WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) | November 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| MORTGAGE-BACKED SECURITIES - 32.3% | ||||||||||||||||
| FHLMC - 5.1% |
||||||||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
1.500 | % | 10/1/41-11/1/41 | $ | 2,664,360 | $ | 2,183,574 | |||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
3.000 | % | 11/1/49-4/1/52 | 692,033 | 621,161 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
3.500 | % | 5/1/50-5/1/52 | 7,693,073 | 7,099,164 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
2.500 | % | 6/1/50-3/1/52 | 5,863,303 | 5,084,757 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
2.000 | % | 11/1/50-2/1/52 | 1,578,045 | 1,316,108 | |||||||||||
|
|
|
|||||||||||||||
| Total FHLMC |
16,304,764 | |||||||||||||||
|
|
|
|||||||||||||||
| FNMA - 20.7% |
||||||||||||||||
| Federal National Mortgage Association (FNMA) |
3.200 | % | 2/1/29 | 180,514 | 169,856 | |||||||||||
| Federal National Mortgage Association (FNMA) |
3.450 | % | 3/1/29 | 287,748 | 274,808 | |||||||||||
| Federal National Mortgage Association (FNMA) |
3.250 | % | 5/1/29 | 332,131 | 313,401 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.930 | % | 6/1/30 | 476,988 | 435,667 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.149 | % | 2/1/32 | 1,415,051 | 1,176,036 | (a) | ||||||||||
| Federal National Mortgage Association (FNMA) |
3.000 | % | 6/1/43-3/1/52 | 3,024,191 | 2,731,634 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.500 | % | 6/1/50-9/1/61 | 9,272,445 | 8,014,211 | |||||||||||
| Federal National Mortgage Association (FNMA) |
4.000 | % | 7/1/50 | 15,691,403 | 15,043,408 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.000 | % | 10/1/50-2/1/52 | 22,726,397 | 18,868,185 | |||||||||||
| Federal National Mortgage Association (FNMA) |
3.500 | % | 7/1/51-5/1/52 | 1,041,995 | 963,881 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.000 | % | 1/1/52 | 15,700,000 | 12,951,273 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) |
3.500 | % | 1/1/52 | 5,300,000 | 4,855,711 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total FNMA |
65,798,071 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
1 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| GNMA - 6.5% |
||||||||||||||||
| Government National Mortgage Association (GNMA) |
4.000 | % | 2/1/52 | $ | 700,000 | $ | 668,992 | (b) | ||||||||
| Government National Mortgage Association (GNMA) II |
2.000 | % | 12/20/50-3/20/51 | 2,932,483 | 2,467,106 | |||||||||||
| Government National Mortgage Association (GNMA) II |
2.500 | % | 5/20/51 | 81,190 | 70,834 | |||||||||||
| Government National Mortgage Association (GNMA) II |
3.000 | % | 9/20/51-4/20/52 | 11,106,939 | 10,108,012 | |||||||||||
| Government National Mortgage Association (GNMA) II |
3.500 | % | 1/1/52 | 7,700,000 | 7,154,984 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total GNMA |
20,469,928 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
|
102,572,763 | ||||||||||||||
|
|
|
|||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(c) - 26.6% |
|
|||||||||||||||
| AOA Mortgage Trust, 2021-1177 A (1 mo. USD LIBOR + 0.874%) |
4.750 | % | 10/15/38 | 6,510,000 | 6,032,120 | (a)(d) | ||||||||||
| AREIT Trust, 2022-CRE6 A (30 Day Average SOFR + 1.250%) |
4.642 | % | 1/16/37 | 2,395,729 | 2,295,717 | (a)(d) | ||||||||||
| BANK, 2017-BNK7 C |
4.148 | % | 9/15/60 | 818,000 | 697,378 | (a) | ||||||||||
| BF Mortgage Trust, 2019-NYT B (1 mo. USD LIBOR + 1.400%) |
5.275 | % | 12/15/35 | 1,250,000 | 1,156,365 | (a)(d) | ||||||||||
| BHMS, 2018-ATLS D (1 mo. USD LIBOR + 2.250%) |
6.125 | % | 7/15/35 | 280,000 | 255,693 | (a)(d) | ||||||||||
| BX Commercial Mortgage Trust, 2019-XL A (1 mo. USD LIBOR + 1.034%) |
4.829 | % | 10/15/36 | 5,945,202 | 5,845,335 | (a)(d) | ||||||||||
| BX Commercial Mortgage Trust, 2022-LP2 A (1 mo. Term SOFR + 1.013%) |
4.807 | % | 2/15/39 | 4,585,081 | 4,407,063 | (a)(d) | ||||||||||
| BX Trust, 2021-BXMF A (1 mo. USD LIBOR + 0.636%) |
4.511 | % | 10/15/26 | 6,510,000 | 6,187,627 | (a)(d) | ||||||||||
| COLT Mortgage Loan Trust, 2022-2 A1, Step bond (2.994% to 2/25/26 then 3.994%) |
2.994 | % | 2/25/67 | 1,056,529 | 935,684 | (d) | ||||||||||
| CSAIL Commercial Mortgage Trust, 2017-C8 C |
4.437 | % | 6/15/50 | 2,500,000 | 2,092,638 | (a) | ||||||||||
| CSMC Trust, 2019-ICE4 B (1 mo. USD LIBOR + 1.230%) |
5.105 | % | 5/15/36 | 1,480,000 | 1,453,569 | (a)(d) | ||||||||||
| CSMC Trust, 2020-RPL4 A1 |
2.000 | % | 1/25/60 | 1,053,725 | 936,346 | (a)(d) | ||||||||||
| CSMC Trust, 2021-NQM7 A1 |
1.756 | % | 10/25/66 | 4,789,841 | 3,933,734 | (a)(d) | ||||||||||
| CSMC Trust, 2022-NQM1 A1 |
2.265 | % | 11/25/66 | 1,136,350 | 924,973 | (a)(d) | ||||||||||
| Deephaven Residential Mortgage Trust, 2022-1 A1 |
2.205 | % | 1/25/67 | 1,957,206 | 1,708,855 | (a)(d) | ||||||||||
| Ellington Financial Mortgage Trust, 2022-1 A1 |
2.206 | % | 1/25/67 | 4,543,185 | 3,776,312 | (a)(d) | ||||||||||
See Notes to Schedule of Investments.
|
2 |
Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) | ||||||||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA6 M2 (30 Day Average SOFR + 1.500%) |
5.047 | % | 10/25/41 | $ | 5,210,000 | $ | 4,880,509 | (a)(d) | ||||||||
| Government National Mortgage Association (GNMA), 2022-3 IO, IO |
0.640 | % | 2/16/61 | 4,333,188 | 222,955 | (a) | ||||||||||
| GS Mortgage Securities Corp. II, 2018-SRP5 A (1 mo. USD LIBOR + 1.800%) |
5.675 | % | 9/15/31 | 951,652 | 798,086 | (a)(d) | ||||||||||
| GS Mortgage Securities Corp. II, 2018-SRP5 B (1 mo. USD LIBOR + 3.000%) |
6.875 | % | 9/15/31 | 118,957 | 85,517 | (a)(d) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN BFX |
3.065 | % | 1/16/37 | 7,320,000 | 6,544,804 | (d) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2022-ACB A (30 Day Average SOFR + 1.400%) |
4.618 | % | 3/15/39 | 3,420,000 | 3,307,307 | (a)(d) | ||||||||||
| LAQ Mortgage Trust, 2022-LAQ A (1 mo. Term SOFR + 1.724%) |
5.535 | % | 3/15/39 | 478,203 | 466,068 | (a)(d) | ||||||||||
| Morgan Stanley Capital I Trust, 2017-H1 C |
4.281 | % | 6/15/50 | 755,000 | 651,621 | (a) | ||||||||||
| Morgan Stanley Capital I Trust, 2018-MP A |
4.419 | % | 7/11/40 | 10,500,000 | 9,306,064 | (a)(d) | ||||||||||
| Morgan Stanley Capital I Trust, 2018-SUN A (1 mo. USD LIBOR + 0.900%) |
4.775 | % | 7/15/35 | 2,830,000 | 2,748,439 | (a)(d) | ||||||||||
| MTN Commercial Mortgage Trust, 2022-LPFL A (1 mo. Term SOFR + 1.397%) |
5.191 | % | 3/15/39 | 2,100,000 | 2,024,894 | (a)(d) | ||||||||||
| New Residential Mortgage Loan Trust, 2022-NQM2 A1 |
3.079 | % | 3/27/62 | 1,851,825 | 1,634,304 | (a)(d) | ||||||||||
| OBX Trust, 2022-NQM1 A1 |
2.305 | % | 11/25/61 | 4,187,851 | 3,529,469 | (a)(d) | ||||||||||
| RBS Commercial Funding Inc. Trust, 2013-GSP A |
3.961 | % | 1/15/32 | 4,760,000 | 4,573,026 | (a)(d) | ||||||||||
| SG Residential Mortgage Trust, 2022-1 A1 |
3.166 | % | 3/27/62 | 1,157,947 | 1,035,981 | (a)(d) | ||||||||||
| Tharaldson Hotel Portfolio Trust, 2018-THL D (1 mo. USD LIBOR + 2.300%) |
6.147 | % | 11/11/34 | 267,326 | 250,450 | (a)(d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
84,698,903 | ||||||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 13.7% | ||||||||||||||||
| 522 Funding CLO Ltd., 2020-6A A1R (3 mo. USD LIBOR + 1.150%) |
5.475 | % | 10/23/34 | 4,440,000 | 4,295,591 | (a)(d) | ||||||||||
| AGL CLO Ltd., 2020-6A AR (3 mo. USD LIBOR + 1.200%) |
5.443 | % | 7/20/34 | 3,050,000 | 2,972,024 | (a)(d) | ||||||||||
| Arbor Realty Commercial Real Estate Notes Ltd., 2022-FL1 A (30 Day Average SOFR + 1.450%) |
4.668 | % | 1/15/37 | 2,268,000 | 2,205,630 | (a)(d) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
3 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
| Cayuga Park CLO Ltd., 2020-1A AR (3 mo. USD LIBOR + 1.120%) |
5.199 | % | 7/17/34 | $ | 5,770,000 | $ | 5,587,621 | (a)(d) | ||||||||
| GoldenTree Loan Management US CLO Ltd., 2021-10A A (3 mo. USD LIBOR + 1.100%) |
5.343 | % | 7/20/34 | 5,000,000 | 4,846,189 | (a)(d) | ||||||||||
| Golub Capital Partners CLO LP, 2021-54A A (3 mo. USD LIBOR + 1.530%) |
6.062 | % | 8/5/33 | 5,920,000 | 5,694,062 | (a)(d) | ||||||||||
| KREF Ltd., 2022-FL3 A (1 mo. Term SOFR + 1.450%) |
5.382 | % | 2/17/39 | 2,000,000 | 1,935,063 | (a)(d) | ||||||||||
| Nelnet Student Loan Trust, 2021-A APT1 |
1.360 | % | 4/20/62 | 1,396,146 | 1,231,129 | (d) | ||||||||||
| Reese Park CLO Ltd., 2020-1A AR (3 mo. USD LIBOR + 1.130%) |
5.209 | % | 10/15/34 | 4,570,000 | 4,418,250 | (a)(d) | ||||||||||
| SMB Private Education Loan Trust, 2021-A A2B |
1.590 | % | 1/15/53 | 3,229,566 | 2,765,699 | (d) | ||||||||||
| STWD Ltd., 2022-FL3 A (30 Day Average SOFR + 1.350%) |
4.568 | % | 11/15/38 | 5,020,000 | 4,850,240 | (a)(d) | ||||||||||
| Whitebox CLO Ltd., 2021-3A A1 (3 mo. USD LIBOR + 1.220%) |
5.299 | % | 10/15/34 | 2,850,000 | 2,751,145 | (a)(d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
43,552,643 | ||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS & NOTES - 10.5% | ||||||||||||||||
| COMMUNICATION SERVICES - 0.8% | ||||||||||||||||
| Diversified Telecommunication Services - 0.2% |
||||||||||||||||
| AT&T Inc., Senior Notes |
2.250 | % | 2/1/32 | 150,000 | 118,998 | |||||||||||
| Verizon Communications Inc., Senior Notes |
2.355 | % | 3/15/32 | 310,000 | 249,103 | |||||||||||
| Verizon Communications Inc., Senior Notes |
4.500 | % | 8/10/33 | 300,000 | 284,525 | |||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
652,626 | |||||||||||||||
|
|
|
|||||||||||||||
| Media - 0.5% |
||||||||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
5.375 | % | 5/1/47 | 130,000 | 107,697 | |||||||||||
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes |
5.125 | % | 7/1/49 | 390,000 | 309,519 | |||||||||||
| Comcast Corp., Senior Notes |
3.969 | % | 11/1/47 | 800,000 | 651,225 | |||||||||||
| Comcast Corp., Senior Notes |
3.999 | % | 11/1/49 | 150,000 | 122,601 | |||||||||||
| Comcast Corp., Senior Notes |
3.450 | % | 2/1/50 | 140,000 | 104,583 | |||||||||||
| Comcast Corp., Senior Notes |
2.887 | % | 11/1/51 | 160,000 | 106,990 | |||||||||||
| Comcast Corp., Senior Notes |
4.950 | % | 10/15/58 | 160,000 | 148,100 | |||||||||||
|
|
|
|||||||||||||||
| Total Media |
1,550,715 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
4 |
Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Wireless Telecommunication Services - 0.1% |
||||||||||||||||
| T-Mobile USA Inc., Senior Notes |
3.875 | % | 4/15/30 | $ | 470,000 | $ | 432,118 | |||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
2,635,459 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 0.5% | ||||||||||||||||
| Internet & Direct Marketing Retail - 0.5% |
||||||||||||||||
| Prosus NV, Senior Notes |
4.027 | % | 8/3/50 | 2,770,000 | 1,694,125 | (d) | ||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 0.1% | ||||||||||||||||
| Beverages - 0.1% |
||||||||||||||||
| Constellation Brands Inc., Senior Notes |
3.600 | % | 5/9/24 | 90,000 | 88,267 | |||||||||||
| Constellation Brands Inc., Senior Notes |
4.350 | % | 5/9/27 | 120,000 | 117,379 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
205,646 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 3.5% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 3.5% |
||||||||||||||||
| Ecopetrol SA, Senior Notes |
5.875 | % | 5/28/45 | 2,000,000 | 1,380,000 | |||||||||||
| EOG Resources Inc., Senior Notes |
3.900 | % | 4/1/35 | 312,000 | 283,200 | |||||||||||
| EQT Corp., Senior Notes |
7.000 | % | 2/1/30 | 1,000,000 | 1,053,428 | |||||||||||
| Lukoil Capital DAC, Senior Notes |
2.800 | % | 4/26/27 | 2,260,000 | 1,604,600 | (d) | ||||||||||
| Lukoil Capital DAC, Senior Notes |
3.600 | % | 10/26/31 | 330,000 | 253,770 | (d) | ||||||||||
| Petroleos del Peru SA, Senior Notes |
5.625 | % | 6/19/47 | 4,640,000 | 3,189,954 | (d) | ||||||||||
| Reliance Industries Ltd., Senior Notes |
2.875 | % | 1/12/32 | 1,570,000 | 1,309,194 | (d) | ||||||||||
| Reliance Industries Ltd., Senior Notes |
3.625 | % | 1/12/52 | 2,730,000 | 1,857,218 | (d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
10,931,364 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 0.8% | ||||||||||||||||
| Banks - 0.4% |
||||||||||||||||
| 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 | 200,000 | 185,513 | (a) | ||||||||||
| 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 | 870,000 | 751,438 | (a) | ||||||||||
| Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant Maturity Rate + 1.420%) |
3.758 | % | 4/6/33 | 250,000 | 214,496 | (a)(d) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
1,151,447 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
5 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Capital Markets - 0.4% |
||||||||||||||||
| Credit Suisse AG, Senior Notes |
3.700 | % | 2/21/25 | $ | 1,000,000 | $ | 911,021 | |||||||||
| Credit Suisse Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%) |
9.016 | % | 11/15/33 | 250,000 | 254,046 | (a)(d) | ||||||||||
| UBS Group AG, Senior Notes (4.488% to 5/12/25 then 1 year Treasury Constant Maturity Rate + 1.550%) |
4.488 | % | 5/12/26 | 230,000 | 224,236 | (a)(d) | ||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
1,389,303 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
2,540,750 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 0.3% | ||||||||||||||||
| Health Care Providers & Services - 0.3% |
||||||||||||||||
| Elevance Health Inc., Senior Notes |
4.100 | % | 5/15/32 | 480,000 | 452,711 | |||||||||||
| Elevance Health Inc., Senior Notes |
4.550 | % | 5/15/52 | 660,000 | 588,493 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
1,041,204 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 4.5% | ||||||||||||||||
| Chemicals - 2.3% |
||||||||||||||||
| Equate Petrochemical BV, Senior Notes |
4.250 | % | 11/3/26 | 2,000,000 | 1,898,420 | (d) | ||||||||||
| Equate Petrochemical BV, Senior Notes |
2.625 | % | 4/28/28 | 2,870,000 | 2,464,977 | (d) | ||||||||||
| Orbia Advance Corp. SAB de CV, Senior Notes |
1.875 | % | 5/11/26 | 1,800,000 | 1,571,688 | (d) | ||||||||||
| Orbia Advance Corp. SAB de CV, Senior Notes |
2.875 | % | 5/11/31 | 1,700,000 | 1,341,597 | (d) | ||||||||||
|
|
|
|||||||||||||||
| Total Chemicals |
7,276,682 | |||||||||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 1.4% |
||||||||||||||||
| Corp. Nacional del Cobre de Chile, Senior Notes |
3.700 | % | 1/30/50 | 3,100,000 | 2,322,800 | (d) | ||||||||||
| Freeport-McMoRan Inc., Senior Notes |
5.400 | % | 11/14/34 | 410,000 | 383,254 | |||||||||||
| Southern Copper Corp., Senior Notes |
5.250 | % | 11/8/42 | 2,000,000 | 1,877,280 | |||||||||||
|
|
|
|||||||||||||||
| Total Metals & Mining |
4,583,334 | |||||||||||||||
|
|
|
|||||||||||||||
| Paper & Forest Products - 0.8% |
||||||||||||||||
| Suzano Austria GmbH, Senior Notes |
6.000 | % | 1/15/29 | 2,500,000 | 2,484,013 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
14,344,029 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES |
|
33,392,577 | ||||||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 6.6% | ||||||||||||||||
| Chile - 0.3% |
||||||||||||||||
| Chile Government International Bond, Senior Notes |
3.100 | % | 1/22/61 | 1,240,000 | 800,109 | |||||||||||
|
|
|
|||||||||||||||
| Colombia - 2.7% |
||||||||||||||||
| Colombia Government International Bond, Senior Notes |
3.250 | % | 4/22/32 | 11,890,000 | 8,506,510 | |||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
6 |
Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Israel - 0.4% |
||||||||||||||||
| State of Israel, Senior Notes |
3.375 | % | 1/15/50 | $ | 1,830,000 | $ | 1,401,092 | |||||||||
|
|
|
|||||||||||||||
| Kazakhstan - 0.4% |
||||||||||||||||
| Kazakhstan Government International Bond, Senior Notes |
4.875 | % | 10/14/44 | 1,300,000 | 1,163,500 | (d) | ||||||||||
|
|
|
|||||||||||||||
| Mexico - 0.6% |
||||||||||||||||
| Mexico Government International Bond, Senior Notes |
4.400 | % | 2/12/52 | 2,530,000 | 1,952,345 | |||||||||||
|
|
|
|||||||||||||||
| Panama - 1.4% |
||||||||||||||||
| Panama Government International Bond, Senior Notes |
3.160 | % | 1/23/30 | 2,000,000 | 1,738,207 | |||||||||||
| Panama Government International Bond, Senior Notes |
4.300 | % | 4/29/53 | 3,500,000 | 2,593,303 | |||||||||||
|
|
|
|||||||||||||||
| Total Panama |
4,331,510 | |||||||||||||||
|
|
|
|||||||||||||||
| Peru - 0.6% |
||||||||||||||||
| Peruvian Government International Bond, Senior Notes |
3.550 | % | 3/10/51 | 600,000 | 437,727 | |||||||||||
| Peruvian Government International Bond, Senior Notes |
3.600 | % | 1/15/72 | 2,280,000 | 1,522,435 | |||||||||||
|
|
|
|||||||||||||||
| Total Peru |
1,960,162 | |||||||||||||||
|
|
|
|||||||||||||||
| Russia - 0.2% |
||||||||||||||||
| Russian Foreign Bond - Eurobond, Senior Notes |
5.625 | % | 4/4/42 | 1,200,000 | 735,000 | *(e)(f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS |
20,850,228 | |||||||||||||||
|
|
|
|||||||||||||||
| U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.9% | ||||||||||||||||
| U.S. Government Obligations - 0.9% |
||||||||||||||||
| U.S. Treasury Bonds |
2.875 | % | 5/15/52 | 2,670,000 | 2,220,272 | |||||||||||
| U.S. Treasury Bonds |
3.000 | % | 8/15/52 | 770,000 | 659,553 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS |
|
2,879,825 | ||||||||||||||
|
|
|
|||||||||||||||
| EXPIRATION DATE |
CONTRACTS | NOTIONAL AMOUNT |
||||||||||||||
| PURCHASED OPTIONS - 0.6% | ||||||||||||||||
| EXCHANGE-TRADED PURCHASED OPTIONS - 0.6% | ||||||||||||||||
| SOFR 1-Year Mid-Curve Futures, Put @ $95.63 |
1/13/23 | 684 | 1,710,000 | 149,625 | ||||||||||||
| U.S. Treasury 5-Year Notes Futures, Put @ $108.00 |
12/23/22 | 13 | 13,000 | 5,078 | ||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $110.00 |
12/23/22 | 283 | 283,000 | 1,012,609 | ||||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
7 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
(Percentages shown based on Fund net assets)
| SECURITY |
EXPIRATION DATE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | ||||||||||||
| EXCHANGE-TRADED PURCHASED OPTIONS - (continued) |
|
|||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $110.50 |
12/23/22 | 14 | $ | 14,000 | $ | 43,750 | ||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $112.50 |
12/23/22 | 187 | 187,000 | 283,422 | ||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $113.00 |
12/23/22 | 228 | 228,000 | 274,313 | ||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $113.25 |
12/23/22 | 6 | 6,000 | 6,375 | ||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $113.50 |
12/23/22 | 61 | 61,000 | 56,234 | ||||||||||||
| U.S. Treasury 10-Year Notes Futures, Put @ $112.50 |
12/23/22 | 51 | 51,000 | 26,297 | ||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call @ $120.00 |
12/23/22 | 8 | 8,000 | 57,125 | ||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call @ $126.00 |
12/23/22 | 21 | 21,000 | 48,891 | ||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call @ $128.50 |
12/23/22 | 20 | 20,000 | 22,813 | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL PURCHASED OPTIONS |
|
1,986,532 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
289,933,471 | ||||||||||||||
|
|
|
|||||||||||||||
| RATE | SHARES | |||||||||||||||
| SHORT-TERM INVESTMENTS - 5.6% | ||||||||||||||||
| BNY Mellon Cash Reserve Fund |
1.800 | % | 17,700,500 | 17,700,500 | (g) | |||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 96.8% |
|
307,633,971 | ||||||||||||||
|
|
|
|||||||||||||||
| Other Assets in Excess of Liabilities - 3.2% |
10,031,641 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 317,665,612 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
8 |
Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
| * | Non-income producing security. |
| (a) | 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. |
| (b) | This security is traded on a to-be-announced (“TBA”) basis. At November 30, 2022, the Fund held TBA securities with a total cost of $24,682,242. |
| (c) | 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. |
| (d) | 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. |
| (e) | The coupon payment on this security is currently in default as of November 30, 2022. |
| (f) | 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. |
| (g) | Rate shown is one-day yield as of the end of the reporting period. |
| Abbreviation(s) used in this schedule: | ||
| CLO | — Collateralized Loan Obligation | |
| IO | — Interest Only | |
| LIBOR | — London Interbank Offered Rate | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Financing Rate | |
| USD | — United States Dollar | |
At November 30, 2022, the Fund had the following written options contracts:
| EXCHANGE-TRADED WRITTEN OPTIONS | ||||||||||||||||||||
| SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | |||||||||||||||
| 90-Day Eurodollar Futures, Call |
12/19/22 | $ | 96.50 | 402 | $ | 1,005,000 | $ | (2,513 | ) | |||||||||||
| 90-Day Eurodollar Futures, Call |
12/19/22 | 97.00 | 1,817 | 4,542,500 | (11,356 | ) | ||||||||||||||
| 90-Day Eurodollar Futures, Call |
12/19/22 | 99.00 | 13 | 32,500 | (81 | ) | ||||||||||||||
| U.S. Treasury 5-Year Notes Futures, Call |
12/23/22 | 108.25 | 94 | 94,000 | (75,641 | ) | ||||||||||||||
| U.S. Treasury 5-Year Notes Futures, Call |
12/23/22 | 108.50 | 105 | 105,000 | (70,547 | ) | ||||||||||||||
| U.S. Treasury 5-Year Notes Futures, Call |
12/23/22 | 109.00 | 46 | 46,000 | (20,484 | ) | ||||||||||||||
| U.S. Treasury 5-Year Notes Futures, Put |
12/23/22 | 107.00 | 405 | 405,000 | (60,117 | ) | ||||||||||||||
| U.S. Treasury 5-Year Notes Futures, Put |
12/23/22 | 107.50 | 268 | 268,000 | (64,906 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call |
12/23/22 | 111.00 | 275 | 275,000 | (734,766 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call |
12/23/22 | 112.00 | 176 | 176,000 | (330,000 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call |
12/23/22 | 114.00 | 67 | 67,000 | (47,109 | ) | ||||||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
9 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
| SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | |||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call |
12/23/22 | $ | 115.00 | 188 | $ | 188,000 | $ | (67,563 | ) | |||||||||||
| U.S. Treasury 10-Year Notes Futures, Put |
12/23/22 | 110.50 | 83 | 83,000 | (10,375 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Put |
12/23/22 | 111.00 | 24 | 24,000 | (4,125 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Put |
12/23/22 | 111.50 | 135 | 135,000 | (35,859 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Put |
12/23/22 | 112.00 | 301 | 301,000 | (112,875 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Put |
12/23/22 | 112.75 | 80 | 80,000 | (48,750 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Put |
12/23/22 | 113.00 | 74 | 74,000 | (52,031 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
12/2/22 | 127.00 | 7 | 7,000 | (4,922 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
12/2/22 | 127.50 | 7 | 7,000 | (3,281 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
12/2/22 | 128.00 | 26 | 26,000 | (8,125 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
12/2/22 | 128.50 | 27 | 27,000 | (5,063 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
12/23/22 | 124.00 | 28 | 28,000 | (102,812 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
12/23/22 | 125.00 | 21 | 21,000 | (62,016 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
12/23/22 | 127.00 | 44 | 44,000 | (78,375 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
12/23/22 | 128.00 | 81 | 81,000 | (107,578 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Call |
12/23/22 | 129.00 | 92 | 92,000 | (89,125 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Put |
12/23/22 | 120.00 | 137 | 137,000 | (21,406 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Put |
12/23/22 | 122.00 | 68 | 68,000 | (21,250 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Put |
12/23/22 | 123.00 | 187 | 187,000 | (87,656 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Put |
12/23/22 | 124.00 | 66 | 66,000 | (44,344 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Put |
12/23/22 | 125.00 | 36 | 36,000 | (34,313 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Put |
12/23/22 | 126.00 | 20 | 20,000 | (26,563 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds Futures, Put |
12/23/22 | 127.00 | 46 | 46,000 | (81,937 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total Exchange-Traded Written Options (Premiums received - $4,210,603) |
|
$ | (2,527,864 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||
See Notes to Schedule of Investments.
|
10 |
Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
At November 30, 2022, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| 3-Month SOFR |
1,149 | 3/25 | $ | 278,168,921 | $ | 278,144,175 | $ | (24,746 | ) | |||||||||||
| Contracts to Buy continued | ||||||||||||||||||||
| 3-Month SOFR |
179 | 3/26 | 43,132,531 | 43,409,737 | 277,206 | |||||||||||||||
| 90-Day Eurodollar |
708 | 12/22 | 171,618,124 | 168,331,425 | (3,286,699 | ) | ||||||||||||||
| 90-Day Eurodollar |
223 | 3/23 | 53,001,731 | 52,873,300 | (128,431 | ) | ||||||||||||||
| 90-Day Eurodollar |
129 | 9/23 | 31,948,971 | 30,637,500 | (1,311,471 | ) | ||||||||||||||
| 90-Day Eurodollar |
272 | 12/23 | 66,060,059 | 64,817,600 | (1,242,459 | ) | ||||||||||||||
| U.S. Treasury 2-Year Notes |
696 | 3/23 | 142,673,887 | 142,930,125 | 256,238 | |||||||||||||||
| U.S. Treasury 10-Year Notes |
165 | 3/23 | 18,661,036 | 18,727,500 | 66,464 | |||||||||||||||
| U.S. Treasury Ultra Long- Term Bonds |
1,228 | 3/23 | 164,433,773 | 167,353,375 | 2,919,602 | |||||||||||||||
|
|
|
|||||||||||||||||||
| (2,474,296 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| 3-Month SOFR |
2,135 | 3/24 | 512,915,054 | 510,158,250 | 2,756,804 | |||||||||||||||
| U.S. Treasury 5-Year Notes |
290 | 3/23 | 31,438,631 | 31,485,390 | (46,759 | ) | ||||||||||||||
| U.S. Treasury Long-Term Bonds |
388 | 3/23 | 49,372,930 | 49,276,000 | 96,930 | |||||||||||||||
| U.S. Treasury Ultra 10-Year Notes |
61 | 3/23 | 7,282,834 | 7,299,031 | (16,197 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| 2,790,778 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open futures contracts |
|
$ | 316,482 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Abbreviation(s) used in this table: | ||
| SOFR | — Secured Overnight Financing Rate | |
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
11 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
At November 30, 2022, the Fund had the following open swap contracts:
| CENTRALLY CLEARED INTEREST RATE SWAPS |
||||||||||||||||||||||||
| NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND† |
PAYMENTS RECEIVED BY THE FUND† |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||||
| 109,264,000 | 8/15/28 | 1.130% annually | Daily SOFR Compound annually | $ | 550,533 | $ | 12,780,469 | |||||||||||||||||
| 107,914,000 | 8/15/28 | 1.220% annually | Daily SOFR Compound annually | (101,213 | ) | 12,771,877 | ||||||||||||||||||
| 22,681,000 | 2/15/29 | 2.850% annually | Daily SOFR Compound annually | (52,703 | ) | 849,293 | ||||||||||||||||||
| 563,000 | 4/30/29 | 3.270% annually | Daily SOFR Compound annually | 669 | 5,749 | |||||||||||||||||||
| 27,856,000 | 6/30/29 | 3.850% annually | Daily SOFR Compound annually | 34,312 | (670,000 | ) | ||||||||||||||||||
| 13,100,000 | 3/18/32 | 2.000% annually | Daily SOFR Compound annually | 106,185 | 1,331,008 | |||||||||||||||||||
| 40,873,000 | 2/15/47 | 1.520% annually | Daily SOFR Compound annually | (1,069,385 | ) | 12,672,803 | ||||||||||||||||||
| 2,325,000 | 2/15/47 | 1.729% annually | Daily SOFR Compound annually | — | 579,828 | |||||||||||||||||||
| 11,450,000 | 5/15/47 | 1.630% annually | Daily SOFR Compound annually | 449,568 | 2,602,567 | |||||||||||||||||||
| 3,940,000 | 8/15/47 | 1.650% annually | Daily SOFR Compound annually | 396,160 | 644,053 | |||||||||||||||||||
| 11,670,000 | 2/15/48 | 2.600% annually | Daily SOFR Compound annually | 802,172 | 396,673 | |||||||||||||||||||
| 13,024,000 | 2/15/48 | 2.620% annually | Daily SOFR Compound annually | 14,849 | 1,294,995 | |||||||||||||||||||
| 8,899,000 | 2/15/48 | 3.050% annually | Daily SOFR Compound annually | 274,324 | (54,011 | ) | ||||||||||||||||||
| 8,500,000 | 4/21/52 | 2.500% annually | Daily SOFR Compound annually | 7,921 | 974,598 | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 1,413,392 | $ | 46,179,902 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
See Notes to Schedule of Investments.
|
12 |
Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2022 |
| CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1 |
||||||||||||||||||||||
| REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
PERIODIC PAYMENTS RECEIVED BY THE FUND† |
MARKET VALUE3 |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION |
||||||||||||||||
| Markit CDX.NA.IG.39 Index |
$ | 294,655,000 | 12/20/27 | 1.000% quarterly | $ | 3,211,800 | $ | (187,062) | $ | 3,398,862 | ||||||||||||
| OTC TOTAL RETURN SWAPS |
||||||||||||||||||||
| SWAP COUNTERPARTY |
NOTIONAL AMOUNT |
TERMINATION DATE |
PERIODIC PAYMENTS MADE BY THE FUND‡ |
PERIODIC PAYMENTS RECEIVED BY THE FUND‡ |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED DEPRECIATION |
||||||||||||||
| JPMorgan Chase & Co. |
$ | 9,050,000 | 8/21/23 | Daily SOFR Compound + 0.100%* |
U.S. Treasury Bonds, 2.375%, due May 15, 2051* |
— | $ | (968,441 | ) | |||||||||||
| 1 | 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. |
| 2 | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| 3 | 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. |
| ‡ | Periodic payments made/received by the Fund are based on the total return of the referenced entity. |
| * | One time payment made at termination date. |
| Abbreviation(s) used in this table: | ||
| 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 Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2022 Quarterly Report |
13 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset SMASh Series Core Completion 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 subadvisers 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. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
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14 |
Notes to Schedule of Investments (unaudited) (cont’d)
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 (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.
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15 |
Notes to Schedule of Investments (unaudited) (cont’d)
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 and liabilities carried at fair value:
| ASSETS |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-Term Investments†: |
||||||||||||||||
| Mortgage-Backed Securities |
— | $ | 102,572,763 | — | $ | 102,572,763 | ||||||||||
| Collateralized Mortgage Obligations |
— | 84,698,903 | — | 84,698,903 | ||||||||||||
| Asset-Backed Securities |
— | 43,552,643 | — | 43,552,643 | ||||||||||||
| Corporate Bonds & Notes |
— | 33,392,577 | — | 33,392,577 | ||||||||||||
| Sovereign Bonds |
— | 20,850,228 | — | 20,850,228 | ||||||||||||
| U.S. Government & Agency Obligations |
— | 2,879,825 | — | 2,879,825 | ||||||||||||
| Purchased Options |
$ | 1,986,532 | — | — | 1,986,532 | |||||||||||
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|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
1,986,532 | 287,946,939 | — | 289,933,471 | ||||||||||||
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|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
— | 17,700,500 | — | 17,700,500 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$ | 1,986,532 | $ | 305,647,439 | — | $ | 307,633,971 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts†† |
$ | 6,373,244 | — | — | $ | 6,373,244 | ||||||||||
| Centrally Cleared Interest Rate Swaps†† |
— | $ | 46,903,913 | — | 46,903,913 | |||||||||||
| Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection†† |
— | 3,398,862 | — | 3,398,862 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments |
$ | 6,373,244 | $ | 50,302,775 | — | $ | 56,676,019 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 8,359,776 | $ | 355,950,214 | — | $ | 364,309,990 | |||||||||
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|
|
|
|
|
|
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|
16 |
Notes to Schedule of Investments (unaudited) (cont’d)
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Written Options |
$ | 2,527,864 | — | — | $ | 2,527,864 | ||||||||||
| Futures Contracts†† |
6,056,762 | — | — | 6,056,762 | ||||||||||||
| Centrally Cleared Interest Rate Swaps†† |
— | $ | 724,011 | — | 724,011 | |||||||||||
| OTC Total Return Swaps |
— | 968,441 | — | 968,441 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 8,584,626 | $ | 1,692,452 | — | $ | 10,277,078 | |||||||||
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| † | See Schedule of Investments for additional detailed categorizations. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
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17 |