NPORT-EX 2 LMF6600LM05312023.htm HTML

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
MORTGAGE-BACKED SECURITIES - 40.5%           

FHLMC - 5.3%

           

Federal Home Loan Mortgage Corp. (FHLMC)

      6.000 %      10/1/36      $ 13,645      $ 14,145  

Federal Home Loan Mortgage Corp. (FHLMC)

      5.500 %      12/1/38        100,074        103,078  

Federal Home Loan Mortgage Corp. (FHLMC)

      3.500 %      10/1/42-3/1/43        275,307        258,296  

Federal Home Loan Mortgage Corp. (FHLMC)

      5.000 %      10/1/48        163,982        164,213  

Federal Home Loan Mortgage Corp. (FHLMC)

      2.000 %      2/1/51-10/1/51        78,838,783        64,966,080  

Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.619%)

      2.877 %      11/1/47        1,228,090        1,170,173 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.621%)

      3.098 %      2/1/50        2,308,603        2,206,123 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) (12 mo. USD LIBOR + 1.628%)

      3.006 %      11/1/48        6,214,485        5,876,516 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) (5 year Treasury Constant Maturity Rate + 1.285%)

      2.101 %      3/1/47        1,053,916        996,514 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      5.500 %      11/1/35        11,746        12,028  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      7.000 %      3/1/39        11,938        12,738  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      6.500 %      9/1/39        39,120        40,758  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      6.000 %      11/1/39        79,812        83,227  

Federal Home Loan Mortgage Corp. (FHLMC) Gold

      4.000 %      4/1/43-7/1/43        595,065        576,104  
          

 

 

  

Total FHLMC

              76,479,993  
          

 

 

  

FNMA - 4.9%

           

Federal National Mortgage Association (FNMA)

      2.560 %      11/1/31        4,552,494        3,999,539  

Federal National Mortgage Association (FNMA)

      5.500 %      11/1/36-8/1/37        13,808        14,169  

Federal National Mortgage Association (FNMA)

      4.500 %      6/1/37-8/1/58        6,448,135        6,286,339  

Federal National Mortgage Association (FNMA)

      6.000 %      11/1/37        15,565        16,194  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series M Fund 2023 Quarterly Report    

  

 

 

1

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

FNMA - continued

           

Federal National Mortgage Association (FNMA)

      6.500 %      11/1/37-5/1/40      $ 216,603      $ 228,074  

Federal National Mortgage Association (FNMA)

      5.000 %      6/1/38-12/1/47        1,181,571        1,192,959  

Federal National Mortgage Association (FNMA)

      7.000 %      2/1/39        16,226        17,282  

Federal National Mortgage Association (FNMA)

      4.000 %      10/1/42-6/1/57        4,514,216        4,350,885  

Federal National Mortgage Association (FNMA)

      3.000 %      6/1/43-11/1/48        7,766,161        7,077,357  

Federal National Mortgage Association (FNMA)

      2.000 %      8/1/50-3/1/52        44,108,286        36,538,224  

Federal National Mortgage Association (FNMA)

      2.500 %      10/1/51-3/1/52        9,796,856        8,390,999 (b)  

Federal National Mortgage Association (FNMA)

      2.500 %      6/1/52        1,600,000        1,368,156 (c) 

Federal National Mortgage Association (FNMA)

      2.500 %      9/1/61        1,739,318        1,441,090  
          

 

 

  

Total FNMA

              70,921,267  
          

 

 

  

GNMA - 30.3%

           

Government National Mortgage Association (GNMA)

      3.000 %      9/15/42-11/15/42        31,443,073        28,823,519  

Government National Mortgage Association (GNMA)

      3.500 %      6/15/48-5/15/50        4,030,450        3,847,339  

Government National Mortgage Association (GNMA)

      4.000 %      3/15/50        64,242        61,763  

Government National Mortgage Association (GNMA) II

      6.000 %      8/20/37-12/20/41        548,554        575,741  

Government National Mortgage Association (GNMA) II

      4.500 %      1/20/40-9/20/52        46,493,471        45,569,837  

Government National Mortgage Association (GNMA) II

      5.000 %      7/20/40-10/20/52        7,343,842        7,353,750  

Government National Mortgage Association (GNMA) II

      3.500 %      6/20/44-12/20/52        33,855,737        31,707,929  

Government National Mortgage Association (GNMA) II

      4.000 %      9/20/45-6/20/52        67,319,664        64,451,182  

Government National Mortgage Association (GNMA) II

      3.000 %      8/20/46-3/20/52      9,533,155        8,626,514  

Government National Mortgage Association (GNMA) II

      2.000 %      12/20/50-3/20/51        14,211,362        11,869,723  

 

See Notes to Schedule of Investments.

 

 

 

2

  

    Western Asset SMASh Series M Fund 2023 Quarterly Report

  

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

GNMA - continued

           

Government National Mortgage Association (GNMA) II

      2.500 %      12/20/50-11/20/52      $ 124,349,911      $ 108,434,952  

Government National Mortgage Association (GNMA) II

      2.500 %      6/1/52        14,100,000        12,338,877 (c) 

Government National Mortgage Association (GNMA) II

      3.000 %      6/1/52        45,300,000        40,779,733 (c) 

Government National Mortgage Association (GNMA) II

      3.500 %      6/1/52        21,300,000        19,761,574 (c) 

Government National Mortgage Association (GNMA) II

      4.000 %      6/1/52        1,800,000        1,710,844 (c)  

Government National Mortgage Association (GNMA) II

      4.500 %      6/1/52        39,100,000        37,996,494 (c)  

Government National Mortgage Association (GNMA) II

      5.000 %      6/1/52        7,600,000        7,506,039 (c)  

Government National Mortgage Association (GNMA) II

      5.500 %      6/1/52        9,100,000        9,095,024 (c)  
          

 

 

  

Total GNMA

              440,510,834  
          

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES

(Cost - $610,164,703)

              587,912,094  
          

 

 

  
COLLATERALIZED MORTGAGE OBLIGATIONS (d) - 38.0%           

Alternative Loan Trust, 2005-24 1A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.310%)

      5.053 %      7/20/35        203,069        172,904 (a)  

Alternative Loan Trust, 2005-57CB 4A3

      5.500 %      12/25/35        215,929        131,614  

American Home Mortgage Investment Trust, 2005-1 1A3 (1 mo. USD LIBOR + 0.620%)

      5.640 %      6/25/45        260,692        258,979 (a)  

AREIT Trust, 2021-CRE5 A (1 mo. USD LIBOR + 1.080%)

      6.188 %      11/17/38        5,827,218        5,692,714 (a)(e) 

BDS, 2021-FL8 A (1 mo. USD LIBOR + 0.920%)

      6.031 %      1/18/36        976,527        960,048 (a)(e)  

Benchmark Mortgage Trust, 2020-B21 B

      2.458 %      12/17/53        13,020,000        9,654,270  

BHMS, 2018-ATLS A (1 mo. USD LIBOR + 1.250%)

      6.357 %      7/15/35        11,150,000        10,849,826 (a)(e) 

BX, 2021-MFM1 A (1 mo. Term SOFR + 0.814%)

      5.873 %      1/15/34        2,712,736        2,649,193 (a)(e) 

BX Commercial Mortgage Trust, 2021-VOLT A (1 mo. USD LIBOR + 0.700%)

      5.807 %      9/15/36        22,570,000        21,840,167 (a)(e) 

BX Commercial Mortgage Trust, 2021-XL2 A (1 mo. USD LIBOR + 0.689%)

      5.796 %      10/15/38        41,127,614        39,789,815 (a)(e) 

BX Mortgage Trust, 2021-PAC A (1 mo. USD LIBOR + 0.689%)

      5.797 %      10/15/36        35,380,000        34,204,393 (a)(e) 

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series M Fund 2023 Quarterly Report    

  

 

 

3

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued           

BX Trust, 2019-OC11 B

      3.605 %      12/9/41      $ 3,200,000      $ 2,795,469 (e) 

BX Trust, 2021-ARIA A (1 mo. USD LIBOR + 0.899%)

      6.006 %      10/15/36        19,205,000        18,600,893 (a)(e) 

Chevy Chase Funding LLC Mortgage-Backed Certificates, 2003-4A A1 (1 mo. USD LIBOR + 0.680%)

      5.860 %      10/25/34        1,080,731        1,023,703 (a)(e) 

Commercial Mortgage Trust, 2013-CR12 AM

      4.300 %      10/10/46        180,000        157,872  

Commercial Mortgage Trust, 2013-CR12 B

      4.762 %      10/10/46        160,000        120,556 (a)  

Commercial Mortgage Trust, 2013-CR12 C

      5.040 %      10/10/46        80,000        39,640 (a)  

Commercial Mortgage Trust, 2014-CR20 B

      4.239 %      11/10/47        1,680,000        1,539,970 (a) 

CSMC Trust, 2014-USA A2

      3.953 %      9/15/37        3,290,000        2,831,465 (e) 

CSMC Trust, 2017-RPL3 A1

      4.000 %      8/1/57        12,481,250        11,534,526 (a)(e) 

CSMC Trust, 2017-RPL3 B2

      4.431 %      8/1/57        16,603,930        15,393,245 (a)(e) 

CSMC Trust, 2019-UVIL A

      3.160 %      12/15/41        10,000,000        8,279,048 (e) 

CSMC Trust, 2020-TMIC A (1 mo. USD LIBOR + 3.500%)

      8.607 %      12/15/35        8,060,000        8,002,315 (a)(e) 

CSMC Trust, 2021-AFC1 A1

      0.830 %      3/25/56        4,931,102        3,826,457 (a)(e) 

CSMC Trust, 2021-RPL1 A1

      1.668 %      9/27/60        12,635,709        11,808,791 (a)(e) 

CSMC Trust, 2021-RPL3 A1

      2.000 %      1/25/60        8,542,895        7,327,890 (a)(e) 

CSMC Trust, 2021-RPL4 A1

      1.796 %      12/27/60        6,578,185        6,129,967 (a)(e) 

CSMC Trust, 2021-RPL6 A1

      2.000 %      10/25/60        9,723,428        8,656,049 (a)(e) 

CSMC Trust, 2022-7R 1A1 (30 Day Average SOFR + 2.500%)

      7.121 %      10/25/66        19,307,700        18,986,070 (a)(e) 

Extended Stay America Trust, 2021-ESH A (1 mo. USD LIBOR + 1.080%)

      6.188 %      7/15/38        8,462,061        8,292,405 (a)(e) 

Federal Home Loan Mortgage Corp. (FHLMC) Multiclass Certificates, 2020-RR07 AX, IO

      2.468 %      9/27/28        6,000,000        638,440 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K064 X1, IO

      0.600 %      3/25/27        47,962,561        920,694 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K091 X1, IO

      0.561 %      3/25/29        6,470,523        179,222 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K093 X1, IO

      0.952 %      5/25/29        5,942,247        268,100 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K118 X1, IO

      0.958 %      9/25/30        11,412,685        624,889 (a)  

 

See Notes to Schedule of Investments.

 

 

 

4

  

    Western Asset SMASh Series M Fund 2023 Quarterly Report

  

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued           

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K121 X1, IO

      1.023 %      10/25/30      $ 54,246,757      $ 3,104,553 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K122 X1, IO

      0.880 %      11/25/30        9,947,393        503,609 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K723 X1, IO

      0.882 %      8/25/23        68,742,998        43,920 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K740 X1, IO

      0.747 %      9/25/27        35,492,689        932,897 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1515 X1, IO

      1.511 %      2/25/35        45,237,230        5,292,236 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1516 X1, IO

      1.510 %      5/25/35        29,778,318        3,551,856 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K1517 X1, IO

      1.323 %      7/25/35        40,222,890        4,387,147 (a) 

Federal Home Loan Mortgage Corp. (FHLMC) Reference REMIC, R007 ZA

      6.000 %      5/15/36        12,808        13,379  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3947 SG, IO (-1.000 x 1 mo. USD LIBOR + 5.950%)

      0.843 %      10/15/41        130,076        11,720 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4298 PI, IO, PAC

      4.000 %      4/15/43        74,676        2,705  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4813 CJ

      3.000 %      8/15/48        447,411        393,738  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5018 MI, IO

      2.000 %      10/25/50        1,272,503        170,465  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5040 IB, IO

      2.500 %      11/25/50        361,630        52,654  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5274 IO, IO

      2.500 %      1/25/51        22,702,292        3,547,145  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA2 M2 (1 mo. USD LIBOR + 1.850%)

      6.988 %      2/25/50        3,346,151        3,361,918 (a)(e) 

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series M Fund 2023 Quarterly Report    

  

 

 

5

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued           

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA3 M2 (30 Day Average SOFR + 2.100%)

      7.073 %      10/25/33      $ 25,300,000      $ 24,846,791 (a)(e) 

Federal Home Loan Mortgage Corp. (FHLMC) STRIPS, 328 S4, IO

      0.000 %      2/15/38        855,171        46,518 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-DNA3 M3F (1 mo. USD LIBOR + 3.700%)

      8.838 %      4/25/28        2,502,406        2,590,398 (a)  

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2021-DNA2 M2 (30 Day Average SOFR + 2.300%)

      7.273 %      8/25/33        16,699,297        16,666,531 (a)(e) 

Federal National Mortgage Association (FNMA) - CAS, 2013-C01 M2 (1 mo. USD LIBOR + 5.250%)

      10.388 %      10/25/23        5,755,885        5,842,523 (a)  

Federal National Mortgage Association (FNMA) - CAS, 2014-C01 M2 (1 mo. USD LIBOR + 4.400%)

      9.538 %      1/25/24        9,780,373        9,953,207 (a)  

Federal National Mortgage Association (FNMA) - CAS, 2021-R01 1M2 (30 Day Average SOFR + 1.550%)

      6.523 %      10/25/41        11,940,000        11,678,583 (a)(e) 

Federal National Mortgage Association (FNMA) ACES, 2018-M15 1A2

      3.700 %      1/25/36        3,000,000        2,774,754  

Federal National Mortgage Association (FNMA) ACES, 2019-M19 A2

      2.560 %      9/25/29        531,062        481,741  

Federal National Mortgage Association (FNMA) ACES, 2019-M19 X2, IO

      0.634 %      9/25/29        34,078,929        1,070,886 (a) 

Federal National Mortgage Association (FNMA) ACES, 2019-M22 A2

      2.522 %      8/25/29        11,591,524        10,399,172  

Federal National Mortgage Association (FNMA) ACES, 2019-M28 AV

      2.232 %      2/25/27        705,571        660,138  

Federal National Mortgage Association (FNMA) ACES, 2019-M28 XA2, IO

      0.542 %      2/25/30        9,098,651        240,523 (a)  

Federal National Mortgage Association (FNMA) ACES, 2019-M28 XA3, IO

      0.928 %      2/25/30        16,359,679        708,526 (a)  

Federal National Mortgage Association (FNMA) ACES, 2020-M4 1X2, IO

      0.740 %      2/25/28        5,563,879        160,234 (a)  

Federal National Mortgage Association (FNMA) ACES, 2020-M4 1X3, IO

      1.020 %      2/25/28        30,215,138        1,168,265 (a) 

 

See Notes to Schedule of Investments.

 

 

 

6

  

    Western Asset SMASh Series M Fund 2023 Quarterly Report

  

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued           

Federal National Mortgage Association (FNMA) ACES, 2020-M26 X3, IO

      1.713 %      1/25/28      $ 8,264,901      $ 410,087 (a) 

Federal National Mortgage Association (FNMA) ACES, 2020-M36 X1, IO

      1.445 %      9/25/34        2,759,741        164,662 (a)  

Federal National Mortgage Association (FNMA) ACES, 2020-M51 X3, IO

      0.070 %      12/25/30        74,520,000        389,419 (a)  

Federal National Mortgage Association (FNMA) ACES, 2020-M54 X, IO

      1.511 %      12/25/33        37,274,722        2,950,973 (a) 

Federal National Mortgage Association (FNMA) REMIC, 2011-59 NZ

      5.500 %      7/25/41        192,725        197,303  

Federal National Mortgage Association (FNMA) REMIC, 2012-28 B

      6.500 %      6/25/39        924        942  

Federal National Mortgage Association (FNMA) REMIC, 2012-75 AO, PO

      0.000 %      3/25/42        9,668        8,604  

Federal National Mortgage Association (FNMA) REMIC, 2012-75 NS, IO (-1.000 x 1 mo. USD LIBOR + 6.600%)

      1.462 %      7/25/42        32,339        3,758 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2012-93 UI, IO

      3.000 %      9/25/27        176,249        6,965  

Federal National Mortgage Association (FNMA) REMIC, 2012-134 SK, IO (-1.000 x 1 mo. USD LIBOR + 6.150%)

      1.012 %      12/25/42        278,415        32,278 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2013-9 CB

      5.500 %      4/25/42        58,188        59,342  

Federal National Mortgage Association (FNMA) REMIC, 2013-14 IG, IO

      4.000 %      3/25/43        129,740        21,300  

Federal National Mortgage Association (FNMA) REMIC, 2013-29 QI, IO

      4.000 %      4/25/43        416,199        71,099  

Federal National Mortgage Association (FNMA) REMIC, 2013-73 IB, IO

      3.500 %      7/25/28        432,880        20,799  

Federal National Mortgage Association (FNMA) REMIC, 2014-47 AI, IO

      0.000 %      8/25/44        648,138        29,204 (a)  

Federal National Mortgage Association (FNMA) REMIC, 2020-47 GZ

      2.000 %      7/25/50        954,015        580,739  

Federal National Mortgage Association (FNMA) STRIPS, 390 C3, IO

      6.000 %      7/25/38        8,953        1,937  

Federal National Mortgage Association (FNMA) STRIPS, 407 22, IO

      5.000 %      1/25/39        6,025        1,195  

Federal National Mortgage Association (FNMA) STRIPS, 407 23, IO

      5.000 %      1/25/39        3,157        627 (a)  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series M Fund 2023 Quarterly Report    

  

 

 

7

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued           

Federal National Mortgage Association (FNMA) STRIPS, 407 27, IO

      5.500 %      1/25/39      $ 3,211      $ 693 (a)  

Federal National Mortgage Association (FNMA) STRIPS, 407 34, IO

      5.000 %      1/25/38        5,289        901  

Federal National Mortgage Association (FNMA) STRIPS, 407 41, IO

      6.000 %      1/25/38        7,617        1,651  

Federal National Mortgage Association (FNMA) STRIPS, 407 C10, IO

      5.000 %      1/25/38        28,913        4,947  

Federal National Mortgage Association (FNMA) STRIPS, 409 C2, IO

      3.000 %      4/25/27        53,809        2,085  

Federal National Mortgage Association (FNMA) STRIPS, 409 C13, IO

      3.500 %      11/25/41        48,668        7,727  

FRESB Mortgage Trust, 2015-SB7 A10 (2.950% to 11/25/25 then 1 mo. USD LIBOR + 0.700%)

      2.950 %      9/25/35        1,743,830        1,671,408 (a) 

GMACM Mortgage Loan Trust, 2006-AR1 1A1

      3.281 %      4/19/36        344,323        269,313 (a)  

Government National Mortgage Association (GNMA), 2010-85 HS, IO, PAC (-1.000 x 1 mo. USD LIBOR + 6.650%)

      1.502 %      1/20/40        2,890        23 (a)  

Government National Mortgage Association (GNMA), 2011-140 AI, IO

      4.000 %      10/16/26        24,409        2  

Government National Mortgage Association (GNMA), 2011-H01 AF (1 mo. USD LIBOR + 0.450%)

      5.308 %      11/20/60        356,742        354,786 (a)  

Government National Mortgage Association (GNMA), 2011-H11 FB (1 mo. USD LIBOR + 0.500%)

      5.358 %      4/20/61        475,917        473,291 (a)  

Government National Mortgage Association (GNMA), 2012-43 SN, IO (-1.000 x 1 mo. USD LIBOR + 6.600%)

      1.495 %      4/16/42        1,406,945        185,388 (a)  

Government National Mortgage Association (GNMA), 2013-105 IO, IO

      0.195 %      6/16/54        14,506,620        21,729 (a)  

Government National Mortgage Association (GNMA), 2014-134 IA, IO

      0.148 %      1/16/55        53,142,771        245,833 (a)  

Government National Mortgage Association (GNMA), 2014-157 IO, IO

      0.191 %      5/16/55        7,770,140        55,478 (a)  

Government National Mortgage Association (GNMA), 2014-176 IA, IO

      4.000 %      11/20/44        404,808        66,678  

Government National Mortgage Association (GNMA), 2015-36 MI, IO

      5.500 %      3/20/45        551,343        96,359  

 

See Notes to Schedule of Investments.

 

 

 

8

  

    Western Asset SMASh Series M Fund 2023 Quarterly Report

  

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued           

Government National Mortgage Association (GNMA), 2015-167 OI, IO

      4.000 %      4/16/45      $ 225,292      $ 39,964  

Government National Mortgage Association (GNMA), 2017-28 IO, IO

      0.681 %      2/16/57        900,658        32,140 (a)  

Government National Mortgage Association (GNMA), 2018-H07 FD (1 mo. USD LIBOR + 0.300%)

      5.158 %      5/20/68        776,103        772,965 (a)  

Government National Mortgage Association (GNMA), 2019-90 AB

      3.000 %      7/20/49        3,737,632        3,373,096  

Government National Mortgage Association (GNMA), 2020-47 MI, IO, PAC

      3.500 %      4/20/50        1,506,594        247,262  

Government National Mortgage Association (GNMA), 2020-47 NI, IO, PAC

      3.500 %      4/20/50        575,929        94,889  

Government National Mortgage Association (GNMA), 2020-127 IN, IO

      2.500 %      8/20/50        619,020        85,336  

Government National Mortgage Association (GNMA), 2020-129 IE, IO

      2.500 %      9/20/50        641,625        88,172  

Government National Mortgage Association (GNMA), 2020-160 IH, IO

      2.500 %      10/20/50        409,928        56,498  

Government National Mortgage Association (GNMA), 2020-160 VI, IO

      2.500 %      10/20/50        640,815        92,497  

Government National Mortgage Association (GNMA), 2020-160 YI, IO

      2.500 %      10/20/50        2,101,563        262,189  

Government National Mortgage Association (GNMA), 2020-171 IO, IO

      0.958 %      10/16/60        84,450,230        5,679,717 (a) 

Government National Mortgage Association (GNMA), 2020-H09 FL (1 mo. USD LIBOR + 1.150%)

      4.340 %      5/20/70        1,627,067        1,609,008 (a) 

Government National Mortgage Association (GNMA), 2020-H09 NF (1 mo. USD LIBOR + 1.250%)

      6.108 %      4/20/70        2,306,210        2,322,721 (a) 

Government National Mortgage Association (GNMA), 2020-H12 F (1 mo. USD LIBOR + 0.500%)

      4.054 %      7/20/70        244,569        237,216 (a)  

Government National Mortgage Association (GNMA), 2020-H13 FC (1 mo. USD LIBOR + 0.450%)

      4.162 %      7/20/70        99,583        96,051 (a)  

Government National Mortgage Association (GNMA), 2020-H13 FM (1 mo. USD LIBOR + 0.400%)

      5.258 %      8/20/70        2,516,975        2,490,377 (a) 

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series M Fund 2023 Quarterly Report    

  

 

 

9

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued           

GS Mortgage Securities Corp. Trust, 2021- ROSS C (1 mo. USD LIBOR + 2.000%)

      7.108 %      5/15/26      $ 5,190,000      $ 4,488,064 (a)(e) 

GS Mortgage Securities Corp. Trust, 2021- ROSS D (1 mo. USD LIBOR + 2.500%)

      7.608 %      5/15/26        8,660,000        7,324,264 (a)(e) 

GS Mortgage Securities Trust, 2013-GC16 B

      5.161 %      11/10/46        500,000        491,219 (a)  

GS Mortgage Securities Trust, 2018-GS9 B

      4.321 %      3/10/51        1,725,000        1,540,191 (a)  

GS Mortgage-Backed Securities Corp. Trust, 2021-RPL1 A2

      2.000 %      12/25/60        16,090,000        13,017,713 (a)(e) 

GS Mortgage-Backed Securities Trust, 2018-RPL1 A1A

      3.750 %      10/25/57        11,318,298        10,869,093 (e) 

HomeBanc Mortgage Trust, 2004-2 A1 (1 mo. USD LIBOR + 0.740%)

      5.878 %      12/25/34        1,200,037        1,125,305 (a)  

IMPAC CMB Trust, 2004-7 1A1 (1 mo. USD LIBOR + 0.740%)

      5.878 %      11/25/34        2,239,335        2,187,873 (a)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2014-C20, C

      4.526 %      7/15/47        700,000        527,193 (a)  

JPMorgan Mortgage Trust, 2005-S3 1A1

      6.500 %      1/25/36        436,892        240,926  

JPMorgan Mortgage Trust, 2015-5 A9

      6.163 %      5/25/45        364,428        356,715 (a)(e) 

JPMorgan Mortgage Trust, 2018-4 A1

      3.500 %      10/25/48        1,936,331        1,745,243 (a)(e) 

JPMorgan Resecuritization Trust, 2014-6 1A2 (1 mo. USD LIBOR + 0.210%)

      3.340 %      7/27/36        4,401,915        4,032,419 (a)(e) 

Legacy Mortgage Asset Trust, 2020-GS5 A1, Step bond (3.250% to 8/25/23, 6.250% to 8/25/24 then 7.250%)

      3.250 %      6/25/60        5,710,364        5,682,677 (e) 

MASTR Adjustable Rate Mortgages Trust, 2005-7 3A1

      3.479 %      9/25/35        55,772        35,184 (a)  

Merrill Lynch Mortgage Investors Trust, 2006-A1 1A1

      3.819 %      3/25/36        307,200        192,397 (a)  

New Residential Mortgage Loan Trust, 2016-3A A1B

      3.250 %      9/25/56        2,558,810        2,339,474 (a)(e) 

New Residential Mortgage Loan Trust, 2016-4A A1

      3.750 %      11/25/56        3,387,513        3,130,212 (a)(e) 

New Residential Mortgage Loan Trust, 2017-4A A1

      4.000 %      5/25/57        10,340,769        9,622,282 (a)(e) 

New Residential Mortgage Loan Trust, 2019-2A A1

      4.250 %      12/25/57        13,495,489        12,913,370 (a)(e) 

New Residential Mortgage Loan Trust, 2021-NQM3 A1

      1.156 %      11/27/56        5,217,328        4,304,175 (a)(e) 

OPG Trust, 2021-PORT D (1 mo. USD LIBOR + 1.131%)

      6.238 %      10/15/36        2,510,227        2,364,236 (a)(e) 

 

See Notes to Schedule of Investments.

 

 

 

10

  

    Western Asset SMASh Series M Fund 2023 Quarterly Report

  

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS (d) - continued           

PFP Ltd., 2021-8 A (1 mo. USD LIBOR + 1.000%)

      6.105 %      8/9/37      $ 3,838,154      $ 3,738,466 (a)(e) 

PRKCM Trust, 2021-AFC1 A1

      1.510 %      8/25/56        16,992,025        13,534,306 (a)(e) 

RALI Trust, 2006-QO7 3A2 (1 mo. USD LIBOR + 0.410%)

      5.430 %      9/25/46        265,538        251,701 (a)  

RAMP Trust, 2005-SL1 A7

      8.000 %      5/25/32        16,453        11,028  

Residential Asset Securitization Trust, 2005-A15 1A4

      5.750 %      2/25/36        473,947        443,695  

SFO Commercial Mortgage Trust, 2021-555 A (1 mo. USD LIBOR + 1.150%)

      6.257 %      5/15/38        9,120,000        8,099,735 (a)(e) 

SREIT Trust, 2021-PALM A (1 mo. USD LIBOR + 0.590%)

      5.697 %      10/15/34        12,605,000        12,140,042 (a)(e) 

Structured Adjustable Rate Mortgage Loan Trust, 2004-2 4A1

      4.974 %      3/25/34        72,226        67,443 (a)  

Structured Asset Mortgage Investments II Trust, 2005-AR7 4A1 (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 2.150%)

      5.893 %      3/25/46        165,584        165,862 (a)  

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2003-9A 2A2

      5.521 %      3/25/33        61,223        58,860 (a)  

Towd Point Mortgage Trust, 2019-HY2 A1 (1 mo. USD LIBOR + 1.000%)

      6.138 %      5/25/58        6,712,451        6,690,577 (a)(e) 

Towd Point Mortgage Trust, 2020-2 M1B

      3.000 %      4/25/60        8,740,000        6,706,996 (a)(e) 

WaMu Mortgage Pass-Through Certificates Trust, 2004-AR13 A1B2 (1 mo. USD LIBOR + 0.980%)

      6.118 %      11/25/34        4,164,152        3,833,711 (a) 

WaMu Mortgage Pass-Through Certificates Trust, 2005-AR9 A1A (1 mo. USD LIBOR + 0.640%)

      5.778 %      7/25/45        34,687        32,544 (a)  

WFRBS Commercial Mortgage Trust, 2014- C24 B

      4.204 %      11/15/47        1,670,000        1,536,085 (a) 
          

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost - $598,210,027)

 

 

      550,671,230  
          

 

 

  
ASSET-BACKED SECURITIES - 16.1%           

Arbor Realty Commercial Real Estate Notes Ltd., 2021-FL3 A (1 mo. USD LIBOR + 1.070%)

      6.177 %      8/15/34        3,000,000        2,931,966 (a)(e) 

Avis Budget Rental Car Funding AESOP LLC, 2021-1A A

      1.380 %      8/20/27        6,654,000        5,882,723 (e) 

Bayview Financial Asset Trust, 2007-SR1A M2 (1 mo. USD LIBOR + 0.900%)

      6.038 %      3/25/37        315,519        318,375 (a)(e) 

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series M Fund 2023 Quarterly Report    

  

 

 

11

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
ASSET-BACKED SECURITIES - continued           

Blackbird Capital Aircraft Lease Securitization Ltd., 2016-1A A, Step bond (4.213% to 12/16/24 then 6.500%)

      4.213 %      12/16/41      $ 15,329,905      $ 14,083,182 (e) 

BRSP Ltd., 2021-FL1 A (1 mo. Term SOFR + 1.264%)

      6.338 %      8/19/38        5,490,000        5,306,030 (a)(e) 

Countrywide Asset-Backed Certificates Trust, 2004-5 2A (1 mo. USD LIBOR + 0.500%)

      5.638 %      10/25/34        1,837,655        1,749,961 (a) 

Countrywide Asset-Backed Certificates Trust, 2006-SD3 A1 (1 mo. USD LIBOR + 0.660%)

      5.798 %      7/25/36        11,480        11,208 (a)(e)  

CSMC Trust, 2017-RPL1 A1

      2.750 %      7/25/57        7,778,726        7,446,775 (a)(e) 

CSMC Trust, 2017-RPL1 M1

      2.957 %      7/25/57        20,370,000        16,918,012 (a)(e) 

Dividend Solar Loans LLC, 2019-1 A

      3.670 %      8/22/39        235,676        207,871 (e)  

Foundation Finance Trust, 2021-1A A

      1.270 %      5/15/41        3,435,447        3,047,918 (e)  

Goodgreen Trust, 2021-1A A

      2.660 %      10/15/56        8,551,943        7,136,457 (e)  

Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. Term SOFR + 1.134%)

      6.194 %      7/15/39        3,880,000        3,791,286 (a)(e) 

Hardee’s Funding LLC, 2021-1A A2

      2.865 %      6/20/51        8,528,100        6,829,228 (e) 

Hertz Vehicle Financing LLC, 2021-1A A

      1.210 %      12/26/25        3,690,000        3,445,761 (e) 

Hertz Vehicle Financing LLC, 2021-1A B

      1.560 %      12/26/25        8,690,000        8,116,630 (e) 

Hertz Vehicle Financing LP, 2021-2A A

      1.680 %      12/27/27        16,380,000        14,439,825 (e) 

Hertz Vehicle Financing LP, 2021-2A B

      2.120 %      12/27/27        8,690,000        7,635,211 (e) 

KREF Ltd., 2021-FL2 A (1 mo. USD LIBOR + 1.070%)

      6.178 %      2/15/39        4,360,000        4,213,675 (a)(e) 

MASTR Asset-Backed Securities Trust, 2007-NCW A1 (1 mo. USD LIBOR + 0.300%)

      5.438 %      5/25/37        4,173,702        3,533,457 (a)(e) 

MF1 Ltd., 2021-FL7 A (1 mo. USD LIBOR + 1.080%)

      6.191 %      10/16/36        3,560,000        3,476,169 (a)(e) 

Morgan Stanley Mortgage Loan Trust, 2007-2AX 2A1 (1 mo. USD LIBOR + 0.180%)

      5.318 %      12/25/36        18,856        7,552 (a)  

Navient Private Education Refi Loan Trust, 2019-FA A2

      2.600 %      8/15/68        10,154,997        9,417,792 (e)  

Navient Student Loan Trust, 2017-2A A (1 mo. USD LIBOR + 1.050%)

      6.188 %      12/27/66        23,437,263        23,219,817 (a)(e) 

Navient Student Loan Trust, 2021-1A A1B (1 mo. USD LIBOR + 0.600%)

      5.738 %      12/26/69        2,301,237        2,246,094 (a)(e) 

Nelnet Student Loan Trust, 2021-A B1

      2.850 %      4/20/62        17,500,000        14,508,711 (e) 

 

See Notes to Schedule of Investments.

 

 

 

12

  

    Western Asset SMASh Series M Fund 2023 Quarterly Report

  

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
ASSET-BACKED SECURITIES - continued           

Origen Manufactured Housing Contract Trust, 2007-A A2

      7.341 %      4/15/37      $ 219,692      $ 203,404 (a)  

RAAC Trust, 2006-RP3 A (1 mo. USD LIBOR + 0.270%)

      5.408 %      5/25/36        12,199        12,116 (a)(e)  

RAAC Trust, 2006-SP1 M1 (1 mo. USD LIBOR + 0.600%)

      5.738 %      9/25/45        600,049        575,726 (a)  

Renaissance Home Equity Loan Trust, 2003-2 A (1 mo. USD LIBOR + 0.880%)

      4.129 %      8/25/33        590,570        532,554 (a)  

Renaissance Home Equity Loan Trust, 2007-3 AV2 (1 mo. USD LIBOR + 1.000%)

      6.138 %      9/25/37        166,585        142,515 (a)  

Renaissance Home Equity Loan Trust, 2007-3 AV3 (1 mo. USD LIBOR + 1.800%)

      6.938 %      9/25/37        729,347        627,502 (a)  

Residential Funding Securities Corp., 2002- RP2 A1 (1 mo. USD LIBOR + 1.500%)

      6.638 %      10/25/32        1,981        1,958 (a)(e)  

SBA Small Business Investment Cos., 2017-10A 1

      2.845 %      3/10/27        654,414        619,916  

SLM Student Loan Trust, 2003-10A A4 (3 mo. USD LIBOR + 0.670%)

      5.536 %      12/17/68        7,429,918        7,197,093 (a)(e) 

SMB Private Education Loan Trust, 2020-A A2A

      2.230 %      9/15/37        12,412,300        11,466,672 (e) 

SMB Private Education Loan Trust, 2021-A A2B

      1.590 %      1/15/53        15,314,870        13,430,139 (e) 

SMB Private Education Loan Trust, 2021-A B

      2.310 %      1/15/53        8,500,000        7,701,208 (e) 

SMB Private Education Loan Trust, 2021-C D

      3.930 %      1/15/53        6,233,000        5,758,376 (e) 

SMB Private Education Loan Trust, 2023-B A1B (30 Day Average SOFR + 1.800%)

      6.841 %      10/16/56        6,326,068        6,341,686 (a)(e) 

Structured Asset Securities Corp., 2004-SC1 A

      8.125 %      12/25/29        7,337        6,371 (a)(e)  

Structured Asset Securities Corp. Mortgage Pass-Through Certificates, 2001-SB1 A2

      3.375 %      8/25/31        59,485        59,114  

Sunrun Vulcan Issuer LLC, 2021-1A A

      2.460 %      1/30/52        3,190,712        2,659,327 (e)  

Thrust Engine Leasing, 2021-1A A

      4.163 %      7/15/40        7,895,002        6,651,855 (e)  
          

 

 

  

TOTAL ASSET-BACKED SECURITIES

(Cost - $257,424,394)

 

 

      233,909,218  
          

 

 

  
CORPORATE BONDS & NOTES - 3.5%           
COMMUNICATION SERVICES - 0.9%           

Diversified Telecommunication Services - 0.3%

           

AT&T Inc., Senior Notes

      2.250 %      2/1/32        1,100,000        881,214  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series M Fund 2023 Quarterly Report    

  

 

 

13

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Diversified Telecommunication Services - continued

           

Verizon Communications Inc., Senior Notes

      2.355 %      3/15/32      $ 2,210,000      $ 1,783,429  

Verizon Communications Inc., Senior Notes

      4.500 %      8/10/33        2,160,000        2,042,015  
          

 

 

  

Total Diversified Telecommunication Services

 

         4,706,658  
          

 

 

  

Media - 0.3%

           

Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes

      5.375 %      5/1/47        900,000        718,839  

Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes

      5.125 %      7/1/49        2,890,000        2,203,211  

Comcast Corp., Senior Notes

      3.969 %      11/1/47        1,460,000        1,196,727  

Comcast Corp., Senior Notes

      2.887 %      11/1/51        1,170,000        771,130  
          

 

 

  

Total Media

 

         4,889,907  
          

 

 

  

Wireless Telecommunication Services - 0.3%

           

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes

      4.738 %      3/20/25        620,000        613,989 (e)  

T-Mobile USA Inc., Senior Notes

      3.875 %      4/15/30        3,410,000        3,164,942  
          

 

 

  

Total Wireless Telecommunication Services

 

         3,778,931  
          

 

 

  

TOTAL COMMUNICATION SERVICES

              13,375,496  
          

 

 

  
ENERGY - 0.5%           

Oil, Gas & Consumable Fuels - 0.5%

           

EOG Resources Inc., Senior Notes

      3.900 %      4/1/35        2,210,000        1,997,557  

EQT Corp., Senior Notes

      7.000 %      2/1/30        5,000,000        5,180,250  
          

 

 

  

TOTAL ENERGY

              7,177,807  
          

 

 

  
FINANCIALS - 0.5%           

Banks - 0.4%

           

BAC Capital Trust XIV, Junior Subordinated Notes (3 mo. USD LIBOR + 0.400%)

      5.266 %      6/16/23        200,000        148,484 (a)(f) 

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        800,000        752,784 (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        4,420,000        3,843,482 (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        880,000        775,097 (a)(e) 
          

 

 

  

Total Banks

              5,519,847  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

14

  

    Western Asset SMASh Series M Fund 2023 Quarterly Report

  

Western Asset SMASh Series M Fund

(Percentages shown based on Fund net assets)

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Capital Markets - 0.1%

           

Credit Suisse AG, Senior Notes

      3.700 %      2/21/25      $ 2,250,000      $ 2,139,266  
          

 

 

  

TOTAL FINANCIALS

              7,659,113  
          

 

 

  
INDUSTRIALS - 1.3%           

Air Freight & Logistics - 1.3%

           

DP World Ltd., Senior Notes

      5.625 %      9/25/48        20,510,000        19,053,277 (e) 
          

 

 

  
MATERIALS - 0.3%           

Chemicals - 0.2%

           

OCP SA, Senior Notes

      4.500 %      10/22/25        1,980,000        1,926,160 (e) 
          

 

 

  

Metals & Mining - 0.1%

           

Freeport-McMoRan Inc., Senior Notes

      5.450 %      3/15/43        1,550,000        1,407,051  
          

 

 

  

TOTAL MATERIALS

              3,333,211  
          

 

 

  

TOTAL CORPORATE BONDS & NOTES

(Cost - $54,646,610)

 

 

      50,598,904  
          

 

 

  
SOVEREIGN BONDS - 0.8%           

Mexico - 0.6%

           

Mexico Government International Bond, Senior Notes

      4.600 %      2/10/48        6,810,000        5,535,613  

Mexico Government International Bond, Senior Notes

      5.750 %      10/12/2110        3,430,000        3,000,716  
          

 

 

  

Total Mexico

              8,536,329  
          

 

 

  

Qatar - 0.2%

           

Qatar Government International Bond, Senior Notes

      3.250 %      6/2/26        1,580,000        1,531,161 (g)  

Qatar Government International Bond, Senior Notes

      4.817 %      3/14/49        1,880,000        1,794,317 (e)  
          

 

 

  

Total Qatar

              3,325,478  
          

 

 

  

TOTAL SOVEREIGN BONDS

(Cost - $14,155,375)

 

 

         11,861,807  
          

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS

(Cost - $1,534,601,109)

 

 

      1,434,953,253  
          

 

 

  
                  SHARES         
SHORT-TERM INVESTMENTS - 6.8%           

BNY Mellon Cash Reserve Fund

(Cost - $99,146,853)

      2.250 %         99,146,853        99,146,853 (h) 
          

 

 

  

TOTAL INVESTMENTS - 105.7%

(Cost - $1,633,747,962)

 

 

           1,534,100,106  

Liabilities in Excess of Other Assets - (5.7)%

              (83,141,180 ) 
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 1,450,958,926  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series M Fund 2023 Quarterly Report    

  

 

 

15

Western Asset SMASh Series M Fund

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

(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)

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

 

(c)

This security is traded on a to-be-announced (“TBA”) basis. At May 31, 2023, the Fund held TBA securities with a total cost of $131,910,625.

 

(d)

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.

 

(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)

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

 

(g)

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.

 

(h)

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

Abbreviation(s) used in this schedule:

 

ACES    — Alternative Credit Enhancement Securities
CAS    — Connecticut Avenue Securities
CMT    — Constant Maturity Treasury
IO    — Interest Only
LIBOR    — London Interbank Offered Rate
PAC    — Planned Amortization Class
PO    — Principal Only
REMIC    — Real Estate Mortgage Investment Conduit
SOFR    — Secured Overnight Financing Rate
STRIPS    — Separate Trading of Registered Interest and Principal Securities
USD    — United States Dollar

 

See Notes to Schedule of Investments.

 

 

 

16

  

    Western Asset SMASh Series M Fund 2023 Quarterly Report

  

Western Asset SMASh Series M Fund

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

At May 31, 2023, the Fund had the following open futures contracts:

 

     Number of
Contracts		      Expiration
Date		      Notional
Amount		      Market
Value		      Unrealized
Appreciation
(Depreciation)		  
Contracts to Buy:               

U.S. Treasury 2-Year Notes

      2,061        9/23      $ 424,921,036      $ 424,211,768      $ (709,268 ) 

U.S. Treasury 5-Year Notes

      14,653        9/23        1,609,159,779        1,598,321,839        (10,837,940 ) 

U.S. Treasury Long- Term Bonds

      38        9/23        4,874,620        4,877,063        2,443  
              

 

 

  
                 (11,544,765 ) 
              

 

 

  
Contracts to Sell:               

U.S. Treasury 10-Year Notes

      1,504        9/23        172,384,157        172,161,000        223,157  

U.S. Treasury Ultra 10-Year Notes

      19        9/23        2,283,086        2,288,610        (5,524 ) 

U.S. Treasury Ultra Long-Term Bonds

      301        9/23        40,625,073        41,199,375        (574,302 ) 
              

 

 

  
                 (356,669 ) 
              

 

 

  
Net unrealized depreciation on open futures contracts

 

    $ (11,901,434 ) 
              

 

 

  

At May 31, 2023, 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† 		     MARKET
VALUE		     UPFRONT
PREMIUMS PAID
(RECEIVED)		      UNREALIZED
DEPRECIATION		  

$609,454,000

      11/30/27      Daily SOFR Compound annually      2.980% annually      $ (11,333,197 )    $ 116,849      $ (11,450,046 ) 

 

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.40 Index

    $ 163,614,000        6/20/28        1.000% quarterly      $ 1,835,629      $ 1,215,736      $ 619,893  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series M Fund 2023 Quarterly Report     

  

 

 

17

Western Asset SMASh Series M Fund

 

Schedule of investments (unaudited) (cont’d)    May 31, 2023

 

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.

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.

 

 

 

18

  

    Western Asset SMASh Series M Fund 2023 Quarterly Report

  

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset SMASh Series M Fund (the “Fund”) is a separate 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 Standards 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.

 

   

 

 

19

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.

 

 

 

20

    

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

      —        $ 587,912,094        —        $ 587,912,094  

Collateralized Mortgage Obligations

      —          550,671,230        —          550,671,230  

Asset-Backed Securities

      —          233,909,218        —          233,909,218  

Corporate Bonds & Notes

      —          50,598,904        —          50,598,904  

Sovereign Bonds

      —          11,861,807        —          11,861,807  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —          1,434,953,253        —          1,434,953,253  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

      —          99,146,853        —          99,146,853  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      —        $ 1,534,100,106        —        $ 1,534,100,106  
  

 

 

     

 

 

     

 

 

     

 

 

  

Other Financial Instruments:

            

Futures Contracts††

    $ 225,600        —          —        $ 225,600  

Centrally Cleared Credit Default Swaps on Credit Indices – Sell Protection††

      —        $ 619,893        —          619,893  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Other Financial Instruments

    $ 225,600      $ 619,893        —        $ 845,493  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 225,600      $ 1,534,719,999        —        $ 1,534,945,599  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

   

 

 

21

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:

            

Futures Contracts††

    $ 12,127,034        —          —        $ 12,127,034  

Centrally Cleared Interest Rate Swaps††

      —        $ 11,450,046        —          11,450,046  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 12,127,034      $ 11,450,046        —        $ 23,577,080  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

††

Reflects the unrealized appreciation (depreciation) of the instruments.

 

 

 

22