NPORT-EX 2 LMF6700LM113023.htm HTML

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
MUNICIPAL BONDS - 102.9%           

Alabama - 4.3%

           

Black Belt Energy Gas District, AL, Gas Project Revenue Bonds:

           

Project No 6, Series B

      4.000 %      12/1/26      $ 80,000      $ 79,209 (a)(b) 

Series D-1, Refunding

      5.500 %      2/1/29        200,000        209,802 (a)(b) 

Series F

      5.500 %      12/1/28        750,000        784,853 (a)(b) 

Energy Southeast, A Cooperative District Energy, AL, Supply Revenue, Series B-1

      5.750 %      11/1/31        1,000,000        1,094,374 (a)(b) 

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

      5.750 %      10/1/49        100,000        99,724 (c)  

Jefferson County, AL, Sewer Revenue:

           

Convertible CAB, Subordinated Lien, Warrants, Series F, Refunding

      7.900 %      10/1/50        470,000        494,293  

Senior Lien, Warrants, Series A, Refunding, AGM

      5.500 %      10/1/53        75,000        76,166  

Subordinated Lien, Warrants, Series D, Refunding

      6.000 %      10/1/42        105,000        110,331  

Southeast Alabama Gas Supply District, Gas Supply Revenue, Project No 2, Series A

      4.000 %      6/1/24        645,000        644,053 (a)(b) 
          

 

 

  

Total Alabama

              3,592,805  
          

 

 

  

Alaska - 0.3%

           

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

      5.000 %      12/1/37        75,000        80,059  

Anchorage, AK, Port Revenue, Series A

      5.000 %      12/1/50        150,000        150,984 (c)  
          

 

 

  

Total Alaska

              231,043  
          

 

 

  

Arizona - 4.2%

           

Arizona State IDA, Education Revenue:

           

Academies Math & Science Project, Refunding, SD Credit Program

      5.000 %      7/1/37        45,000        46,072  

Academies Math & Science Project, Refunding, SD Credit Program

      5.000 %      7/1/38        500,000        510,803  

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

      5.000 %      7/1/47        50,000        50,319  

Chandler, AZ, IDA Revenue:

           

Intel Corp. Project

      3.800 %      6/15/28        1,000,000        1,012,557 (a)(b) 

Intel Corp. Project

      4.100 %      6/15/28        250,000        251,680 (a)(b)(c) 

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

      4.000 %      7/1/34        400,000        401,184  

Phoenix, AZ, IDA, Great Hearts Academies, Refunding

      5.000 %      7/1/36        75,000        75,296  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

1

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Arizona - (continued)

           

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

      5.000 %      8/1/47      $ 585,000      $ 612,906  

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

      5.000 %      12/1/32        495,000        524,949  
          

 

 

  

Total Arizona

              3,485,766  
          

 

 

  

Arkansas - 0.2%

           

Arkansas State Development Finance Authority, Environmental Improvement Revenue, United States Steel Corporation Project, Green Bonds

      5.700 %      5/1/53        200,000        200,347 (c) 
          

 

 

  

California - 6.4%

           

Alameda, CA, Corridor Transportation Authority Revenue:

           

Second Subordinated Lien, Series B, Refunding

      5.000 %      10/1/34        50,000        51,185  

Second Subordinated Lien, Series B, Refunding

      5.000 %      10/1/36        50,000        50,969  

Second Subordinated Lien, Series B, Refunding

      5.000 %      10/1/37        200,000        203,463  

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

      4.400 %      4/1/24        160,000        160,017 (a)(b) 

California State Community Choice Financing Authority Revenue:

           

Clean Energy Project, Green Bonds, Series A-1

      4.000 %      8/1/28        200,000        198,496 (a)(b) 

Clean Energy Project, Green Bonds, Series B-1

      5.000 %      8/1/29        500,000        518,956 (a)(b) 

California State MFA Revenue:

           

Senior Lien, LINXS APM Project, Series A

      5.000 %      12/31/34        100,000        104,070 (c) 

Senior Lien, LINXS APM Project, Series A

      5.000 %      12/31/43        100,000        100,952 (c) 

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

      4.000 %      7/15/29        75,000        72,623 (c) 

California State, GO:

           

Various Purpose, Refunding

      4.000 %      11/1/36        15,000        15,285  

Various Purpose, Refunding

      5.000 %      10/1/45        500,000        555,697  

Various Purpose, Refunding

      4.000 %      10/1/50        500,000        498,511  

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

      5.000 %      7/1/47        50,000        52,094  

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

      5.500 %      11/15/37        50,000        55,532  

 

See Notes to Schedule of Investments.

 

 

 

2

  

    Western Asset SMASh Series TF Fund 2023 Quarterly Report

  

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

California - (continued)

           

Los Angeles, CA, Department of Airports Revenue:

           

Los Angeles International Airport, Subordinated, Series C

      5.000 %      5/15/44      $ 415,000      $ 423,082 (c) 

Subordinated, Los Angeles International Airport, Series C

      5.000 %      5/15/37        95,000        98,559 (c) 

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

      5.000 %      6/1/48        100,000        104,782  

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

           

Series A

      6.125 %      11/1/29        45,000        48,211  

Series B

      6.125 %      11/1/29        125,000        133,920  

Northern California Energy Authority, Commodity Supply Revenue, Series A

      4.000 %      7/1/24        250,000        249,665 (a)(b) 

River Islands, CA, Public Financing Authority, Special Tax Revenue:

           

Community Facilities District No 2003-1, Series A-1, Refunding, AGM

      5.250 %      9/1/52        250,000        270,471  

Community Facilities District No 2023-1

      5.500 %      9/1/48        250,000        250,178  

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

      5.000 %      6/1/37        100,000        106,846  

Riverside, CA, Electric Revenue, Series A, Refunding

      5.000 %      10/1/48        100,000        105,814  

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

           

Second Series A, Refunding

      5.000 %      5/1/47        400,000        404,822 (c) 

SFO Fuel Co. LLC, Series A, Refunding

      5.000 %      1/1/33        100,000        106,691 (c) 

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

      5.000 %      7/15/43        50,000        53,258  

Sanger, CA, USD Revenue, COP:

           

Capital Projects, AGM

      5.000 %      6/1/52        230,000        230,808  

Capital Projects, AGM

      5.000 %      6/1/52        20,000        20,004  

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

      5.000 %      6/1/48        100,000        101,759  
          

 

 

  

Total California

              5,346,720  
          

 

 

  

Colorado - 2.0%

           

Colorado Springs, CO, Utilities System Revenue, Series B

      4.000 %      11/15/46        325,000        321,464  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

3

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Colorado - (continued)

           

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

      5.000 %      3/1/43      $ 50,000      $ 51,239  

Colorado State Health Facilities Authority Revenue:

           

Commonspirit Health Project, Series A

      5.500 %      11/1/47        150,000        158,877  

Commonspirit Health Project, Series A

      5.250 %      11/1/52        150,000        154,789  

Improvement and Refunding Revenue, Bethesda Project, Series A

      5.000 %      9/15/48        50,000        43,127  

Colorado State High Performance Transportation Enterprise Revenue:

           

C-470 Express Lanes

      5.000 %      12/31/47        100,000        100,058  

C-470 Express Lanes

      5.000 %      12/31/51        230,000        230,039  

Denver, CO, City & County Airport System Revenue, Series B

      5.000 %      11/15/32        500,000        552,928 (c) 

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

      5.000 %      10/1/32        100,000        98,987 (c) 
          

 

 

  

Total Colorado

              1,711,508  
          

 

 

  

Connecticut - 1.0%

           

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

      5.000 %      7/1/36        50,000        51,781  

Connecticut State Special Tax Revenue, Transportation Infrastructure, Series A

      5.000 %      1/1/37        500,000        530,975  

Connecticut State, GO, Series A

      4.000 %      4/15/37        125,000        126,789  

University of Connecticut, Student Fee Revenue, Series A

      5.000 %      11/15/43        100,000        105,486  
          

 

 

  

Total Connecticut

              815,031  
          

 

 

  

District of Columbia - 0.1%

           

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

      5.000 %      7/1/42        75,000        76,123  
          

 

 

  

Florida - 5.6%

           

Broward County, FL, Airport System Revenue:

           

Series 2017

      5.000 %      10/1/47        50,000        50,669 (c) 

Series A

      5.000 %      10/1/45        250,000        250,745 (c) 

Broward County, FL, Port Facilities Revenue, Series B

      5.000 %      9/1/31        200,000        213,400 (c) 

Florida State Insurance Assistance Interlocal Agency Inc. Revenue, Series A-1

      5.000 %      9/1/26        750,000        781,657  

 

See Notes to Schedule of Investments.

 

 

 

4

  

    Western Asset SMASh Series TF Fund 2023 Quarterly Report

  

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Florida - (continued)

           

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

      4.000 %      10/1/52      $ 100,000      $ 92,828  

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

      5.000 %      10/1/47        25,000        25,335 (c) 

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

      5.000 %      10/1/43        200,000        205,022 (c) 

Miami-Dade County, FL, Aviation Revenue:

           

Series A, Refunding

      4.000 %      10/1/41        150,000        147,717  

Series A, Refunding

      5.000 %      10/1/49        300,000        304,161 (c) 

Series B, Refunding

      5.000 %      10/1/40        200,000        202,381 (c) 

Miami-Dade County, FL, Seaport Revenue, Senior Bonds, Series A, Refunding

      5.250 %      10/1/52        650,000        677,284 (c) 

Orange County, FL, Health Facilities Authority Revenue, Orlando Health Inc., Series A

      5.000 %      10/1/53        250,000        257,953  

Palm Beach County, FL, Health Facilities Authority Revenue:

           

ACTS Retirement-Life Communities, Series B

      5.000 %      11/15/42        500,000        486,850  

Jupiter Medical Center Project, Series A

      5.000 %      11/1/34        200,000        212,317  

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

      5.000 %      10/15/47        500,000        510,568  

Wildwood, FL, Village Community Development District No 15, Special Assessment Revenue

      5.250 %      5/1/54        250,000        249,234  
          

 

 

  

Total Florida

              4,668,121  
          

 

 

  

Georgia - 1.7%

           

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

      5.000 %      4/1/50        250,000        255,165  

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

      5.000 %      6/15/33        50,000        54,251  

Georgia State Municipal Electric Authority, Power Revenue:

           

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

      5.000 %      1/1/56        175,000        177,019  

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

      5.250 %      7/1/64        200,000        208,520  

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

      5.500 %      7/1/64        150,000        155,541  

Project One, Subordinated, Series A, Refunding

      5.000 %      1/1/45        100,000        103,959  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

5

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Georgia - (continued)

           

Main Street Natural Gas Inc., GA, Gas Project Revenue:

           

Series A

      5.000 %      5/15/43      $ 200,000      $ 202,800  

Series C

      5.000 %      9/1/30        250,000        261,290 (a)(b) 
          

 

 

  

Total Georgia

              1,418,545  
          

 

 

  

Idaho - 0.1%

           

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

      5.000 %      12/1/47        100,000        101,180  
          

 

 

  

Illinois - 14.1%

           

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

           

Series 2018

      5.000 %      4/1/42        100,000        100,048  

Series 2023

      5.750 %      4/1/48        750,000        805,335  

Chicago, IL, Board of Education, GO:

           

Dedicated, Series A

      5.875 %      12/1/47        500,000        524,848  

Dedicated, Series H

      5.000 %      12/1/46        850,000        803,706  

Series A

      5.000 %      12/1/40        1,100,000        1,087,391  

Series C, Refunding

      5.000 %      12/1/25        100,000        101,379  

Series C, Refunding, AGM

      5.000 %      12/1/32        250,000        259,770  

Chicago, IL, GO:

           

Chicago Works, Series A

      5.500 %      1/1/39        1,000,000        1,065,931  

Series A

      5.500 %      1/1/35        385,000        410,445  

Series A

      5.000 %      1/1/44        125,000        125,998  

Series A, Refunding

      5.625 %      1/1/29        250,000        261,222  

Series C, Refunding

      5.000 %      1/1/25        30,000        30,352  

Chicago, IL, O’Hare International Airport Revenue:

           

Series C, Refunding

      5.000 %      1/1/43        250,000        259,834 (c)  

Series D, Refunding

      5.000 %      1/1/46        10,000        10,038  

TrIPS Obligated Group

      5.000 %      7/1/48        50,000        50,060 (c)  

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

      5.000 %      12/1/45        50,000        51,502  

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

      5.000 %      1/1/47        35,000        35,339  

Chicago, IL, Waterworks Revenue:

           

Second Lien, Series 2017, Refunding

      5.000 %      11/1/29        30,000        31,655  

Second Lien, Series 2017-2, Refunding, AGM

      5.000 %      11/1/32        60,000        63,298  

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

      5.000 %      1/1/36        35,000        36,791  

Illinois State Finance Authority Revenue:

           

Benedictine University, Refunding

      4.000 %      10/1/33        100,000        90,601  

 

See Notes to Schedule of Investments.

 

 

 

6

  

    Western Asset SMASh Series TF Fund 2023 Quarterly Report

  

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Illinois - (continued)

           

Northshore University Healthsystem, Series A, Refunding

      5.000 %      8/15/32      $ 100,000      $ 110,352  

University of Illinois at Urbana, Academic Facilities Lease Revenue Bonds

      5.000 %      10/1/49        50,000        50,602  

University of Illinois, Health Services Facility Lease Revenue Bonds

      5.000 %      10/1/30        250,000        266,254  

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

      5.000 %      6/15/29        50,000        52,881  

Illinois State, GO:

           

Series 2016

      5.000 %      1/1/33        25,000        25,455  

Series 2016, Refunding

      5.000 %      2/1/27        25,000        26,161  

Series 2016, Refunding

      5.000 %      2/1/29        20,000        20,938  

Series A

      5.000 %      5/1/36        250,000        260,671  

Series A

      5.000 %      3/1/46        400,000        411,718  

Series A, Refunding

      5.000 %      10/1/29        150,000        159,670  

Series A, Refunding

      5.000 %      10/1/30        350,000        372,060  

Series C

      5.000 %      12/1/41        1,250,000        1,333,762 (d)  

Series D

      5.000 %      11/1/27        225,000        238,403  

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

      4.000 %      12/1/34        725,000        742,843  

Metropolitan Pier & Exposition Authority, IL, Revenue:

           

McCormick Place Expansion Project, Series A, Refunding

      5.000 %      12/15/45        500,000        510,064  

McCormick Place Expansion Project, Series A, Refunding

      4.000 %      12/15/47        500,000        459,893  

McCormick Place Expansion Project, Series B, Refunding

      5.000 %      6/15/42        60,000        61,783  

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

      6.000 %      7/1/29        415,000        461,670  
          

 

 

  

Total Illinois

              11,770,723  
          

 

 

  

Indiana - 2.8%

           

Indiana State Finance Authority Revenue:

           

Marion General Hospital, Series A

      4.000 %      7/1/45        100,000        90,093  

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

      4.250 %      11/1/30        100,000        100,557  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

7

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Indiana - (continued)

           

Indiana State Finance Authority Wastewater Utility Revenue:

           

CWA Authority Project, Green Bonds, Series A, NATL

      5.000 %      10/1/46      $ 325,000      $ 331,674  

CWA Authority Project, Series A, Refunding

      5.000 %      10/1/38        650,000        725,631  

CWA Authority Project, Series A, Refunding

      5.000 %      10/1/40        650,000        687,626 (d)  

Indianapolis, IN, Local Public Improvement Bond Bank:

           

Courthouse and Jail Project, Series A

      4.000 %      2/1/44        100,000        98,606  

Courthouse and Jail Project, Series A

      5.000 %      2/1/54        300,000        311,458  
          

 

 

  

Total Indiana

              2,345,645  
          

 

 

  

Iowa - 0.5%

           

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

      5.000 %      12/1/42        300,000        300,214 (a)(b) 

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

      4.000 %      6/1/49        100,000        88,981  
          

 

 

  

Total Iowa

              389,195  
          

 

 

  

Kentucky - 1.3%

           

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

      5.000 %      12/1/45        100,000        103,232  

Kentucky State PEA, Gas Supply Revenue:

           

Series A

      4.000 %      6/1/26        300,000        295,198 (a)(b) 

Series C

      4.000 %      6/1/25        200,000        199,131 (a)(b) 

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

      4.000 %      10/1/40        500,000        475,029  
          

 

 

  

Total Kentucky

              1,072,590  
          

 

 

  

Louisiana - 1.1%

           

Lafayette Parish, LA, School Board Sales Tax Revenue, Series 2023

      4.000 %      4/1/53        250,000        237,557  

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

      5.000 %      7/1/42        50,000        50,912  

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

      5.000 %      12/1/41        10,000        10,309  

 

See Notes to Schedule of Investments.

 

 

 

8

  

    Western Asset SMASh Series TF Fund 2023 Quarterly Report

  

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Louisiana - (continued)

           

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

           

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

      2.200 %      7/1/26      $ 150,000      $ 142,537 (a)(b) 

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

      2.375 %      7/1/26        525,000        499,007 (a)(b) 
          

 

 

  

Total Louisiana

              940,322  
          

 

 

  

Maryland - 0.3%

           

Maryland State Stadium Authority, Built to Learn Revenue, Series 2021

      4.000 %      6/1/46        250,000        238,753  
          

 

 

  

Massachusetts - 1.1%

           

Massachusetts State DFA Revenue:

           

Boston Medical Center, Sustainability Bonds, Series G, Refunding

      5.250 %      7/1/52        250,000        260,970  

UMass Boston Student Housing Project

      5.000 %      10/1/28        10,000        10,234  

Worcester Polytechnic Institute, Series B, Refunding

      5.000 %      9/1/42        75,000        77,758  

Massachusetts State Port Authority Revenue:

           

Series A

      5.000 %      7/1/33        55,000        59,041 (c)  

Series A, Refunding

      5.000 %      7/1/36        160,000        169,856 (c)  

Series E

      5.000 %      7/1/46        250,000        258,516 (c)  

Massachusetts State Water Resources Authority Revenue, Series B, Refunding

      5.000 %      8/1/40        50,000        52,913 (e)  
          

 

 

  

Total Massachusetts

              889,288  
          

 

 

  

Michigan - 2.5%

           

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

      5.000 %      7/1/48        100,000        100,144  

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

           

Senior Lien, Series A

      5.000 %      7/1/45        750,000        790,395  

Senior Lien, Series A

      5.000 %      7/1/49        650,000        680,974  

Senior Lien, Series B

      5.000 %      7/1/39        300,000        335,045 (d)  

Michigan State Finance Authority Revenue:

           

Henry Ford Health System, Series A

      4.000 %      11/15/50        100,000        88,423  

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

      5.000 %      6/1/49        25,000        25,487  

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

      5.000 %      12/31/43        100,000        101,044 (c)  
          

 

 

  

Total Michigan

              2,121,512  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

9

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Missouri - 0.1%

           

Missouri State HEFA Revenue, Senior Living Facilities, Lutheran Senior Services Projects, Series A

      5.000 %      2/1/42      $ 50,000      $ 47,313  
          

 

 

  

Nebraska - 0.8%

           

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

      4.000 %      11/15/36        425,000        426,515  

Omaha, NE, Public Power District, Electric System Revenue, Series B, Refunding

      4.000 %      2/1/46        250,000        247,494  
          

 

 

  

Total Nebraska

              674,009  
          

 

 

  

Nevada - 0.3%

           

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

      2.750 %      6/15/28        250,000        234,986 (f)  
          

 

 

  

New Jersey - 4.7%

           

New Jersey State EDA Revenue:

           

Private Activity-The Goethals Bridge Replacement Project, AGM

      5.125 %      1/1/39        85,000        85,011 (c)  

Private Activity-The Goethals Bridge Replacement Project, AGM

      5.125 %      7/1/42        150,000        150,017 (c)  

School Facilities Construction, Series DDD

      5.000 %      6/15/33        50,000        53,847 (e)  

School Facilities Construction, Series SSS, Refunding

      5.250 %      6/15/36        500,000        554,829 (d)  

Special Facility, Port Newark Container Terminal LLC Project, Refunding

      5.000 %      10/1/37        500,000        505,512 (c)  

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

      5.000 %      6/15/33        105,000        111,828  

New Jersey State Transportation Trust Fund Authority Revenue:

           

Transportation Program, Series AA

      5.250 %      6/15/43        100,000        104,890  

Transportation Program, Series AA

      5.000 %      6/15/45        100,000        100,921  

Transportation Program, Series AA

      4.000 %      6/15/50        500,000        464,425  

Transportation Program, Series BB

      4.000 %      6/15/36        500,000        505,910  

Transportation System, Series A, BAM

      0.000 %      12/15/38        1,000,000        545,431  

Transportation System, Series A, Refunding

      5.000 %      12/15/28        150,000        164,128  

Transportation System, Series A, Refunding

      4.250 %      6/15/40        350,000        357,581  

Tobacco Settlement Financing Corp., NJ, Revenue:

           

Series A, Refunding

      5.000 %      6/1/46        170,000        171,017  

Series A, Refunding

      5.250 %      6/1/46        30,000        30,600  
          

 

 

  

Total New Jersey

              3,905,947  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

10

  

    Western Asset SMASh Series TF Fund 2023 Quarterly Report

  

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

New York - 18.5%

           

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

      5.000 %      7/1/42      $ 100,000      $ 103,236  

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

      5.000 %      2/15/35        140,000        146,738  

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

      1.650 %      9/1/24        250,000        246,049 (a)(b) 

MTA, NY, Transportation Revenue:

           

Green Bonds, Series E

      5.000 %      11/15/33        250,000        272,945  

Series A-2

      5.000 %      5/15/30        335,000        355,948 (a)(b) 

New York City, NY, GO:

           

Series A

      4.125 %      8/1/53        500,000        489,639  

Subseries A-1

      5.000 %      8/1/47        250,000        267,149  

Subseries B-1

      5.250 %      10/1/43        500,000        556,873  

New York City, NY, HDC, Impact Revenue, Sustainable Development Bonds, Series A, HUD Section 8

      4.800 %      2/1/53        250,000        255,484  

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

      4.000 %      3/1/45        100,000        92,199  

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

           

Second General Resolution Fiscal 2022, Series AA, Subseries AA-1

      4.000 %      6/15/51        500,000        487,333  

Second General Resolution, Series CC-1, Refunding

      5.000 %      6/15/46        1,000,000        1,020,932  

New York City, NY, TFA, Future Tax Secured Revenue:

           

Subordinated, Series C

      5.000 %      2/1/47        250,000        268,822  

Subordinated, Series F

      5.000 %      2/1/47        2,075,000        2,231,227  

New York State Dormitory Authority Revenue:

           

New York University, Series A, Refunding

      5.000 %      7/1/43        50,000        52,080  

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

      4.000 %      7/1/51        250,000        236,179  

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

      5.000 %      2/15/41        100,000        104,410  

New York State Dormitory Authority, Sales Tax Revenue:

           

Bidding Group 3, Series E, Refunding

      5.000 %      3/15/38        100,000        106,346  

Bidding Group 4, Series E, Refunding

      5.000 %      3/15/44        100,000        105,080  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

11

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

New York - (continued)

           

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

      5.000 %      11/15/44      $ 100,000      $ 97,463 (f)  

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

      5.000 %      1/1/46        50,000        50,621  

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

           

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

      5.000 %      1/1/30        75,000        76,090 (c)  

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

      5.000 %      1/1/32        45,000        45,605 (c)  

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

      6.000 %      4/1/35        750,000        811,827 (c)  

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

      5.625 %      4/1/40        700,000        726,926 (c)  

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

      4.375 %      10/1/45        250,000        225,675 (c)  

John F. Kennedy International Airport New Terminal One Project, Green Bonds

      5.000 %      6/30/49        750,000        755,611 (c)(d) 

John F. Kennedy International Airport New Terminal One Project, Green Bonds

      6.000 %      6/30/54        1,000,000        1,062,965 (c)(d) 

LaGuardia Airport Terminal B Redevelopment Project

      5.000 %      7/1/30        50,000        50,099 (c)  

LaGuardia Airport Terminal B Redevelopment Project, Series A

      5.000 %      7/1/41        25,000        25,019 (c)  

LaGuardia Airport Terminal B Redevelopment Project, Series A

      5.000 %      7/1/46        750,000        743,508 (c)  

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

      4.000 %      12/1/40        300,000        275,450 (c)  

New York State Urban Development Corp. Revenue, Personal Income Tax, Series C, Refunding

      3.000 %      3/15/48        250,000        188,854  

Oneida County, NY, Local Development Corp. Revenue, Mohawk Valley Health System Project, Series A, Refunding, AGM

      4.000 %      12/1/49        635,000        563,155  

Port Authority of New York & New Jersey Revenue:

           

Consolidated Series 185

      5.000 %      9/1/25        10,000        10,114 (c)  

Consolidated Series 221

      4.000 %      7/15/45        1,000,000        954,020 (c)  

 

See Notes to Schedule of Investments.

 

 

 

12

  

    Western Asset SMASh Series TF Fund 2023 Quarterly Report

  

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

New York - (continued)

           

Triborough Bridge & Tunnel Authority, NY, Revenue, General-MTA Bridges & Tunnels, Series A

      5.000 %      11/15/49      $ 1,000,000      $ 1,058,025  

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

      5.000 %      9/1/28        325,000        348,839  
          

 

 

  

Total New York

              15,468,535  
          

 

 

  

North Carolina - 0.2%

           

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

      4.000 %      6/1/49        70,000        68,212  

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

      4.000 %      9/1/41        160,000        129,875  

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

      5.000 %      7/1/42        5,000        5,073  
          

 

 

  

Total North Carolina

              203,160  
          

 

 

  

North Dakota - 0.5%

           

Grand Forks, ND, Health Care System Revenue, Altru Health System, Refunding, AGM

      3.000 %      12/1/46        550,000        400,408  
          

 

 

  

Ohio - 2.5%

           

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

      4.000 %      2/15/38        250,000        247,976  

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

      5.000 %      6/1/55        250,000        220,886  

Ohio State Air Quality Development Authority Revenue: American Electric Co. Project, Series B, Refunding

      2.500 %      10/1/29        100,000        87,147 (a)(b)(c) 

American Electric Co. Project, Series D, Refunding

      2.100 %      10/1/24        250,000        242,974 (a)(b)(c) 

AMG Vanadium Project, Series 2019

      5.000 %      7/1/49        500,000        425,203 (c)  

Duke Energy Corp. Project, Series B, Refunding

      4.250 %      6/1/27        100,000        100,450 (a)(b)(c) 

Ohio State Higher Educational Facility Commission College & University Revenue, University of Dayton 2018 Project, Series B, Refunding

      5.000 %      12/1/34        500,000        531,373  

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

      4.000 %      1/15/37        100,000        100,245  

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

      5.000 %      12/1/44        175,000        176,645  
          

 

 

  

Total Ohio

              2,132,899  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

13

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Oregon - 0.2%

           

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

      4.000 %      5/15/32      $ 185,000      $ 171,892  
          

 

 

  

Pennsylvania - 4.6%

           

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

      4.000 %      7/15/39        150,000        147,272  

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

      5.000 %      5/15/32        50,000        50,234  

Commonwealth Financing Authority, PA, Tobacco Master Settlement Payment Revenue

      5.000 %      6/1/30        50,000        53,371  

Lancaster County, PA, Convention Center Authority Revenue, Hotel Room Rental Tax, Series B, Refunding, County GTD

      4.750 %      5/1/57        250,000        245,945  

Pennsylvania State Economic Development Financing Authority Revenue: Presbyterian Senior Living Project, Series B-1

      5.250 %      7/1/49        200,000        194,238  

Solid Waste Disposal, Waste Management Inc. Project

      2.150 %      7/1/24        100,000        98,779 (a)(b)(c) 

Tax-Exempt Private Activity, The Penndot Major Bridges Package One Project

      5.250 %      6/30/53        1,350,000        1,394,465 (c) 

Pennsylvania State Turnpike Commission Revenue:

           

Series A

      5.000 %      12/1/44        175,000        182,763  

Series A-1

      5.000 %      12/1/47        25,000        25,596  

Series B

      5.000 %      12/1/45        500,000        529,180  

Series B, Refunding

      5.250 %      12/1/47        250,000        272,766  

Subordinated, Series B

      5.000 %      12/1/48        100,000        102,171  

Philadelphia, PA, Authority for IDR:

           

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

      5.000 %      6/15/50        100,000        90,356  

City Service Agreement Revenue, Rebuild Project

      5.000 %      5/1/35        250,000        265,532  

Philadelphia, PA, GO, Series B

      5.000 %      2/1/35        150,000        164,044  

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

      5.000 %      6/1/31        20,000        20,882  
          

 

 

  

Total Pennsylvania

              3,837,594  
          

 

 

  

Puerto Rico - 4.3%

           

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

      5.000 %      7/1/47        500,000        485,160 (f)  

 

See Notes to Schedule of Investments.

 

 

 

14

  

    Western Asset SMASh Series TF Fund 2023 Quarterly Report

  

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Puerto Rico - (continued)

           

Puerto Rico Commonwealth Highway & Transportation Authority Revenue:

           

CAB, Restructured, Series B

      0.000 %      7/1/32      $ 82,000      $ 53,191  

Restructured, Series A

      5.000 %      7/1/62        80,000        79,200  

Puerto Rico Commonwealth, GO:

           

Restructured, Series A-1

      4.000 %      7/1/35        175,000        160,479  

Restructured, Series A-1

      4.000 %      7/1/37        760,000        680,866  

Restructured, Series A-1

      4.000 %      7/1/41        100,000        86,594  

Puerto Rico Electric Power Authority Revenue:

           

Series A

      5.000 %      7/1/29        195,000        49,238 *(g)  

Series A

      5.000 %      7/1/42        320,000        80,800 *(g)  

Series A

      5.050 %      7/1/42        100,000        25,250 *(g)  

Series XX

      5.250 %      7/1/40        360,000        90,900 *(g)  

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

           

CAB, Restructured, Series A-1

      0.000 %      7/1/27        60,000        51,824  

CAB, Restructured, Series A-1

      0.000 %      7/1/46        630,000        185,909  

Restructured, Series A-1

      4.550 %      7/1/40        10,000        9,742  

Restructured, Series A-1

      4.750 %      7/1/53        1,000,000        946,372  

Restructured, Series A-1

      5.000 %      7/1/58        366,000        355,781  

Restructured, Series A-2

      4.329 %      7/1/40        230,000        218,281  
          

 

 

  

Total Puerto Rico

              3,559,587  
          

 

 

  

South Carolina - 0.6%

           

Patriots Energy Group Financing Agency, SC, Gas

           

Supply Revenue, Subseries B-2, Refunding (SOFR x 0.670 + 1.900%)

      5.464 %      3/1/31        250,000        252,252 (a)(b) 

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

      4.000 %      12/1/44        250,000        234,561  
          

 

 

  

Total South Carolina

              486,813  
          

 

 

  

South Dakota - 0.0%††

           

South Dakota State HEFA Revenue, Regional Health

      5.000 %      9/1/40        25,000        25,525  
          

 

 

  

Tennessee - 2.4%

           

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

      4.000 %      2/1/51        500,000        482,974  

Metropolitan Government of Nashville & Davidson County, TN, Sports Authority Revenue, Series A, AGM

      5.250 %      7/1/48        500,000        542,356  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

15

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Tennessee - (continued)

           

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

      5.000 %      7/1/46      $ 50,000      $ 51,406  

Tennessee State Energy Acquisition Corp., Natural Gas Revenue:

           

Series A

      5.250 %      9/1/26        425,000        435,660  

Series A-1, Refunding

      5.000 %      5/1/28        500,000        511,516 (a)(b) 
          

 

 

  

Total Tennessee

              2,023,912  
          

 

 

  

Texas - 6.0%

           

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

      5.000 %      12/1/37        20,000        20,742  

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

      5.000 %      2/15/41        100,000        101,025  

Austin, TX, Airport System Revenue, Series B

      5.000 %      11/15/44        250,000        257,033 (c)  

Bexar County, TX, Hospital District, GO, Certificates of Obligation

      5.000 %      2/15/48        500,000        532,605  

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

      4.000 %      1/1/51        1,245,000        1,133,320  

Forney, TX, ISD, GO, Unlimited Tax School Building Bonds,

Series 2019, PSF - GTD

      5.000 %      2/15/49        100,000        102,645  

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

      4.000 %      10/1/40        500,000        502,936  

Harris County, TX, Cultural Education Facilities Finance Corp., Hospital Revenue, Texas Children’s Hospital, Series B, Refunding

      5.000 %      10/1/31        350,000        394,081 (a)(b) 

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

      4.000 %      2/15/47        200,000        196,414  

Houston, TX, Airport System Revenue:

           

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

      5.000 %      7/15/28        100,000        99,888 (c) 

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

      4.000 %      7/15/41        400,000        337,655 (c) 

Subordinated Lien, Series A, Refunding

      4.000 %      7/1/46        330,000        303,476 (c) 

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

      4.000 %      8/15/31        90,000        84,742  

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

      5.000 %      10/1/41        50,000        51,685  

 

See Notes to Schedule of Investments.

 

 

 

16

  

    Western Asset SMASh Series TF Fund 2023 Quarterly Report

  

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Texas - (continued)

           

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

      4.000 %      10/1/47      $ 250,000      $ 230,245  

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

           

Buckner Retirement Services Inc. Project, Refunding

      5.000 %      11/15/37        50,000        49,959  

Buckner Retirement Services Inc. Project, Refunding

      5.000 %      11/15/46        50,000        47,864  

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

      6.250 %      12/15/26        115,000        118,825  

Texas State Private Activity Bond Surface Transportation Corp. Revenue:

           

NTE Mobility Partners Segments 3 LLC, Senior Lien, Series 2023, Refunding

      5.500 %      6/30/43        300,000        318,854 (c) 

Senior Lien, Blueridge Transportation Group LLC

      5.000 %      12/31/40        5,000        5,027 (c) 

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

      4.000 %      12/31/35        75,000        75,100  

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

      4.000 %      12/15/49        100,000        94,070  
          

 

 

  

Total Texas

              5,058,191  
          

 

 

  

Utah - 3.8%

           

Salt Lake City, UT, Airport Revenue:

           

Salt Lake City International Airport, Series A

      5.000 %      7/1/43        250,000        255,990 (c)  

Salt Lake City International Airport, Series A

      5.250 %      7/1/48        1,000,000        1,057,052 (c) 

Utah State Charter School Finance Authority, Charter School Revenue:

           

Syracuse Arts Academy Project, UT CSCE

      5.000 %      4/15/37        5,000        5,093  

Utah Charter Academies Project, Series 2018, UT CSCE

      5.000 %      10/15/38        220,000        224,679  

Utah State Infrastructure Agency, Telecommunications Revenue, Series A

      5.250 %      10/15/33        200,000        203,896  

Vineyard Redevelopment Agency, UT, Tax Increment Revenue:

           

Series 2021, Refunding, AGM

      5.000 %      5/1/31        235,000        263,963  

Series 2021, Refunding, AGM

      4.000 %      5/1/37        275,000        280,497  

Series 2021, Refunding, AGM

      4.000 %      5/1/39        300,000        301,936  

Series 2021, Refunding, AGM

      4.000 %      5/1/41        290,000        288,100  

Series 2021, Refunding, AGM

      4.000 %      5/1/46        275,000        257,198  
          

 

 

  

Total Utah

              3,138,404  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

17

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  

Vermont - 0.3%

           

Vermont Educational & Health Buildings Financing Agency Revenue, Middlebury College Project

      5.000 %      11/1/52      $ 250,000      $ 266,991  
          

 

 

  

Virginia - 1.4%

           

Arlington County, VA, IDA Revenue:

           

Refunding

      5.000 %      2/15/43        50,000        51,890  

Virginia Hospital Center, Refunding

      5.000 %      7/1/36        200,000        216,116  

Isle of Wight County, VA, EDA Revenue, Riverside Health System, Series 2023

      4.750 %      7/1/53        250,000        250,506 (d)  

Virginia State Small Business Financing Authority Revenue:

           

National Senior Campuses, Inc., Series A, Refunding

      5.000 %      1/1/34        85,000        88,932  

Senior Lien, 95 Express Lanes LLC Project, Refunding

      5.000 %      1/1/38        350,000        360,200 (c)  

Senior Lien, I-495 HOT Lanes Project, Refunding

      5.000 %      12/31/47        200,000        204,943 (c)  
          

 

 

  

Total Virginia

              1,172,587  
          

 

 

  

Washington - 0.7%

           

Port of Seattle, WA, Intermediate Lien Revenue, Series 2022, Refunding

      5.000 %      8/1/41        250,000        263,713 (c)  

Washington State Health Care Facilities Authority Revenue:

           

Commonspirit Health, Series A-2, Refunding

      5.000 %      8/1/44        200,000        204,210  

Seattle Cancer Care Alliance, Refunding

      5.000 %      9/1/50        100,000        102,730  
          

 

 

  

Total Washington

              570,653  
          

 

 

  

Wisconsin - 1.4%

           

Public Finance Authority, WI, Revenue:

           

Cone Health, Series A

      5.000 %      10/1/52        250,000        259,497  

The Carmelite System Inc. Obligated Group, Refunding

      5.000 %      1/1/45        50,000        46,081  

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

      5.000 %      7/1/53        100,000        101,782  

Wisconsin State HEFA Revenue:

           

Bellin Memorial Hospital Inc., Series A

      5.500 %      12/1/52        250,000        267,446  

Medical College, Series 2016, Refunding

      4.000 %      12/1/46        500,000        475,803  
          

 

 

  

Total Wisconsin

              1,150,609  
          

 

 

  

Total Municipal Bonds
(Cost - $87,597,466)

              85,945,232  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

 

18

  

    Western Asset SMASh Series TF Fund 2023 Quarterly Report

  

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

(Percentages shown based on Fund net assets)

    November 30, 2023

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT		      VALUE  
MUNICIPAL BONDS DEPOSITED IN TENDER OPTION BOND TRUSTS(h) - 2.6%

 

      

New York - 2.6%

           

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue, Second General Resolution Fiscal 2023, Subseries AA-1

      5.250 %      6/15/52      $ 1,000,000      $ 1,096,829  

New York State Urban Development Corp., State Sales Tax Revenue Bonds, Series A

      5.000 %      3/15/47        1,000,000        1,082,771  
          

 

 

  

TOTAL MUNICIPAL BONDS DEPOSITED IN TENDER OPTION BOND TRUSTS
(Cost - $2,073,125)

 

         2,179,600  
          

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $89,670,591)

 

         88,124,832  
          

 

 

  
SHORT-TERM INVESTMENTS - 1.0%           
MUNICIPAL BONDS - 0.9%           

Georgia - 0.2%

           

Bartow County, GA, Development Authority Revenue, Solid Waste Disposal Facility, Georgia Power Company Plant Bowen Project

      3.750 %      11/1/62        200,000        200,000 (c)(i)(j) 
          

 

 

  

Michigan - 0.1%

           

Regents of the University of Michigan General Revenue, Series D-1

      3.350 %      12/1/24        100,000        100,000 (i)(j) 
          

 

 

  

New York - 0.6%

           

New York City, NY, GO, Subseries E-5, LOC - TD Bank N.A.

      3.200 %      3/1/48        500,000        500,000 (i)(j) 
          

 

 

  

TOTAL MUNICIPAL BONDS
(Cost - $800,000)

              800,000  
          

 

 

  
                  SHARES         
OVERNIGHT DEPOSITS - 0.1%           

BNY Mellon Cash Reserve Fund
(Cost - $58,454)

      2.250 %         58,454        58,454 (k) 
          

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost - $858,454)

              858,454  
          

 

 

  

TOTAL INVESTMENTS - 106.5%
(Cost - $90,529,045)

              88,983,286  
          

 

 

  

TOB Floating Rate Notes - (1.4)%

              (1,165,000 ) 

Other Liabilities in Excess of Other Assets - (5.1)%

              (4,277,470 ) 
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 83,540,816  
          

 

 

  

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

19

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

    November 30, 2023

 

††

Represents less than 0.1%.

 

*

Non-income producing security.

 

(a)

Maturity date shown represents the mandatory tender date.

 

(b)

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

 

(c)

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

 

(d)

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

 

(e)

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

 

(f)

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.

 

(g)

The coupon payment on this security is currently in default as of November 30, 2023.

 

(h)

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

 

(i)

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

 

(j)

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

 

(k)

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

 

See Notes to Schedule of Investments.

 

 

 

20

  

    Western Asset SMASh Series TF Fund 2023 Quarterly Report

  

WESTERN ASSET SMASh SERIES TF FUND

 

Schedule of investments (unaudited) (cont’d)

 

    November 30, 2023

 

Abbreviation(s) used in this schedule:
AGM    — Assured Guaranty Municipal Corporation - Insured Bonds
BAM    — Build America Mutual - Insured Bonds
CAB    — Capital Appreciation Bonds
COP    — Certificates of Participation
CSCE    — Charter School Credit Enhancement
CWA    — Clean Water Act
DFA    — Development Finance Agency
EDA    — Economic Development Authority
EFA    — Educational Facilities Authority
GO    — General Obligation
GTD    — Guaranteed
HDA    — Housing Development Authority
HDC    — Housing Development Corporation
HEFA    — Health & Educational Facilities Authority
HUD    — Housing & Urban Development
IDA    — Industrial Development Authority
IDR    — Industrial Development Revenue
ISD    — Independent School District
LOC    — Letter of Credit
MFA    — Municipal Finance Authority
MTA    — Metropolitan Transportation Authority
NATL    — National Public Finance Guarantee Corporation - Insured Bonds
PEA    — Public Energy Authority
PFA    — Public Facilities Authority
PSF    — Permanent School Fund
SD    — School District
SIFMA    — Securities Industry and Financial Markets Association
SOFR    — Secured Overnight Financing Rate
TFA    — Transitional Finance Authority
USD    — Unified School District

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedule of Investments.

 

 

Western Asset SMASh Series TF Fund 2023 Quarterly Report    

  

 

 

21

Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset SMASh Series TF Fund (the “Fund”) is a separate non-diversified investment series of Legg Mason Partners Institutional Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

Shares of the Fund may be purchased only by or on behalf of separately managed account clients where the Fund’s subadviser or an affiliate of the subadviser (each a “Managed Account Adviser”) has an agreement with the managed account program sponsor (the “Program Sponsor”) (typically, a registered investment adviser or broker/dealer), or directly with the client, to provide management or advisory services to the managed account. Shareholders of the Fund pay fees to their separately managed account sponsor, some of which are paid to affiliates of Franklin Templeton Fund Adviser, LLC (“FTFA”) (formerly known as Legg Mason Partners Fund Advisor, LLC prior to November 30, 2023). FTFA and the subadviser do not charge investment management fees to the Fund.

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

Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily

 

 

 

22

    

Notes to Schedule of Investments (unaudited) (continued)

 

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.

 

   

 

 

23

Notes to Schedule of Investments (unaudited) (continued)

 

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

 

  •  

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

 

  •  

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

 

  •  

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

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

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

 

ASSETS

  

DESCRIPTION

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

Long-Term Investments†:

            

Municipal Bonds

      —        $ 85,945,232        —        $ 85,945,232  

Municipal Bonds Deposited in Tender Option Bond Trusts

      —          2,179,600        —          2,179,600  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —          88,124,832        —          88,124,832  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†:

            

Municipal Bonds

      —          800,000        —          800,000  

Overnight Deposits

      —          58,454        —          58,454  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Short-Term Investments

      —          858,454        —          858,454  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

      —        $ 88,983,286        —        $ 88,983,286  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Schedule of Investments for additional detailed categorizations.

 

 

 

24