NPORT-EX 2 LMF6700LM113022.htm HTML

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
MUNICIPAL BONDS - 95.7%           

Alabama - 3.0%

           

Alabama State Corrections Institution Finance Authority Revenue, Series A

      5.250 %      7/1/52      $ 400,000      $ 430,365  

Black Belt Energy Gas District, Gas Project Revenue Bonds, Project #6, Series B

      4.000 %      12/1/26        80,000        79,227 (a)(b) 

Hoover, AL, IDA Revenue, United States Steel Corp. Project, Series 2019

      5.750 %      10/1/49        100,000        104,581 (c)  

Jefferson County, AL, Sewer Revenue:

           

Convertible CAB, Subordinated Lien, Warrants, Step bond, Series F, Refunding (0.000% to 10/1/23 then 7.900%)

      0.000 %      10/1/50        470,000        478,993  

Senior Lien, Warrants, Series A, Refunding, AGM

      5.500 %      10/1/53        75,000        77,498  

Subordinated Lien, Warrants, Series D, Refunding

      6.000 %      10/1/42        105,000        112,326  

Southeast Alabama Gas Supply District, Gas Supply Revenue, Project #2, Series A

      4.000 %      6/1/24        645,000        643,976 (a)(b) 
          

 

 

  

Total Alabama

              1,926,966  
          

 

 

  

Alaska - 1.0%

           

Alaska State Housing Finance Corp. Revenue, State Capital Project II, Series B

      5.000 %      12/1/37        75,000        80,888  

Anchorage, AK, Port Revenue, Series A

      5.000 %      12/1/50        150,000        151,529 (c)  

Northern Tobacco Securitization Corp., AK, Tobacco Settlement Revenue, Asset Backed Senior Bonds, Class 1, Series A, Refunding

      4.000 %      6/1/50        500,000        426,382  
          

 

 

  

Total Alaska

              658,799  
          

 

 

  

Arizona - 4.2%

           

Arizona State IDA, Education Revenue:

           

Academies Math & Science Project, Refunding, SD Credit Program

      5.000 %      7/1/37        45,000        46,102  

Academies Math & Science Project, Refunding, SD Credit Program

      5.000 %      7/1/38        500,000        512,356  

Academies Math & Science Project, Series S, Refunding, SD Credit Program

      5.000 %      7/1/47        50,000        50,388  

Chandler, AZ, IDA Revenue, Intel Corp. Project

      5.000 %      6/3/24        500,000        507,381 (a)(b)(c) 

Maricopa County, AZ, IDA, Legacy Traditional School Projects, Series A, SD Credit Program

      4.000 %      7/1/34        400,000        393,474  

Phoenix, AZ, IDA, Great Hearts Academies, Refunding

      5.000 %      7/1/36        75,000        75,960  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2022 Quarterly Report    

  

 

 

1

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Arizona - (continued)

           

Queen Creek, AZ, Excise Tax & State Shared Revenue, Series A

      5.000 %      8/1/47      $ 585,000      $ 623,564  

Salt Verde, AZ, Financial Corp., Natural Gas Revenue, Series 2007

      5.000 %      12/1/32        495,000        519,841  
          

 

 

  

Total Arizona

              2,729,066  
          

 

 

  

California - 9.6%

           

Alameda, CA, Corridor Transportation Authority Revenue:

           

Second Subordinated Lien, Series B, Refunding

      5.000 %      10/1/34        50,000        51,459  

Second Subordinated Lien, Series B, Refunding

      5.000 %      10/1/36        50,000        51,237  

Second Subordinated Lien, Series B, Refunding

      5.000 %      10/1/37        200,000        204,511  

Bay Area Toll Authority, CA, Toll Bridge Revenue, San Francisco Bay Area, Series B-1 (SIFMA Municipal Swap Index Yield + 1.100%)

      3.000 %      4/1/24        160,000        161,218 (a)(b) 

California State Community Choice Financing Authority Revenue, Clean Energy Project, Green Bonds, Series A-1

      4.000 %      8/1/28        200,000        200,037 (a)(b) 

California State MFA Revenue:

           

Senior Lien, LINXS APM Project, Series A

      5.000 %      12/31/34        100,000        103,183 (c)  

Senior Lien, LINXS APM Project, Series A

      5.000 %      12/31/43        100,000        101,146 (c)  

California State MFA Special Facility Revenue, United Airlines, Inc., Los Angeles International Airport Project

      4.000 %      7/15/29        75,000        72,795 (c)  

California State, GO, Various Purpose, Refunding

      4.000 %      11/1/36        15,000        15,471  

California Statewide CDA, Community Improvement Authority Revenue, Renaissance at City Center, Series A

      5.000 %      7/1/51        100,000        90,308  

California Statewide CDA, Student Housing Revenue, University of CA, Irvine Campus Apartments, Phase IV

      5.000 %      5/15/33        50,000        51,465  

Eastern Municipal Water District Financing Authority, CA, Water & Wastewater Revenue, Series D

      5.000 %      7/1/47        50,000        53,151  

Long Beach, CA, Bond Finance Authority Revenue, Natural Gas Purchase, Series A

      5.500 %      11/15/37        50,000        55,614  

Los Angeles, CA, Department of Airports Revenue:

           

Los Angeles International Airport, Subordinated, Series C

      5.000 %      5/15/44        415,000        425,594 (c)  

Subordinated, Los Angeles International Airport, Series C

      5.000 %      5/15/37        95,000        98,870 (c)  

 

See Notes to Schedule of Investments.

 

 

 

2

  

    Western Asset SMASh Series TF Fund 2022 Quarterly Report

  

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

California - (continued)

           

Los Angeles, CA, Department of Water & Power Waterworks Revenue, Series A

      5.000 %      7/1/48      $ 500,000      $ 530,648  

Los Angeles, CA, Wastewater System Revenue, Green Bonds, Subordinated, Series A

      5.000 %      6/1/48        100,000        106,587  

M-S-R Energy Authority, CA, Natural Gas Revenue:

           

Series A

      6.125 %      11/1/29        45,000        49,872  

Series B

      6.125 %      11/1/29        135,000        149,624  

Northern California Energy Authority, Commodity Supply Revenue, Series A

      4.000 %      7/1/24        250,000        250,866 (a)(b) 

Port of Oakland, CA, Intermediate Lien Revenue:

           

Series H, Refunding

      5.000 %      5/1/29        150,000        163,507 (c) 

Series H, Refunding

      5.000 %      11/1/29        300,000        328,754 (c) 

River Islands, CA, Public Financing Authority, Special Tax Revenue, Community Facilities District No. 2003-1, Series A-1, Refunding, AGM

      5.250 %      9/1/52        250,000        269,031  

Riverside County, CA, Transportation Commission Sales Tax Revenue, Series B, Refunding

      5.000 %      6/1/37        100,000        108,576  

Riverside, CA, Electric Revenue, Series A, Refunding

      5.000 %      10/1/48        100,000        107,881  

Riverside, CA, Sewer Revenue, Series A, Refunding

      5.000 %      8/1/34        100,000        110,463  

San Bernardino, CA, USD Revenue, COP, 2019 School Financing Project, AGM

      5.000 %      10/1/36        100,000        109,160  

San Diego County, CA, Regional Transportation Commission, Sales Tax Revenue, Series A

      5.000 %      4/1/48        300,000        315,116  

San Francisco, CA, City & County Airport Commission, International Airport Revenue:

           

Second Series A, Refunding

      5.000 %      5/1/47        400,000        406,178 (c) 

SFO Fuel Co. LLC, Series A, Refunding

      5.000 %      1/1/33        100,000        106,509 (c) 

San Mateo County, CA, Joint Powers Financing Authority Lease Revenue, Capital Project, Series A

      5.000 %      7/15/43        50,000        53,919  

Sanger, CA, USD Revenue, COP, Capital Projects, Refunding, AGM

      5.000 %      6/1/52        250,000        251,250  

Southern California Water Replenishment District Financing Authority, Replenishment Revenue, Series 2018

      5.000 %      8/1/48        500,000        538,847  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2022 Quarterly Report    

  

 

 

3

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

California - (continued)

           

Stockton, CA, PFA Parking Revenue, Refunding

      5.000 %      3/1/35      $ 430,000      $ 434,066  

Tobacco Securitization Authority of Southern California Revenue, Asset Backed Refunding, San Diego County Tobacco Asset Securitization Corporation, Class 1, Series A

      5.000 %      6/1/48        100,000        102,130  
          

 

 

  

Total California

              6,229,043  
          

 

 

  

Colorado - 1.5%

           

Arvada, CO, Vauxmont Metropolitan District, GO, Refunding, AGM

      5.000 %      12/15/24        130,000        135,321  

Colorado State Educational & Cultural Facilities Authority Revenue, University of Denver Project, Series A

      5.000 %      3/1/43        50,000        52,525  

Colorado State Health Facilities Authority Revenue:

           

Commonspirit Health Project, Series A

      5.500 %      11/1/47        150,000        160,419  

Commonspirit Health Project, Series A

      5.250 %      11/1/52        150,000        154,487  

Improvement and Refunding Revenue, Bethesda Project, Series A

      5.000 %      9/15/48        50,000        47,163  

Colorado State High Performance Transportation Enterprise Revenue:

           

C-470 Express Lanes

      5.000 %      12/31/47        100,000        100,235  

C-470 Express Lanes

      5.000 %      12/31/51        230,000        230,264  

Denver, CO, City & County Special Facility Apartment Revenue, United Airlines Inc. Project, Refunding

      5.000 %      10/1/32        100,000        99,283 (c)  
          

 

 

  

Total Colorado

              979,697  
          

 

 

  

Connecticut - 1.7%

           

Connecticut State HEFA Revenue, Sacred Heart University Issue, Series I-1, Refunding

      5.000 %      7/1/36        50,000        52,354  

Connecticut State Special Tax Revenue:

           

Transportation Infrastructure, Series A

      5.000 %      1/1/37        500,000        539,867  

Transportation Infrastructure, Series A

      5.000 %      5/1/38        200,000        221,773  

Connecticut State, GO:

           

Series A

      4.000 %      4/15/37        125,000        126,931  

Series E

      5.000 %      10/15/34        50,000        53,285  

University of Connecticut, Student Fee Revenue, Series A

      5.000 %      11/15/43        100,000        106,431  
          

 

 

  

Total Connecticut

              1,100,641  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

4

  

    Western Asset SMASh Series TF Fund 2022 Quarterly Report

  

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

District of Columbia - 0.1%

           

District of Columbia Revenue, KIPP DC Project, Series B, Refunding

      5.000 %      7/1/42      $ 75,000      $ 76,481  

Florida - 3.1%

           

Broward County, FL, Airport System Revenue:

           

Series 2017

      5.000 %      10/1/47        50,000        50,491 (c)  

Series A

      5.000 %      10/1/45        250,000        250,116 (c)  

Broward County, FL, Port Facilities Revenue, Series B

      5.000 %      9/1/31        200,000        220,472 (c)  

Fort Pierce, FL, Utilities Authority Revenue, Series A, Refunding, AGM

      4.000 %      10/1/52        100,000        91,467  

Greater Orlando, FL, Aviation Authority, Airport Facilities Revenue, Priority Subordinated, Series A

      5.000 %      10/1/47        25,000        25,278 (c)  

Hillsborough County, FL, Aviation Authority Revenue, Tampa International Airport, Series E

      5.000 %      10/1/43        200,000        205,243 (c)  

Miami-Dade County, FL, Aviation Revenue:

           

Series A, Refunding

      4.000 %      10/1/41        150,000        144,552  

Series A, Refunding

      5.000 %      10/1/49        300,000        303,607 (c)  

Series B, Refunding

      5.000 %      10/1/40        200,000        204,023 (c)  

Orange County, FL, Health Facilities Authority Revenue, Presbyterian Retirement Communities, Refunding

      5.000 %      8/1/36        5,000        5,211  

Palm Beach County, FL, Health Facilities Authority Revenue, ACTS Retirement-Life Communities, Series B

      5.000 %      11/15/42        500,000        490,093  

Volusia County, FL, EFA Revenue, Educational Facilities Embry-Riddle Aeronautical University Inc. Project, Refunding

      5.000 %      10/15/42        50,000        52,102  
          

 

 

  

Total Florida

              2,042,655  
          

 

 

  

Georgia - 1.5%

           

Cobb County, GA, Kennestone Hospital Authority Revenue, Wellstar Health System, Inc. Project, Series A

      5.000 %      4/1/50        250,000        251,588  

Dahlonega, GA, Downtown Development Authority Revenue, North Georgia MAC LLC Project, Refunding

      5.000 %      7/1/39        100,000        104,773  

Fulton County, GA, Development Authority Revenue, Georgia Institute of Technology

      5.000 %      6/15/44        100,000        108,088  

Georgia State Higher Education Facilities Authority Revenue, USG Real Estate, Refunding

      5.000 %      6/15/33        50,000        54,890  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2022 Quarterly Report    

  

 

 

5

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Georgia - (continued)

           

Georgia State Municipal Electric Authority Power Revenue:

           

Plant Vogtle Units 3&4, Project J, Series A

      5.000 %      1/1/56      $ 175,000      $ 175,350  

Project One Subordinated, Series A

      5.000 %      1/1/45        100,000        101,125  

Main Street Natural Gas Inc., GA, Gas Project Revenue, Series A

      5.000 %      5/15/43        200,000        201,278  
          

 

 

  

Total Georgia

              997,092  
          

 

 

  

Idaho - 0.2%

           

Idaho State Health Facilities Authority Revenue, Trinity Health Credit Group, Series A

      5.000 %      12/1/47        100,000        101,508  

Illinois - 11.6%

           

Chicago, IL, Board of Education, Dedicated Capital Improvement, Special Tax Revenue, Series 2018

      5.000 %      4/1/42        100,000        100,198  

Chicago, IL, Board of Education, GO:

           

Dedicated, Series H

      5.000 %      12/1/46        850,000        802,384  

Series A

      5.000 %      12/1/40        1,100,000        1,061,579  

Series C, Refunding

      5.000 %      12/1/25        100,000        101,487  

Chicago, IL, GO:

           

Series A

      5.000 %      1/1/44        125,000        122,755  

Series A, Refunding

      5.625 %      1/1/29        250,000        258,210  

Series C, Refunding

      5.000 %      1/1/25        30,000        30,417  

Chicago, IL, O’Hare International Airport Revenue:

           

Series C, Refunding

      5.000 %      1/1/43        250,000        256,731 (c)  

Series D, Refunding

      5.000 %      1/1/46        10,000        10,102  

TrIPS Obligated Group

      5.000 %      7/1/48        50,000        50,080 (c)  

Chicago, IL, Transit Authority, Sales Tax Receipts Revenue, Second Lien, Series A, Refunding

      5.000 %      12/1/45        50,000        51,397  

Chicago, IL, Wastewater Transmission Revenue, Second Lien, Series A

      5.000 %      1/1/47        35,000        35,077  

Chicago, IL, Waterworks Revenue:

           

Second Lien, Series 2017, Refunding

      5.000 %      11/1/29        30,000        31,406  

Second Lien, Series 2017-2, Refunding, AGM

      5.000 %      11/1/32        60,000        63,941  

Elk Grove Village, IL, GO, Cook and DuPage Counties, Refunding

      5.000 %      1/1/36        35,000        37,279  

Illinois State Finance Authority Revenue:

           

Benedictine University, Refunding

      4.000 %      10/1/33        100,000        92,714  

Northshore University Health System, Refunding

      5.000 %      8/15/32        100,000        111,163  

University of Illinois at Urbana, Academic Facilities Lease Revenue Bonds

      5.000 %      10/1/49        50,000        51,334  

 

See Notes to Schedule of Investments.

 

 

 

6

  

    Western Asset SMASh Series TF Fund 2022 Quarterly Report

  

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Illinois - (continued)

           

University of Illinois, Health Services Facility Lease Revenue Bonds

      5.000 %      10/1/30      $ 250,000      $ 268,221  

Illinois State Sales Tax Revenue, Subordinated, Series D, Refunding

      5.000 %      6/15/23        205,000        206,672  

Illinois State Sports Facilities Authority Revenue, Sport Facilities Project, Series 2019, Refunding, BAM

      5.000 %      6/15/29        50,000        52,746  

Illinois State, GO:

           

Series 2016

      5.000 %      1/1/33        25,000        25,603  

Series 2016, Refunding

      5.000 %      2/1/27        25,000        26,051  

Series 2016, Refunding

      5.000 %      2/1/29        20,000        20,739  

Series A

      5.000 %      5/1/36        250,000        256,225  

Series A

      5.000 %      3/1/46        400,000        401,456  

Series A, Refunding

      5.000 %      10/1/29        150,000        157,450  

Series A, Refunding

      5.000 %      10/1/30        350,000        367,168  

Series D

      5.000 %      11/1/27        225,000        235,030  

Kane County, IL, School District No 131 Aurora East Side, GO, Series A, AGM

      4.000 %      12/1/34        725,000        745,736  

Metropolitan Pier & Exposition Authority, IL, Revenue:

           

McCormick Place Expansion Project, Series A, Refunding

      5.000 %      12/15/45        500,000        503,467  

McCormick Place Expansion Project, Series A, Refunding

      4.000 %      12/15/47        500,000        434,381  

McCormick Place Expansion Project, Series B, Refunding

      5.000 %      6/15/42        60,000        60,845  

Regional Transportation Authority, IL, GO, Series A, Refunding, NATL

      6.000 %      7/1/29        415,000        467,287  
          

 

 

  

Total Illinois

              7,497,331  
          

 

 

  

Indiana - 1.6%

           

Indiana State Finance Authority Revenue:

           

Marion General Hospital, Series A

      4.000 %      7/1/45        100,000        94,588  

Midwestern Disaster Relief, Ohio Valley Electric Corp. Project, Series A

      4.250 %      11/1/30        100,000        97,370  

Indiana State Finance Authority Wastewater Utility Revenue, Green Bonds, CWA Authority Project, Series A

      5.000 %      10/1/41        100,000        105,333  

Indianapolis, IN, Local Public Improvement Bond Bank:

           

Courthouse and Jail Project, Series A

      4.000 %      2/1/44        100,000        100,376  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2022 Quarterly Report    

  

 

 

7

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Indiana - (continued)

           

Courthouse and Jail Project, Series A

      5.000 %      2/1/54      $ 300,000      $ 313,802  

Indianapolis Airport Authority Project, Revenue, Series 2019D, Refunding

      5.000 %      1/1/26        300,000        313,775 (c)  
          

 

 

  

Total Indiana

              1,025,244  
          

 

 

  

Iowa - 0.6%

           

Iowa State Finance Authority Revenue, Midwestern Disaster Area, Iowa Fertilizer Co. Project, Refunding

      5.000 %      12/1/42        300,000        290,061 (a)(b) 

Iowa State Tobacco Settlement Authority Revenue, Asset Backed Senior Bonds, Class 1, Series A-2, Refunding

      4.000 %      6/1/49        100,000        84,367  
          

 

 

  

Total Iowa

              374,428  
          

 

 

  

Kentucky - 4.1%

           

Ashland, KY, Medical Center Refunding Revenue Bonds:

           

Ashland Hospital Corporation, King’s Daughters Medical Center, Refunding

      5.000 %      2/1/25        625,000        643,126  

Ashland Hospital Corporation, King’s Daughters Medical Center, Refunding

      5.000 %      2/1/26        550,000        572,496  

Kentucky State Economic Development Finance Authority Revenue, Louisville Arena, Louisville Arena Authority Inc., Refunding, AGM

      5.000 %      12/1/45        100,000        101,591  

Kentucky State PEA, Gas Supply Revenue:

           

Series A

      4.000 %      6/1/26        300,000        297,925 (a)(b) 

Series C

      4.000 %      6/1/25        200,000        198,825 (a)(b) 

Louisville/Jefferson County, KY, Metropolitan Government Health System Revenue, Norton Healthcare Inc., Series A

      4.000 %      10/1/40        500,000        482,019  

Owensboro, KY, Electric Light & Power System Revenue, Series B, Refunding

      5.000 %      1/1/24        345,000        352,902  
          

 

 

  

Total Kentucky

              2,648,884  
          

 

 

  

Louisiana - 0.5%

           

Louisiana State PFA, Lease Revenue, Provident Group, Flagship Properties

      5.000 %      7/1/42        50,000        51,191  

Shreveport, LA, Water & Sewer Revenue, Series A, AGM

      5.000 %      12/1/41        10,000        10,709  

 

See Notes to Schedule of Investments.

 

 

 

8

  

    Western Asset SMASh Series TF Fund 2022 Quarterly Report

  

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Louisiana - (continued)

           

St. John the Baptist Parish, LA, State Revenue:

           

Marathon Oil Corp. Project, Series A-3, Refunding

      2.200 %      7/1/26      $ 150,000      $ 137,910 (a)(b) 

Marathon Oil Corp. Project, Series B-2, Refunding

      2.375 %      7/1/26        125,000        115,444 (a)(b) 
          

 

 

  

Total Louisiana

              315,254  
          

 

 

  

Maryland - 0.4%

           

Maryland State Stadium Authority Built to Learn Revenue, Series 2021

      4.000 %      6/1/46        250,000        238,338  
          

 

 

  

Massachusetts - 1.1%

           

Massachusetts State DFA Revenue:

           

Broad Institute Inc., Refunding

      5.000 %      4/1/36        85,000        91,342  

UMass Boston Student Housing Project

      5.000 %      10/1/28        10,000        10,100  

Wellforce Issue, Series A, Refunding

      5.000 %      7/1/44        50,000        50,076  

Worcester Polytechnic Institute, Series B, Refunding

      5.000 %      9/1/42        75,000        77,491  

Massachusetts State Port Authority Revenue:

           

Series A, Refunding

      5.000 %      7/1/36        160,000        170,048 (c)  

Series E

      5.000 %      7/1/46        250,000        260,652 (c)  

Massachusetts State Water Resources Authority Revenue, Series B, Refunding

      5.000 %      8/1/40        50,000        54,105 (d)  
          

 

 

  

Total Massachusetts

              713,814  
          

 

 

  

Michigan - 2.8%

           

Detroit, MI, Downtown Development Authority Revenue, Catalyst Development, Series A, Refunding, AGM

      5.000 %      7/1/43        100,000        100,461  

Great Lakes Water Authority, MI, Water Supply System Revenue:

           

Senior Lien, Series A

      5.000 %      7/1/45        750,000        803,689  

Senior Lien, Series A

      5.000 %      7/1/49        650,000        679,130  

Michigan State Finance Authority Revenue:

           

Henry Ford Health System, Series A

      4.000 %      11/15/50        100,000        89,200  

Tobacco Settlement Asset Backed Senior Bonds, Series B-1, Refunding

      5.000 %      6/1/49        40,000        39,948  

Michigan State Strategic Fund Limited Obligation Revenue, I-75 Improvement Project

      5.000 %      12/31/43        100,000        98,423 (c)  
          

 

 

  

Total Michigan

              1,810,851  
          

 

 

  

Missouri - 0.1%

           

Missouri State HEFA Revenue, Lutheran Senior Service Projects, Series A

      5.000 %      2/1/42        50,000        48,733  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2022 Quarterly Report    

  

 

 

9

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Nebraska - 0.7%

           

Douglas County, NE, Hospital Authority No. 2 Revenue, Children’s Hospital Obligated Group, Series A, Refunding

      4.000 %      11/15/36      $ 425,000      $ 424,189  
          

 

 

  

Nevada - 0.3%

           

Sparks, NV, Tourism Improvement, Senior Sales Tax Anticipation Revenue, Series A, Refunding

      2.750 %      6/15/28        250,000        221,736 (e) 
          

 

 

  

New Jersey - 6.1%

           

Essex County, NJ, Improvement Authority, GO:

           

CHF-Newark LLC, New Jersey Institute of Technology Lease Revenue Bonds, Series A, BAM

      5.000 %      8/1/35        180,000        196,188  

CHF-Newark LLC, New Jersey Institute of Technology Lease Revenue Bonds, Series A, BAM

      5.000 %      8/1/36        215,000        231,705  

New Jersey State EDA Revenue:

           

Private Activity-The Goethals Bridge Replacement Project, AGM

      5.125 %      1/1/39        85,000        85,178 (c) 

Private Activity-The Goethals Bridge Replacement Project, AGM

      5.125 %      7/1/42        150,000        150,157 (c) 

School Facilities Construction, Series BBB, Refunding

      5.500 %      6/15/31        100,000        111,148 (d) 

School Facilities Construction, Series DDD

      5.000 %      6/15/33        50,000        52,899  

School Facilities Construction, Series I, Refunding, State Appropriations (SIFMA Municipal Swap Index Yield + 1.600%)

      3.500 %      3/1/28        325,000        325,150 (b) 

School Facilities Construction, Series QQQ

      5.000 %      6/15/31        400,000        443,023  

Special Facility, Port Newark Container Terminal LLC Project, Refunding

      5.000 %      10/1/37        100,000        100,761 (c) 

Transit Transportation Project, Series A

      5.000 %      11/1/32        150,000        163,308  

New Jersey State EDA, Lease Revenue, Health Department and Taxation Division Office Project, Series A

      5.000 %      6/15/33        105,000        111,700  

New Jersey State Health Care Facilities Financing Authority Revenue, Hackensack Meridian Health, Series A, Refunding

      5.000 %      7/1/38        50,000        52,821  

New Jersey State Transportation Trust Fund Authority Revenue:

           

Transportation Program, Series AA

      5.250 %      6/15/43        100,000        103,909  

Transportation Program, Series AA

      5.000 %      6/15/45        100,000        100,946  

Transportation Program, Series AA

      4.000 %      6/15/50        500,000        451,041  

Transportation Program, Series AA, Refunding

      5.000 %      6/15/36        300,000        321,970  

 

See Notes to Schedule of Investments.

 

 

 

10

  

    Western Asset SMASh Series TF Fund 2022 Quarterly Report

  

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

New Jersey - (continued)

           

Transportation Program, Series BB

      4.000 %      6/15/36      $ 500,000      $ 490,474  

Transportation System, Series A, Refunding

      5.000 %      12/15/25        100,000        105,688  

Transportation System, Series A, Refunding

      5.000 %      12/15/28        150,000        164,463  

New Jersey State Turnpike Authority Revenue:

           

Series A, Refunding

      5.000 %      1/1/35        100,000        105,267  

Series G, Refunding

      5.000 %      1/1/35        60,000        64,966  

Tobacco Settlement Financing Corp., NJ, Revenue, Series A, Refunding

      5.250 %      6/1/46        30,000        30,228  
          

 

 

  

Total New Jersey

              3,962,990  
          

 

 

  

New York - 13.8%

           

Hempstead Town, NY, Local Development Corp. Revenue, Hofstra University Project, Refunding

      5.000 %      7/1/42        100,000        103,302  

Hudson Yards Infrastructure Corp., NY, Second Indenture Revenue, Series A, Refunding

      5.000 %      2/15/35        140,000        149,320  

Long Island, NY, Power Authority Electric System Revenue, Series B, Refunding

      1.650 %      9/1/24        250,000        241,449 (a)(b) 

MTA, NY, Transportation Revenue:

           

Green Bonds, Series A-2, Refunding

      5.000 %      11/15/24        50,000        51,452  

Green Bonds, Series D-1

      5.000 %      11/15/43        100,000        98,769  

Green Bonds, Series E

      5.000 %      11/15/33        250,000        259,325  

Series A-2

      5.000 %      5/15/30        335,000        354,636 (a)(b) 

Series F, Refunding

      5.000 %      11/15/27        500,000        513,023  

New York City, NY, GO:

           

Subseries A-1

      5.000 %      8/1/47        250,000        267,417  

Subseries B-1

      5.250 %      10/1/43        500,000        558,424  

New York City, NY, Industrial Development Agency Revenue, Yankee Stadium Project, Refunding

      4.000 %      3/1/45        100,000        90,316  

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue:

           

Second General Resolution, Series CC-1, Refunding

      5.000 %      6/15/46        1,000,000        1,035,324  

Subordinated, Second General Resolution Fiscal 2021, Series AA-1, Refunding

      4.000 %      6/15/50        500,000        475,555  

New York State Dormitory Authority Revenue:

           

New York University, Series A, Refunding

      5.000 %      7/1/43        50,000        53,076  

Non-State Supported Debt, Memorial Sloan- Kettering Cancer Center, Series B-1

      4.000 %      7/1/51        250,000        238,930  

New York State Dormitory Authority, Income Tax Revenue, Series B, Refunding

      5.000 %      2/15/41        100,000        104,887  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2022 Quarterly Report    

  

 

 

11

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

New York - (continued)

           

New York State Dormitory Authority, Sales Tax Revenue:

           

Bidding Group 3, Series E, Refunding

      5.000 %      3/15/38      $ 100,000      $ 107,355  

Bidding Group 4, Series E, Refunding

      5.000 %      3/15/44        100,000        105,909  

New York State Liberty Development Corp., Liberty Revenue, 3 World Trade Center Project, Class 1, Refunding

      5.000 %      11/15/44        100,000        94,521 (e)  

New York State Thruway Authority General Revenue, Junior Indebtedness Obligations, Junior Lien, Series A

      5.000 %      1/1/46        50,000        51,236  

New York State Transportation Development Corp., Special Facilities Revenue:

           

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

      5.000 %      1/1/30        75,000        76,364 (c)  

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

      5.000 %      1/1/32        45,000        45,680 (c)  

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

      4.375 %      10/1/45        250,000        228,537 (c)  

LaGuardia Airport Terminal B Redevelopment Project

      5.000 %      7/1/30        50,000        50,805 (c)  

LaGuardia Airport Terminal B Redevelopment Project, Series A

      5.000 %      7/1/41        25,000        25,054 (c)  

LaGuardia Airport Terminal B Redevelopment Project, Series A

      5.000 %      7/1/46        750,000        745,044 (c)  

Terminal 4 John F. Kennedy International Airport Project, Series A

      4.000 %      12/1/40        300,000        264,335 (c)  

Port Authority of New York & New Jersey Revenue:

           

Consolidated Series 185

      5.000 %      9/1/25        10,000        10,288 (c)  

Consolidated Series 221

      4.000 %      7/15/45        1,000,000        923,727 (c)  

Triborough Bridge & Tunnel Authority, NY, Revenue:

           

General-MTA Bridges & Tunnels, Series A

      5.000 %      11/15/49        175,000        184,961  

General-MTA Bridges & Tunnels, Series A

      5.000 %      11/15/49        1,000,000        1,061,901  

Troy, NY, Capital Resource Corp., Rensselaer Polytechnic Institute Project, Series A, Refunding

      5.000 %      9/1/28        325,000        350,792  
          

 

 

  

Total New York

              8,921,714  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

12

  

    Western Asset SMASh Series TF Fund 2022 Quarterly Report

  

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

North Carolina - 0.3%

           

Charlotte, NC, Lease Revenue, COP, Convention Facility Project, Series A, Refunding

      4.000 %      6/1/49      $ 70,000      $ 68,871  

North Carolina State Medical Care Commission, Retirement Facilities Revenue, The Forest at Duke Project

      4.000 %      9/1/41        160,000        138,556  

North Carolina State Turnpike Authority, Monroe Expressway Toll Revenue, Series A, Refunding

      5.000 %      7/1/42        5,000        5,083  
          

 

 

  

Total North Carolina

              212,510  
          

 

 

  

Ohio - 3.5%

           

American Municipal Power Inc., OH, Revenue, AMP Fremont Energy Center Project, Series A, Refunding

      4.000 %      2/15/38        250,000        244,678  

Buckeye, OH, Tobacco Settlement Financing Authority Revenue, Senior Bonds, Series B-2, Refunding

      5.000 %      6/1/55        250,000        229,407  

Ohio State Air Quality Development Authority Revenue:

           

American Electric Co. Project, Series B, Refunding

      2.500 %      10/1/29        100,000        88,622 (a)(b)(c) 

American Electric Co. Project, Series D, Refunding

      2.100 %      10/1/24        250,000        240,829 (a)(b)(c) 

Duke Energy Corp. Project, Series B, Refunding

      4.250 %      6/1/27        100,000        99,604 (a)(b)(c) 

Ohio State Higher Educational Facility Commission College & University Revenue:

           

University of Dayton 2018 Project, Series B, Refunding

      5.000 %      12/1/34        500,000        531,697  

Xavier University 2020 Project

      5.000 %      5/1/33        495,000        543,305  

Ohio State Hospital Revenue, University Hospitals Health Systems Inc., Series E

      4.000 %      1/15/37        100,000        95,435  

Warrensville Heights, OH, School District, GO, Refunding, BAM

      5.000 %      12/1/44        175,000        180,197  
          

 

 

  

Total Ohio

              2,253,774  
          

 

 

  

Oklahoma - 0.8%

           

Oklahoma State Development Finance Authority Revenue, Gilcrease Expressway West Project, Series A

      1.625 %      7/6/23        500,000        491,376 (c)  
          

 

 

  

Oregon - 0.5%

           

Port of Portland, OR, Airport Revenue, Portland International Airport, Series 26C, Refunding

      5.000 %      7/1/26        150,000        157,396 (c)  

Salem, OR, Hospital Facility Authority Revenue, Capital Manor Project, Refunding

      4.000 %      5/15/32        185,000        167,038  
          

 

 

  

Total Oregon

              324,434  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2022 Quarterly Report    

  

 

 

13

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Pennsylvania - 4.2%

           

Allegheny County, PA, HDA Revenue, University Pittsburgh Medical Center, Series A, Refunding

      4.000 %      7/15/39      $ 150,000      $ 144,129  

Berks County, PA, IDA, Healthcare Facilities Revenue, Highlands at Wyomissing, Refunding

      5.000 %      5/15/32        50,000        50,316  

Commonwealth Financing Authority, PA, Tobacco Master Settlement Payment Revenue

      5.000 %      6/1/30        50,000        54,698  

Lancaster County, PA, Convention Center Authority Revenue, Series B, Refunding

      4.750 %      5/1/57        250,000        251,775 (f)  

Lancaster County, PA, Hospital Authority Revenue, Penn State Health

      5.000 %      11/1/37        600,000        636,182  

Pennsylvania State Economic Development Financing Authority, Solid Waste Disposal Revenue, Waste Management Inc. Project

      2.150 %      7/1/24        100,000        96,643 (a)(b)(c) 

Pennsylvania State Turnpike Commission Revenue:

           

Series A

      5.000 %      12/1/44        175,000        185,810  

Series A, Refunding

      5.000 %      12/1/47        250,000        262,559  

Series A-1

      5.000 %      12/1/47        25,000        25,838  

Series B, Refunding

      5.250 %      12/1/47        250,000        273,209 (f)  

Subordinated, Series B

      5.000 %      12/1/48        100,000        103,580  

Philadelphia, PA, Authority for IDR:

           

Charter School Revenue, Philadelphia Performing Arts: A String Theory Charter School Project, Refunding

      5.000 %      6/15/50        100,000        88,425  

City Service Agreement Revenue, Rebuild Project

      5.000 %      5/1/35        250,000        267,519  

Lease Revenue, Refunding

      5.000 %      10/1/30        100,000        112,379  

Philadelphia, PA, GO, Series B

      5.000 %      2/1/35        150,000        160,899  

State Public School Building Authority, PA, Lease Revenue, Philadelphia SD Project, Series A, Refunding, AGM, State Aid Withholding

      5.000 %      6/1/31        20,000        21,000  
          

 

 

  

Total Pennsylvania

              2,734,961  
          

 

 

  

Puerto Rico - 3.0%

           

Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue, Senior Lien, Series A, Refunding

      5.000 %      7/1/47        500,000        480,065 (e)  

Puerto Rico Electric Power Authority Revenue:

           

Series A

      5.000 %      7/1/29        195,000        144,300 *(g) 

Series A

      5.000 %      7/1/42        320,000        236,800 *(g) 

Series A

      5.050 %      7/1/42        100,000        73,750 *(g)  

Series XX

      5.250 %      7/1/40        360,000        267,300 *(g) 

 

See Notes to Schedule of Investments.

 

 

 

14

  

    Western Asset SMASh Series TF Fund 2022 Quarterly Report

  

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Puerto Rico - (continued)

           

Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue:

           

CAB, Restructured, Series A-1

      0.000 %      7/1/27      $ 60,000      $ 48,359  

CAB, Restructured, Series A-1

      0.000 %      7/1/46        630,000        158,776  

Restructured, Series A-1

      4.550 %      7/1/40        10,000        9,313  

Restructured, Series A-1

      5.000 %      7/1/58        358,000        339,674  

Restructured, Series A-2

      4.329 %      7/1/40        230,000        208,362  
          

 

 

  

Total Puerto Rico

              1,966,699  
          

 

 

  

South Carolina - 0.4%

           

South Carolina State Jobs-EDA Hospital Facilities Revenue, Bon Secours Mercy Health Inc., Series A, Refunding

      4.000 %      12/1/44        250,000        232,299  
          

 

 

  

South Dakota - 0.0%††

           

South Dakota State HEFA Revenue, Regional Health

      5.000 %      9/1/40        25,000        25,634  
          

 

 

  

Tennessee - 1.6%

           

Clarksville, TN, Water, Sewer & Gas Revenue, Series A

      4.000 %      2/1/51        500,000        471,758  

Metropolitan Government of Nashville & Davidson County, TN, Water & Sewer Revenue, Subordinated, Series B, Refunding

      5.000 %      7/1/46        50,000        52,654  

Tennessee State Energy Acquisition Corp., Natural Gas Revenue:

           

Series 2018

      4.000 %      11/1/25        100,000        99,561 (a)(b) 

Series A

      5.250 %      9/1/26        425,000        438,564  
          

 

 

  

Total Tennessee

              1,062,537  
          

 

 

  

Texas - 5.8%

           

Arlington, TX, Higher Education Finance Corp., Education Revenue, Uplift Education, Series A, Refunding, PSF - GTD

      5.000 %      12/1/37        20,000        21,296  

Arlington, TX, Special Tax Revenue, Subordinated Lien, Series C, BAM

      5.000 %      2/15/41        100,000        102,886  

Austin, TX, Airport System Revenue, Series B

      5.000 %      11/15/44        250,000        255,590 (c)  

Central Texas Regional Mobility Authority Revenue, Senior Lien, Series E

      4.000 %      1/1/50        500,000        458,533  

Forney, TX, ISD, GO, Unlimited Tax School Building Bonds, Series 2019, PSF - GTD

      5.000 %      2/15/49        100,000        105,688  

Grand Parkway Transportation Corp., TX, System Toll Revenue, First Tier Toll Revenue, Series C, Refunding

      4.000 %      10/1/40        500,000        489,987  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2022 Quarterly Report    

  

 

 

15

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Texas - (continued)

           

Harris County, TX, Cultural Education Facilities Finance Corp.:

           

Hospital Revenue, Texas Children’s Hospital, Series B, Refunding

      5.000 %      10/1/31      $ 350,000      $ 393,288 (a)(b) 

Thermal Utility Revenue, Teco Project, Refunding

      5.000 %      11/15/33        200,000        218,068  

Hays, TX, ISD, GO, Unlimited Tax School Building Bonds, PSF - GTD

      4.000 %      2/15/47        200,000        198,049  

Houston, TX, Airport System Revenue:

           

Special Facilities, United Airlines Inc., Technical Operations Center Project

      5.000 %      7/15/28        100,000        101,366 (c)  

Special Facilities, United Airlines Inc., Terminal Improvement Project, Series B-1

      4.000 %      7/15/41        400,000        336,171 (c)  

Subordinated Lien, Series A, Refunding

      4.000 %      7/1/46        330,000        301,323 (c)  

Newark, TX, Higher Education Finance Corp., Education Revenue, TLC Academy, Series A

      4.000 %      8/15/31        100,000        92,940  

Southwest Texas, Higher Education Authority Inc. Revenue, Southern Methodist University Project, Refunding

      5.000 %      10/1/41        50,000        53,482  

Tarrant County, TX, Cultural Education Facilities Finance Corp., Hospital Revenue, Methodist Hospitals of Dallas

      4.000 %      10/1/47        250,000        236,846  

Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facility Revenue:

           

Buckner Retirement Services Inc. Project, Refunding

      5.000 %      11/15/37        50,000        51,360  

Buckner Retirement Services Inc. Project, Refunding

      5.000 %      11/15/46        50,000        50,483  

Texas State, Municipal Gas Acquisition & Supply Corp. I, Gas Supply Revenue, Senior Lien, Series D

      6.250 %      12/15/26        135,000        141,082  

Texas State Private Activity Bond Surface Transportation Corp. Revenue:

           

Senior Lien, Blueridge Transportation Group LLC

      5.000 %      12/31/40        5,000        5,071 (c)  

Senior Lien, LBJ Infrastructure Group LLC, I-635 Managed Lanes Project, Series A, Refunding

      4.000 %      12/31/35        75,000        71,027  

West Harris County, TX, Regional Water Authority Revenue, Series 2019

      4.000 %      12/15/49        100,000        89,842  
          

 

 

  

Total Texas

              3,774,378  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

16

  

    Western Asset SMASh Series TF Fund 2022 Quarterly Report

  

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Utah - 3.2%

           

Salt Lake City, UT, Airport Revenue, Salt Lake City International Airport, Series A

      5.000 %      7/1/43      $ 250,000      $ 255,074 (c) 

Utah State Charter School Finance Authority, Charter School Revenue:

           

Syracuse Arts Academy Project, UT CSCE

      5.000 %      4/15/37        5,000        5,127  

Utah Charter Academies Project, Series 2018, UT CSCE

      5.000 %      10/15/38        220,000        227,370  

Utah State Infrastructure Agency, Telecommunications Revenue, Series A

      5.250 %      10/15/33        200,000        205,726  

Vineyard Redevelopment Agency, UT, Tax Increment Revenue:

           

Series 2021, Refunding, AGM

      5.000 %      5/1/31        235,000        267,467  

Series 2021, Refunding, AGM

      4.000 %      5/1/37        275,000        280,340  

Series 2021, Refunding, AGM

      4.000 %      5/1/39        300,000        302,499  

Series 2021, Refunding, AGM

      4.000 %      5/1/41        290,000        290,476  

Series 2021, Refunding, AGM

      4.000 %      5/1/46        275,000        264,752  
          

 

 

  

Total Utah

              2,098,831  
          

 

 

  

Virginia - 0.9%

           

Arlington County, VA, IDA Revenue:

           

Refunding

      5.000 %      2/15/43        50,000        53,531  

Virginia Hospital Center, Refunding

      5.000 %      7/1/36        200,000        216,112  

Virginia State Small Business Financing Authority Revenue:

           

National Senior Campuses, Inc., Series A, Refunding

      5.000 %      1/1/34        85,000        91,006  

Senior Lien, I-495 HOT Lanes Project, Refunding

      5.000 %      12/31/47        200,000        206,579 (c)  
          

 

 

  

Total Virginia

              567,228  
          

 

 

  

Washington - 1.3%

           

Port of Seattle, WA, Intermediate Lien Revenue:

           

Series 2019

      5.000 %      4/1/34        250,000        264,686 (c)  

Series 2022, Refunding

      5.000 %      8/1/41        250,000        261,237 (c)  

Washington State Health Care Facilities Authority Revenue:

           

Commonspirit Health, Series A, Refunding

      5.000 %      8/1/44        200,000        202,702  

Seattle Cancer Care Alliance, Refunding

      5.000 %      9/1/50        100,000        102,217  
          

 

 

  

Total Washington

              830,842  
          

 

 

  

Wisconsin - 0.6%

           

Public Finance Authority, WI, Revenue:

           

Carmelite System Inc., Obligated Group, Series 2020, Refunding

      5.000 %      1/1/40        50,000        49,827  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2022 Quarterly Report    

  

 

 

17

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Wisconsin - (continued)

           

Cone Health, Series A

      5.000 %      10/1/52      $ 250,000      $ 258,912  

Public Finance Authority, WI, Student Housing Revenue, CHF Wilmington LLC, University of North Carolina at Wilmington Project, AGM

      5.000 %      7/1/53        100,000        101,476  

Total Wisconsin

              410,215  
          

 

 

  

Total Municipal Bonds
(Cost - $65,417,066)

              62,031,172  
          

 

 

  
MUNICIPAL BONDS DEPOSITED IN TENDER OPTION BOND TRUST(h) - 1.7%

 

      

New York - 1.7%

           

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue, Second General Resolution Fiscal 2023, Subseries AA-1 (Cost - $1,076,158)

      5.250 %      6/15/52        1,000,000        1,101,413  
          

 

 

  

Total Investments before Short-Term Investments
(Cost - $66,493,224)

              63,132,585  
          

 

 

  
SHORT-TERM INVESTMENTS - 3.5%           
MUNICIPAL BONDS - 3.4%           

California - 1.5%

           

San Jose, CA, Multifamily Housing Revenue, Series B, Refunding, LOC - FHLMC

      1.790 %      7/1/38        1,000,000        1,000,000 (c)(i)(j) 
          

 

 

  

Florida - 1.4%

           

Hillsborough County, FL, IDA, Healthcare System Revenue, Baycare Health System, Series C, Refunding, LOC - TD Bank N.A.

      1.800 %      11/1/38        900,000        900,000 (i)(j)  
          

 

 

  

New York - 0.5%

           

New York City, NY, GO, Subseries D-4, LOC - TD Bank N.A.

      1.000 %      8/1/40        100,000        100,000 (i)(j)  

New York City, NY, TFA Revenue Future Tax Secured, Subseries A, Refunding, SPA - TD Bank N.A.

      1.000 %      11/1/29        200,000        200,000 (i)(j)  

Total New York

              300,000  
          

 

 

  

Total Municipal Bonds
(Cost - $2,200,000)

              2,200,000  
          

 

 

  
                  SHARES         
OVERNIGHT DEPOSITS - 0.1%           

BNY Mellon Cash Reserve Fund
(Cost - $68,281)

      1.800 %         68,281        68,281 (k)  
          

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost - $2,268,281)

 

           2,268,281  
          

 

 

  

TOTAL INVESTMENTS - 100.9%
(Cost - $68,761,505)

 

           65,400,866  

TOB Floating Rate Notes - (1.0)%

              (665,000 ) 

Other Assets in Excess of Other Liabilities - 0.1%

              84,903  
          

 

 

  

Total Net Assets - 100.0%

            $ 64,820,769  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

18

  

    Western Asset SMASh Series TF Fund 2022 Quarterly Report

  

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

††

Represents less than 0.1%.

 

*

Non-income producing security.

 

(a)

Maturity date shown represents the mandatory tender date.

 

(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)

Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (“AMT”).

 

(d)

Pre-Refunded bonds are generally escrowed with U.S. government obligations and/or U.S. government agency securities.

 

(e)

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.

 

(f)

Securities traded on a when-issued or delayed delivery basis.

 

(g)

The coupon payment on this security is currently in default as of November 30, 2022.

 

(h)

Represents securities deposited into a special purpose entity, referred to as a Tender Option Bond (“TOB”) trust.

 

(i)

Variable rate demand obligations (“VRDOs”) have a demand feature under which the Fund can tender them back to the issuer or liquidity provider on no more than 7 days notice. The interest rate generally resets on a daily or weekly basis and is determined on the specific interest rate reset date by the remarketing agent, pursuant to a formula specified in official documents for the VRDO, or set at the highest rate allowable as specified in official documents for the VRDO. VRDOs are benchmarked to the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index. The SIFMA Municipal Swap Index is compiled from weekly interest rate resets of tax-exempt VRDOs reported to the Municipal Securities Rulemaking Board’s Short-term Obligation Rate Transparency System.

 

(j)

Maturity date shown is the final maturity date. The security may be sold back to the issuer before final maturity.

 

(k)

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

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2022 Quarterly Report    

  

 

 

19

WESTERN ASSET SMASH SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2022

 

Abbreviation(s) used in this schedule:

 

AGM    — Assured Guaranty Municipal Corporation - Insured Bonds
BAM    — Build America Mutual - Insured Bonds
CAB    — Capital Appreciation Bonds
CDA    — Communities Development Authority
COP    — Certificates of Participation
CSCE    — Charter School Credit Enhancement
CWA    — Clean Water Act
DFA    — Development Finance Agency
EDA    — Economic Development Authority
EFA    — Educational Facilities Authority
FHLMC    — Federal Home Loan Mortgage Corporation
GO    — General Obligation
GTD    — Guaranteed
HDA    — Housing Development Authority
HEFA    — Health & Educational Facilities Authority
IDA    — Industrial Development Authority
IDR    — Industrial Development Revenue
ISD    — Independent School District
LOC    — Letter of Credit
MFA    — Municipal Finance Authority
MTA    — Metropolitan Transportation Authority
NATL    — National Public Finance Guarantee Corporation - Insured Bonds
PEA    — Public Energy Authority
PFA    — Public Facilities Authority
PSF    — Permanent School Fund
SD    — School District
SIFMA    — Securities Industry and Financial Markets Association
SPA    — Standby Bond Purchase Agreement - Insured Bonds
TFA    — Transitional Finance Authority
USD    — Unified School District

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 Schedule of Investments.

 

 

 

20

  

    Western Asset SMASh Series TF Fund 2022 Quarterly Report

  

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset SMASh Series TF Fund (the “Fund”) is a separate non-diversified investment series of Legg Mason Partners Institutional 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.

Shares of the Fund may be purchased only by or on behalf of separately managed account clients where an affiliate of Legg Mason Partners Fund Advisor, LLC (“LMPFA”) has an agreement to serve as investment adviser or subadviser (each affiliate, a “Managed Account Adviser”) to the account with the managed account program sponsor (the “Program Sponsor”) (typically, a registered investment adviser or broker/dealer) or directly with the client. Shareholders of the Fund pay fees to their separately managed account sponsor, some of which are paid to affiliates of LMPFA. LMPFA and the subadviser do not charge investment management fees to the Fund.

The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946, Financial Services - Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund 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. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee

 

   

 

 

21

Notes to Schedule of Investments (unaudited) (continued)

 

(the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of 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 Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

 

 

 

22

    

Notes to Schedule of Investments (unaudited) (continued)

 

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

 

  •  

Level 1 – unadjusted quoted prices in active markets for identical investments

 

  •  

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

 

  •  

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-Term Investments†:

            

Municipal Bonds

      —        $ 62,031,172        —        $ 62,031,172  

Municipal Bonds Deposited in Tender Option Bond Trust

      —          1,101,413        —          1,101,413  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —          63,132,585        —          63,132,585  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†:

            

Municipal Bonds

      —          2,200,000        —          2,200,000  

Overnight Deposits

      —          68,281        —          68,281  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Short-Term Investments

      —          2,268,281        —          2,268,281  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      —        $ 65,400,866        —        $ 65,400,866  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

   

 

 

23