit Securities Corp. 11PA B3 3.681% 9/28/32 850,000 185,045 A,NRegal Trust IV 1999-1 A 4.198% 9/29/31 160,668 125,450 AStructured Asset Securities Corp.2002-9 A2 0.771% 10/25/27 1,367,934 1,076,411Thornburg Mortgage Securities Trust2006-2 A2B 1.505% 3/25/46 1,631,307 1,609,044Washington Mutual Inc. 2004-AR12 A2A 3.765% 10/25/44 247,588 140,684Washington Mutual Mortgage Pass-Through Certificates 2006-AR5 3A 3.419% 7/25/46 1,624,472 519,83124,744,639Stripped Securities 1.3%Indymac Index Mortgage Loan Trust2005-AR14 BX 0.000% 7/25/35 9,883,957 98,840 H,J2LB-UBS Commercial Mortgage Trust2001-C3 X 1.148% 6/15/36 2,550,190 42,804 A,H,J1Prime Mortgage Trust 2005-2 2XB 1.740% 10/25/32 3,878,884 445,905 J1Prime Mortgage Trust 2005-5 1X 0.860% 7/25/34 12,075,476 229,329 J1Prime Mortgage Trust 2005-5 1XB 1.560% 7/25/34 3,204,453 163,466 J1Residential Asset Mortgage Products, Inc.2005-SL2 AP0 0.000% 2/25/32 554,693 386,828 J21,367,172Variable Rate Securities K 2.5%Bear Stearns Alt-A Trust 2005 -10 21A1 5.593% 1/25/36 1,533,480 733,107Credit Suisse Mortgage Capital Certificates2007-C3 A4 5.913% 6/15/39 242,000 153,557Thornburg Mortgage Securities Trust2007-4 2A1 6.216% 9/25/37 1,112,128 787,628Thornburg Mortgage Securities Trust2007-4 3A1 6.201% 9/25/37 1,067,332 818,8742,493,166Total Mortgage-Backed Securities(Cost—$39,765,208) 31,486,70320