UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-06740
Legg Mason Partners Institutional Trust
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 47th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Marc A. De Oliveira
Franklin Templeton
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-877-721-1926
Date of fiscal year end: February 28
Date of reporting period: February 28, 2022
ITEM 1. | REPORT TO STOCKHOLDERS. |
The Annual Report to Stockholders is filed herewith.
Annual Report | February 28, 2022 |
WESTERN ASSET
SMASh SERIES TF FUND
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE |
Fund objective
The Fund seeks to maximize current interest income that is excluded from gross income for regular federal income tax purposes.
Dear Shareholder,
We are pleased to provide the annual report of Western Asset SMASh Series TF Fund for the twelve-month reporting period ended February 28, 2022. Please read on for a detailed look at prevailing economic and market conditions during the Fund’s reporting period and to learn how those conditions have affected Fund performance.
As always, thank you for your confidence in our stewardship of your assets.
Sincerely,
Jane Trust, CFA
President and Chief Executive Officer
March 31, 2022
II | Western Asset SMASh Series TF Fund |
Q. What is the Fund’s investment strategy?
A. The Fund seeks to maximize current interest income that is excluded from gross income for regular federal income tax purposes. We select securities to buy and sell for the Fund primarily by seeking to identify undervalued sectors and individual securities, while also selecting securities that we believe will benefit from anticipated changes in market conditions. We seek to enhance returns and reduce risks by taking advantage of shifts in the municipal yield curve, credit quality spreads and variations in market sectors.
Under normal circumstances, the Fund invests at least 80% of its assets in municipal securities and other investments with similar economic characteristics, the interest on which is exempt from regular federal income tax but which may be subject to the federal alternative minimum tax. Municipal securities include debt obligations issued by any of the 50 states and certain other municipal issuers and their political subdivisions, agencies and public authorities, certain other governmental issuers (such as Puerto Rico, the U.S. Virgin Islands and Guam) and other qualifying issuers. These securities include participation or other interests in municipal securities issued or backed by banks, insurance companies and other financial institutions.
Although the Fund may invest in securities of any maturity, it normally invests in intermediate-term and long-term municipal securities that have remaining maturities from one to more than thirty years at the time of purchase. The Fund typically focuses on investment grade bonds (that is, securities rated in the Baa/BBB categories or above or, if unrated, that we determined to be of comparable credit quality) but may from time to time invest, to no specified limit, in below investment grade bonds (commonly known as “high yield” or “junk” bonds).
Some municipal securities, such as general obligation issues, are backed by the issuer’s taxing authority, while other municipal securities, such as revenue issues, are backed only by revenues from certain facilities or other sources and not by the issuer itself.
Instead of, and/or in addition to, investing directly in particular securities, the Fund may use instruments such as derivatives, including options, interest rate swaps, credit default swaps and options on credit default swaps, and futures contracts, and other synthetic instruments that are intended to provide economic exposure to the securities or the issuer or to be used as a hedging technique. The Fund may use one or more types of these instruments without limit, except that these instruments are taken into account when determining compliance with the Fund’s 80% investment policy. The Fund may also engage in a variety of transactions using derivatives in order to change the investment characteristics of its portfolio (such as shortening or lengthening duration) and for other purposes. The Fund may leverage its assets by investing proceeds received through tender option bond transactions, which is considered a form of borrowing.
At Western Asset Management Company, LLC (“Western Asset”), the Fund’s subadviser, we utilize a fixed income team approach, with decisions derived from interaction among
Western Asset SMASh Series TF Fund 2022 Annual Report |
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Fund overview (cont’d)
various investment management sector specialists. The sector teams are comprised of Western Asset’s senior portfolio management personnel, research analysts and an in-house economist. Under this team approach, management of client fixed income portfolios will reflect a consensus of interdisciplinary views within the Western Asset organization.
Q. What were the overall market conditions during the Fund’s reporting period?
A. Fixed income markets experienced periods of volatility and, overall, declined over the twelve-month reporting period ended February 28, 2022. Volatility was driven by a number of factors, including the repercussions from the COVID-19 pandemic, rebounding global growth, sharply rising inflation, fluctuating interest rates, expectations for central bank monetary policy tightening, and the war in Ukraine. The spread sectors (non-Treasuries) generated mixed results versus similar duration Treasuries.
Short-term U.S. Treasury yields moved sharply higher as the Federal Reserve Board (the “Fed”) telegraphed that it expected to begin raising interest rates at its meeting in March 2022. The yield for the two-year Treasury note began the reporting period at 0.14% and ended the reporting period at 1.44%. The low of 0.13% occurred on March 17, 2021 and June 2, 2021. The high of 1.61% took place on February 10, 2022. Long-term U.S. Treasury yields also moved higher, as positive economic data and rising inflation triggered expectations that the Fed would remove its monetary policy accommodation sooner than previously anticipated. The yield for the ten-year Treasury note began the reporting period at 1.44% and ended the reporting period at 1.83%. The low of 1.19% took place on August 3 and August 4, 2021 and the high of 2.05% occurred on February 15, 2022.
The municipal bond market generated negative returns but outperformed its taxable bond counterpart during the twelve-month reporting period. Over that time, the Bloomberg Municipal Bond Indexi and the Bloomberg U.S. Aggregate Indexii returned -0.66% and -2.64%, respectively. Both the taxable and tax-free bond markets were negatively impacted by rising long-term interest rates.
Q. How did we respond to these changing market conditions?
A. There were several adjustments to the Fund during the reporting period. We reduced its duration over the period. Elsewhere, we increased the Fund’s allocations to the special tax and transportation sectors, whereas we pared its industrial revenue exposure. From a quality perspective, we added the Fund’s allocation to AA-rated bonds.
Performance review
For the twelve months ended February 28, 2022, Western Asset SMASh Series TF Fund returned 0.59%. The Fund’s unmanaged benchmark, the Bloomberg Municipal Bond Index, returned -0.66% for the same period.
2 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Performance Snapshot as of February 28, 2022 (unaudited) | ||||||||
6 months | 12 months | |||||||
Western Asset SMASh Series TF Fund | -3.17 | % | 0.59 | % | ||||
Bloomberg Municipal Bond Index | -3.09 | % | -0.66 | % |
The performance shown represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above. Principal value, investment returns and yields will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please call the Fund at 877-6LM-FUND/656-3863.
Fund returns assume the reinvestment of all distributions at net asset value and the deduction of all Fund expenses. Returns have not been adjusted to include the deduction of taxes that a shareholder would pay on Fund distributions. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.
Investors should understand that the Fund is managed within the context of a separately managed account and not with the objective of matching or exceeding the Fund’s stated benchmark, which is used for Fund reporting purposes. As such, comparisons of the Fund’s performance to that of the indicated benchmark are not likely to be meaningful. Additionally, performance figures do not reflect the effect of fees and expenses associated with a separately managed account or the management fee or other operating expenses of the Fund. Such management fees are paid directly or indirectly by the separately managed account sponsor to the Fund’s manager or subadviser. All operating expenses of the Fund (other than interest, brokerage, taxes and extraordinary expenses) were reimbursed by the manager.
Total Annual Operating Expenses (unaudited) |
As of the Fund’s current prospectus dated June 30, 2021, the gross total annual fund operating expense ratio for the Fund was 0.25%.
Actual expenses may be higher. For example, expenses may be higher than those shown if average net assets decrease. Net assets are more likely to decrease and Fund expense ratios are more likely to increase when markets are volatile.
The Fund’s manager has entered into an expense reimbursement arrangement with the Fund, pursuant to which the Fund’s manager has agreed to reimburse 100% of the Fund’s ordinary operating expenses. The expense reimbursement arrangement does not cover interest, brokerage, taxes and extraordinary expenses. This expense reimbursement arrangement cannot be terminated prior to December 31, 2023 without the Board of Trustees’ consent. However, all Fund shareholders are participating in separately managed account programs and pay fees to program sponsors for the costs and expenses of the program, including fees for investment advice and portfolio execution, some of which are used to compensate the Fund’s manager or subadviser for managing the Fund and to reimburse the Fund for all operating expenses.
Q. What were the leading contributors to performance?
A. The largest contributor to the Fund’s relative performance during the reporting period was its underweight to state general obligation bonds. Security selection in the special tax sector was also beneficial.
Western Asset SMASh Series TF Fund 2022 Annual Report |
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Fund overview (cont’d)
The Fund’s quality biases were positive for performance as well. In particular, overweights to lower-rated investment-grade municipal bonds and securities rated BBB contributed to returns, as they outperformed their higher-rated counterparts.
Q. What were the leading detractors from performance?
A. Duration positioning detracted from the Fund’s relative performance. Having a duration that was longer than the benchmark was a headwind for results as rates moved higher across the yield curve. Looking at sector positioning, an overweight to industrial revenue bonds detracted from performance.
Thank you for your investment in Western Asset SMASh Series TF Fund. As always, we appreciate that you have chosen us to manage your assets and we remain focused on achieving the Fund’s investment goals.
Sincerely,
Western Asset Management Company, LLC
March 10, 2022
RISKS: Investments in fixed income securities are subject to interest rate and credit risks. As interest rates rise, bond prices fall, thereby reducing the value of the Fund’s share price. High-yield (“junk”) bonds possess greater price volatility, illiquidity and possibility of default. Municipal securities purchased by the Fund may be adversely affected by changes in the financial condition of municipal issuers and insurers, regulatory and political developments, uncertainties and public perceptions, and other factors. The Fund may use derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses and have a potentially large impact on Fund performance. The use of leverage may increase volatility and possibility of loss. The Fund is classified as “non-diversified,” which means it may invest a larger percentage of its assets in a smaller number of issuers than a diversified fund. To the extent the Fund invests its assets in a small number of issuers, the Fund will be more susceptible to negative events affecting those issuers. Please see the Fund’s prospectus for a more complete discussion of these and other risks and the Fund’s investment strategies.
The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional. Portfolio holdings are subject to change at any time and may not be representative of the portfolio managers’ current or future investments. The Fund’s top five sector holdings (as a percentage of net assets) as of February 28, 2022 were: transportation (21.8%), special tax obligation (12.8%), industrial revenue (10.5%), health care (9.3%) and education (7.4%). The Fund’s portfolio composition is subject to change at any time.
All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.
4 | Western Asset SMASh Series TF Fund 2022 Annual Report |
The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.
i | The Bloomberg Municipal Bond Index is a market value weighted index of investment grade municipal bonds with maturities of one year or more. |
ii | The Bloomberg U.S. Aggregate Index is a broad-based bond index comprised of government, corporate, mortgage- and asset-backed issues, rated investment grade or higher, and having at least one year to maturity. |
Western Asset SMASh Series TF Fund 2022 Annual Report |
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† | The bar graph above represents the composition of the Fund’s investments as of February 28, 2022 and February 28, 2021. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time. |
6 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Example
As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs and (2) ongoing costs and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
This example is based on an investment of $1,000 invested on September 1, 2021 and held for the six months ended February 28, 2022.
Actual expenses
The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.
Hypothetical example for comparison purposes
The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Based on actual total return1 | Based on hypothetical total return1 | |||||||||||||||||||||||||||||||||||||||||||||||||
Actual Total Return2,3 | Beginning Account Value | Ending Account Value | Annualized Expense Ratio3 | Expenses Paid During the Period3,4 | Hypothetical Annualized Total Return | Beginning Account Value | Ending Account Value | Annualized Expense Ratio3 | Expenses Paid During the Period3,4 | |||||||||||||||||||||||||||||||||||||||||
-3.17% | $ | 1,000.00 | $ | 968.30 | 0.00 | % | $ | 0.00 | 5.00 | % | $1,000.00 | $ | 1,024.79 | 0.00 | % | $ | 0.00 |
1 | For the six months ended February 28, 2022. |
2 | Total return is not annualized, as it may not be representative of the total return for the year. Past performance is no guarantee of future results. Performance figures do not reflect any fees stated below in Note 3. If such fees were included, the return shown would have been lower. |
3 | All figures do not reflect the effect of fees and expenses associated with a separately managed account, nor a management fee or other operating expenses of the Fund. Such management fees are paid directly or indirectly by the separately managed account sponsor to the Fund’s manager or subadviser. All operating expenses of the Fund were reimbursed by the manager, pursuant to an expense reimbursement arrangement between the Fund and the manager. The expense reimbursement arrangement does not cover interest, brokerage, taxes and extraordinary expenses. |
4 | Expenses (net of compensating balance arrangements, fee waivers and/or expense reimbursements) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365. |
Western Asset SMASh Series TF Fund 2022 Annual Report |
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Average annual total returns1 | ||||
Twelve Months Ended 2/28/22 | 0.59 | % | ||
Five Years Ended 2/28/22 | 3.88 | |||
Inception* through 2/28/22 | 3.39 |
Cumulative total returns1 | ||||
Inception date of 12/23/15 through 2/28/22 | 22.89 | % |
All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Performance figures do not reflect the effect of fees and expenses associated with a separately managed account or a management fee or other operating expenses of the Fund. Such management fees are paid directly or indirectly by the separately managed account sponsor to the Fund’s manager or subadviser. All operating expenses of the Fund (other than interest, brokerage, taxes and extraordinary expenses) were reimbursed by the manager due to an expense reimbursement arrangement between the Fund and the manager. This arrangement cannot be terminated prior to December 31, 2023 without the Board of Trustees’ consent.
1 | Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value. |
* | Inception date of the Fund is December 23, 2015. |
8 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Historical performance
Value of $10,000 invested in
Shares of Western Asset SMASh Series TF Fund vs. Bloomberg Municipal Bond Index† — December 23, 2015 - February 28, 2022
All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Performance figures do not reflect the effect of fees and expenses associated with a separately managed account or a management fee or other operating expenses of the Fund. Such management fees are paid directly or indirectly by the separately managed account sponsor to the Fund’s manager or subadviser. All operating expenses of the Fund (other than interest, brokerage, taxes and extraordinary expenses) were reimbursed by the manager due to an expense reimbursement arrangement between the Fund and the manager. This arrangement cannot be terminated prior to December 31, 2023 without the Board of Trustees’ consent.
† | Hypothetical illustration of $10,000 invested in Western Asset SMASh Series TF Fund on December 23, 2015 (inception date), assuming the reinvestment of all distributions, including returns of capital, if any, at net asset value through February 28, 2022. The hypothetical illustration also assumes a $10,000 investment in the Bloomberg Municipal Bond Index. The Bloomberg Municipal Bond Index (the “Index”) is a market value weighted index of investment grade municipal bonds with maturities of one year or more. The Index is unmanaged and is not subject to the same management and trading expenses as a mutual fund. Please note that an investor cannot invest directly in an index. |
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February 28, 2022
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Municipal Bonds — 92.1% | ||||||||||||||||
Alabama — 3.1% | ||||||||||||||||
Hoover, AL, IDA Revenue, United States Steel Corp. Project, Series 2019 | 5.750 | % | 10/1/49 | $ | 100,000 | $ | 115,295 | (a) | ||||||||
Jefferson County, AL, Sewer Revenue: | ||||||||||||||||
Convertible CAB, Subordinated Lien, Warrants, Step bond, Series F, Refunding (0.000% to 10/1/23 then 7.900%) | 0.000 | % | 10/1/50 | 470,000 | 482,421 | |||||||||||
Senior Lien, Warrants, Series A, Refunding, AGM | 5.500 | % | 10/1/53 | 75,000 | 81,329 | |||||||||||
Subordinated Lien, Warrants, Series D, Refunding | 6.000 | % | 10/1/42 | 105,000 | 117,641 | |||||||||||
Lower Alabama Gas District, Natural Gas Revenue, Series 2020 | 4.000 | % | 12/1/23 | 1,000,000 | 1,041,498 | |||||||||||
Southeast Alabama Gas Supply District, Gas Supply Revenue, Project #2, Series A | 4.000 | % | 6/1/24 | 645,000 | 676,150 | (b)(c) | ||||||||||
Total Alabama | 2,514,334 | |||||||||||||||
Alaska — 1.0% | ||||||||||||||||
Alaska State Housing Finance Corp. Revenue, State Capital Project II, Series B | 5.000 | % | 12/1/37 | 75,000 | 90,571 | |||||||||||
Anchorage, AK, Port Revenue, Series A | 5.000 | % | 12/1/50 | 150,000 | 172,280 | (a) | ||||||||||
Northern Tobacco Securitization Corp., AK, Revenue, Asset Backed Senior Bonds, Class 1, Series A, Refunding | 4.000 | % | 6/1/50 | 500,000 | 534,675 | |||||||||||
Total Alaska | 797,526 | |||||||||||||||
Arizona — 3.8% | ||||||||||||||||
Arizona State IDA, Education Revenue: | ||||||||||||||||
Academies Math & Science Project, Refunding, SD Credit Program | 5.000 | % | 7/1/37 | 45,000 | 50,754 | |||||||||||
Academies Math & Science Project, Refunding, SD Credit Program | 5.000 | % | 7/1/38 | 500,000 | 568,761 | |||||||||||
Academies Math & Science Project, Series S, Refunding, SD Credit Program | 5.000 | % | 7/1/47 | 50,000 | 55,756 | |||||||||||
Chandler, AZ, IDA Revenue, Intel Corp. Project | 5.000 | % | 6/3/24 | 500,000 | 537,943 | (a)(b)(c) | ||||||||||
Maricopa County, AZ, IDA, Legacy Traditional School Projects, Series A, SD Credit Program | 4.000 | % | 7/1/34 | 400,000 | 441,980 | |||||||||||
Phoenix, AZ, IDA, Great Hearts Academies, Refunding | 5.000 | % | 7/1/36 | 75,000 | 81,112 |
See Notes to Financial Statements.
10 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
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 | $ | 689,444 | |||||||||
Salt Verde, AZ, Financial Corp., Natural Gas Revenue, Series 2007 | 5.000 | % | 12/1/32 | 495,000 | 604,901 | |||||||||||
Total Arizona | 3,030,651 | |||||||||||||||
California — 9.1% | ||||||||||||||||
Alameda, CA, Corridor Transportation Authority Revenue: | ||||||||||||||||
Second Subordinated Lien, Series B, Refunding | 5.000 | % | 10/1/34 | 50,000 | 56,272 | |||||||||||
Second Subordinated Lien, Series B, Refunding | 5.000 | % | 10/1/36 | 50,000 | 56,182 | |||||||||||
Second Subordinated Lien, Series B, Refunding | 5.000 | % | 10/1/37 | 200,000 | 224,573 | |||||||||||
Bay Area Toll Authority, CA, Toll Bridge Revenue, San Francisco Bay Area, Series B-1 (SIFMA Municipal Swap Index Yield + 1.100%) | 1.300 | % | 4/1/24 | 160,000 | 162,226 | (b)(c) | ||||||||||
California State Health Facilities Financing Authority Revenue, Memorial Health Services, Series A, Refunding | 5.000 | % | 10/1/33 | 115,000 | 117,749 | |||||||||||
California State MFA Revenue: | ||||||||||||||||
Senior Lien, LINXS APM Project, Series A | 5.000 | % | 12/31/34 | 100,000 | 115,583 | (a) | ||||||||||
Senior Lien, LINXS APM Project, Series A | 5.000 | % | 12/31/43 | 100,000 | 114,408 | (a) | ||||||||||
California State MFA Special Facility Revenue, United Airlines, Inc., Los Angeles International Airport Project | 4.000 | % | 7/15/29 | 75,000 | 80,850 | (a) | ||||||||||
California State, GO, Various Purpose, Refunding | 4.000 | % | 11/1/36 | 15,000 | 16,751 | |||||||||||
California Statewide CDA, Community Improvement Authority Revenue: | ||||||||||||||||
Renaissance at City Center, Series A | 5.000 | % | 7/1/51 | 100,000 | 105,721 | |||||||||||
Senior Bonds, Pasadena | 3.000 | % | 12/1/56 | 175,000 | 148,112 | |||||||||||
California Statewide CDA, Student Housing Revenue, University of CA, Irvine Campus Apartments, Phase IV | 5.000 | % | 5/15/33 | 50,000 | 57,083 | |||||||||||
Eastern Municipal Water District Financing Authority, CA, Water & Wastewater Revenue, Series D | 5.000 | % | 7/1/47 | 50,000 | 58,503 | |||||||||||
Long Beach, CA, Bond Finance Authority Revenue, Natural Gas Purchase, Series A | 5.500 | % | 11/15/37 | 50,000 | 68,225 | |||||||||||
Los Angeles County, CA, MTA, Sales Tax Revenue, Senior Proposition C, Series B | 5.000 | % | 7/1/32 | 500,000 | 602,944 | |||||||||||
Los Angeles, CA, Department of Airports Revenue: | ||||||||||||||||
Los Angeles International Airport, Subordinated, Series C | 5.000 | % | 5/15/44 | 415,000 | 476,330 | (a) |
See Notes to Financial Statements.
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Schedule of investments (cont’d)
February 28, 2022
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
California — continued | ||||||||||||||||
Los Angeles International Airport, Subordinated, Series D | 5.000 | % | 5/15/49 | $ | 400,000 | $ | 461,556 | (a) | ||||||||
Subordinated, Los Angeles International Airport, Series C | 5.000 | % | 5/15/37 | 95,000 | 109,194 | (a) | ||||||||||
Los Angeles, CA, Department of Water & Power Waterworks Revenue, Series A | 5.000 | % | 7/1/48 | 500,000 | 585,397 | |||||||||||
Los Angeles, CA, Wastewater System Revenue, Green Bonds, Subordinated, Series A | 5.000 | % | 6/1/48 | 100,000 | 119,204 | |||||||||||
M-S-R Energy Authority, CA, Natural Gas Revenue: | ||||||||||||||||
Series A | 6.125 | % | 11/1/29 | 50,000 | 59,592 | |||||||||||
Series B | 6.125 | % | 11/1/29 | 145,000 | 172,831 | |||||||||||
Northern California Energy Authority, Commodity Supply Revenue, Series A | 4.000 | % | 7/1/24 | 250,000 | 262,753 | (b)(c) | ||||||||||
Port of Oakland, CA, Intermediate Lien Revenue: | ||||||||||||||||
Series H, Refunding | 5.000 | % | 5/1/29 | 150,000 | 181,568 | (a) | ||||||||||
Series H, Refunding | 5.000 | % | 11/1/29 | 300,000 | 366,747 | (a) | ||||||||||
Riverside County, CA, Transportation Commission Sales Tax Revenue, Series B, Refunding | 5.000 | % | 6/1/37 | 100,000 | 118,672 | |||||||||||
Riverside, CA, Electric Revenue, Series A, Refunding | 5.000 | % | 10/1/48 | 100,000 | 119,772 | |||||||||||
Riverside, CA, Sewer Revenue, Series A, Refunding | 5.000 | % | 8/1/34 | 100,000 | 120,245 | |||||||||||
San Bernardino, CA, USD Revenue, COP, 2019 School Financing Project, AGM | 5.000 | % | 10/1/36 | 100,000 | 118,473 | |||||||||||
San Diego County, CA, Regional Transportation Commission, Sales Tax Revenue, Series A | 5.000 | % | 4/1/48 | 300,000 | 337,926 | |||||||||||
San Francisco, CA, City & County Airport Commission, International Airport Revenue, SFO Fuel Company LLC, Series A, Refunding | 5.000 | % | 1/1/33 | 100,000 | 116,853 | (a) | ||||||||||
San Mateo County, CA, Joint Powers Financing Authority Lease Revenue, Capital Project, Series A | 5.000 | % | 7/15/43 | 50,000 | 59,648 | |||||||||||
Sanger, CA, USD Revenue, COP, Capital Projects, Refunding, AGM | 5.000 | % | 6/1/52 | 250,000 | 259,280 | (d) | ||||||||||
Southern California Water Replenishment District, Financing Authority, Replenishment Revenue, Series 2018 | 5.000 | % | 8/1/48 | 500,000 | 592,447 |
See Notes to Financial Statements.
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Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
California — continued | ||||||||||||||||
Stockton, CA, PFA Parking Revenue, Refunding | 5.000 | % | 3/1/35 | $ | 430,000 | $ | 498,409 | |||||||||
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 | 115,826 | |||||||||||
Total California | 7,237,905 | |||||||||||||||
Colorado — 1.3% | ||||||||||||||||
Arvada, CO, Vauxmont Metropolitan District, GO, Refunding, AGM | 5.000 | % | 12/15/24 | 130,000 | 142,126 | |||||||||||
Colorado State Educational & Cultural Facilities Authority Revenue, University of Denver Project, Series A | 5.000 | % | 3/1/43 | 50,000 | 58,260 | |||||||||||
Colorado State Health Facilities Authority Revenue: | ||||||||||||||||
Commonspirit Health Project, Series A-2 | 5.000 | % | 8/1/44 | 200,000 | 232,237 | |||||||||||
Improvement and Refunding Revenue, Bethesda Project, Series A | 5.000 | % | 9/15/48 | 50,000 | 55,115 | |||||||||||
Colorado State High Performance Transportation Enterprise Revenue: | ||||||||||||||||
C-470 Express Lanes | 5.000 | % | 12/31/47 | 100,000 | 110,005 | |||||||||||
C-470 Express Lanes | 5.000 | % | 12/31/51 | 230,000 | 252,673 | |||||||||||
Denver, CO, City & County Special Facility Apartment Revenue, United Airlines Inc. Project, Refunding | 5.000 | % | 10/1/32 | 100,000 | 103,967 | (a) | ||||||||||
University of Colorado Enterprise Revenue: | ||||||||||||||||
Series B, Refunding | 5.000 | % | 6/1/37 | 15,000 | 15,165 | (e) | ||||||||||
Series B, Refunding | 5.000 | % | 6/1/37 | 60,000 | 60,661 | (e) | ||||||||||
Total Colorado | 1,030,209 | |||||||||||||||
Connecticut — 1.5% | ||||||||||||||||
Connecticut State HEFA Revenue, Sacred Heart University Issue, Series I-1, Refunding | 5.000 | % | 7/1/36 | 50,000 | 57,338 | |||||||||||
Connecticut State Special Tax Revenue: | ||||||||||||||||
Transportation Infrastructure, Series A | 5.000 | % | 1/1/37 | 500,000 | 587,039 | |||||||||||
Transportation Infrastructure, Series A | 5.000 | % | 5/1/38 | 200,000 | 244,752 | |||||||||||
Connecticut State, GO: | ||||||||||||||||
Series A | 4.000 | % | 4/15/37 | 125,000 | 141,091 | |||||||||||
Series E | 5.000 | % | 10/15/34 | 50,000 | 57,240 | |||||||||||
University of Connecticut, Student Fee Revenue, Series A | 5.000 | % | 11/15/43 | 100,000 | 117,415 | |||||||||||
Total Connecticut | 1,204,875 |
See Notes to Financial Statements.
Western Asset SMASh Series TF Fund 2022 Annual Report |
|
13 |
|
Schedule of investments (cont’d)
February 28, 2022
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
District of Columbia — 0.1% | ||||||||||||||||
District of Columbia Revenue, KIPP DC Project, Series B, Refunding | 5.000 | % | 7/1/42 | $ | 75,000 | $ | 84,635 | |||||||||
Florida — 3.4% | ||||||||||||||||
Broward County, FL, Airport System Revenue: | ||||||||||||||||
Series 2017 | 5.000 | % | 10/1/47 | 50,000 | 56,840 | (a) | ||||||||||
Series A | 5.000 | % | 10/1/45 | 250,000 | 276,140 | (a) | ||||||||||
Broward County, FL, Port Facilities Revenue, Series B | 5.000 | % | 9/1/31 | 200,000 | 243,760 | (a) | ||||||||||
Greater Orlando, FL, Aviation Authority, Airport Facilities Revenue, Priority Subordinated, Series A | 5.000 | % | 10/1/47 | 25,000 | 28,448 | (a) | ||||||||||
Hillsborough County, FL, Aviation Authority Revenue, Tampa International Airport, Series A | 5.000 | % | 10/1/47 | 200,000 | 240,624 | (a)(d) | ||||||||||
Miami-Dade County, FL, Aviation Revenue: | ||||||||||||||||
Series A, Refunding | 4.000 | % | 10/1/41 | 250,000 | 279,365 | |||||||||||
Series A, Refunding | 5.000 | % | 10/1/49 | 300,000 | 345,849 | (a) | ||||||||||
Series B, Refunding | 5.000 | % | 10/1/40 | 200,000 | 228,781 | (a) | ||||||||||
Orange County, FL, Health Facilities Authority Revenue, Presbyterian Retirement Communities, Refunding | 5.000 | % | 8/1/36 | 5,000 | 5,422 | |||||||||||
Palm Beach County, FL, Health Facilities Authority Revenue: | ||||||||||||||||
ACTS Retirement-Life Communities, Series B | 5.000 | % | 11/15/42 | 500,000 | 581,097 | |||||||||||
Toby & Leon Cooperman Sinai Residences of Boca Raton Expansion, Series B-1 | 3.000 | % | 6/1/27 | 250,000 | 249,511 | |||||||||||
Tampa, FL, Hospital Revenue, H. Lee Moffitt Cancer Center Project, Series B | 5.000 | % | 7/1/50 | 100,000 | 117,282 | |||||||||||
Volusia County, FL, EFA Revenue, Educational Facilities Embry-Riddle Aeronautical University Inc. Project, Refunding | 5.000 | % | 10/15/42 | 50,000 | 57,590 | |||||||||||
Total Florida | 2,710,709 | |||||||||||||||
Georgia — 1.3% | ||||||||||||||||
Dahlonega, GA, Downtown Development Authority Revenue, North Georgia MAC LLC Project, Refunding | 5.000 | % | 7/1/39 | 100,000 | 115,757 | |||||||||||
Fulton County, GA, Development Authority Revenue, Georgia Institute of Technology | 5.000 | % | 6/15/44 | 100,000 | 119,826 | |||||||||||
Georgia State Higher Education Facilities Authority Revenue, USG Real Estate, Refunding | 5.000 | % | 6/15/33 | 50,000 | 60,070 |
See Notes to Financial Statements.
14 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Georgia — continued | ||||||||||||||||
Georgia State Municipal Electric Authority Power Revenue: | ||||||||||||||||
Plant Vogtle Units 3&4, Project J, Series A | 5.000 | % | 1/1/56 | $ | 200,000 | $ | 231,934 | |||||||||
Plant Vogtle Units 3&4, Project P, Series A | 4.000 | % | 1/1/46 | 80,000 | 86,116 | |||||||||||
Project One Subordinated, Series A | 5.000 | % | 1/1/45 | 100,000 | 119,489 | |||||||||||
Main Street Natural Gas Inc., GA, Gas Project Revenue: | ||||||||||||||||
Series A | 5.000 | % | 5/15/43 | 200,000 | 229,756 | |||||||||||
Series C | 4.000 | % | 9/1/26 | 80,000 | 86,910 | (b)(c) | ||||||||||
Total Georgia | 1,049,858 | |||||||||||||||
Idaho — 0.1% | ||||||||||||||||
Idaho State Health Facilities Authority Revenue, Trinity Health Credit Group, Series A | 5.000 | % | 12/1/47 | 100,000 | 115,051 | |||||||||||
Illinois — 11.3% | ||||||||||||||||
Chicago, IL, Board of Education, Dedicated Capital Improvement, Special Tax Revenue, Series 2018 | 5.000 | % | 4/1/42 | 100,000 | 111,982 | |||||||||||
Chicago, IL, Board of Education, GO: | ||||||||||||||||
Dedicated, Series A | 5.000 | % | 12/1/38 | 1,100,000 | 1,264,257 | |||||||||||
Dedicated, Series A | 5.000 | % | 12/1/47 | 750,000 | 857,514 | |||||||||||
Dedicated, Series H | 5.000 | % | 12/1/46 | 100,000 | 110,750 | |||||||||||
Series C, Refunding | 5.000 | % | 12/1/25 | 100,000 | 110,922 | |||||||||||
Chicago, IL, GO: | ||||||||||||||||
Series A | 5.000 | % | 1/1/44 | 125,000 | 140,558 | |||||||||||
Series A, Refunding | 5.000 | % | 1/1/26 | 250,000 | 276,526 | |||||||||||
Series C, Refunding | 5.000 | % | 1/1/25 | 30,000 | 32,610 | |||||||||||
Chicago, IL, O’Hare International Airport Revenue: | ||||||||||||||||
Series D, Refunding | 5.000 | % | 1/1/46 | 10,000 | 10,837 | |||||||||||
TrIPS Obligated Group | 5.000 | % | 7/1/48 | 50,000 | 57,649 | (a) | ||||||||||
Chicago, IL, Transit Authority Revenue, Series A, Refunding | 5.000 | % | 12/1/45 | 50,000 | 59,631 | |||||||||||
Chicago, IL, Wastewater Transmission Revenue, Second Lien, Series A | 5.000 | % | 1/1/47 | 35,000 | 39,524 | |||||||||||
Chicago, IL, Waterworks Revenue: | ||||||||||||||||
Second Lien, Series 2017, Refunding | 5.000 | % | 11/1/29 | 30,000 | 35,447 | |||||||||||
Second Lien, Series 2017-2, Refunding, AGM | 5.000 | % | 11/1/32 | 60,000 | 70,291 | |||||||||||
Cook County, IL, Sales Tax Revenue, Series A, Refunding | 4.000 | % | 11/15/40 | 250,000 | 280,158 | |||||||||||
Elk Grove Village, IL, GO, Cook and DuPage Counties, Refunding | 5.000 | % | 1/1/36 | 35,000 | 40,199 |
See Notes to Financial Statements.
Western Asset SMASh Series TF Fund 2022 Annual Report |
|
15 |
|
Schedule of investments (cont’d)
February 28, 2022
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Illinois — continued | ||||||||||||||||
Illinois State Finance Authority Revenue: | ||||||||||||||||
Benedictine University, Refunding | 4.000 | % | 10/1/33 | $ | 100,000 | $ | 106,931 | |||||||||
Northshore University Health System, Refunding | 5.000 | % | 8/15/32 | 100,000 | 124,083 | |||||||||||
University of Illinois at Urbana, Academic Facilities Lease Revenue Bonds | 5.000 | % | 10/1/49 | 50,000 | 58,838 | |||||||||||
University of Illinois, Health Services Facility Lease Revenue Bonds | 5.000 | % | 10/1/30 | 250,000 | 305,952 | |||||||||||
Illinois State Sales Tax Revenue, Subordinated, Series D, Refunding | 5.000 | % | 6/15/23 | 205,000 | 214,918 | |||||||||||
Illinois State Sports Facilities Authority Revenue, Sport Facilities Project, Series 2019, Refunding, BAM | 5.000 | % | 6/15/29 | 50,000 | 60,434 | |||||||||||
Illinois State, GO: | ||||||||||||||||
Series 2016 | 5.000 | % | 1/1/33 | 25,000 | 27,616 | |||||||||||
Series 2016, Refunding | 5.000 | % | 2/1/27 | 25,000 | 28,390 | |||||||||||
Series 2016, Refunding | 5.000 | % | 2/1/29 | 20,000 | 22,521 | |||||||||||
Series A | 5.000 | % | 5/1/36 | 250,000 | 282,409 | |||||||||||
Series A | 5.000 | % | 3/1/46 | 400,000 | 462,745 | |||||||||||
Series A, Refunding | 5.000 | % | 10/1/29 | 150,000 | 174,749 | |||||||||||
Series A, Refunding | 5.000 | % | 10/1/30 | 350,000 | 404,155 | |||||||||||
Series D | 5.000 | % | 11/1/27 | 225,000 | 258,767 | |||||||||||
Kane County, IL, School District No 131 Aurora East Side, GO, Series A, AGM | 4.000 | % | 12/1/34 | 725,000 | 812,446 | |||||||||||
Metropolitan Pier & Exposition Authority, IL, Revenue: | ||||||||||||||||
McCormick Place Expansion Project, Series A, Refunding | 4.000 | % | 12/15/42 | 500,000 | 531,527 | (d) | ||||||||||
McCormick Place Expansion Project, Series A, Refunding | 5.000 | % | 12/15/45 | 500,000 | 559,564 | |||||||||||
McCormick Place Expansion Project, Series A, Refunding | 4.000 | % | 6/15/50 | 500,000 | 520,351 | |||||||||||
McCormick Place Expansion Project, Series B, Refunding | 5.000 | % | 6/15/42 | 60,000 | 67,861 | |||||||||||
Regional Transportation Authority, IL, GO, Series A, Refunding, NATL | 6.000 | % | 7/1/29 | 415,000 | 506,609 | |||||||||||
Total Illinois | 9,029,721 | |||||||||||||||
Indiana — 1.3% | ||||||||||||||||
Indiana State Finance Authority Revenue, Marion General Hospital, Series A | 4.000 | % | 7/1/45 | 100,000 | 110,868 |
See Notes to Financial Statements.
16 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Indiana — continued | ||||||||||||||||
Indiana State Finance Authority Wastewater Utility Revenue, Green Bonds, CWA Authority Project, Series A | 5.000 | % | 10/1/41 | $ | 100,000 | $ | 114,469 | |||||||||
Indianapolis, IN, Local Public Improvement Bond Bank: | ||||||||||||||||
Courthouse and Jail Project, Series A | 4.000 | % | 2/1/44 | 100,000 | 111,446 | |||||||||||
Courthouse and Jail Project, Series A | 5.000 | % | 2/1/54 | 300,000 | 351,883 | |||||||||||
Indianapolis Airport Authority Project, Revenue, Series D, Refunding | 5.000 | % | 1/1/26 | 300,000 | 333,979 | (a) | ||||||||||
Total Indiana | 1,022,645 | |||||||||||||||
Iowa — 0.1% | ||||||||||||||||
Iowa State Tobacco Settlement Authority Revenue, Asset Backed Senior Bonds, Class 1, Series A-2, Refunding | 4.000 | % | 6/1/49 | 100,000 | 107,018 | |||||||||||
Kansas — 0.5% | ||||||||||||||||
Wyandotte County, KS, USD #202 Turner, GO, Series A, AGM | 4.000 | % | 9/1/37 | 400,000 | 431,983 | |||||||||||
Kentucky — 3.6% | ||||||||||||||||
Ashland, KY, Medical Center Refunding Revenue Bonds: | ||||||||||||||||
Ashland Hospital Corporation, King’s Daughters Medical Center, Refunding | 5.000 | % | 2/1/25 | 625,000 | 685,563 | |||||||||||
Ashland Hospital Corporation, King’s Daughters Medical Center, Refunding | 5.000 | % | 2/1/26 | 550,000 | 619,237 | |||||||||||
Kentucky State Economic Development Finance Authority Revenue, Louisville Arena, Louisville Arena Authority Inc., Refunding, AGM | 5.000 | % | 12/1/45 | 100,000 | 117,471 | |||||||||||
Kentucky State PEA, Gas Supply Revenue: | ||||||||||||||||
Series A | 4.000 | % | 6/1/26 | 300,000 | 324,412 | (b)(c) | ||||||||||
Series C | 4.000 | % | 6/1/25 | 200,000 | 213,241 | (b)(c) | ||||||||||
Louisville/Jefferson County, KY, Metropolitan Government Health System Revenue, Norton Healthcare Inc., Series A | 4.000 | % | 10/1/40 | 500,000 | 554,702 | |||||||||||
Owensboro, KY, Electric Light & Power System Revenue, Series B, Refunding | 5.000 | % | 1/1/24 | 345,000 | 367,392 | |||||||||||
Total Kentucky | 2,882,018 | |||||||||||||||
Louisiana — 0.4% | ||||||||||||||||
Louisiana State PFA, Lease Revenue, Provident Group, Flagship Properties | 5.000 | % | 7/1/42 | 50,000 | 56,200 | |||||||||||
Shreveport, LA, Water & Sewer Revenue, Series A, AGM | 5.000 | % | 12/1/41 | 10,000 | 11,652 |
See Notes to Financial Statements.
Western Asset SMASh Series TF Fund 2022 Annual Report |
|
17 |
|
Schedule of investments (cont’d)
February 28, 2022
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Louisiana — continued | ||||||||||||||||
St. John the Baptist Parish, LA, State Revenue: | ||||||||||||||||
Marathon Oil Corp. Project, Refunding | 2.200 | % | 7/1/26 | $ | 125,000 | $ | 125,410 | (b)(c) | ||||||||
Marathon Oil Corp. Project, Series B-2, Refunding | 2.375 | % | 7/1/26 | 150,000 | 151,573 | (b)(c) | ||||||||||
Total Louisiana | 344,835 | |||||||||||||||
Maryland — 0.4% | ||||||||||||||||
Maryland State Stadium Authority Built to Learn Revenue, Series A | 4.000 | % | 6/1/47 | 250,000 | 275,382 | (d) | ||||||||||
Massachusetts — 1.4% | ||||||||||||||||
Massachusetts State Department of Transportation, Metropolitan Highway System Revenue, Series A, Refunding | 5.000 | % | 1/1/34 | 250,000 | 300,295 | |||||||||||
Massachusetts State DFA Revenue: | ||||||||||||||||
Broad Institute Inc., Refunding | 5.000 | % | 4/1/36 | 85,000 | 99,810 | |||||||||||
UMass Boston Student Housing Project | 5.000 | % | 10/1/28 | 10,000 | 11,283 | |||||||||||
Wellforce Issue, Series A, Refunding | 5.000 | % | 7/1/39 | 50,000 | 58,352 | |||||||||||
Worcester Polytechnic Institute, Series B, Refunding | 5.000 | % | 9/1/42 | 75,000 | 87,638 | |||||||||||
Massachusetts State Port Authority Revenue: | ||||||||||||||||
Series A, Refunding | 5.000 | % | 7/1/36 | 160,000 | 190,331 | (a) | ||||||||||
Series E | 5.000 | % | 7/1/46 | 250,000 | 300,311 | (a) | ||||||||||
Massachusetts State Water Resources Authority Revenue, Series B, Refunding | 5.000 | % | 8/1/40 | 50,000 | 57,671 | (e) | ||||||||||
Total Massachusetts | 1,105,691 | |||||||||||||||
Michigan — 2.7% | ||||||||||||||||
Detroit, MI, Downtown Development Authority Revenue, Catalyst Development, Series A, Refunding, AGM | 5.000 | % | 7/1/43 | 100,000 | 107,280 | |||||||||||
Great Lakes Water Authority, MI, Water Supply System Revenue: | ||||||||||||||||
Senior Lien, Series A | 5.000 | % | 7/1/45 | 750,000 | 911,340 | |||||||||||
Senior Lien, Series A | 5.000 | % | 7/1/49 | 650,000 | 782,220 | |||||||||||
Michigan State Finance Authority Revenue: | ||||||||||||||||
Henry Ford Health System, Series A | 4.000 | % | 11/15/50 | 100,000 | 109,223 | |||||||||||
Tobacco Settlement Asset Backed Senior Bonds, Series A, Refunding | 4.000 | % | 6/1/49 | 50,000 | 53,900 |
See Notes to Financial Statements.
18 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Michigan — continued | ||||||||||||||||
Tobacco Settlement Asset Backed Senior Bonds, Series B-1, Refunding | 5.000 | % | 6/1/49 | $ | 50,000 | $ | 56,899 | |||||||||
Michigan State Strategic Fund Limited Obligation Revenue, I-75 Improvement Project | 5.000 | % | 12/31/43 | 100,000 | 112,781 | (a) | ||||||||||
Total Michigan | 2,133,643 | |||||||||||||||
Missouri — 0.1% | ||||||||||||||||
Missouri State HEFA Revenue, Lutheran Senior Service Projects, Series A | 5.000 | % | 2/1/42 | 50,000 | 54,139 | |||||||||||
Nebraska — 0.6% | ||||||||||||||||
Douglas County, NE, Hospital Authority No. 2 Revenue, Children’s Hospital Obligated Group, Series A, Refunding | 4.000 | % | 11/15/36 | 425,000 | 485,178 | |||||||||||
Nevada — 0.3% | ||||||||||||||||
Sparks, NV, Tourism Improvement, Senior Sales Tax Anticipation Revenue, Series A, Refunding | 2.750 | % | 6/15/28 | 250,000 | 251,707 | (f) | ||||||||||
New Jersey — 6.4% | ||||||||||||||||
Essex County, NJ, Improvement Authority, GO: | ||||||||||||||||
CHF-Newark LLC, New Jersey Institute of Technology Lease Revenue Bonds, Series A, BAM | 5.000 | % | 8/1/35 | 180,000 | 224,656 | |||||||||||
CHF-Newark LLC, New Jersey Institute of Technology Lease Revenue Bonds, Series A, BAM | 5.000 | % | 8/1/36 | 215,000 | 268,044 | |||||||||||
New Jersey State EDA Revenue: | ||||||||||||||||
Private Activity-The Goethals Bridge Replacement Project, AGM | 5.125 | % | 1/1/39 | 85,000 | 90,484 | (a) | ||||||||||
Private Activity-The Goethals Bridge Replacement Project, AGM | 5.125 | % | 7/1/42 | 150,000 | 159,678 | (a) | ||||||||||
School Facilities Construction, Series BBB, Refunding | 5.500 | % | 6/15/31 | 100,000 | 118,801 | (e) | ||||||||||
School Facilities Construction, Series DDD | 5.000 | % | 6/15/33 | 50,000 | 56,664 | |||||||||||
School Facilities Construction, Series I, Refunding, State Appropriations (SIFMA Municipal Swap Index Yield + 1.600%) | 1.800 | % | 3/1/28 | 325,000 | 328,168 | (c) | ||||||||||
School Facilities Construction, Series QQQ | 5.000 | % | 6/15/31 | 500,000 | 600,202 | |||||||||||
Transit Transportation Project, Series A | 5.000 | % | 11/1/32 | 150,000 | 175,984 | |||||||||||
New Jersey State EDA, Lease Revenue, Health Department and Taxation Division Office Project, Series A | 5.000 | % | 6/15/33 | 105,000 | 120,232 |
See Notes to Financial Statements.
Western Asset SMASh Series TF Fund 2022 Annual Report |
|
19 |
|
Schedule of investments (cont’d)
February 28, 2022
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
New Jersey — continued | ||||||||||||||||
New Jersey State EDA, Special Facility Revenue, Port Newark Container Terminal LLC Project, Refunding | 5.000 | % | 10/1/37 | $ | 100,000 | $ | 112,889 | (a) | ||||||||
New Jersey State Health Care Facilities Financing Authority Revenue, Hackensack Meridian Health, Series A, Refunding | 5.000 | % | 7/1/38 | 50,000 | 58,059 | |||||||||||
New Jersey State Transportation Trust Fund Authority Revenue: | ||||||||||||||||
Highway Reimbursement, Refunding | 5.000 | % | 6/15/31 | 60,000 | 67,929 | |||||||||||
Transportation Program, Series AA | 5.250 | % | 6/15/43 | 100,000 | 115,845 | |||||||||||
Transportation Program, Series AA | 4.000 | % | 6/15/45 | 500,000 | 538,053 | |||||||||||
Transportation Program, Series AA | 5.000 | % | 6/15/45 | 100,000 | 109,097 | |||||||||||
Transportation Program, Series AA, Refunding | 5.000 | % | 6/15/36 | 300,000 | 359,062 | (d) | ||||||||||
Transportation Program, Series BB | 4.000 | % | 6/15/36 | 500,000 | 540,441 | |||||||||||
Transportation System, Series A, Refunding | 5.000 | % | 12/15/25 | 100,000 | 111,895 | |||||||||||
Transportation System, Series A, Refunding | 5.000 | % | 12/15/28 | 150,000 | 176,553 | |||||||||||
New Jersey State Turnpike Authority Revenue: | ||||||||||||||||
Series A, Refunding | 5.000 | % | 1/1/35 | 100,000 | 111,916 | |||||||||||
Series G, Refunding | 5.000 | % | 1/1/35 | 60,000 | 70,632 | |||||||||||
New Jersey State, GO, COVID-19 Emergency, Series A | 5.000 | % | 6/1/29 | 500,000 | 605,045 | |||||||||||
Tobacco Settlement Financing Corp., NJ, Revenue, Series A, Refunding | 5.250 | % | 6/1/46 | 30,000 | 34,221 | |||||||||||
Total New Jersey | 5,154,550 | |||||||||||||||
New Mexico — 0.0%†† | ||||||||||||||||
Farmington, NM, PCR, Public Service Co. Project, Refunding | 2.125 | % | 6/1/22 | 35,000 | 35,096 | (b)(c) | ||||||||||
New York — 12.8% | ||||||||||||||||
Hempstead Town, NY, Local Development Corp. Revenue, Hofstra University Project, Refunding | 5.000 | % | 7/1/42 | 100,000 | 114,769 | |||||||||||
Hudson Yards Infrastructure Corp., NY, Second Indenture Revenue, Series A, Refunding | 5.000 | % | 2/15/35 | 140,000 | 162,258 | |||||||||||
Long Island, NY, Power Authority Electric System Revenue, Series B, Refunding | 1.650 | % | 9/1/24 | 250,000 | 251,512 | (b)(c) | ||||||||||
MTA, NY, Transportation Revenue: | ||||||||||||||||
Green Bonds, Series A-2 | 5.000 | % | 11/15/24 | 50,000 | 54,887 | |||||||||||
Green Bonds, Series D-1 | 5.000 | % | 11/15/43 | 100,000 | 117,239 | |||||||||||
Green Bonds, Series D-3 | 4.000 | % | 11/15/49 | 100,000 | 107,222 | |||||||||||
Green Bonds, Series E | 5.000 | % | 11/15/33 | 250,000 | 297,816 | |||||||||||
Series A-2 | 5.000 | % | 5/15/30 | 335,000 | 401,428 | (b)(c) |
See Notes to Financial Statements.
20 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
New York — continued | ||||||||||||||||
Series F, Refunding | 5.000 | % | 11/15/27 | $ | 500,000 | $ | 557,911 | |||||||||
New York City, NY, GO: | ||||||||||||||||
Subseries F-1 | 5.000 | % | 3/1/37 | 250,000 | 308,063 | |||||||||||
Subseries F-1 | 5.000 | % | 3/1/50 | 250,000 | 301,380 | |||||||||||
New York City, NY, Industrial Development Agency Revenue, Yankee Stadium Project, Refunding | 4.000 | % | 3/1/45 | 100,000 | 109,227 | |||||||||||
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 | 559,963 | |||||||||||
Subordinated, Series BB-1 | 5.000 | % | 6/15/46 | 30,000 | 34,737 | |||||||||||
New York City, NY, TFA Future Tax Secured Revenue, Subordinated, Series B-1 | 5.000 | % | 8/1/45 | 700,000 | 808,389 | |||||||||||
New York City, NY, TFA Revenue, Future Tax Secured, Subordinate, Series C-1 | 4.000 | % | 5/1/40 | 700,000 | 788,763 | |||||||||||
New York State Dormitory Authority Revenue: | ||||||||||||||||
New York University, Series A, Refunding | 5.000 | % | 7/1/43 | 50,000 | 57,784 | |||||||||||
Series B, Refunding | 5.000 | % | 2/15/43 | 100,000 | 115,852 | |||||||||||
New York State Dormitory Authority, Sales Tax Revenue: | ||||||||||||||||
Bidding Group 3, Series E, Refunding | 5.000 | % | 3/15/38 | 100,000 | 119,488 | |||||||||||
Bidding Group 4, Series E, Refunding | 5.000 | % | 3/15/44 | 100,000 | 118,728 | |||||||||||
New York State Liberty Development Corp., Liberty Revenue, 3 World Trade Center Project, Class 1, Refunding | 5.000 | % | 11/15/44 | 100,000 | 106,545 | (f) | ||||||||||
New York State Thruway Authority General Revenue: | ||||||||||||||||
Junior Indebtedness Obligations, Junior Lien, Series A | 5.000 | % | 1/1/46 | 50,000 | 55,859 | |||||||||||
Junior Indebtedness Obligations, Subordinated, Series B, Refunding | 4.000 | % | 1/1/50 | 200,000 | 216,739 | |||||||||||
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 | 85,608 | (a) | ||||||||||
Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project | 5.000 | % | 1/1/32 | 45,000 | 50,836 | (a) | ||||||||||
Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project | 4.375 | % | 10/1/45 | 250,000 | 267,992 | (a) |
See Notes to Financial Statements.
Western Asset SMASh Series TF Fund 2022 Annual Report |
|
21 |
|
Schedule of investments (cont’d)
February 28, 2022
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
New York — continued | ||||||||||||||||
LaGuardia Airport Terminal B Redevelopment Project | 5.000 | % | 7/1/30 | $ | 50,000 | $ | 53,648 | (a) | ||||||||
LaGuardia Airport Terminal B Redevelopment Project, Series A | 5.000 | % | 7/1/41 | 25,000 | 26,627 | (a) | ||||||||||
LaGuardia Airport Terminal B Redevelopment Project, Series A | 5.250 | % | 1/1/50 | 750,000 | 798,814 | (a) | ||||||||||
Terminal 4 John F. Kennedy International Airport Project, Series A | 4.000 | % | 12/1/40 | 300,000 | 319,780 | (a) | ||||||||||
Port Authority of New York & New Jersey Revenue: | ||||||||||||||||
Consolidated Series 185 | 5.000 | % | 9/1/25 | 10,000 | 10,823 | (a) | ||||||||||
Consolidated Series 221 | 4.000 | % | 7/15/50 | 500,000 | 541,303 | (a) | ||||||||||
Triborough Bridge & Tunnel Authority, NY, Revenue: | ||||||||||||||||
General-MTA Bridges & Tunnels, Series A | 5.000 | % | 11/15/49 | 500,000 | 604,938 | |||||||||||
General-MTA Bridges & Tunnels, Series A | 5.000 | % | 11/15/51 | 265,000 | 323,008 | |||||||||||
General-MTA Bridges & Tunnels, Series A | 5.000 | % | 11/15/54 | 325,000 | 391,804 | |||||||||||
General-MTA Bridges & Tunnels, Series A | 5.000 | % | 11/15/56 | 500,000 | 607,603 | |||||||||||
Troy, NY, Capital Resource Corp., Rensselaer Polytechnic Institute Project, Series A, Refunding | 5.000 | % | 9/1/28 | 325,000 | 385,140 | |||||||||||
Total New York | 10,234,483 | |||||||||||||||
North Carolina — 0.6% | ||||||||||||||||
Charlotte, NC, Lease Revenue, COP, Convention Facility Project, Series A, Refunding | 4.000 | % | 6/1/49 | 70,000 | 77,692 | |||||||||||
North Carolina State Medical Care Commission, Retirement Facilities Revenue, The Forest at Duke Project | 4.000 | % | 9/1/41 | 330,000 | 361,223 | |||||||||||
North Carolina State Turnpike Authority, Monroe Expressway Toll Revenue, Series A, Refunding | 5.000 | % | 7/1/42 | 5,000 | 5,543 | |||||||||||
Total North Carolina | 444,458 | |||||||||||||||
Ohio — 3.6% | ||||||||||||||||
American Municipal Power Inc., OH, Revenue, AMP Fremont Energy Center Project, Series A, Refunding | 4.000 | % | 2/15/37 | 250,000 | 285,132 | |||||||||||
Buckeye, OH, Tobacco Settlement Financing Authority Revenue, Senior Bonds, Series B-2, Refunding | 5.000 | % | 6/1/55 | 250,000 | 272,349 | |||||||||||
Ohio State Air Quality Development Authority Revenue: | ||||||||||||||||
American Electric Company Project, Series B, Refunding | 2.500 | % | 10/1/29 | 100,000 | 103,180 | (a)(b)(c) |
See Notes to Financial Statements.
22 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Ohio — continued | ||||||||||||||||
American Electric Company Project, Series D, Refunding | 2.100 | % | 10/1/24 | $ | 250,000 | $ | 253,208 | (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 | 589,121 | |||||||||||
Xavier University 2020 Project | 5.000 | % | 5/1/33 | 495,000 | 600,429 | |||||||||||
Ohio State Hospital Revenue, University Hospitals Health Systems Inc., Series E | 4.000 | % | 1/15/37 | 100,000 | 110,359 | |||||||||||
Warrensville Heights, OH, School District, GO: | ||||||||||||||||
Refunding, BAM | 5.000 | % | 12/1/44 | 425,000 | 467,574 | (e) | ||||||||||
Refunding, BAM | 5.000 | % | 12/1/44 | 175,000 | 190,053 | |||||||||||
Total Ohio | 2,871,405 | |||||||||||||||
Oklahoma — 0.6% | ||||||||||||||||
Oklahoma State Development Finance Authority Revenue, Gilcrease Expressway West Project, Series A | 1.625 | % | 7/6/23 | 500,000 | 500,449 | (a) | ||||||||||
Oregon — 0.6% | ||||||||||||||||
Gilliam County, OR, Solid Waste Disposal Revenue, Waste Management Project, Series A | 2.400 | % | 5/2/22 | 125,000 | 125,092 | (a)(b)(c) | ||||||||||
Port of Portland, OR, Airport Revenue, Portland International Airport, Series 26C, Refunding | 5.000 | % | 7/1/26 | 150,000 | 169,516 | (a) | ||||||||||
Salem, OR, Hospital Facility Authority Revenue, Capital Manor Project, Refunding | 4.000 | % | 5/15/32 | 185,000 | 200,304 | |||||||||||
Total Oregon | 494,912 | |||||||||||||||
Pennsylvania — 3.5% | ||||||||||||||||
Allegheny County, PA, HDA Revenue, University Pittsburgh Medical Center, Series A, Refunding | 4.000 | % | 7/15/38 | 150,000 | 167,153 | |||||||||||
Berks County, PA, IDA, Healthcare Facilities Revenue, Highlands at Wyomissing, Refunding | 5.000 | % | 5/15/32 | 50,000 | 55,699 | |||||||||||
Commonwealth Financing Authority, PA, Tobacco Master Settlement Payment Revenue | 5.000 | % | 6/1/30 | 50,000 | 58,979 | |||||||||||
Lancaster County, PA, Hospital Authority Revenue, Penn State Health | 5.000 | % | 11/1/37 | 600,000 | 722,685 | |||||||||||
Pennsylvania State Economic Development Financing Authority, Solid Waste Disposal Revenue, Waste Management Inc. Project | 2.150 | % | 7/1/24 | 100,000 | 100,293 | (a)(b)(c) | ||||||||||
Pennsylvania State Turnpike Commission Revenue: | ||||||||||||||||
Series A | 5.000 | % | 12/1/44 | 175,000 | 209,782 | |||||||||||
Series A-1 | 5.000 | % | 12/1/47 | 25,000 | 28,894 |
See Notes to Financial Statements.
Western Asset SMASh Series TF Fund 2022 Annual Report |
|
23 |
|
Schedule of investments (cont’d)
February 28, 2022
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Pennsylvania — continued | ||||||||||||||||
Series B, Refunding | 5.000 | % | 12/1/46 | $ | 250,000 | $ | 303,121 | |||||||||
Subordinated, Series B | 5.000 | % | 12/1/48 | 100,000 | 116,701 | |||||||||||
Subordinated, Series B | 5.000 | % | 12/1/50 | 250,000 | 299,872 | |||||||||||
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 | 109,288 | |||||||||||
Lease Revenue, Refunding | 5.000 | % | 10/1/30 | 100,000 | 122,733 | |||||||||||
Philadelphia, PA, Authority for IDR, City Service Agreement Revenue, Rebuild Project | 5.000 | % | 5/1/35 | 250,000 | 296,620 | |||||||||||
Philadelphia, PA, GO, Series B | 5.000 | % | 2/1/35 | 150,000 | 182,391 | |||||||||||
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 | 22,956 | |||||||||||
Total Pennsylvania | 2,797,167 | |||||||||||||||
Puerto Rico — 4.7% | ||||||||||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue, Senior Lien, Series A, Refunding | 5.000 | % | 7/1/47 | 500,000 | 566,900 | (f) | ||||||||||
Puerto Rico Commonwealth Public Improvement, GO, Series A, Refunding | 5.000 | % | 7/1/41 | 240,000 | 219,000 | *(g) | ||||||||||
Puerto Rico Electric Power Authority Revenue: | ||||||||||||||||
Series A | 5.000 | % | 7/1/29 | 195,000 | 201,094 | *(g) | ||||||||||
Series A | 5.000 | % | 7/1/42 | 320,000 | 330,000 | *(g) | ||||||||||
Series A | 5.050 | % | 7/1/42 | 100,000 | 103,125 | *(g) | ||||||||||
Series XX | 5.250 | % | 7/1/40 | 360,000 | 373,050 | *(g) | ||||||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue: | ||||||||||||||||
CAB, Restructured, Series A-1 | 0.000 | % | 7/1/27 | 60,000 | 53,188 | |||||||||||
CAB, Restructured, Series A-1 | 0.000 | % | 7/1/46 | 160,000 | 51,978 | |||||||||||
CAB, Restructured, Series A-1 | 0.000 | % | 7/1/51 | 625,000 | 147,117 | |||||||||||
Restructured, Series A-1 | 4.550 | % | 7/1/40 | 10,000 | 11,078 | |||||||||||
Restructured, Series A-1 | 4.750 | % | 7/1/53 | 358,000 | 395,928 | |||||||||||
Restructured, Series A-1 | 5.000 | % | 7/1/58 | 1,000,000 | 1,121,452 | |||||||||||
Restructured, Series A-2 | 4.329 | % | 7/1/40 | 130,000 | 142,355 | |||||||||||
Total Puerto Rico | 3,716,265 | |||||||||||||||
South Dakota — 0.0%†† | ||||||||||||||||
South Dakota State HEFA Revenue, Regional Health | 5.000 | % | 9/1/40 | 25,000 | 28,820 |
See Notes to Financial Statements.
24 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Tennessee — 0.8% | ||||||||||||||||
Metropolitan Government of Nashville & Davidson County, TN, Water & Sewer Revenue, Subordinated, Series B, Refunding | 5.000 | % | 7/1/46 | $ | 50,000 | $ | 58,232 | |||||||||
Tennessee State Energy Acquisition Corp., Natural Gas Revenue: | ||||||||||||||||
Series 2018 | 4.000 | % | 11/1/25 | 100,000 | 107,385 | (b)(c) | ||||||||||
Series A | 5.250 | % | 9/1/26 | 425,000 | 480,840 | |||||||||||
Total Tennessee | 646,457 | |||||||||||||||
Texas — 4.7% | ||||||||||||||||
Arlington, TX, Higher Education Finance Corp., Education Revenue, Uplift Education, Series A, Refunding, PSF - GTD | 5.000 | % | 12/1/37 | 20,000 | 23,291 | |||||||||||
Arlington, TX, Special Tax Revenue, Subordinated Lien, Series C, BAM | 5.000 | % | 2/15/41 | 100,000 | 107,285 | |||||||||||
Austin, TX, Airport System Revenue, Series B | 5.000 | % | 11/15/44 | 250,000 | 291,902 | (a) | ||||||||||
Central Texas Regional Mobility Authority Revenue: | ||||||||||||||||
Senior Lien, Series B | 4.000 | % | 1/1/51 | 250,000 | 272,265 | |||||||||||
Senior Lien, Series E | 4.000 | % | 1/1/50 | 250,000 | 271,290 | |||||||||||
Forney, TX, ISD, GO, School Building, Series 2019, PSF - GTD | 5.000 | % | 2/15/49 | 100,000 | 114,718 | |||||||||||
Grand Parkway Transportation Corp., TX, System Toll Revenue, First Tier Toll Revenue, Series C, Refunding | 4.000 | % | 10/1/40 | 500,000 | 557,585 | |||||||||||
Harris County, TX, Cultural Education Facilities Finance Corp., Thermal Utility Revenue, Teco Project, Refunding | 5.000 | % | 11/15/33 | 200,000 | 235,556 | |||||||||||
Houston, TX, Airport System Revenue: | ||||||||||||||||
Special Facilities, United Airlines Inc., Technical Operations Center Project | 5.000 | % | 7/15/28 | 100,000 | 113,119 | (a) | ||||||||||
Special Facilities, United Airlines Inc., Terminal Improvement Project, Series B1 | 4.000 | % | 7/15/41 | 400,000 | 413,683 | (a) | ||||||||||
Subordinated Lien, Series A, Refunding | 4.000 | % | 7/1/46 | 400,000 | 436,036 | (a) | ||||||||||
Newark, TX, Higher Education Finance Corp., Education Revenue, TLC Academy, Series A | 4.000 | % | 8/15/31 | 100,000 | 106,319 | |||||||||||
Southwest Texas, Higher Education Authority Inc. Revenue, Southern Methodist University Project, Refunding | 5.000 | % | 10/1/41 | 50,000 | 58,830 | |||||||||||
Tarrant County, TX, Cultural Education Facilities Finance Corp., Hospital Revenue, Methodist Hospitals of Dallas | 4.000 | % | 10/1/47 | 250,000 | 282,561 |
See Notes to Financial Statements.
Western Asset SMASh Series TF Fund 2022 Annual Report |
|
25 |
|
Schedule of investments (cont’d)
February 28, 2022
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Texas — continued | ||||||||||||||||
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facility Revenue: | ||||||||||||||||
Buckner Retirement Services Inc. Project, Refunding | 5.000 | % | 11/15/37 | $ | 50,000 | $ | 57,182 | |||||||||
Buckner Retirement Services Inc. Project, Refunding | 5.000 | % | 11/15/46 | 50,000 | 56,148 | |||||||||||
Texas State, Municipal Gas Acquisition & Supply Corp. I, Gas Supply Revenue, Senior Lien, Series D | 6.250 | % | 12/15/26 | 135,000 | 151,921 | |||||||||||
Texas State Private Activity Bond Surface Transportation Corp. Revenue: | ||||||||||||||||
LBJ Infrastructure Group LLC I-635 Managed Lanes Project, Series L | 4.000 | % | 12/31/38 | 75,000 | 83,025 | |||||||||||
Senior Lien, Blueridge Transportation Group LLC | 5.000 | % | 12/31/40 | 5,000 | 5,469 | (a) | ||||||||||
West Harris County, TX, Regional Water Authority Revenue, Series 2019 | 4.000 | % | 12/15/49 | 100,000 | 112,264 | |||||||||||
Total Texas | 3,750,449 | |||||||||||||||
U.S. Virgin Islands — 0.4% | ||||||||||||||||
Virgin Islands Public Finance Authority Revenue: | ||||||||||||||||
Matching Fund Loan, Senior Lien, Series A | 5.000 | % | 10/1/29 | 155,000 | 155,398 | |||||||||||
Matching Fund Loan, Subordinated Lien, Series B | 5.250 | % | 10/1/29 | 175,000 | 174,570 | |||||||||||
Total U.S. Virgin Islands | 329,968 | |||||||||||||||
Utah — 3.0% | ||||||||||||||||
Salt Lake City, UT, Airport Revenue, Salt Lake City International Airport, Series A | 5.000 | % | 7/1/43 | 250,000 | 286,824 | (a) | ||||||||||
Utah State Charter School Finance Authority, Charter School Revenue: | ||||||||||||||||
Syracuse Arts Academy Project, UT CSCE | 5.000 | % | 4/15/37 | 5,000 | 5,485 | |||||||||||
Utah Charter Academies Project, Series 2018, UT CSCE | 5.000 | % | 10/15/38 | 220,000 | 250,553 | |||||||||||
Utah State Infrastructure Agency, Telecommunications Revenue, Series A | 5.250 | % | 10/15/33 | 200,000 | 229,703 | |||||||||||
Vineyard Redevelopment Agency, UT, Tax Increment Revenue: | ||||||||||||||||
Series 2021, Refunding, AGM | 5.000 | % | 5/1/31 | 235,000 | 291,771 | |||||||||||
Series 2021, Refunding, AGM | 4.000 | % | 5/1/37 | 275,000 | 314,217 | |||||||||||
Series 2021, Refunding, AGM | 4.000 | % | 5/1/39 | 300,000 | 341,407 | |||||||||||
Series 2021, Refunding, AGM | 4.000 | % | 5/1/41 | 290,000 | 328,924 | |||||||||||
Series 2021, Refunding, AGM | 4.000 | % | 5/1/46 | 275,000 | 308,564 | |||||||||||
Total Utah | 2,357,448 |
See Notes to Financial Statements.
26 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Virginia — 1.2% | ||||||||||||||||
Arlington County, VA, IDA Revenue: | ||||||||||||||||
Refunding | 5.000 | % | 2/15/43 | $ | 50,000 | $ | 57,814 | |||||||||
Virginia Hospital Center, Refunding | 5.000 | % | 7/1/36 | 200,000 | 245,711 | |||||||||||
Virginia State Small Business Financing Authority Revenue: | ||||||||||||||||
Bon Secours Mercy Health, Series A, Refunding | 4.000 | % | 12/1/49 | 250,000 | 276,171 | |||||||||||
National Senior Campuses, Inc., Series A, Refunding | 5.000 | % | 1/1/34 | 85,000 | 99,788 | |||||||||||
Senior Lien, I-495 HOT Lanes Project, Refunding | 5.000 | % | 12/31/47 | 200,000 | 240,688 | ��(a)(d) | ||||||||||
Total Virginia | 920,172 | |||||||||||||||
Washington — 0.5% | ||||||||||||||||
Port of Seattle, WA, Intermediate Lien Revenue, Series 2019 | 5.000 | % | 4/1/34 | 250,000 | 297,934 | (a) | ||||||||||
Washington State Health Care Facilities Authority Revenue, Seattle Cancer Care Alliance, Refunding | 5.000 | % | 9/1/55 | 100,000 | 119,272 | |||||||||||
Total Washington | 417,206 | |||||||||||||||
West Virginia — 1.1% | ||||||||||||||||
West Virginia Parkways Authority, WV, Turnpike Toll Revenue, Senior Lien | 5.000 | % | 6/1/33 | 600,000 | 758,600 | |||||||||||
West Virginia University Revenue, West Virginia Projects, Series B, Refunding | 5.000 | % | 10/1/29 | 100,000 | 120,664 | (b)(c) | ||||||||||
Total West Virginia | 879,264 | |||||||||||||||
Wisconsin — 0.2% | ||||||||||||||||
Public Finance Authority, WI, Revenue, Carmelite System Inc., Obligated Group, Series 2020 | 5.000 | % | 1/1/40 | 50,000 | 57,412 | |||||||||||
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 | 114,100 | |||||||||||
Total Wisconsin | 171,512 | |||||||||||||||
Total Investments before Short-Term Investments (Cost — $72,237,222) |
| 73,649,794 | ||||||||||||||
Short-Term Investments — 9.7% | ||||||||||||||||
Municipal Bonds — 9.6% | ||||||||||||||||
California — 0.8% | ||||||||||||||||
San Francisco, CA, City & County Airport Commission, International Airport Revenue, Second Series A, Refunding, LOC - Bank of America N.A. | 0.180 | % | 5/1/30 | 600,000 | 600,000 | (a)(h)(i) |
See Notes to Financial Statements.
Western Asset SMASh Series TF Fund 2022 Annual Report |
|
27 |
|
Schedule of investments (cont’d)
February 28, 2022
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Florida — 0.7% | ||||||||||||||||
St. Lucie County, FL, Solid Waste Disposal Revenue, Florida Power & Light Co. Project, Refunding | 0.130 | % | 5/1/24 | $ | 600,000 | $ | 600,000 | (a)(h)(i) | ||||||||
Massachusetts — 0.3% | ||||||||||||||||
Massachusetts State DFA Revenue, Boston University, Series U-6E, Refunding, LOC - TD Bank N.A. | 0.060 | % | 10/1/42 | 255,000 | 255,000 | (h)(i) | ||||||||||
Mississippi — 2.5% | ||||||||||||||||
Mississippi State Business Finance Corp., Gulf Opportunity Zone, IDR: | ||||||||||||||||
Chevron USA Inc. Project, Series A | 0.080 | % | 11/1/35 | 800,000 | 800,000 | (h)(i) | ||||||||||
Chevron USA Inc. Project, Series G | 0.080 | % | 11/1/35 | 700,000 | 700,000 | (h)(i) | ||||||||||
Chevron USA Inc. Project, Series K | 0.080 | % | 11/1/35 | 500,000 | 500,000 | (h)(i) | ||||||||||
Total Mississippi | 2,000,000 | |||||||||||||||
New Jersey — 0.8% | ||||||||||||||||
New Jersey State Health Care Facilities Financing Authority Revenue: | ||||||||||||||||
Hospital Capital Asset Financing Program, Series B, Refunding, LOC - TD Bank N.A. | 0.200 | % | 7/1/35 | 300,000 | 300,000 | (h)(i) | ||||||||||
Meridian Health System Obligated Group Issue, Series A, LOC - TD Bank N.A. | 0.190 | % | 7/1/33 | 300,000 | 300,000 | (h)(i) | ||||||||||
Total New Jersey | 600,000 | |||||||||||||||
New York — 2.4% | ||||||||||||||||
MTA, NY, Dedicated Tax Revenue, Series A-1, Refunding, LOC - TD Bank N.A. | 0.090 | % | 11/1/31 | 100,000 | 100,000 | (h)(i) | ||||||||||
New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue: | ||||||||||||||||
Second General Resolution Fiscal 2008, Series BB-5, Refunding, SPA - Bank of America N.A. | 0.070 | % | 6/15/33 | 350,000 | 350,000 | (h)(i) | ||||||||||
Second General Resolution Fiscal 2014, Series AA-5, Refunding, SPA - Mizuho Bank Ltd. | 0.090 | % | 6/15/48 | 1,100,000 | 1,100,000 | (h)(i) | ||||||||||
New York City, NY, TFA Revenue Future Tax Secured, Subseries D-3, SPA - Mizuho Bank Ltd. | 0.110 | % | 2/1/44 | 400,000 | 400,000 | (h)(i) | ||||||||||
Total New York | 1,950,000 | |||||||||||||||
Pennsylvania — 2.1% | ||||||||||||||||
Delaware Valley, PA, Regional Finance Authority, Local Government Revenue: | ||||||||||||||||
Series A, LOC - TD Bank N.A. | 0.190 | % | 5/1/55 | 300,000 | 300,000 | (h)(i) |
See Notes to Financial Statements.
28 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Western Asset SMASh Series TF Fund
(Percentages shown based on Fund net assets)
Security | Rate | Maturity Date | Face Amount | Value | ||||||||||||
Pennsylvania — continued | ||||||||||||||||
Series D, LOC - TD Bank N.A. | 0.190 | % | 11/1/55 | $ | 400,000 | $ | 400,000 | (h)(i) | ||||||||
Pennsylvania State Turnpike Commission Revenue, Series 2020, Refunding, LOC - TD Bank N.A. | 0.200 | % | 12/1/39 | 1,000,000 | 1,000,000 | (h)(i) | ||||||||||
Total Pennsylvania | 1,700,000 | |||||||||||||||
Total Municipal Bonds (Cost — $7,705,000) | 7,705,000 | |||||||||||||||
Shares | ||||||||||||||||
Overnight Deposits — 0.1% | ||||||||||||||||
BNY Mellon Cash Reserve Fund (Cost — $51,043) | 0.000 | % | 51,043 | 51,043 | ||||||||||||
Total Short-Term Investments (Cost — $7,756,043) |
| 7,756,043 | ||||||||||||||
Total Investments — 101.8% (Cost — $79,993,265) |
| 81,405,837 | ||||||||||||||
Liabilities in Excess of Other Assets — (1.8)% |
| (1,406,000 | ) | |||||||||||||
Total Net Assets — 100.0% |
| $ | 79,999,837 |
†† | Represents less than 0.1%. |
* | Non-income producing security. |
(a) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (“AMT”). |
(b) | Maturity date shown represents the mandatory tender date. |
(c) | 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. |
(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 February 28, 2022. |
(h) | 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. |
(i) | Maturity date shown is the final maturity date. The security may be sold back to the issuer before final maturity. |
See Notes to Financial Statements.
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Schedule of investments (cont’d)
February 28, 2022
Western Asset SMASh Series TF Fund
Abbreviation(s) used in this schedule: | ||
AGM | — Assured Guaranty Municipal Corporation — Insured Bonds | |
BAM | — Build America Mutual — Insured Bonds | |
CAB | — Capital Appreciation Bonds | |
CDA | — Communities Development Authority | |
COP | — Certificates of Participation | |
CSCE | — Charter School Credit Enhancement | |
CWA | — Clean Water Act | |
DFA | — Development Finance Agency | |
EDA | — Economic Development Authority | |
EFA | — Educational Facilities Authority | |
GO | — General Obligation | |
GTD | — Guaranteed | |
HDA | — Housing Development Authority | |
HEFA | — Health & Educational Facilities Authority | |
IDA | — Industrial Development Authority | |
IDR | — Industrial Development Revenue | |
ISD | — Independent School District | |
LOC | — Letter of Credit | |
MFA | — Municipal Finance Authority | |
MTA | — Metropolitan Transportation Authority | |
NATL | — National Public Finance Guarantee Corporation — Insured Bonds | |
PCR | — Pollution Control Revenue | |
PEA | — Public Energy Authority | |
PFA | — Public Facilities Authority | |
PSF | — Permanent School Fund | |
SD | — School District | |
SIFMA | — Securities Industry and Financial Markets Association | |
SPA | — Standby Bond Purchase Agreement — Insured Bonds | |
TFA | — Transitional Finance Authority | |
USD | — Unified School District |
See Notes to Financial Statements.
30 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Statement of assets and liabilities
February 28, 2022
Assets: | ||||
Investments, at value (Cost — $79,993,265) | $ | 81,405,837 | ||
Interest receivable | 722,098 | |||
Receivable for securities sold | 150,563 | |||
Receivable from investment manager | 11,997 | |||
Prepaid expenses | 11,890 | |||
Total Assets | 82,302,385 | |||
Liabilities: | ||||
Payable for securities purchased | 2,110,823 | |||
Payable for Fund shares repurchased | 158,112 | |||
Trustees’ fees payable | 93 | |||
Accrued expenses | 33,520 | |||
Total Liabilities | 2,302,548 | |||
Total Net Assets | $ | 79,999,837 | ||
Net Assets: | ||||
Par value (Note 5) | $ | 76 | ||
Paid-in capital in excess of par value | 79,087,816 | |||
Total distributable earnings (loss) | 911,945 | |||
Total Net Assets | $ | 79,999,837 | ||
Shares Outstanding | 7,610,716 | |||
Net Asset Value | $ | 10.51 |
See Notes to Financial Statements.
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For the Year Ended February 28, 2022
Investment Income: | ||||
Interest | $ | 1,832,622 | ||
Total Investment Income | 1,832,622 | |||
Expenses: | ||||
Fund accounting fees | 68,988 | |||
Registration fees | 38,091 | |||
Audit and tax fees | 29,068 | |||
Legal fees | 7,853 | |||
Shareholder reports | 3,420 | |||
Trustees’ fees | 1,740 | |||
Insurance | 763 | |||
Commitment fees (Note 6) | 495 | |||
Transfer agent fees | 370 | |||
Interest expense | 234 | |||
Custody fees | 81 | |||
Miscellaneous expenses | 5,022 | |||
Total Expenses | 156,125 | |||
Less: Fee waivers and/or expense reimbursements (Note 2) | (156,125) | |||
Net Expenses | — | |||
Net Investment Income | 1,832,622 | |||
Realized and Unrealized Gain (Loss) on Investments (Notes 1 and 3): | ||||
Net Realized Gain From Investment Transactions | 140,134 | |||
Change in Net Unrealized Appreciation (Depreciation) From Investments | (1,746,941) | |||
Net Loss on Investments | (1,606,807) | |||
Increase in Net Assets From Operations | $ | 225,815 |
See Notes to Financial Statements.
32 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Statements of changes in net assets
For the Years Ended February 28, | 2022 | 2021 | ||||||
Operations: | ||||||||
Net investment income | $ | 1,832,622 | $ | 1,615,251 | ||||
Net realized gain (loss) | 140,134 | (244,704) | ||||||
Change in net unrealized appreciation (depreciation) | (1,746,941) | (521,360) | ||||||
Increase in Net Assets From Operations | 225,815 | 849,187 | ||||||
Distributions to Shareholders From (Note 1): | ||||||||
Total distributable earnings | (1,810,807) | (1,621,097) | ||||||
Decrease in Net Assets From Distributions to Shareholders | (1,810,807) | (1,621,097) | ||||||
Fund Share Transactions (Note 5): | ||||||||
Net proceeds from sale of shares | 28,170,090 | 31,900,100 | ||||||
Cost of shares repurchased | (14,587,102) | (21,792,737) | ||||||
Increase in Net Assets From Fund Share Transactions | 13,582,988 | 10,107,363 | ||||||
Increase in Net Assets | 11,997,996 | 9,335,453 | ||||||
Net Assets: | �� | |||||||
Beginning of year | 68,001,841 | 58,666,388 | ||||||
End of year | $ | 79,999,837 | $ | 68,001,841 |
See Notes to Financial Statements.
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For a share of beneficial interest outstanding throughout each year ended February 28, unless otherwise noted: | ||||||||||||||||||||
20221 | 20211 | 20201,2 | 20191 | 20181 | ||||||||||||||||
Net asset value, beginning of year | $ | 10.69 | $ | 10.86 | $ | 10.09 | $ | 10.00 | $ | 9.84 | ||||||||||
Income (loss) from operations: | ||||||||||||||||||||
Net investment income | 0.25 | 0.28 | 0.28 | 0.28 | 0.24 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.18) | (0.17) | 0.77 | 0.07 | 0.15 | 3 | ||||||||||||||
Total income from operations | 0.07 | 0.11 | 1.05 | 0.35 | 0.39 | |||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.25) | (0.28) | (0.28) | (0.26) | (0.23) | |||||||||||||||
Total distributions | (0.25) | (0.28) | (0.28) | (0.26) | (0.23) | |||||||||||||||
Net asset value, end of year | $ | 10.51 | $ | 10.69 | $ | 10.86 | $ | 10.09 | $ | 10.00 | ||||||||||
Total return4 | 0.59 | % | 1.09 | % | 10.53 | % | 3.53 | % | 3.99 | % | ||||||||||
Net assets, end of year (000s) | $ | 80,000 | $ | 68,002 | $ | 58,666 | $ | 32,979 | $ | 23,937 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Gross expenses5 | 0.20 | % | 0.25 | % | 0.34 | % | 0.56 | % | 0.91 | % | ||||||||||
Net expenses6,7 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||
Net investment income | 2.32 | 2.66 | 2.72 | 2.76 | 2.44 | |||||||||||||||
Portfolio turnover rate | 12 | % | 35 | % | 9 | % | 22 | % | 16 | % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the year ended February 29. |
3 | Calculation of the net gain per share (both realized and unrealized) does not correlate to the aggregate realized and unrealized losses presented in the Statement of Operations due to the timing of the sales and repurchases of Fund shares in relation to fluctuating market values of the investments of the Fund. |
4 | Performance figures do not reflect the effect of fees and expenses associated with a separately managed account, nor a management fee or other operating expenses of the Fund. Such management fees are paid directly or indirectly by the separately managed account sponsor to the Fund’s manager or subadviser. All operating expenses of the Fund were reimbursed by the manager, pursuant to an expense reimbursement arrangement between the Fund and the manager. If such fees were included, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
5 | Gross expenses do not include management fees paid to the manager and subadviser. Management fees are paid directly or indirectly by the separately managed account sponsor. |
6 | The Fund’s manager has entered into an expense reimbursement arrangement with the Fund, pursuant to which the Fund’s manager has agreed to reimburse 100% of the Fund’s ordinary operating expenses. The expense reimbursement arrangement does not cover interest, brokerage, taxes and extraordinary expenses. This arrangement cannot be terminated prior to December 31, 2023 without the Board of Trustees’ consent. |
7 | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
34 | Western Asset SMASh Series TF Fund 2022 Annual Report |
1. Organization and significant accounting policies
Western Asset SMASh Series TF Fund (the “Fund”) is a separate non-diversified investment series of Legg Mason Partners Institutional Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
Shares of the Fund may be purchased only by or on behalf of separately managed account clients where an affiliate of Legg Mason Partners Fund Advisor, LLC (“LMPFA”) has an agreement to serve as investment adviser or subadviser (each affiliate, a “Managed Account Adviser”) to the account with the managed account program sponsor (the “Program Sponsor”) (typically, a registered investment adviser or broker/dealer) or directly with the client. Shareholders of the Fund pay fees to their separately managed account sponsor, some of which are paid to affiliates of LMPFA. LMPFA and the subadviser do not charge investment management fees to the Fund.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.
(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.
The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Global Fund Valuation Committee (the
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Notes to financial statements (cont’d)
“Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to 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.
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 — 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) |
36 | Western Asset SMASh Series TF Fund 2022 Annual Report |
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 (Level 3) | Total | ||||||||||||
Municipal Bonds† | — | $ | 73,649,794 | — | $ | 73,649,794 | ||||||||||
Short-Term Investments†: | ||||||||||||||||
Municipal Bonds | — | 7,705,000 | — | 7,705,000 | ||||||||||||
Overnight Deposits | — | 51,043 | — | 51,043 | ||||||||||||
Total Short-Term Investments | — | 7,756,043 | — | 7,756,043 | ||||||||||||
Total Investments | — | $ | 81,405,837 | — | $ | 81,405,837 |
† | See Schedule of Investments for additional detailed categorizations. |
(b) Securities traded on a when-issued and delayed delivery basis. The Fund may trade securities on a when-issued or delayed delivery basis. In when-issued and delayed delivery transactions, the securities are purchased or sold by the Fund with payment and delivery taking place in the future in order to secure what is considered to be an advantageous price and yield to the Fund at the time of entering into the transaction.
Purchasing such securities involves risk of loss if the value of the securities declines prior to settlement. These securities are subject to market fluctuations and their current value is determined in the same manner as for other securities.
(c) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities), adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
(d) Distributions to shareholders. Distributions from net investment income of the Fund, if any, are declared and paid on a monthly basis. The Fund intends to satisfy conditions that will enable interest from municipal securities, which is exempt from federal and certain state income taxes, to retain such tax-exempt status when distributed to the shareholders of the Fund. Distributions of net realized gains, if any, are taxable and are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(e) Compensating balance arrangements. The Fund has an arrangement with its custodian bank whereby a portion of the custodian’s fees is paid indirectly by credits earned on the Fund’s cash on deposit with the bank.
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Notes to financial statements (cont’d)
(f) Federal and other taxes. It is the Fund’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the “Code”), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund’s financial statements.
Management has analyzed the Fund’s tax positions taken on income tax returns for all open tax years and has concluded that as of February 28, 2022, no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
(g) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share. During the current year, the Fund had no reclassifications.
2. Investment management agreement and other transactions with affiliates
LMPFA is the Fund’s investment manager. Western Asset Management Company, LLC (“Western Asset”) is the Fund’s subadviser. LMPFA and Western Asset are indirect, wholly-owned subsidiaries of Franklin Resources, Inc. (“Franklin Resources”).
LMPFA and the subadviser do not charge investment management fees to the Fund. However, the Fund is an integral part of the separately managed account program, and LMPFA and the subadviser will be compensated directly or indirectly by separately managed account program sponsors. LMPFA provides administrative and certain oversight services to the Fund. LMPFA delegates to the subadviser the day-to-day portfolio management of the Fund.
LMPFA has entered into an expense reimbursement arrangement with the Fund, pursuant to which LMPFA has agreed to reimburse 100% of the Fund’s ordinary operating expenses. The expense reimbursement arrangement does not cover interest, brokerage, taxes and extraordinary expenses. This expense reimbursement arrangement cannot be terminated prior to December 31, 2023 without the Board of Trustees’ consent.
During the year ended February 28, 2022, fees waived and/or expenses reimbursed amounted to $156,125.
Franklin Distributors, LLC (known as Legg Mason Investor Services, LLC prior to July 7, 2021) (“Franklin Distributors”) serves as the Fund’s sole and exclusive distributor. Franklin Distributors is an indirect, wholly-owned broker-dealer subsidiary of Franklin Resources.
All officers and one Trustee of the Trust are employees of Franklin Resources or its affiliates and do not receive compensation from the Trust.
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The Fund is permitted to purchase or sell securities, typically short-term variable rate demand obligations, from or to certain other affiliated funds or portfolios under specified conditions outlined in procedures adopted by the Board of Trustees. The procedures have been designed to provide assurance that any purchase or sale of securities by the Fund from or to another fund or portfolio that is, or could be considered, an affiliate by virtue of having a common investment manager or subadviser (or affiliated investment manager or subadviser), common Trustees and/or common officers complies with Rule 17a-7 under the 1940 Act. Further, as defined under the procedures, each transaction is effected at the current market price. For the year ended February 28, 2022, such purchase and sale transactions (excluding accrued interest) were $19,408,500 and $23,825,000, respectively.
3. Investments
During the year ended February 28, 2022, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) were as follows:
Purchases | $ | 23,547,286 | ||
Sales | 8,735,440 |
At February 28, 2022, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation | |||||||||||||
Securities | $ | 79,977,331 | $ | 2,281,094 | $ | (852,588) | $ | 1,428,506 |
4. Derivative instruments and hedging activities
During the year ended February 28, 2022, the Fund did not invest in derivative instruments.
5. Shares of beneficial interest
At February 28, 2022, the Trust had an unlimited number of shares of beneficial interest authorized with a par value of $0.00001 per share. Each share represents an identical interest and has the same rights.
Transactions in shares of the Fund were as follows:
Year Ended February 28, 2022 | Year Ended February 28, 2021 | |||||||
Shares sold | 2,591,521 | 3,055,100 | ||||||
Shares repurchased | (1,342,248) | (2,095,843) | ||||||
Net increase | 1,249,273 | 959,257 |
6. Redemption facility
The Fund and certain other participating funds within the Trust, together with other U.S. registered and foreign investment funds (collectively, the “Borrowers”) managed by LMPFA or Franklin Resources, are borrowers in a joint syndicated senior unsecured credit facility totaling $2.675 billion (the “Global Credit Facility”). The Global Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the
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Notes to financial statements (cont’d)
ability to meet future unanticipated or unusually large redemption requests. Unless renewed, the Global Credit Facility will terminate on February 3, 2023.
Under the terms of the Global Credit Facility, the Fund shall, in addition to interest charged on any borrowings made by the Fund and other costs incurred by the Fund, pay its share of fees and expenses incurred in connection with the implementation and maintenance of the Global Credit Facility, based upon its relative share of the aggregate net assets of all the Borrowers, including an annual commitment fee of 0.15% based upon the unused portion of the Global Credit Facility. These fees are reflected in the Statement of Operations. The Fund did not utilize the Global Credit Facility during the year ended February 28, 2022.
7. Income tax information and distributions to shareholders
The tax character of distributions paid during the fiscal years ended February 28, was as follows:
2022 | 2021 | |||||||
Distributions paid from: | ||||||||
Tax-exempt income | $ | 1,810,807 | $ | 1,621,097 |
As of February 28, 2022, the components of distributable earnings (loss) on a tax basis were as follows:
Undistributed tax-exempt income — net | $ | 99,675 | ||
Deferred capital losses* | (612,806) | |||
Other book/tax temporary differences(a) | (3,430) | |||
Unrealized appreciation (depreciation)(b) | 1,428,506 | |||
Total distributable earnings (loss) — net | $ | 911,945 |
* | These capital losses have been deferred in the current year as either short-term or long-term losses. The losses will be deemed to occur on the first day of the next taxable year in the same character as they were originally deferred and will be available to offset future taxable capital gains. |
(a) | Other book/tax temporary differences are attributable to book/tax differences in the timing of the deductibility of various expenses. |
(b) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable to the difference between book and tax accretion methods for market discount on fixed income securities. |
8. Recent accounting pronouncement
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs are effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of these ASUs will not have a material impact on the financial statements.
40 | Western Asset SMASh Series TF Fund 2022 Annual Report |
9. Other matters
The outbreak of the respiratory illness COVID-19 (commonly referred to as “coronavirus”) has continued to rapidly spread around the world, causing considerable uncertainty for the global economy and financial markets. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The COVID-19 pandemic could adversely affect the value and liquidity of the Fund’s investments, impair the Fund’s ability to satisfy redemption requests, and negatively impact the Fund’s performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers.
* * *
The Fund’s investments, payment obligations, and financing terms may be based on floating rates, such as the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. On March 5, 2021, the ICE Benchmark Administration, the administrator of LIBOR, stated that it will cease the publication of the overnight and one-, three-, six- and twelve-month USD LIBOR settings immediately following the LIBOR publication on Friday, June 30, 2023. All other LIBOR settings, including the one-week and two-month USD LIBOR settings, have ceased publication as of January 1, 2022. There remains uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the Fund’s transactions and the financial markets generally. As such, the potential effect of a transition away from LIBOR on the Fund or the Fund’s investments cannot yet be determined.
* * *
Russia’s military invasion of Ukraine in February 2022, the resulting responses by the United States and other countries, and the potential for wider conflict could increase volatility and uncertainty in the financial markets and adversely affect regional and global economies. The United States and other countries have imposed broad-ranging economic sanctions on Russia and certain Russian individuals, banking entities and corporations as a response to its invasion of Ukraine. The United States and other countries have also imposed economic sanctions on Belarus and may impose sanctions on other countries that support Russia’s military invasion. These sanctions, as well as any other economic consequences related to the invasion, such as additional sanctions, boycotts or changes in consumer or purchaser preferences or cyberattacks on governments, companies or individuals, may further decrease the value and liquidity of certain Russian securities and securities of issuers in other countries that are subject to economic sanctions related to the invasion.
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Report of independent registered public accounting firm
To the Board of Trustees of Legg Mason Partners Institutional Trust and Shareholders of Western Asset SMASh Series TF Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Western Asset SMASh Series TF Fund (one of the funds constituting Legg Mason Partners Institutional Trust, referred to hereafter as the “Fund”) as of February 28, 2022, the related statement of operations for the year ended February 28, 2022, the statement of changes in net assets for each of the two years in the period ended February 28, 2022, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 28, 2022, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended February 28, 2022 and the financial highlights for each of the five years in the period ended February 28, 2022 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Baltimore, Maryland
April 18, 2022
We have served as the auditor of one or more investment companies in the Franklin Templeton Group of Funds since 1948.
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Statement regarding liquidity risk management program
(unaudited)
Each Fund has adopted and implemented a written Liquidity Risk Management Program (the “LRMP”) as required by Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The LRMP is designed to assess and manage each Fund’s liquidity risk, which is defined as the risk that the Fund could not meet requests to redeem shares issued by the Fund without significant dilution of remaining investors’ interests in the Fund. In accordance with the Liquidity Rule, the LRMP includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Fund’s liquidity risk; (2) classification of each Fund’s portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for Funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Fund’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Fund’s acquisition of Illiquid investments that would result in the Fund holding more than 15% of its net assets in Illiquid assets. The LRMP also requires reporting to the Securities and Exchange Commission (“SEC”) (on a non-public basis) and to the Board if the Fund’s holdings of Illiquid assets exceed 15% of the Fund’s net assets. Funds with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
The Director of Liquidity Risk within the Investment Risk Management Group (the “IRMG”) is the appointed Administrator of the LRMP. The IRMG maintains the Investment Liquidity Committee (the “ILC”) to provide oversight and administration of policies and procedures governing liquidity risk management for Franklin Templeton and Legg Mason products and portfolios. The ILC includes representatives from Franklin Templeton’s Risk, Trading, Global Compliance, Legal, Investment Compliance, Investment Operations, Valuation Committee, Product Management and Global Product Strategy.
In assessing and managing each Fund’s liquidity risk, the ILC considers, as relevant, a variety of factors, including the Fund’s investment strategy and the liquidity of its portfolio investments during both normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources including the Funds’ interfund lending facility and line of credit. Classification of the Fund’s portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value.
Each Fund primarily holds liquid assets that are defined under the Liquidity Rule as “Highly Liquid Investments,” and therefore is not required to establish an HLIM. Highly Liquid
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Statement regarding liquidity risk management program
(unaudited) (cont’d)
Investments are defined as cash and any investment reasonably expected to be convertible to cash in current market conditions in three business days or less without the conversion to cash significantly changing the market value of the investment.
At meetings of the Funds’ Board of Trustees/Directors held in November 2021, the Program Administrator provided a written report to the Board addressing the adequacy and effectiveness of the program for the year ended December 31, 2020. The Program Administrator report concluded that (i.) the LRMP, as adopted and implemented, remains reasonably designed to assess and manage each Fund’s liquidity risk; (ii.) the LRMP, including the Highly Liquid Investment Minimum (“HLIM”) where applicable, was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk; and (iii.) each Fund was able to meet requests for redemption without significant dilution of remaining investors’ interests in the Fund.
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Additional information (unaudited)
Information about Trustees and Officers
The business and affairs of Western Asset SMASh Series TF Fund (the “Fund”) are conducted by management under the supervision and subject to the direction of its Board of Trustees. The business address of each Trustee is c/o Jane Trust, Legg Mason, 100 International Drive, 11th Floor, Baltimore, Maryland 21202.
Information pertaining to the Trustees and officers of the Board is set forth below. The Statement of Additional Information includes additional information about Trustees and is available, without charge, upon request by calling the Fund at 877-6LM-FUND/656-3863.
Independent Trustees† | ||
Robert Abeles, Jr. | ||
Year of birth | 1945 | |
Position(s) with Fund | Trustee | |
Term of office1 and length of time served2 | Since 2013 | |
Principal occupation(s) during the past five years | Board Member, Great Public Schools Now (since 2018); Senior Vice President Emeritus (since 2016) and formerly, Senior Vice President, Finance and Chief Financial Officer (2009 to 2016) at University of Southern California; Board Member, Excellent Education Development (since 2012) | |
Number of funds in fund complex overseen by Trustee3 | 51 | |
Other Trusteeships held by Trustee during the past five years | None | |
Jane F. Dasher | ||
Year of birth | 1949 | |
Position(s) with Fund | Trustee | |
Term of office1 and length of time served2 | Since 1999 | |
Principal occupation(s) during the past five years | Chief Financial Officer, Long Light Capital, LLC, formerly known as Korsant Partners, LLC (a family investment company) (since 1997) | |
Number of funds in fund complex overseen by Trustee3 | 51 | |
Other Trusteeships held by Trustee during the past five years | Director, Visual Kinematics, Inc. (since 2018) | |
Anita L. DeFrantz | ||
Year of birth | 1952 | |
Position(s) with Fund | Trustee | |
Term of office1 and length of time served2 | Since 1998 | |
Principal occupation(s) during the past five years | President of Tubman Truth Corp. (since 2015); President Emeritus (since 2015) and formerly, President (1987 to 2015) and Director (1990 to 2015) of LA84 (formerly Amateur Athletic Foundation of Los Angeles); Member (since 1986), Member of the Executive Board (since 2013) and Vice President (since 2017) of the International Olympic Committee | |
Number of funds in fund complex overseen by Trustee3 | 51 | |
Other Trusteeships held by Trustee during the past five years | None |
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Additional information (unaudited) (cont’d)
Information about Trustees and Officers
Independent Trustees† (cont’d) | ||
Susan B. Kerley | ||
Year of birth | 1951 | |
Position(s) with Fund | Trustee | |
Term of office1 and length of time served2 | Since 1992 | |
Principal occupation(s) during the past five years | Investment Consulting Partner, Strategic Management Advisors, LLC (investment consulting) (since 1990) | |
Number of funds in fund complex overseen by Trustee3 | 51 | |
Other Trusteeships held by Trustee during the past five years | Director and Trustee (since 1990) and Chairman (since 2017 and 2005 to 2012) of various series of MainStay Family of Funds (66 funds); formerly, Investment Company Institute (ICI) Board of Governors (2006 to 2014); ICI Executive Committee (2011 to 2014); Chairman of the Independent Directors Council (2012 to 2014) | |
Michael Larson | ||
Year of birth | 1959 | |
Position(s) with Fund | Trustee | |
Term of office1 and length of time served2 | Since 2004 | |
Principal occupation(s) during the past five years | Chief Investment Officer for William H. Gates III (since 1994)4 | |
Number of funds in fund complex overseen by Trustee3 | 51 | |
Other Trusteeships held by Trustee during the past five years | Republic Services, Inc. (since 2009); Fomento Economico Mexicano, SAB (since 2011); Ecolab Inc. (since 2012); formerly, AutoNation, Inc. (2010 to 2018) | |
Avedick B. Poladian | ||
Year of birth | 1951 | |
Position(s) with Fund | Trustee | |
Term of office1 and length of time served2 | Since 2007 | |
Principal occupation(s) during the past five years | Director and Advisor (since 2017) and former Executive Vice President and Chief Operating Officer (2002 to 2016) of Lowe Enterprises, Inc. (privately held real estate and hospitality firm); formerly, Partner, Arthur Andersen, LLP (1974 to 2002) | |
Number of funds in fund complex overseen by Trustee3 | 51 | |
Other Trusteeships held by Trustee during the past five years | Occidental Petroleum Corporation (since 2008); California Resources Corporation (2014 to 2021); and Public Storage (since 2010) |
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Independent Trustees† (cont’d) | ||
William E.B. Siart | ||
Year of birth | 1946 | |
Position(s) with Fund | Trustee and Chairman of the Board | |
Term of office1 and length of time served2 | Since 1997 (Chairman of the Board since 2020) | |
Principal occupation(s) during the past five years | Chairman of Excellent Education Development (since 2000); formerly, Chairman of Great Public Schools Now (2015 to 2020); Trustee of The Getty Trust (since 2005 to 2017); Chairman of Walt Disney Concert Hall, Inc. (1998 to 2006) | |
Number of funds in fund complex overseen by Trustee3 | 51 | |
Other Trusteeships held by Trustee during the past five years | Member of Board of United States Golf Association, Executive Committee Member (since 2017); Trustee, University of Southern California (since 1994) | |
Jaynie Miller Studenmund | ||
Year of birth | 1954 | |
Position(s) with Fund | Trustee | |
Term of office1 and length of time served2 | Since 2004 | |
Principal occupation(s) during the past five years | Corporate Board Member and Advisor (since 2004); formerly, Chief Operating Officer of Overture Services, Inc. (publicly traded internet company that created search engine marketing) (2001 to 2004); President and Chief Operating Officer, PayMyBills (internet innovator in bill presentment/payment space) (1999 to 2001); Executive vice president for consumer and business banking for three national financial institutions (1984 to 1997) | |
Number of funds in fund complex overseen by Trustee3 | 51 | |
Other Trusteeships held by Trustee during the past five years | Director of Pacific Premier Bancorp Inc. and Pacific Premier Bank (since 2019); Director of EXL (operations management and analytics company) (since 2018); Director of CoreLogic, Inc. (information, analytics and business services company) (since 2012); formerly, Director of Pinnacle Entertainment, Inc. (gaming and hospitality company) (2012 to 2018); Director of LifeLock, Inc. (identity theft protection company) (2015 to 2017); Director of Orbitz Worldwide, Inc. (online travel company) (2007 to 2014) | |
Peter J. Taylor | ||
Year of birth | 1958 | |
Position(s) with Fund | Trustee | |
Term of office1 and length of time served2 | Since 2019 | |
Principal occupation(s) during the past five years | President, ECMC Foundation (nonprofit organization) (since 2014); formerly, Executive Vice President and Chief Financial Officer for University of California system (2009 to 2014) | |
Number of funds in fund complex overseen by Trustee3 | 51 | |
Other Trusteeships held by Trustee during the past five years | Director of Pacific Mutual Holding Company5 (since 2016); Member of the Board of Trustees of California State University system (since 2015); Ralph M. Parson Foundation (since 2015), Kaiser Family Foundation (since 2012), and Edison International (since 2011) |
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Additional information (unaudited) (cont’d)
Information about Trustees and Officers
Interested Trustee | ||
Ronald L. Olson6 | ||
Year of birth | 1941 | |
Position(s) with Fund | Trustee | |
Term of office1 and length of time served2 | Since 2005 | |
Principal occupation(s) during the past five years | Partner of Munger, Tolles & Olson LLP (law partnership) (since 1968) | |
Number of funds in fund complex overseen by Trustee3 | 51 | |
Other Trusteeships held by Trustee during the past five years | Berkshire Hathaway, Inc. (since 1997) | |
Interested Trustee and Officer | ||
Jane Trust, CFA7 | ||
Year of birth | 1962 | |
Position(s) with Fund | Trustee, President and Chief Executive Officer | |
Term of office1 and length of time served2 | Since 2015 | |
Principal occupation(s) during the past five years | Senior Vice President, Fund Board Management, Franklin Templeton (since 2020); Officer and/or Trustee/Director of 131 funds associated with LMPFA or its affiliates (since 2015); President and Chief Executive Officer of LMPFA (since 2015); formerly, Senior Managing Director (2018 to 2020) and Managing Director (2016 to 2018) of Legg Mason & Co., LLC (“Legg Mason & Co.”); Senior Vice President of LMPFA (2015) | |
Number of funds in fund complex overseen by Trustee3 | 129 | |
Other Trusteeships held by Trustee during the past five years | None | |
Additional Officers | ||
Ted P. Becker 620 Eighth Avenue, 47th Floor, New York, NY 10018 | ||
Year of birth | 1951 | |
Position(s) with Fund | Chief Compliance Officer | |
Term of office1 and length of time served2 | Since 2007 | |
Principal occupation(s) during the past five years | Vice President, Global Compliance of Franklin Templeton (since 2020); Chief Compliance Officer of LMPFA (since 2006); Chief Compliance Officer of certain funds associated with Legg Mason & Co. or its affiliates (since 2006); formerly, Director of Global Compliance at Legg Mason, Inc. (2006 to 2020); Managing Director of Compliance of Legg Mason & Co. (2005 to 2020) |
48 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Additional Officers (cont’d) | ||
Susan Kerr 620 Eighth Avenue, 47th Floor, New York, NY 10018 | ||
Year of birth | 1949 | |
Position(s) with Fund | Chief Anti-Money Laundering Compliance Officer | |
Term of office1 and length of time served2 | Since 2013 | |
Principal occupation(s) during the past five years | Senior Compliance Analyst, Franklin Templeton (since 2020); Chief Anti-Money Laundering Compliance Officer of certain funds associated with Legg Mason & Co. or its affiliates (since 2013) and Anti-Money Laundering Compliance Officer (since 2012), Senior Compliance Officer (since 2011) and Assistant Vice President (since 2010) of Franklin Distributors, LLC; formerly, Assistant Vice President of Legg Mason & Co. (2010 to 2020) | |
Marc A. De Oliveira 100 First Stamford Place, 6th Floor, Stamford, CT 06902 | ||
Year of birth | 1971 | |
Position(s) with Fund | Secretary and Chief Legal Officer | |
Term of office1 and length of time served2 | Since 2020 | |
Principal occupation(s) during the past five years | Associate General Counsel of Franklin Templeton (since 2020); Assistant Secretary of certain funds associated with Legg Mason & Co. or its affiliates (since 2006); formerly, Managing Director (2016 to 2020) and Associate General Counsel of Legg Mason & Co. (2005 to 2020) | |
Thomas C. Mandia 100 First Stamford Place, 6th Floor, Stamford, CT 06902 | ||
Year of birth | 1962 | |
Position(s) with Fund | Senior Vice President | |
Term of office1 and length of time served2 | Since 2020 | |
Principal occupation(s) during the past five years | Senior Associate General Counsel of Franklin Templeton (since 2020); Secretary of LMPFA (since 2006); Assistant Secretary of certain funds associated with Legg Mason & Co. or its affiliates (since 2006); Secretary of LM Asset Services, LLC (“LMAS”) (since 2002) and Legg Mason Fund Asset Management, Inc. (“LMFAM”) (since 2013) (formerly registered investment advisers); formerly, Managing Director and Deputy General Counsel of Legg Mason & Co. (2005 to 2020) |
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49 |
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Additional information (unaudited) (cont’d)
Information about Trustees and Officers
Additional Officers (cont’d) | ||
Christopher Berarducci 620 Eighth Avenue, 47th Floor, New York, NY 10018 | ||
Year of birth | 1974 | |
Position(s) with Fund | Treasurer and Principal Financial Officer | |
Term of office1 and length of time served2 | Since 2019 | |
Principal occupation(s) during the past five years | Vice President, Fund Administration and Reporting, Franklin Templeton (since 2020); Treasurer (since 2010) and Principal Financial Officer (since 2019) of certain funds associated with Legg Mason & Co. or its affiliates; formerly, Managing Director (2020), Director (2015 to 2020), and Vice President (2011 to 2015) of Legg Mason & Co. | |
Jeanne M. Kelly 620 Eighth Avenue, 47th Floor, New York, NY 10018 | ||
Year of birth | 1951 | |
Position(s) with Fund | Senior Vice President | |
Term of office1 and length of time served2 | Since 2007 | |
Principal occupation(s) during the past five years | U.S. Fund Board Team Manager, Franklin Templeton (since 2020); Senior Vice President of certain funds associated with Legg Mason & Co. or its affiliates (since 2007); Senior Vice President of LMPFA (since 2006); President and Chief Executive Officer of LMAS and LMFAM (since 2015); formerly, Managing Director of Legg Mason & Co. (2005 to 2020); Senior Vice President of LMFAM (2013 to 2015) |
† | Trustees who are not “interested persons” of the Fund within the meaning of Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”). |
1 | Each Trustee and officer serves until his or her respective successor has been duly elected and qualified or until his or her earlier death, resignation, retirement or removal. |
2 | Indicates the earliest year in which the Trustee became a board member for a fund in the Legg Mason fund complex or the officer took such office. |
3 | Each board member also serves as a Director of Western Asset Investment Grade Income Fund Inc. and a Trustee of Western Asset Premier Bond Fund (closed-end investment companies), which are considered part of the same fund complex. Additionally, each board member serves as a Trustee of Western Asset Inflation-Linked Income Fund and Western Asset Inflation-Linked Opportunities & Income Fund, closed-end investment companies that are part of the same fund complex. |
4 | Mr. Larson is the chief investment officer for William H. Gates III and in that capacity oversees the investments of Mr. Gates and the investments of the Bill and Melinda Gates Foundation Trust (such combined investments are referred to as the “Accounts”). Since 1997, Western Asset has provided discretionary investment advice with respect to one or more Accounts. |
5 | Western Asset and its affiliates provide investment advisory services with respect to registered investment companies sponsored by an affiliate of Pacific Mutual Holding Company (“Pacific Holdings”). Affiliates of Pacific Holdings receive compensation from LMPFA or its affiliates for shareholder or distribution services provided with respect to registered investment companies for which Western Asset or its affiliates serve as investment adviser. |
50 | Western Asset SMASh Series TF Fund 2022 Annual Report |
6 | Mr. Olson is an “interested person” of the Fund, as defined in the 1940 Act, because his law firm has provided legal services to Western Asset. |
7 | Ms. Trust is an “interested person” of the Fund, as defined in the 1940 Act, because of her position with LMPFA and/or certain of its affiliates. |
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Important tax information (unaudited)
By mid-February, tax information related to a shareholder’s proportionate share of distributions paid during the preceding calendar year will be received, if applicable. Please also refer to www.franklintempleton.com for per share tax information related to any distributions paid during the preceding calendar year. Shareholders are advised to consult with their tax advisors for further information on the treatment of these amounts on their tax returns.
The following tax information for the Fund is required to be furnished to shareholders with respect to income earned and distributions paid during its fiscal year.
The Fund hereby reports the following amounts, or if subsequently determined to be different, the maximum allowable amounts, for the fiscal year ended February 28, 2022:
Pursuant to: | Amount Reported | |||||||
Exempt-Interest Dividends Distributed | § | 852(b)(5)(A) | $1,810,807 | |||||
Section 163(j) Interest Earned | § | 163(j) | $22,553 |
52 | Western Asset SMASh Series TF Fund 2022 Annual Report |
Western Asset
SMASh Series TF Fund
Trustees
Robert Abeles, Jr.
Jane F. Dasher
Anita L. DeFrantz
Susan B. Kerley
Michael Larson
Ronald L. Olson
Avedick B. Poladian
William E.B. Siart
Chairman
Jaynie M. Studenmund
Peter J. Taylor
Jane Trust
Investment manager
Legg Mason Partners Fund Advisor, LLC
Subadviser
Western Asset Management Company, LLC
Distributor
Franklin Distributors, LLC†
Custodian
The Bank of New York Mellon
Transfer agent#
Franklin Templeton Investor Services, LLC
3344 Quality Drive
Rancho Cordova, CA 95670-7313
Independent registered public accounting firm
PricewaterhouseCoopers LLP Baltimore, MD
† Effective July 7, 2021, Legg Mason Investor Services, LLC was renamed Franklin Distributors, LLC.
# Effective February 22, 2022, Franklin Templeton Investor Services, LLC replaced BNY Mellon Investment Servicing (US) Inc. as Transfer Agent.
Western Asset SMASh Series TF Fund
The Fund is a separate investment series of Legg Mason Partners Institutional Trust, a Maryland statutory trust.
Western Asset SMASh Series TF Fund
Legg Mason Funds
620 Eighth Avenue, 47th Floor
New York, NY 10018
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov. To obtain information on Form N-PORT, shareholders can call the Fund at 877-6LM-FUND/656-3863.
Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling the Fund at 877-6LM-FUND/656-3863, (2) at www.franklintempleton.com and (3) on the SEC’s website at www.sec.gov.
This report is submitted for the general information of the shareholders of Western Asset SMASh Series TF Fund and is not intended for distribution to prospective investors.
This report must be preceded or accompanied by a free prospectus. Investors should consider the Fund’s investment objectives, risks, charges and expenses carefully before investing. The prospectus contains this and other important information about the Fund. Please read the prospectus carefully before investing.
www.franklintempleton.com
© 2022 Franklin Distributors, LLC,
Member FINRA/SIPC. All rights reserved.
Legg Mason Funds Privacy and Security Notice
Your Privacy and the Security of Your Personal Information is Very Important to the Legg Mason Funds
This Privacy and Security Notice (the “Privacy Notice”) addresses the Legg Mason Funds’ privacy and data protection practices with respect to nonpublic personal information the Funds receive. The Legg Mason Funds include any funds sold by the Funds’ distributor, Franklin Distributors, LLC, as well as Legg Mason-sponsored closed-end funds. The provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.
The Type of Nonpublic Personal Information the Funds Collect About You
The Funds collect and maintain nonpublic personal information about you in connection with your shareholder account. Such information may include, but is not limited to:
• | Personal information included on applications or other forms; |
• | Account balances, transactions, and mutual fund holdings and positions; |
• | Bank account information, legal documents, and identity verification documentation; |
• | Online account access user IDs, passwords, security challenge question responses; and |
• | Information received from consumer reporting agencies regarding credit history and creditworthiness (such as the amount of an individual’s total debt, payment history, etc.). |
How the Funds Use Nonpublic Personal Information About You
The Funds do not sell or share your nonpublic personal information with third parties or with affiliates for their marketing purposes, or with other financial institutions or affiliates for joint marketing purposes, unless you have authorized the Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services you have authorized or as permitted or required by law.
The Funds may disclose information about you to:
• | Employees, agents, and affiliates on a “need to know” basis to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators; |
• | Service providers, including the Funds’ affiliates, who assist the Funds as part of the ordinary course of business (such as printing, mailing services, or processing or servicing your account with us) or otherwise perform services on the Funds’ behalf, including companies that may perform statistical analysis, market research and marketing services solely for the Funds; |
• | Permit access to transfer, whether in the United States or countries outside of the United States to such Funds’ employees, agents and affiliates and service providers as required to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators; |
• | The Funds’ representatives such as legal counsel, accountants and auditors to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators; |
• | Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust. |
NOT PART OF THE ANNUAL REPORT |
Legg Mason Funds Privacy and Security Notice (cont’d)
Except as otherwise permitted by applicable law, companies acting on the Funds’ behalf, including those outside the United States, are contractually obligated to keep nonpublic personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them to perform. The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as permitted or required by applicable law, such as in connection with a law enforcement or regulatory request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be required to disclose your nonpublic personal information to third parties. While it is the Funds’ practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will remain unchanged.
Keeping You Informed of the Funds’ Privacy and Security Practices
The Funds will notify you annually of their privacy policy as required by federal law. While the Funds reserve the right to modify this policy at any time they will notify you promptly if this privacy policy changes.
The Funds’ Security Practices
The Funds maintain appropriate physical, electronic and procedural safeguards designed to guard your nonpublic personal information. The Funds’ internal data security policies restrict access to your nonpublic personal information to authorized employees, who may use your nonpublic personal information for Fund business purposes only.
Although the Funds strive to protect your nonpublic personal information, they cannot ensure or warrant the security of any information you provide or transmit to them, and you do so at your own risk. In the event of a breach of the confidentiality or security of your nonpublic personal information, the Funds will attempt to notify you as necessary, so you can take appropriate protective steps. If you have consented to the Funds using electronic communications or electronic delivery of statements, they may notify you under such circumstances using the most current email address you have on record with them.
In order for the Funds to provide effective service to you, keeping your account information accurate is very important. If you believe that your account information is incomplete, not accurate or not current, if you have questions about the Funds’ privacy practices, or our use of your nonpublic personal information, write the Funds using the contact information on your account statements, email the Funds by clicking on the Contact Us section of the Funds’ website at www.franklintempleton.com, or contact the Fund at 877-6LM-FUND/656-3863.
Revised April 2018
Legg Mason California Consumer Privacy Act Policy
Although much of the personal information we collect is “nonpublic personal information” subject to federal law, residents of California may, in certain circumstances, have additional rights under the California Consumer Privacy Act (“CCPA”). For example, if you are a broker,
NOT PART OF THE ANNUAL REPORT |
Legg Mason Funds Privacy and Security Notice (cont’d)
dealer, agent, fiduciary, or representative acting by or on behalf of, or for, the account of any other person(s) or household, or a financial advisor, or if you have otherwise provided personal information to us separate from the relationship we have with personal investors, the provisions of this Privacy Policy apply to your personal information (as defined by the CCPA).
• | In addition to the provisions of the Legg Mason Funds Security and Privacy Notice, you may have the right to know the categories and specific pieces of personal information we have collected about you. |
• | You also have the right to request the deletion of the personal information collected or maintained by the Funds. |
If you wish to exercise any of the rights you have in respect of your personal information, you should advise the Funds by contacting them as set forth below. The rights noted above are subject to our other legal and regulatory obligations and any exemptions under the CCPA. You may designate an authorized agent to make a rights request on your behalf, subject to the identification process described below. We do not discriminate based on requests for information related to our use of your personal information, and you have the right not to receive discriminatory treatment related to the exercise of your privacy rights.
We may request information from you in order to verify your identity or authority in making such a request. If you have appointed an authorized agent to make a request on your behalf, or you are an authorized agent making such a request (such as a power of attorney or other written permission), this process may include providing a password/passcode, a copy of government issued identification, affidavit or other applicable documentation, i.e. written permission. We may require you to verify your identity directly even when using an authorized agent, unless a power of attorney has been provided. We reserve the right to deny a request submitted by an agent if suitable and appropriate proof is not provided.
For the 12-month period prior to the date of this Privacy Policy, the Legg Mason Funds have not sold any of your personal information; nor do we have any plans to do so in the future.
Contact Information
Address: Data Privacy Officer, 100 International Dr., Baltimore, MD 21202
Email: DataProtectionOfficer@franklintempleton.com
Phone: 1-800-396-4748
Revised October 2020
NOT PART OF THE ANNUAL REPORT |
www.franklintempleton.com
© 2022 Franklin Distributors, LLC,
WASX257523 4/22 SR22-4369
ITEM 2. | CODE OF ETHICS. |
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The Board of Trustees of the registrant has determined that Robert Abeles, Jr., possess the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify an “audit committee financial experts,” and has designated Mr. Abeles, Jr. as the Audit Committee’s financial experts. Mr. Abeles, Jr. is an “independent” Trustees pursuant to paragraph (a) (2) of Item 3 to Form N-CSR.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
a) Audit Fees. The aggregate fees billed in the last two fiscal year ending February 28, 2021 and February 28, 2022 (the “Reporting Periods”) for professional services rendered by the Registrant’s principal accountant (the “Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $199,262 in February 28, 2021 and $199,262 in February 28, 2022.
b) Audit-Related Fees. The aggregate fees billed in the Reporting Period for assurance and related services by the Auditor that are reasonably related to the performance of the Registrant’s financial statements were $0 in February 28, 2021 and $0 in February 28, 2022.
(c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $0 in February 28, 2021 and $50,000 in February 28, 2022. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held. There were no fees billed for tax services by the Auditors to service affiliates during the Reporting Periods that required pre-approval by the Audit Committee.
d) All Other Fees. The aggregate fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) for the Item 4 for the Legg Mason Partners Institutional Trust were $0 in February 28, 2021 and $0 in February 28, 2022.
All Other Fees. There were no other non-audit services rendered by the Auditor to Legg Mason Partners Fund Advisors, LLC (“LMPFA”), and any entity controlling, controlled by or under common control with LMPFA that provided ongoing services to Legg Mason Partners Institutional Trust requiring pre-approval by the Audit Committee in the Reporting Period.
(e) Audit Committee’s pre–approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.
(1) The Charter for the Audit Committee (the “Committee”) of the Board of each registered investment company (the “Fund”) advised by LMPFA or one of their affiliates (each, an “Adviser”) requires that the Committee shall approve (a) all audit and permissible non-audit
services to be provided to the Fund and (b) all permissible non-audit services to be provided by the Fund’s independent auditors to the Adviser and any Covered Service Providers if the engagement relates directly to the operations and financial reporting of the Fund. The Committee may implement policies and procedures by which such services are approved other than by the full Committee.
The Committee shall not approve non-audit services that the Committee believes may impair the independence of the auditors. As of the date of the approval of this Audit Committee Charter, permissible non-audit services include any professional services (including tax services), that are not prohibited services as described below, provided to the Fund by the independent auditors, other than those provided to the Fund in connection with an audit or a review of the financial statements of the Fund. Permissible non-audit services may not include: (i) bookkeeping or other services related to the accounting records or financial statements of the Fund; (ii) financial information systems design and implementation; (iii) appraisal or valuation services, fairness opinions or contribution-in-kind reports; (iv) actuarial services; (v) internal audit outsourcing services; (vi) management functions or human resources; (vii) broker or dealer, investment adviser or investment banking services; (viii) legal services and expert services unrelated to the audit; and (ix) any other service the Public Company Accounting Oversight Board determines, by regulation, is impermissible.
Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the Fund, the Adviser and any service providers controlling, controlled by or under common control with the Adviser that provide ongoing services to the Fund (“Covered Service Providers”) constitutes not more than 5% of the total amount of revenues paid to the independent auditors during the fiscal year in which the permissible non-audit services are provided to (a) the Fund, (b) the Adviser and (c) any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund during the fiscal year in which the services are provided that would have to be approved by the Committee; (ii) the permissible non-audit services were not recognized by the Fund at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the completion of the audit.
(2) For the Legg Mason Partners Institutional Trust, the percentage of fees that were approved by the audit committee, with respect to: Audit-Related Fees were 100% and 100% for February 28, 2021 and February 28, 2022; Tax Fees were 100% and 100% for February 28, 2021 and February 28, 2022; and Other Fees were 100% and 100% for February 28, 2021 and February 28, 2022.
(f) N/A
(g) Non-audit fees billed by the Auditor for services rendered to Legg Mason Partners Institutional Trust, LMPFA and any entity controlling, controlled by, or under common control with LMPFA that provides ongoing services to Legg Mason Partners Institutional Trust during the reporting period were $773,011 in February 28, 2021 and $343,489 in February 28, 2022.
(h) Yes. Legg Mason Partners Institutional Trust’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Accountant’s independence. All services provided by the Auditor to the Legg Mason Partners Institutional Trust or to Service Affiliates, which were required to be pre-approved, were pre-approved as required
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
a) | The independent board members are acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act. The Audit Committee consists of the following Board members: |
Robert Abeles, Jr.
Jane F. Dasher
Anita L. DeFrantz
Susan B. Kerley
Michael Larson
Ronald L. Olson
Avedick B. Poladian
William E.B. Siart
Jaynie M. Studenmund
Peter J. Taylor
b) | Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Included herein under Item 1.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures |
required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | EXHIBITS. |
(a)(1) Code of Ethics attached hereto.
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
Legg Mason Partners Institutional Trust | ||
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer |
Date: April 25, 2022
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Jane Trust | |
Jane Trust | ||
Chief Executive Officer |
Date: April 25, 2022
By: | /s/ Christopher Berarducci | |
Christopher Berarducci | ||
Principal Financial |
Date: April 25, 2022