WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| MORTGAGE-BACKED SECURITIES - 38.3% | ||||||||||||||||
| FHLMC - 6.1% |
||||||||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
1.500 | % | 10/1/41 - 11/1/41 | $ | 2,480,347 | $ | 1,955,192 | |||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
2.000 | % | 10/1/41 - 2/1/52 | 2,688,146 | 2,167,448 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
3.000 | % | 11/1/49 - 4/1/52 | 720,556 | 616,880 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
3.500 | % | 5/1/50 - 6/1/ 52 | 8,097,797 | 7,192,476 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
2.500 | % | 6/1/50 - 4/1/52 | 7,175,403 | 5,895,056 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
4.500 | % | 7/1/52 - 11/1/52 | 657,651 | 618,310 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
4.000 | % | 2/1/53 | 377,663 | 347,891 | |||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) |
5.500 | % | 5/1/53 | 190,017 | 188,024 | |||||||||||
|
|
|
|||||||||||||||
| Total FHLMC |
18,981,277 | |||||||||||||||
|
|
|
|||||||||||||||
| FNMA - 24.7% |
||||||||||||||||
| Federal National Mortgage Association (FNMA) |
2.930 | % | 6/1/30 | 466,850 | 417,858 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.149 | % | 2/1/32 | 1,411,922 | 1,152,992 | (a) | ||||||||||
| Federal National Mortgage Association (FNMA) |
2.000 | % | 9/1/41 - 3/1/52 | 24,484,731 | 19,357,035 | |||||||||||
| Federal National Mortgage Association (FNMA) |
3.000 | % | 6/1/43 - 3/1/52 | 3,205,455 | 2,762,857 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.500 | % | 6/1/50 - 9/1/61 | 8,754,335 | 7,163,193 | |||||||||||
| Federal National Mortgage Association (FNMA) |
4.000 | % | 7/1/50 | 14,351,552 | 13,191,974 | |||||||||||
| Federal National Mortgage Association (FNMA) |
3.500 | % | 7/1/51 - 6/1/52 | 1,862,053 | 1,646,598 | |||||||||||
| Federal National Mortgage Association (FNMA) |
4.500 | % | 11/1/52 | 279,673 | 262,216 | |||||||||||
| Federal National Mortgage Association (FNMA) |
2.000 | % | 12/1/53 | 16,400,000 | 12,739,469 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) |
2.500 | % | 12/1/53 | 4,000,000 | 3,239,063 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) |
3.000 | % | 12/1/53 | 4,000,000 | 3,371,928 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) |
3.500 | % | 12/1/53 | 400,000 | 350,772 | (b) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
1 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| FNMA - (continued) |
||||||||||||||||
| Federal National Mortgage Association (FNMA) |
4.000 | % | 12/1/53 | $ | 2,200,000 | $ | 1,997,488 | (b) | ||||||||
| Federal National Mortgage Association (FNMA) |
4.500 | % | 12/1/53 | 800,000 | 749,089 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) |
5.000 | % | 12/1/53 | 400,000 | 384,936 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) |
5.500 | % | 1/1/54 | 5,700,000 | 5,617,562 | (b) | ||||||||||
| Federal National Mortgage Association (FNMA) |
6.500 | % | 1/1/54 | 2,400,000 | 2,436,656 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total FNMA |
76,841,686 | |||||||||||||||
|
|
|
|||||||||||||||
| GNMA - 7.5% |
||||||||||||||||
| Government National Mortgage Association (GNMA) II |
5.000 | % | 5/20/48 - 1/20/53 | 826,698 | 811,092 | |||||||||||
| Government National Mortgage Association (GNMA) II |
4.500 | % | 2/20/49 - 9/20/52 | 370,011 | 352,704 | |||||||||||
| Government National Mortgage Association (GNMA) II |
2.000 | % | 12/20/50 - 3/20/51 | 2,679,827 | 2,138,872 | |||||||||||
| Government National Mortgage Association (GNMA) II |
2.500 | % | 5/20/51 | 73,613 | 60,450 | |||||||||||
| Government National Mortgage Association (GNMA) II |
3.000 | % | 9/20/51 - 4/20/52 | 11,750,619 | 10,187,358 | |||||||||||
| Government National Mortgage Association (GNMA) II |
3.500 | % | 4/20/52 - 12/20/52 | 1,469,622 | 1,314,644 | |||||||||||
| Government National Mortgage Association (GNMA) II |
3.000 | % | 12/20/53 | 200,000 | 173,034 | (b) | ||||||||||
| Government National Mortgage Association (GNMA) II |
3.500 | % | 12/20/53 | 3,400,000 | 3,039,467 | (b) | ||||||||||
| Government National Mortgage Association (GNMA) II |
4.000 | % | 12/20/53 | 700,000 | 644,861 | (b) | ||||||||||
| Government National Mortgage Association (GNMA) II |
4.500 | % | 12/20/53 | 700,000 | 662,016 | (b) | ||||||||||
| Government National Mortgage Association (GNMA) II |
5.000 | % | 12/20/53 | 2,000,000 | 1,942,943 | (b) | ||||||||||
| Government National Mortgage Association (GNMA) II |
6.000 | % | 1/20/54 | 1,100,000 | 1,107,881 | (b) | ||||||||||
| Government National Mortgage Association (GNMA) II |
6.500 | % | 1/20/54 | 1,000,000 | 1,016,445 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total GNMA |
23,451,767 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES |
|
119,274,730 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
2 |
Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(c) - 25.1% | ||||||||||||||||
| AOA Mortgage Trust, 2021-1177 A (1 mo. Term SOFR + 0.989%) |
6.312 | % | 10/15/38 | $ | 6,510,000 | $ | 5,876,856 | (a)(d) | ||||||||
| AREIT Trust, 2022-CRE6 A (30 Day Average SOFR + 1.250%) |
6.575 | % | 1/20/37 | 2,253,068 | 2,198,146 | (a)(d) | ||||||||||
| BANK, 2017-BNK7 C |
4.145 | % | 9/15/60 | 818,000 | 635,431 | (a) | ||||||||||
| BF Mortgage Trust, 2019-NYT B (1 mo. Term SOFR + 1.447%) |
6.770 | % | 12/15/35 | 1,250,000 | 1,081,963 | (a)(d) | ||||||||||
| BHMS, 2018-ATLS D (1 mo. Term SOFR + 2.547%) |
7.870 | % | 7/15/35 | 280,000 | 267,926 | (a)(d) | ||||||||||
| BX Commercial Mortgage Trust, 2019-XL A (1 mo. Term SOFR + 1.034%) |
6.357 | % | 10/15/36 | 4,886,412 | 4,875,365 | (a)(d) | ||||||||||
| BX Commercial Mortgage Trust, 2022-LP2 A (1 mo. Term SOFR + 1.013%) |
6.336 | % | 2/15/39 | 3,977,441 | 3,886,552 | (a)(d) | ||||||||||
| BX Trust, 2021-BXMF A (1 mo. Term SOFR + 0.750%) |
6.073 | % | 10/15/26 | 6,109,408 | 5,979,518 | (a)(d) | ||||||||||
| CSAIL Commercial Mortgage Trust, 2017-C8 C |
4.430 | % | 6/15/50 | 2,500,000 | 1,949,014 | (a) | ||||||||||
| CSMC Trust, 2019-ICE4 B (1 mo. Term SOFR + 1.277%) |
6.600 | % | 5/15/36 | 1,476,327 | 1,471,431 | (a)(d) | ||||||||||
| CSMC Trust, 2020-RPL4 A1 |
2.000 | % | 1/25/60 | 932,332 | 808,142 | (a)(d) | ||||||||||
| CSMC Trust, 2021-NQM7 A1 |
1.756 | % | 10/25/66 | 4,264,903 | 3,467,355 | (a)(d) | ||||||||||
| CSMC Trust, 2022-NQM1 A1 |
2.265 | % | 11/25/66 | 1,066,376 | 890,241 | (a)(d) | ||||||||||
| Deephaven Residential Mortgage Trust, 2022-1 A1 |
2.205 | % | 1/25/67 | 1,733,751 | 1,514,980 | (a)(d) | ||||||||||
| Ellington Financial Mortgage Trust, 2022-1 A1 |
2.206 | % | 1/25/67 | 4,187,502 | 3,444,482 | (a)(d) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA6 M2 (30 Day Average SOFR + 1.500%) |
6.828 | % | 10/25/41 | 5,210,000 | 5,161,020 | (a)(d) | ||||||||||
| Government National Mortgage Association (GNMA), 2022-3 IO, IO |
0.640 | % | 2/16/61 | 4,251,095 | 209,269 | (a) | ||||||||||
| GS Mortgage Securities Corp. Trust, 2018- SRP5 A (1 mo. Term SOFR + 1.914%) |
7.237 | % | 9/15/31 | 925,742 | 657,237 | (a)(d) | ||||||||||
| GS Mortgage Securities Corp. Trust, 2018- SRP5 B (1 mo. Term SOFR + 3.114%) |
8.437 | % | 9/15/31 | 115,718 | 59,863 | (a)(d) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN BFX |
3.065 | % | 1/16/37 | 7,320,000 | 5,648,607 | (d) | ||||||||||
| JPMorgan Chase Commercial Mortgage Securities Trust, 2022-ACB A (30 Day Average SOFR + 1.400%) |
6.724 | % | 3/15/39 | 3,420,000 | 3,367,078 | (a)(d) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
3 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(c) - (continued) |
|
|||||||||||||||
| Morgan Stanley Capital I Trust, 2017-H1 C |
4.281 | % | 6/15/50 | $ | 755,000 | $ | 612,946 | (a) | ||||||||
| Morgan Stanley Capital I Trust, 2018-MP A |
4.419 | % | 7/11/40 | 10,500,000 | 8,589,885 | (a)(d) | ||||||||||
| Morgan Stanley Capital I Trust, 2018-SUN A (1 mo. Term SOFR + 1.201%) |
6.523 | % | 7/15/35 | 2,830,000 | 2,797,351 | (a)(d) | ||||||||||
| MTN Commercial Mortgage Trust, 2022-LPFL A (1 mo. Term SOFR + 1.397%) |
6.727 | % | 3/15/39 | 2,100,000 | 2,044,553 | (a)(d) | ||||||||||
| New Residential Mortgage Loan Trust, 2022- NQM2 A1 |
3.079 | % | 3/27/62 | 1,695,560 | 1,499,737 | (a)(d) | ||||||||||
| OBX Trust, 2022-NQM1 A1 |
2.305 | % | 11/25/61 | 3,844,108 | 3,217,562 | (a)(d) | ||||||||||
| RBS Commercial Funding Inc. Trust, 2013- GSP A |
3.961 | % | 1/15/32 | 4,760,000 | 4,725,469 | (a)(d) | ||||||||||
| SG Residential Mortgage Trust, 2022-1 A1 |
3.166 | % | 3/27/62 | 1,084,097 | 953,068 | (a)(d) | ||||||||||
| Tharaldson Hotel Portfolio Trust, 2018-THL D (1 mo. Term SOFR + 2.414%) |
7.736 | % | 11/11/34 | 267,326 | 263,772 | (a)(d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
78,154,819 | |||||||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 12.9% | ||||||||||||||||
| 522 Funding CLO Ltd., 2020-6A A1R (3 mo. Term SOFR + 1.412%) |
6.824 | % | 10/23/34 | 4,440,000 | 4,412,919 | (a)(d) | ||||||||||
| AGL CLO Ltd., 2020-6A AR (3 mo. Term SOFR + 1.462%) |
6.877 | % | 7/20/34 | 3,050,000 | 3,043,915 | (a)(d) | ||||||||||
| Arbor Realty Commercial Real Estate Notes Ltd., 2022-FL1 A (30 Day Average SOFR + 1.450%) |
6.774 | % | 1/15/37 | 2,268,000 | 2,228,775 | (a)(d) | ||||||||||
| Cayuga Park CLO Ltd., 2020-1A AR (3 mo. Term SOFR + 1.382%) |
6.784 | % | 7/17/34 | 5,770,000 | 5,736,473 | (a)(d) | ||||||||||
| GoldenTree Loan Management US CLO Ltd., 2021-10A A (3 mo. Term SOFR + 1.362%) |
6.777 | % | 7/20/34 | 5,000,000 | 4,976,500 | (a)(d) | ||||||||||
| Golub Capital Partners CLO LP, 2021-54A A (3 mo. Term SOFR + 1.792%) |
7.184 | % | 8/5/33 | 5,920,000 | 5,854,094 | (a)(d) | ||||||||||
| KREF Ltd., 2022-FL3 A (1 mo. Term SOFR + 1.450%) |
6.783 | % | 2/17/39 | 2,000,000 | 1,957,265 | (a)(d) | ||||||||||
| Nelnet Student Loan Trust, 2021-A APT1 |
1.360 | % | 4/20/62 | 1,101,565 | 978,547 | (d) | ||||||||||
| Reese Park CLO Ltd., 2020-1A AR (3 mo. Term SOFR + 1.392%) |
6.785 | % | 10/15/34 | 4,570,000 | 4,550,454 | (a)(d) | ||||||||||
| SMB Private Education Loan Trust, 2021-A A2B |
1.590 | % | 1/15/53 | 2,537,317 | 2,195,388 | (d) | ||||||||||
See Notes to Schedule of Investments.
|
4 |
Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| ASSET-BACKED SECURITIES - (continued) | ||||||||||||||||
| Trinitas CLO Ltd., 2023-25A A1 (3 mo. Term SOFR + 1.850%) |
7.181 | % | 1/23/37 | $ | 1,560,000 | $ | 1,560,000 | (a)(d)(e) | ||||||||
| Whitebox CLO Ltd., 2021-3A A1 (3 mo. Term SOFR + 1.482%) |
6.875 | % | 10/15/34 | 2,850,000 | 2,841,450 | (a)(d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ASSET-BACKED SECURITIES |
|
40,335,780 | ||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS & NOTES - 11.3% | ||||||||||||||||
| COMMUNICATION SERVICES - 0.9% | ||||||||||||||||
| Diversified Telecommunication Services - 0.2% |
||||||||||||||||
| AT&T Inc., Senior Notes |
2.250 | % | 2/1/32 | 150,000 | 118,932 | |||||||||||
| Verizon Communications Inc., Senior Notes |
2.355 | % | 3/15/32 | 310,000 | 247,415 | |||||||||||
| Verizon Communications Inc., Senior Notes |
4.500 | % | 8/10/33 | 300,000 | 280,624 | |||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
646,971 | |||||||||||||||
|
|
|
|||||||||||||||
| Entertainment - 0.1% |
||||||||||||||||
| Warnermedia Holdings Inc., Senior Notes |
6.412 | % | 3/15/26 | 150,000 | 150,148 | |||||||||||
|
|
|
|||||||||||||||
| Media - 0.5% |
||||||||||||||||
| Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
5.375 | % | 5/1/47 | 130,000 | 105,227 | |||||||||||
| Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes |
5.125 | % | 7/1/49 | 390,000 | 302,834 | |||||||||||
| Comcast Corp., Senior Notes |
3.969 | % | 11/1/47 | 800,000 | 629,847 | |||||||||||
| Comcast Corp., Senior Notes |
3.999 | % | 11/1/49 | 150,000 | 117,467 | |||||||||||
| Comcast Corp., Senior Notes |
3.450 | % | 2/1/50 | 140,000 | 100,300 | |||||||||||
| Comcast Corp., Senior Notes |
2.887 | % | 11/1/51 | 160,000 | 100,881 | |||||||||||
| Comcast Corp., Senior Notes |
4.950 | % | 10/15/58 | 160,000 | 145,571 | |||||||||||
| Fox Corp., Senior Notes |
6.500 | % | 10/13/33 | 140,000 | 145,707 | |||||||||||
|
|
|
|||||||||||||||
| Total Media |
1,647,834 | |||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 0.1% |
||||||||||||||||
| T-Mobile USA Inc., Senior Notes |
3.875 | % | 4/15/30 | 470,000 | 431,821 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
2,876,774 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 0.6% | ||||||||||||||||
| Automobiles - 0.1% |
||||||||||||||||
| Ford Motor Co., Senior Notes |
6.100 | % | 8/19/32 | 190,000 | 184,931 | |||||||||||
|
|
|
|||||||||||||||
| Broadline Retail - 0.5% |
||||||||||||||||
| Prosus NV, Senior Notes |
4.027 | % | 8/3/50 | 2,770,000 | 1,709,200 | (d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
1,894,131 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
5 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| CONSUMER STAPLES - 0.5% | ||||||||||||||||
| Beverages - 0.1% |
||||||||||||||||
| Constellation Brands Inc., Senior Notes |
3.600 | % | 5/9/24 | $ | 90,000 | $ | 89,082 | |||||||||
| Constellation Brands Inc., Senior Notes |
4.350 | % | 5/9/27 | 120,000 | 117,098 | |||||||||||
|
|
|
|||||||||||||||
| Total Beverages |
206,180 | |||||||||||||||
|
|
|
|||||||||||||||
| Personal Care Products - 0.1% |
||||||||||||||||
| Kenvue Inc., Senior Notes |
4.900 | % | 3/22/33 | 220,000 | 218,196 | |||||||||||
|
|
|
|||||||||||||||
| Tobacco - 0.3% |
||||||||||||||||
| Altria Group Inc., Senior Notes |
6.875 | % | 11/1/33 | 980,000 | 1,041,050 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
1,465,426 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 3.2% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 3.2% |
||||||||||||||||
| Columbia Pipelines Operating Co. LLC, Senior Notes |
6.036 | % | 11/15/33 | 470,000 | 474,575 | (d) | ||||||||||
| Columbia Pipelines Operating Co. LLC, Senior Notes |
6.544 | % | 11/15/53 | 10,000 | 10,242 | (d) | ||||||||||
| Ecopetrol SA, Senior Notes |
5.875 | % | 5/28/45 | 2,000,000 | 1,426,286 | |||||||||||
| Enterprise Products Operating LLC, Senior Notes |
6.650 | % | 10/15/34 | 120,000 | 132,553 | |||||||||||
| EOG Resources Inc., Senior Notes |
3.900 | % | 4/1/35 | 312,000 | 273,962 | |||||||||||
| EQT Corp., Senior Notes |
7.000 | % | 2/1/30 | 1,000,000 | 1,050,030 | |||||||||||
| ONEOK Inc., Senior Notes |
5.550 | % | 11/1/26 | 210,000 | 211,606 | |||||||||||
| ONEOK Inc., Senior Notes |
5.650 | % | 11/1/28 | 330,000 | 332,338 | |||||||||||
| ONEOK Inc., Senior Notes |
5.800 | % | 11/1/30 | 120,000 | 120,806 | |||||||||||
| Petroleos del Peru SA, Senior Notes |
5.625 | % | 6/19/47 | 4,640,000 | 2,779,246 | (d) | ||||||||||
| Reliance Industries Ltd., Senior Notes |
2.875 | % | 1/12/32 | 1,570,000 | 1,288,056 | (d) | ||||||||||
| Reliance Industries Ltd., Senior Notes |
3.625 | % | 1/12/52 | 2,730,000 | 1,829,567 | (d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
9,929,267 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 1.6% | ||||||||||||||||
| Banks - 0.8% |
||||||||||||||||
| Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury Constant Maturity Rate + 2.000%) |
4.175 | % | 3/24/28 | 200,000 | 188,673 | (a) | ||||||||||
| Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%) |
4.588 | % | 5/4/37 | 870,000 | 740,152 | (a) | ||||||||||
| BNP Paribas SA, Senior Notes (5.125% to 1/13/28 then 1 year Treasury Constant Maturity Rate + 1.450%) |
5.125 | % | 1/13/29 | 470,000 | 462,515 | (a)(d) | ||||||||||
| BNP Paribas SA, Senior Notes (5.894% to 12/5/33 then SOFR + 1.866%) |
5.894 | % | 12/5/34 | 250,000 | 251,246 | (a)(d)(e) | ||||||||||
See Notes to Schedule of Investments.
|
6 |
Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Banks - (continued) |
||||||||||||||||
| Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant Maturity Rate + 1.420%) |
3.758 | % | 4/6/33 | $ | 250,000 | $ | 215,294 | (a)(d) | ||||||||
| PNC Financial Services Group Inc., Senior Notes (5.582% to 6/12/28 then SOFR + 1.841%) |
5.582 | % | 6/12/29 | 290,000 | 288,070 | (a) | ||||||||||
| PNC Financial Services Group Inc., Senior Notes (5.812% to 6/12/25 then SOFR + 1.322%) |
5.812 | % | 6/12/26 | 80,000 | 79,988 | (a) | ||||||||||
| Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + 2.050%) |
6.047 | % | 6/8/27 | 170,000 | 170,287 | (a) | ||||||||||
| US Bancorp, Senior Notes (2.215% to 1/27/27 then SOFR + 0.730%) |
2.215 | % | 1/27/28 | 30,000 | 27,049 | (a) | ||||||||||
| US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) |
5.775 | % | 6/12/29 | 210,000 | 209,989 | (a) | ||||||||||
| US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) |
5.836 | % | 6/12/34 | 70,000 | 68,962 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
2,702,225 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 0.8% |
||||||||||||||||
| Charles Schwab Corp., Senior Notes |
5.875 | % | 8/24/26 | 360,000 | 363,630 | |||||||||||
| Charles Schwab Corp., Senior Notes (6.136% to 8/24/33 then SOFR + 2.010%) |
6.136 | % | 8/24/34 | 80,000 | 80,255 | (a) | ||||||||||
| Credit Suisse AG, Senior Notes |
4.750 | % | 8/9/24 | 250,000 | 247,713 | |||||||||||
| Credit Suisse AG, Senior Notes |
7.950 | % | 1/9/25 | 250,000 | 254,962 | |||||||||||
| Credit Suisse AG, Senior Notes |
3.700 | % | 2/21/25 | 1,000,000 | 971,047 | |||||||||||
| UBS Group AG, Senior Notes (4.488% to 5/12/25 then 1 year Treasury Constant Maturity Rate + 1.550%) |
4.488 | % | 5/12/26 | 230,000 | 224,733 | (a)(d) | ||||||||||
| UBS Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%) |
9.016 | % | 11/15/33 | 250,000 | 296,039 | (a)(d) | ||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
2,438,379 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
5,140,604 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 0.3% | ||||||||||||||||
| Health Care Providers & Services - 0.3% |
||||||||||||||||
| Elevance Health Inc., Senior Notes |
4.100 | % | 5/15/32 | 480,000 | 439,699 | |||||||||||
| Elevance Health Inc., Senior Notes |
4.550 | % | 5/15/52 | 660,000 | 558,978 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
998,677 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
7 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| INDUSTRIALS - 0.2% | ||||||||||||||||
| Aerospace & Defense - 0.2% |
||||||||||||||||
| RTX Corp., Senior Notes |
6.000 | % | 3/15/31 | $ | 150,000 | $ | 155,413 | |||||||||
| RTX Corp., Senior Notes |
4.500 | % | 6/1/42 | 310,000 | 266,433 | |||||||||||
| RTX Corp., Senior Notes |
3.030 | % | 3/15/52 | 160,000 | 101,423 | |||||||||||
|
|
|
|||||||||||||||
| Total Aerospace & Defense |
523,269 | |||||||||||||||
|
|
|
|||||||||||||||
| Trading Companies & Distributors - 0.0%†† |
||||||||||||||||
| Air Lease Corp., Senior Notes |
5.300 | % | 2/1/28 | 160,000 | 158,415 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
681,684 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 0.1% | ||||||||||||||||
| Semiconductors & Semiconductor Equipment - 0.1% |
||||||||||||||||
| Intel Corp., Senior Notes |
5.125 | % | 2/10/30 | 120,000 | 121,614 | |||||||||||
| Micron Technology Inc., Senior Notes |
5.875 | % | 2/9/33 | 80,000 | 80,184 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
201,798 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 3.9% | ||||||||||||||||
| Chemicals - 2.4% |
||||||||||||||||
| MEGlobal BV, Senior Notes |
4.250 | % | 11/3/26 | 2,000,000 | 1,910,500 | (d) | ||||||||||
| MEGlobal BV, Senior Notes |
2.625 | % | 4/28/28 | 2,870,000 | 2,524,042 | (d) | ||||||||||
| Orbia Advance Corp. SAB de CV, Senior Notes |
1.875 | % | 5/11/26 | 1,800,000 | 1,626,119 | (d) | ||||||||||
| Orbia Advance Corp. SAB de CV, Senior Notes |
2.875 | % | 5/11/31 | 1,700,000 | 1,353,391 | (d) | ||||||||||
|
|
|
|||||||||||||||
| Total Chemicals |
7,414,052 | |||||||||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 0.7% |
||||||||||||||||
| Freeport-McMoRan Inc., Senior Notes |
5.400 | % | 11/14/34 | 410,000 | 389,170 | |||||||||||
| Southern Copper Corp., Senior Notes |
5.250 | % | 11/8/42 | 2,000,000 | 1,789,770 | |||||||||||
|
|
|
|||||||||||||||
| Total Metals & Mining |
2,178,940 | |||||||||||||||
|
|
|
|||||||||||||||
| Paper & Forest Products - 0.8% |
||||||||||||||||
| Suzano Austria GmbH, Senior Notes |
6.000 | % | 1/15/29 | 2,500,000 | 2,479,878 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
12,072,870 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES |
35,261,231 | |||||||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 6.3% | ||||||||||||||||
| Chile - 0.2% |
||||||||||||||||
| Chile Government International Bond, Senior Notes |
3.100 | % | 1/22/61 | 1,240,000 | 763,524 | |||||||||||
|
|
|
|||||||||||||||
| Colombia - 2.9% |
||||||||||||||||
| Colombia Government International Bond, Senior Notes |
3.250 | % | 4/22/32 | 11,890,000 | 8,982,292 | |||||||||||
|
|
|
|||||||||||||||
| Israel - 0.4% |
||||||||||||||||
| State of Israel, Senior Notes |
3.375 | % | 1/15/50 | 1,830,000 | 1,216,245 | |||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
8 |
Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Kazakhstan - 0.4% |
||||||||||||||||
| Kazakhstan Government International Bond, Senior Notes |
4.875 | % | 10/14/44 | $ | 1,300,000 | $ | 1,153,002 | (d) | ||||||||
|
|
|
|||||||||||||||
| Mexico - 0.6% |
||||||||||||||||
| Mexico Government International Bond, Senior Notes |
4.400 | % | 2/12/52 | 2,530,000 | 1,879,075 | |||||||||||
|
|
|
|||||||||||||||
| Panama - 1.2% |
||||||||||||||||
| Panama Government International Bond, Senior Notes |
3.160 | % | 1/23/30 | 2,000,000 | 1,645,620 | |||||||||||
| Panama Government International Bond, Senior Notes |
4.300 | % | 4/29/53 | 3,500,000 | 2,187,484 | |||||||||||
|
|
|
|||||||||||||||
| Total Panama |
3,833,104 | |||||||||||||||
|
|
|
|||||||||||||||
| Peru - 0.6% |
||||||||||||||||
| Peruvian Government International Bond, Senior Notes |
3.550 | % | 3/10/51 | 600,000 | 424,487 | |||||||||||
| Peruvian Government International Bond, Senior Notes |
3.600 | % | 1/15/72 | 2,280,000 | 1,480,103 | |||||||||||
|
|
|
|||||||||||||||
| Total Peru |
1,904,590 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS |
19,731,832 | |||||||||||||||
|
|
|
|||||||||||||||
| U.S. TREASURY INFLATION PROTECTED SECURITIES - 4.8% |
|
|||||||||||||||
| U.S. Treasury Bonds, Inflation Indexed |
1.500 | % | 2/15/53 | 227,797 | 193,845 | |||||||||||
| U.S. Treasury Notes, Inflation Indexed |
1.125 | % | 1/15/33 | 15,922,845 | 14,586,063 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES |
|
14,779,908 | ||||||||||||||
|
|
|
|||||||||||||||
| U.S. GOVERNMENT & AGENCY OBLIGATIONS - 2.9% | ||||||||||||||||
| U.S. Government Obligations - 2.9% |
||||||||||||||||
| U.S. Treasury Bonds |
4.750 | % | 11/15/43 | 9,030,000 | 9,099,841 | |||||||||||
| U.S. Treasury Notes |
4.875 | % | 10/31/28 | 30,000 | 30,741 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS |
|
9,130,582 | ||||||||||||||
|
|
|
|||||||||||||||
| EXPIRATION DATE |
CONTRACTS | NOTIONAL AMOUNT |
||||||||||||||
| PURCHASED OPTIONS - 0.3% | ||||||||||||||||
| EXCHANGE-TRADED PURCHASED OPTIONS - 0.3% | ||||||||||||||||
| SOFR 1-Year Mid-Curve Futures, Call @ $95.688 |
12/15/23 | 605 | 1,512,500 | 291,157 | ||||||||||||
| SOFR 1-Year Mid-Curve Futures, Put @ $95.875 |
12/15/23 | 304 | 760,000 | 138,700 | ||||||||||||
| SOFR 1-Year Mid-Curve Futures, Put @ $96.000 |
12/15/23 | 78 | 195,000 | 52,650 | ||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $109.500 |
12/22/23 | 137 | 137,000 | 134,859 | ||||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
9 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
(Percentages shown based on Fund net assets)
| SECURITY |
EXPIRATION DATE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | ||||||||||||
| EXCHANGE-TRADED PURCHASED OPTIONS - (continued) |
|
|||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $110.000 |
12/22/23 | 136 | $ | 136,000 | $ | 99,875 | ||||||||||
| U.S. Treasury 10-Year Notes Futures, Call @ $110.750 |
12/22/23 | 264 | 264,000 | 119,625 | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL PURCHASED OPTIONS (Cost - $957,533) |
836,866 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $356,453,766) |
|
317,505,748 | ||||||||||||||
|
|
|
|||||||||||||||
| RATE | MATURITY DATE |
FACE AMOUNT |
||||||||||||||
| SHORT-TERM INVESTMENTS - 5.0% | ||||||||||||||||
| U.S. TREASURY BILLS - 2.7% | ||||||||||||||||
| U.S. Treasury Bills |
5.217 | % | 12/19/23 | 3,440,000 | 3,430,930 | (f) | ||||||||||
| U.S. Treasury Bills |
5.442 | % | 2/20/24 | 5,190,000 | 5,128,749 | (f) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. TREASURY BILLS (Cost - $8,558,406) |
8,559,679 | |||||||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| OVERNIGHT DEPOSITS - 2.3% | ||||||||||||||||
| BNY Mellon Cash Reserve Fund (Cost - $7,117,389) |
2.250 | % | 7,117,389 | 7,117,389 | (g) | |||||||||||
|
|
|
|||||||||||||||
| TOTAL SHORT-TERM INVESTMENTS (Cost - $15,675,795) |
15,677,068 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 106.9% (Cost - $372,129,561) |
333,182,816 | |||||||||||||||
| Liabilities in Excess of Other Assets - (6.9)% |
(21,383,460 | ) | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 311,799,356 | ||||||||||||||
|
|
|
|||||||||||||||
| †† | Represents less than 0.1%. |
| (a) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (b) | This security is traded on a to-be-announced (“TBA”) basis. At November 30, 2023, the Fund held TBA securities with a total cost of $38,594,223. |
| (c) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
| (d) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
| (e) | Securities traded on a when-issued or delayed delivery basis. |
| (f) | Rate shown represents yield-to-maturity. |
| (g) | Rate shown is one-day yield as of the end of the reporting period. |
See Notes to Schedule of Investments.
|
10 |
Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
Abbreviation(s) used in this schedule:
| CLO | — Collateralized Loan Obligation | |
| IO | — Interest Only | |
| REMIC | — Real Estate Mortgage Investment Conduit | |
| SOFR | — Secured Overnight Financing Rate |
At November 30, 2023, the Fund had the following written options contracts:
| EXCHANGE-TRADED WRITTEN OPTIONS | ||||||||||||||||||||
| SECURITY |
EXPIRATION DATE |
STRIKE PRICE |
CONTRACTS | NOTIONAL AMOUNT |
VALUE | |||||||||||||||
| SOFR 1-Year Mid-Curve Futures, Put |
12/15/23 | $ | 95.250 | 608 | $ | 1,520,000 | $ | (7,600 | ) | |||||||||||
| SOFR 1-Year Mid-Curve Futures, Put |
12/15/23 | 95.375 | 155 | 387,500 | (5,813 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call |
12/22/23 | 111.000 | 274 | 274,000 | (102,750 | ) | ||||||||||||||
| U.S. Treasury 10-Year Notes Futures, Call |
12/22/23 | 111.500 | 272 | 272,000 | (72,250 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $469,647) |
|
$ | (188,413 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Abbreviation(s) used in this schedule: | ||
| SOFR | — Secured Overnight Financing Rate | |
At November 30, 2023, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| 3-Month SOFR |
337 | 3/25 | $ | 81,091,164 | $ | 80,707,287 | $ | (383,877 | ) | |||||||||||
| 3-Month SOFR |
1,369 | 3/26 | 329,031,436 | 329,997,450 | 966,014 | |||||||||||||||
| 3-Month SOFR |
75 | 6/25 | 17,938,883 | 18,015,000 | 76,117 | |||||||||||||||
| U.S. Treasury 10-Year Notes |
956 | 3/24 | 104,443,198 | 104,965,817 | 522,619 | |||||||||||||||
| U.S. Treasury Long-Term Bonds |
464 | 3/24 | 53,590,127 | 54,027,000 | 436,873 | |||||||||||||||
| U.S. Treasury Ultra Long-Term Bonds |
582 | 3/24 | 70,925,827 | 71,586,000 | 660,173 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 2,277,919 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
11 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| 3-Month SOFR |
1,339 | 12/23 | $ | 317,024,967 | $ | 316,832,506 | $ | 192,461 | ||||||||||||
| 3-Month SOFR |
946 | 3/24 | 224,991,905 | 223,782,212 | 1,209,693 | |||||||||||||||
| 3-Month SOFR |
1,143 | 6/24 | 270,359,226 | 270,948,150 | (588,924 | ) | ||||||||||||||
| U.S. Treasury 2-Year Notes |
196 | 3/24 | 39,938,208 | 40,074,344 | (136,136 | ) | ||||||||||||||
| U.S. Treasury 5-Year Notes |
1,025 | 3/24 | 108,963,264 | 109,522,849 | (559,585 | ) | ||||||||||||||
| U.S. Treasury Ultra 10-Year Notes |
82 | 3/24 | 9,240,562 | 9,308,282 | (67,720 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| 49,789 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open futures contracts |
|
$ | 2,327,708 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Abbreviation(s) used in this table: | ||
| SOFR | — Secured Overnight Financing Rate | |
At November 30, 2023, the Fund had the following open swap contracts:
| CENTRALLY CLEARED INTEREST RATE SWAPS |
||||||||||||||||||||||||
| NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND† |
PAYMENTS THE FUND† |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
|
|
$76,554,000 | 1/31/24 | 5.410%** | Daily U.S. Federal Funds Intraday Effective Rate** | $ | (5,834 | ) | — | $ | (5,834 | ) | |||||||||||||
| 22,681,000 | 2/15/29 | 2.850% annually | Daily SOFR Compound annually | 1,229,428 | $ | (52,703 | ) | 1,282,131 | ||||||||||||||||
| 165,507,000 | 4/30/29 | 3.270% annually | Daily SOFR Compound annually | 5,893,042 | 1,252,979 | 4,640,063 | ||||||||||||||||||
| 27,856,000 | 6/30/29 | 3.850% annually | Daily SOFR Compound annually | 212,844 | 34,312 | 178,532 | ||||||||||||||||||
| 23,279,000 | 9/30/29 | 3.250% annually | Daily SOFR Compound annually | 892,388 | 10,240 | 882,148 | ||||||||||||||||||
| 24,873,000 | 2/15/47 | 1.520% annually | Daily SOFR Compound annually | 9,131,416 | (669,642 | ) | 9,801,058 | |||||||||||||||||
See Notes to Schedule of Investments.
|
12 |
Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
| CENTRALLY CLEARED INTEREST RATE SWAPS (cont’d) |
||||||||||||||||||||||||
| NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS |
PAYMENTS |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
| $ | 24,724,000 | 2/15/48 | 2.600% annually | Daily SOFR Compound annually | $ | 5,121,035 | $ | 2,284,302 | $ | 2,836,733 | ||||||||||||||
| 18,312,000 | 2/15/48 | 3.050% annually | Daily SOFR Compound annually | 2,520,014 | 686,708 | 1,833,306 | ||||||||||||||||||
| 1,898,000 | 5/15/48 | 3.150% annually | Daily SOFR Compound annually | 232,107 | 52,146 | 179,961 | ||||||||||||||||||
| 8,500,000 | 4/21/52 | 2.500% annually | Daily SOFR Compound annually | 1,969,842 | 7,921 | 1,961,921 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total |
$ | 394,184,000 | $ | 27,196,282 | $ | 3,606,263 | $ | 23,590,019 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION1 |
||||||||||||||||||||||
| REFERENCE ENTITY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
PERIODIC PAYMENTS MADE BY THE FUND† |
MARKET VALUE3 |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED DEPRECIATION |
||||||||||||||||
| Markit CDX.NA.IG.41 Index | $ | 642,500 | 12/20/28 | 1.000% quarterly | $ | (10,789 | ) | $ | (5,767 | ) | $ | (5,022 | ) | |||||||||
| 1 | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive 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 the 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. |
| ** | One time payment made at termination date. |
See Notes to Schedule of Investments.
| Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
13 |
WESTERN ASSET SMASh SERIES CORE COMPLETION FUND
| Schedule of investments (unaudited) (cont’d) | November 30, 2023 |
Reference rate(s) and their value(s) as of period end used in this table:
| Reference Index |
Reference Rate |
|||
| Daily SOFR Compound |
5.320 | % | ||
| Daily U.S. Federal Funds |
5.330 | % | ||
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.
|
14 |
Western Asset SMASh Series Core Completion Fund 2023 Quarterly Report |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset SMASh Series Core Completion Fund (the “Fund”) is a separate non-diversified investment series of Legg Mason Partners Institutional Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
Shares of the Fund may be purchased only by or on behalf of separately managed account clients where 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 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
|
15 |
Notes to Schedule of Investments (unaudited) (continued)
or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.
Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (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.
|
16 |
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 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 |
— | $ | 119,274,730 | — | $ | 119,274,730 | ||||||||||
| Collateralized Mortgage Obligations |
— | 78,154,819 | — | 78,154,819 | ||||||||||||
| Asset-Backed Securities |
— | 40,335,780 | — | 40,335,780 | ||||||||||||
| Corporate Bonds & Notes |
— | 35,261,231 | — | 35,261,231 | ||||||||||||
| Sovereign Bonds |
— | 19,731,832 | — | 19,731,832 | ||||||||||||
| U.S. Treasury Inflation Protected Securities |
— | 14,779,908 | — | 14,779,908 | ||||||||||||
| U.S. Government & Agency Obligations |
— | 9,130,582 | — | 9,130,582 | ||||||||||||
| Purchased Options |
$ | 836,866 | — | — | 836,866 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
836,866 | 316,668,882 | — | 317,505,748 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments†: |
||||||||||||||||
| U.S. Treasury Bills |
— | 8,559,679 | — | 8,559,679 | ||||||||||||
| Overnight Deposits |
— | 7,117,389 | — | 7,117,389 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
— | 15,677,068 | — | 15,677,068 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$ | 836,866 | $ | 332,345,950 | — | $ | 333,182,816 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts†† |
$ | 4,063,950 | — | — | $ | 4,063,950 | ||||||||||
| Centrally Cleared Interest Rate Swaps†† |
— | $ | 23,595,853 | — | 23,595,853 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments |
$ | 4,063,950 | $ | 23,595,853 | — | $ | 27,659,803 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 4,900,816 | $ | 355,941,803 | — | $ | 360,842,619 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
17 |
Notes to Schedule of Investments (unaudited) (continued)
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Written Options |
$ | 188,413 | — | — | $ | 188,413 | ||||||||||
| Futures Contracts†† |
1,736,242 | — | — | 1,736,242 | ||||||||||||
| Centrally Cleared Interest Rate Swaps†† |
— | $ | 5,834 | — | 5,834 | |||||||||||
| Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection†† |
— | 5,022 | — | 5,022 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 1,924,655 | $ | 10,856 | — | $ | 1,935,511 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
|
18 |