Legg Mason Partners Institutional Trust NPORT-P Western Asset SMASh Series Core Plus Completion Fund (May 2021 report)

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CORPORATE BONDS & NOTES - 25.4%
COMMUNICATION SERVICES - 4.0%
Diversified Telecommunication Services - 0.6%
Altice France SA, Senior Secured Notes		7.375	%		5/1/26		5,620,000	$	5,851,375	(a)
AT&T Inc., Senior Notes		3.100	%		2/1/43		6,300,000		5,975,943
Telecom Italia SpA, Senior Notes		5.303	%		5/30/24		3,040,000		3,309,800	(a)
Verizon Communications Inc., Senior Notes		4.522	%		9/15/48		3,000,000		3,553,679
Verizon Communications Inc., Senior Notes		4.000	%		3/22/50		5,000,000		5,477,440
Total Diversified Telecommunication Services									24,168,237
Entertainment - 0.1%
Netflix Inc., Senior Notes		5.875	%		2/15/25		2,845,000		3,281,907
Interactive Media & Services - 0.8%
Alphabet Inc., Senior Notes		2.050	%		8/15/50		4,000,000		3,384,300
Tencent Holdings Ltd., Senior Notes		3.680	%		4/22/41		6,780,000		6,948,634	(a)
Tencent Holdings Ltd., Senior Notes		3.840	%		4/22/51		17,830,000		18,066,641	(a)
Total Interactive Media & Services									28,399,575
Media - 1.3%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.125	%		5/1/27		3,470,000		3,630,487	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.000	%		2/1/28		3,100,000		3,247,312	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		8/15/30		1,400,000		1,428,413	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		5/1/32		7,950,000		8,048,222
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.464	%		7/23/22		640,000		665,199
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.908	%		7/23/25		100,000		113,781
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		6.484	%		10/23/45		2,000,000		2,636,178

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         1

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - (continued)
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.800	%		3/1/50		7,500,000	$	8,246,509
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		5,100,000		5,435,019
DISH DBS Corp., Senior Notes		7.750	%		7/1/26		1,220,000		1,387,384
DISH DBS Corp., Senior Notes		5.125	%		6/1/29		3,150,000		3,129,053	(a)
Fox Corp., Senior Notes		5.476	%		1/25/39		3,000,000		3,746,289
Time Warner Cable LLC, Senior Secured Notes		7.300	%		7/1/38		2,500,000		3,543,908
Virgin Media Secured Finance PLC, Senior Secured Notes		5.500	%		8/15/26		880,000		913,660	(a)
Total Media									46,171,414
Wireless Telecommunication Services - 1.2%
America Movil SAB de CV, Senior Notes		6.125	%		3/30/40		1,500,000		2,101,150
CSC Holdings LLC, Senior Notes		4.125	%		12/1/30		450,000		440,348	(a)
CSC Holdings LLC, Senior Notes		4.500	%		11/15/31		7,080,000		7,059,149	(a)
Sprint Capital Corp., Senior Notes		6.875	%		11/15/28		650,000		814,063
Sprint Capital Corp., Senior Notes		8.750	%		3/15/32		3,980,000		5,906,201
Sprint Corp., Senior Notes		7.875	%		9/15/23		180,000		204,185
Sprint Corp., Senior Notes		7.625	%		2/15/25		1,973,000		2,335,282
T-Mobile USA Inc., Senior Notes		2.250	%		2/15/26		1,350,000		1,363,095
T-Mobile USA Inc., Senior Notes		2.625	%		2/15/29		4,230,000		4,068,393
T-Mobile USA Inc., Senior Notes		2.875	%		2/15/31		3,290,000		3,177,712
T-Mobile USA Inc., Senior Notes		3.500	%		4/15/31		5,640,000		5,743,156	(a)
T-Mobile USA Inc., Senior Secured Notes		3.000	%		2/15/41		5,000,000		4,701,400
T-Mobile USA Inc., Senior Secured Notes		3.300	%		2/15/51		5,000,000		4,711,325
Total Wireless Telecommunication Services									42,625,459
TOTAL COMMUNICATION SERVICES									144,646,592
CONSUMER DISCRETIONARY - 2.9%
Automobiles - 1.2%
Ford Motor Credit Co. LLC, Senior Notes		5.875	%		8/2/21		5,250,000		5,282,812
Ford Motor Credit Co. LLC, Senior Notes		5.125	%		6/16/25		200,000		219,125
Ford Motor Credit Co. LLC, Senior Notes		3.375	%		11/13/25		5,580,000		5,719,807

See Notes to Schedule of Investments.

    2     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Automobiles - (continued)
Ford Motor Credit Co. LLC, Senior Notes		4.125	%		8/17/27		3,220,000	$	3,368,925
Ford Motor Credit Co. LLC, Senior Notes		3.815	%		11/2/27		250,000		255,625
Ford Motor Credit Co. LLC, Senior Notes		2.900	%		2/16/28		2,130,000		2,078,305
Ford Motor Credit Co. LLC, Senior Notes		4.000	%		11/13/30		27,260,000		27,838,457
Total Automobiles									44,763,056
Diversified Consumer Services - 0.1%
Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes		5.750	%		4/15/26		2,900,000		3,176,370	(a)
Service Corp. International, Senior Notes		7.500	%		4/1/27		1,370,000		1,660,892
Total Diversified Consumer Services									4,837,262
Hotels, Restaurants & Leisure - 0.9%
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		4.250	%		5/15/24		502,000		507,879	(a)
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		3.500	%		2/15/29		1,960,000		1,920,820	(a)
GLP Capital LP/GLP Financing II Inc., Senior Notes		5.375	%		4/15/26		310,000		354,352
Hilton Domestic Operating Co. Inc., Senior Notes		5.375	%		5/1/25		4,240,000		4,469,384	(a)
Hilton Domestic Operating Co. Inc., Senior Notes		5.750	%		5/1/28		1,800,000		1,941,741	(a)
Hilton Domestic Operating Co. Inc., Senior Notes		3.625	%		2/15/32		1,100,000		1,078,000	(a)
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes		4.875	%		4/1/27		2,630,000		2,742,932
McDonald’s Corp., Senior Notes		4.200	%		4/1/50		5,000,000		5,786,444
VOC Escrow Ltd., Senior Secured Notes		5.000	%		2/15/28		3,540,000		3,566,939	(a)
Wynn Macau Ltd., Senior Notes		5.625	%		8/26/28		7,740,000		8,165,971	(a)
Wynn Macau Ltd., Senior Notes		5.125	%		12/15/29		1,110,000		1,148,661	(a)
Total Hotels, Restaurants & Leisure									31,683,123
Household Durables - 0.3%
Lennar Corp., Senior Notes		4.500	%		4/30/24		1,510,000		1,656,108
Lennar Corp., Senior Notes		4.750	%		5/30/25		160,000		179,788

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         3

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Household Durables - (continued)
Lennar Corp., Senior Notes		5.250	%		6/1/26		606,000	$	702,051
Lennar Corp., Senior Notes		5.000	%		6/15/27		340,000		394,808
Lennar Corp., Senior Notes		4.750	%		11/29/27		2,200,000		2,547,006
MDC Holdings Inc., Senior Notes		6.000	%		1/15/43		1,650,000		2,098,519
Toll Brothers Finance Corp., Senior Notes		4.375	%		4/15/23		1,850,000		1,943,166
Total Household Durables									9,521,446
Specialty Retail - 0.2%
Home Depot Inc., Senior Notes		3.350	%		4/15/50		3,000,000		3,159,214
Lowe’s Cos. Inc., Senior Notes		3.000	%		10/15/50		5,000,000		4,708,852
Total Specialty Retail									7,868,066
Textiles, Apparel & Luxury Goods - 0.2%
Hanesbrands Inc., Senior Notes		4.625	%		5/15/24		450,000		478,427	(a)
Hanesbrands Inc., Senior Notes		5.375	%		5/15/25		3,760,000		3,971,932	(a)
Hanesbrands Inc., Senior Notes		4.875	%		5/15/26		1,840,000		1,973,032	(a)
Levi Strauss & Co., Senior Notes		5.000	%		5/1/25		694,000		709,643
Total Textiles, Apparel & Luxury Goods									7,133,034
TOTAL CONSUMER DISCRETIONARY									105,805,987
CONSUMER STAPLES - 2.1%
Beverages - 0.5%
Anheuser-Busch InBev Worldwide Inc., Senior Notes		5.550	%		1/23/49		10,000,000		13,099,883
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.500	%		6/1/50		2,000,000		2,298,379
Coca-Cola Co., Senior Notes		2.500	%		3/15/51		3,000,000		2,681,854
Constellation Brands Inc., Senior Notes		4.250	%		5/1/23		300,000		321,423
Constellation Brands Inc., Senior Notes		4.750	%		11/15/24		1,560,000		1,766,897
Total Beverages									20,168,436
Food Products - 0.8%
Kraft Heinz Foods Co., Senior Notes		4.250	%		3/1/31		1,360,000		1,513,712
Kraft Heinz Foods Co., Senior Notes		6.750	%		3/15/32		432,000		567,986
Kraft Heinz Foods Co., Senior Notes		6.875	%		1/26/39		1,130,000		1,555,035
Kraft Heinz Foods Co., Senior Notes		7.125	%		8/1/39		330,000		467,735	(a)
Kraft Heinz Foods Co., Senior Notes		4.625	%		10/1/39		330,000		369,944
Kraft Heinz Foods Co., Senior Notes		5.000	%		6/4/42		1,810,000		2,106,699
Kraft Heinz Foods Co., Senior Notes		5.200	%		7/15/45		4,960,000		5,867,793
Kraft Heinz Foods Co., Senior Notes		4.375	%		6/1/46		2,160,000		2,319,963

See Notes to Schedule of Investments.

    4     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Food Products - (continued)
Kraft Heinz Foods Co., Senior Notes		4.875	%		10/1/49		4,010,000	$	4,608,412
Kraft Heinz Foods Co., Senior Notes		5.500	%		6/1/50		2,730,000		3,398,712
Lamb Weston Holdings Inc., Senior Notes		4.625	%		11/1/24		580,000		600,300	(a)
Lamb Weston Holdings Inc., Senior Notes		4.875	%		5/15/28		2,670,000		2,937,227	(a)
Mars Inc., Senior Notes		2.375	%		7/16/40		3,000,000		2,764,999	(a)
Total Food Products									29,078,517
Tobacco - 0.8%
Altria Group Inc., Senior Notes		5.800	%		2/14/39		5,000,000		6,050,033
Altria Group Inc., Senior Notes		5.950	%		2/14/49		7,500,000		9,227,960
Altria Group Inc., Senior Notes		6.200	%		2/14/59		792,000		995,775
BAT Capital Corp., Senior Notes		3.734	%		9/25/40		10,000,000		9,418,115
BAT Capital Corp., Senior Notes		3.984	%		9/25/50		2,500,000		2,327,287
Total Tobacco									28,019,170
TOTAL CONSUMER STAPLES									77,266,123
ENERGY - 6.7%
Oil, Gas & Consumable Fuels - 6.7%
Apache Corp., Senior Notes		5.100	%		9/1/40		16,268,000		16,809,806
BP Capital Markets America Inc., Senior Notes		2.772	%		11/10/50		5,000,000		4,483,467
Cameron LNG LLC, Senior Secured Notes		3.302	%		1/15/35		4,820,000		5,039,766	(a)
Cheniere Energy Inc., Senior Secured Notes		4.625	%		10/15/28		3,160,000		3,322,187	(a)
Continental Resources Inc., Senior Notes		4.375	%		1/15/28		10,830,000		11,764,087
Devon Energy Corp., Senior Notes		5.000	%		6/15/45		5,000,000		5,685,382
Ecopetrol SA, Senior Notes		5.875	%		5/28/45		1,170,000		1,213,875
Energy Transfer LP/Regency Energy Finance Corp., Senior Notes		5.875	%		3/1/22		30,000		30,801
EOG Resources Inc., Senior Notes		4.950	%		4/15/50		3,000,000		3,826,929
EQT Corp., Senior Notes		3.000	%		10/1/22		905,000		925,910
EQT Corp., Senior Notes		3.900	%		10/1/27		11,880,000		12,701,502
EQT Corp., Senior Notes		5.000	%		1/15/29		180,000		200,024
Exxon Mobil Corp., Senior Notes		3.452	%		4/15/51		5,000,000		5,193,915
KazMunayGas National Co. JSC, Senior Notes		5.375	%		4/24/30		500,000		597,668	(a)
KazMunayGas National Co. JSC, Senior Notes		6.375	%		10/24/48		2,850,000		3,760,147	(a)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         5

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Kinder Morgan Inc., Senior Notes		7.750	%		1/15/32		300,000	$	425,652
Kinder Morgan Inc., Senior Notes		5.550	%		6/1/45		5,000,000		6,180,934
MEG Energy Corp., Senior Notes		5.875	%		2/1/29		1,030,000		1,073,976	(a)
MPLX LP, Senior Notes		4.875	%		12/1/24		1,780,000		2,010,121
MPLX LP, Senior Notes		4.875	%		6/1/25		1,710,000		1,932,730
MPLX LP, Senior Notes		4.500	%		4/15/38		2,000,000		2,220,883
Occidental Petroleum Corp., Senior Notes		7.500	%		5/1/31		15,000,000		17,881,425
Occidental Petroleum Corp., Senior Notes		6.200	%		3/15/40		11,829,000		12,496,156
Occidental Petroleum Corp., Senior Notes		6.600	%		3/15/46		5,000,000		5,475,975
Petrobras Global Finance BV, Senior Notes		5.750	%		2/1/29		53,230,000		60,056,747
Petroleos Mexicanos, Senior Notes		6.875	%		8/4/26		1,650,000		1,831,219
Petroleos Mexicanos, Senior Notes		6.625	%		6/15/35		1,000,000		966,250
Petroleos Mexicanos, Senior Notes		5.500	%		6/27/44		330,000		269,065
Range Resources Corp., Senior Notes		5.875	%		7/1/22		211,000		216,143
Range Resources Corp., Senior Notes		5.000	%		3/15/23		2,347,000		2,417,410
Range Resources Corp., Senior Notes		4.875	%		5/15/25		1,680,000		1,711,500
Range Resources Corp., Senior Notes		8.250	%		1/15/29		1,780,000		1,987,219	(a)
Sabine Pass Liquefaction LLC, Senior Secured Notes		5.750	%		5/15/24		1,300,000		1,468,562
Shell International Finance BV, Senior Notes		3.250	%		4/6/50		5,000,000		5,102,645
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.875	%		4/15/26		700,000		734,125
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.375	%		2/1/27		840,000		875,612
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.500	%		7/15/27		1,630,000		1,768,583
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.875	%		1/15/29		830,000		923,375
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		4.875	%		2/1/31		3,590,000		3,762,912	(a)

See Notes to Schedule of Investments.

    6     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		4.000	%		1/15/32		560,000	$	556,021	(a)
Western Midstream Operating LP, Senior Notes		5.300	%		3/1/48		20,000,000		20,500,000
Western Midstream Operating LP, Senior Notes		5.500	%		8/15/48		2,000,000		2,077,290
Williams Cos. Inc., Senior Notes		4.550	%		6/24/24		230,000		254,587
Williams Cos. Inc., Senior Notes		7.500	%		1/15/31		152,000		205,937
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		5,800,000		7,306,952
WPX Energy Inc., Senior Notes		8.250	%		8/1/23		320,000		367,109
WPX Energy Inc., Senior Notes		5.250	%		10/15/27		170,000		182,155
WPX Energy Inc., Senior Notes		5.875	%		6/15/28		720,000		793,649
TOTAL ENERGY									241,588,385
FINANCIALS - 0.8%
Banks - 0.6%
Bank of America Corp., Senior Notes (2.831% to 10/24/50 then SOFR + 1.880%)		2.831	%		10/24/51		5,000,000		4,707,951	(b)
CIT Group Inc., Senior Notes		5.000	%		8/15/22		2,651,000		2,786,864
CIT Group Inc., Senior Notes		5.000	%		8/1/23		710,000		772,125
CIT Group Inc., Senior Notes		4.750	%		2/16/24		1,950,000		2,126,407
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%)		5.013	%		4/4/51		5,000,000		6,610,841	(b)
Wells Fargo & Co., Subordinated Notes		4.750	%		12/7/46		2,000,000		2,437,027
Total Banks									19,441,215
Diversified Financial Services - 0.2%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		4.625	%		7/1/22		2,780,000		2,900,144
Park Aerospace Holdings Ltd., Senior Notes		5.250	%		8/15/22		220,000		231,349	(a)
Park Aerospace Holdings Ltd., Senior Notes		4.500	%		3/15/23		1,210,000		1,269,895	(a)
Park Aerospace Holdings Ltd., Senior Notes		5.500	%		2/15/24		2,840,000		3,122,993	(a)
Total Diversified Financial Services									7,524,381
TOTAL FINANCIALS									26,965,596

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         7

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY		RATE			MATURITY DATE		FACE AMOUNT†		VALUE
HEALTH CARE - 3.2%
Biotechnology - 0.2%
AbbVie Inc., Senior Notes			4.050	%		11/21/39		5,000,000	$	5,601,724
Health Care Providers & Services - 1.2%
Centene Corp., Senior Notes			5.375	%		6/1/26		2,850,000		2,972,407	(a)
Centene Corp., Senior Notes			3.375	%		2/15/30		1,490,000		1,506,882
Cigna Corp., Senior Notes			4.800	%		8/15/38		5,000,000		6,068,380
Cigna Corp., Senior Notes			4.900	%		12/15/48		5,000,000		6,240,579
Fresenius Medical Care U.S. Finance II Inc., Senior Notes			4.750	%		10/15/24		5,070,000		5,653,946	(a)
HCA Inc., Senior Notes			5.375	%		2/1/25		2,120,000		2,374,400
HCA Inc., Senior Notes			5.375	%		9/1/26		2,030,000		2,298,975
HCA Inc., Senior Notes			5.625	%		9/1/28		1,540,000		1,792,175
HCA Inc., Senior Notes			5.875	%		2/1/29		4,380,000		5,146,500
HCA Inc., Senior Notes			3.500	%		9/1/30		3,110,000		3,198,091
HCA Inc., Senior Notes			7.500	%		11/15/95		10,000		13,745
HCA Inc., Senior Secured Notes			4.750	%		5/1/23		1,750,000		1,887,461
HCA Inc., Senior Secured Notes			5.000	%		3/15/24		890,000		992,833
HCA Inc., Senior Secured Notes			5.250	%		4/15/25		670,000		772,152
HCA Inc., Senior Secured Notes			5.250	%		6/15/26		90,000		104,709
HCA Inc., Senior Secured Notes			4.500	%		2/15/27		90,000		102,199
HCA Inc., Senior Secured Notes			5.500	%		6/15/47		2,740,000		3,448,019
Total Health Care Providers & Services										44,573,453
Pharmaceuticals - 1.8%
Bausch Health Americas Inc., Senior Notes			9.250	%		4/1/26		310,000		335,188	(a)
Bausch Health Americas Inc., Senior Notes			8.500	%		1/31/27		830,000		890,175	(a)
Bausch Health Cos. Inc., Senior Notes			9.000	%		12/15/25		2,380,000		2,551,717	(a)
Bausch Health Cos. Inc., Senior Notes			6.250	%		2/15/29		5,160,000		5,050,350	(a)
Bausch Health Cos. Inc., Senior Notes			7.250	%		5/30/29		280,000		289,450	(a)
Bausch Health Cos. Inc., Senior Secured Notes			5.500	%		11/1/25		350,000		359,730	(a)
Teva Pharmaceutical Finance Co. BV, Senior Notes			3.650	%		11/10/21		8,170,000		8,227,476
Teva Pharmaceutical Finance Co. BV, Senior Notes	��		2.950	%		12/18/22		3,420,000		3,441,033
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes			2.200	%		7/21/21		520,000		519,610
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes			2.800	%		7/21/23		940,000		932,363

See Notes to Schedule of Investments.

    8     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - (continued)
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		6.000	%		4/15/24		5,050,000	$	5,343,758
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		7.125	%		1/31/25		3,920,000		4,286,794
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		3.150	%		10/1/26		35,020,000		33,049,950
Total Pharmaceuticals									65,277,594
TOTAL HEALTH CARE									115,452,771
INDUSTRIALS - 3.5%
Aerospace & Defense - 0.7%
Boeing Co., Senior Notes		5.705	%		5/1/40		4,000,000		4,986,736
Boeing Co., Senior Notes		5.805	%		5/1/50		10,000,000		12,882,178
Boeing Co., Senior Notes		5.930	%		5/1/60		5,000,000		6,512,130
Raytheon Technologies Corp., Senior Notes		4.500	%		6/1/42		2,000,000		2,397,712
Total Aerospace & Defense									26,778,756
Airlines - 2.2%
Delta Air Lines Inc., Senior Notes		3.625	%		3/15/22		6,210,000		6,313,475
Delta Air Lines Inc., Senior Notes		3.800	%		4/19/23		840,000		869,580
Delta Air Lines Inc., Senior Notes		2.900	%		10/28/24		680,000		689,797
Delta Air Lines Inc., Senior Notes		7.375	%		1/15/26		6,420,000		7,564,433
Delta Air Lines Inc., Senior Secured Notes		7.000	%		5/1/25		29,450,000		34,265,777	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.500	%		10/20/25		5,930,000		6,405,811	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.750	%		10/20/28		5,390,000		5,887,881	(a)
Delta Air Lines Pass-Through Certificates Trust		8.021	%		8/10/22		26,547		28,097
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes		6.500	%		6/20/27		7,670,000		8,429,752	(a)
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes		8.000	%		9/20/25		4,907,999		5,570,579	(a)
United Airlines Inc., Senior Secured Notes		4.375	%		4/15/26		300,000		311,254	(a)
United Airlines Inc., Senior Secured Notes		4.625	%		4/15/29		5,046,000		5,219,582	(a)
Total Airlines									81,556,018

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         9

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Building Products - 0.1%
Carrier Global Corp., Senior Notes		3.377	%		4/5/40		2,000,000	$	2,040,187
Commercial Services & Supplies - 0.1%
GFL Environmental Inc., Senior Secured Notes		4.250	%		6/1/25		3,120,000		3,237,749	(a)
Trading Companies & Distributors - 0.4%
United Rentals North America Inc., Senior Notes		4.875	%		1/15/28		13,060,000		13,811,603
United Rentals North America Inc., Senior Notes		5.250	%		1/15/30		100,000		109,369
Total Trading Companies & Distributors									13,920,972
TOTAL INDUSTRIALS									127,533,682
INFORMATION TECHNOLOGY - 0.4%
Communications Equipment - 0.1%
CommScope Technologies LLC, Senior Notes		5.000	%		3/15/27		2,000,000		2,018,440	(a)
Semiconductors & Semiconductor Equipment - 0.2%
NVIDIA Corp., Senior Notes		3.500	%		4/1/50		5,000,000		5,368,836
NVIDIA Corp., Senior Notes		3.700	%		4/1/60		2,500,000		2,755,252
Total Semiconductors & Semiconductor Equipment									8,124,088
Technology Hardware, Storage & Peripherals - 0.1%
Dell International LLC/EMC Corp., Senior Notes		7.125	%		6/15/24		3,000,000		3,063,750	(a)
TOTAL INFORMATION TECHNOLOGY									13,206,278
MATERIALS - 1.6%
Chemicals - 0.6%
OCP SA, Senior Notes		4.500	%		10/22/25		1,180,000		1,265,107	(a)
Orbia Advance Corp. SAB de CV, Senior Notes		1.875	%		5/11/26		10,430,000		10,506,139	(a)
Orbia Advance Corp. SAB de CV, Senior Notes		2.875	%		5/11/31		9,900,000		9,853,470	(a)
Total Chemicals									21,624,716
Containers & Packaging - 0.1%
Ardagh Packaging Finance PLC/ Ardagh Holdings USA Inc., Senior Notes		6.000	%		2/15/25		910,000		938,620	(a)
Ardagh Packaging Finance PLC/ Ardagh Holdings USA Inc., Senior Notes		5.250	%		8/15/27		590,000		595,900	(a)

See Notes to Schedule of Investments.

    10     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Containers & Packaging - (continued)
Ball Corp., Senior Notes		4.000	%		11/15/23		310,000	$	329,400
Graphic Packaging International LLC, Senior Notes		4.875	%		11/15/22		960,000		1,004,174
Total Containers & Packaging									2,868,094
Metals & Mining - 0.5%
ArcelorMittal SA, Senior Notes		7.250	%		10/15/39		2,000,000		2,752,535
Freeport-McMoRan Inc., Senior Notes		4.625	%		8/1/30		2,030,000		2,231,457
Freeport-McMoRan Inc., Senior Notes		5.450	%		3/15/43		10,450,000		12,631,438
Southern Copper Corp., Senior Notes		5.250	%		11/8/42		500,000		606,750
Teck Resources Ltd., Senior Notes		6.000	%		8/15/40		240,000		300,355
Vale Overseas Ltd., Senior Notes		6.875	%		11/21/36		1,368,000		1,867,860
Total Metals & Mining									20,390,395
Paper & Forest Products - 0.4%
Suzano Austria GmbH, Senior Notes		3.750	%		1/15/31		13,710,000		14,249,626
TOTAL MATERIALS									59,132,831
REAL ESTATE - 0.0%††
Equity Real Estate Investment Trusts (REITs) - 0.0%††
CoreCivic Inc., Senior Notes		4.750	%		10/15/27		210,000		172,835
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer Inc., Senior Notes		4.500	%		1/15/28		1,225,000		1,285,638
TOTAL REAL ESTATE									1,458,473
UTILITIES - 0.2%
Electric Utilities - 0.2%
FirstEnergy Corp., Senior Notes		7.375	%		11/15/31		3,000,000		4,000,303
FirstEnergy Corp., Senior Notes		5.350	%		7/15/47		3,000,000		3,478,710
TOTAL UTILITIES									7,479,013
TOTAL CORPORATE BONDS & NOTES (Cost - $882,085,742)									920,535,731

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         11

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
SENIOR LOANS - 24.8%
COMMUNICATION SERVICES - 4.2%
Diversified Telecommunication Services - 1.1%
Delta TopCo Inc., First Lien Term Loan (the greater of 3 mo. USD LIBOR or 0.750% + 3.750%)		4.500	%		12/1/27		15,450,000	$	15,499,888	(b)(c)(d)
Level 3 Financing Inc., 2027 Term Loan B (1 mo. USD LIBOR + 1.750%)		1.843	%		3/1/27		8,904,750		8,816,628	(b)(c)(d)
Zayo Group Holdings Inc., Initial Dollar Term Loan (1 mo. USD LIBOR + 3.000%)		3.093	%		3/9/27		15,490,000		15,397,339	(b)(c)(d)
Total Diversified Telecommunication Services									39,713,855
Entertainment - 0.1%
Go Daddy Operating Co. LLC, Term Loan B2 (1 mo. USD LIBOR + 1.750%)		1.843	%		2/15/24		4,198,087		4,176,858	(b)(c)(d)
Interactive Media & Services - 0.3%
Rackspace Technology Global Inc., Term Loan B (the greater of 3 mo. USD LIBOR or 0.750% + 2.750%)		3.500	%		2/15/28		8,590,000		8,560,717	(b)(c)(d)
Media - 2.7%
Charter Communications Operating LLC, Term Loan B1 (1 mo. USD LIBOR + 1.750%)		1.850	%		4/30/25		8,255,437		8,254,967	(b)(c)(d)
Charter Communications Operating LLC, Term Loan B2 (1 mo. USD LIBOR + 1.750%)		1.850	%		2/1/27		12,957,006		12,899,516	(b)(c)(d)
Entercom Media Corp., Term Loan B2 (1 mo. USD LIBOR + 2.500%)		2.593	%		11/18/24		2,758,200		2,733,720	(b)(c)(d)
iHeartCommunications Inc., New Term Loan (1 mo. USD LIBOR + 3.000%)		3.093	%		5/1/26		15,951,751		15,808,185	(b)(c)(d)
Nexstar Broadcasting Inc., Term Loan B4 (1 mo. USD LIBOR + 2.500%)		2.610	%		9/18/26		16,261,260		16,242,624	(b)(c)(d)(e)
Numericable U.S. LLC, USD Term Loan B12 (3 mo. USD LIBOR + 3.688%)		3.871	%		1/31/26		2,362,055		2,348,029	(b)(c)(d)
Terrier Media Buyer Inc., 2021 Refinancing Term Loan B (1 mo. USD LIBOR + 3.500%)		3.593	%		12/17/26		9,704,747		9,674,420	(b)(c)(d)
Univision Communications Inc., 2020 First Lien New Replacement Term Loan (the greater of 1 mo. USD LIBOR or 1.000% + 3.750%)		4.750	%		3/15/26		11,920,115		11,974,495	(b)(c)(d)
Virgin Media Bristol LLC, Term Loan B		—			1/31/29		1,910,000		1,912,189	(e)

See Notes to Schedule of Investments.

    12     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - (continued)
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%)		2.601	%		1/31/28		15,876,685	$	15,799,508	(b)(c)(d)
Ziggo Financing Partnership, Term Loan I (1 mo. USD LIBOR + 2.500%)		2.601	%		4/30/28		638,000		633,348	(b)(c)(d)
Total Media									98,281,001
TOTAL COMMUNICATION SERVICES									150,732,431
CONSUMER DISCRETIONARY - 4.9%
Auto Components - 0.6%
American Axle & Manufacturing Inc., Term Loan B (the greater of 1 mo. USD LIBOR or 0.750% + 2.250%)		3.000	%		4/6/24		2,492,063		2,494,138	(b)(c)(d)
Clarios Global LP, First Lien Amendment No. 1 Dollar Term Loan (1 mo. USD LIBOR + 3.250%)		3.250	%		4/30/26		18,488,315		18,427,655	(b)(c)(d)(e)
Total Auto Components									20,921,793
Commercial Services & Supplies - 0.0%††
Atlantic Aviation FBO Inc., Term Loan (1 mo. USD LIBOR + 3.750%)		3.850	%		12/6/25		1,289,412		1,289,895	(b)(c)(d)
Diversified Consumer Services - 0.5%
Prime Security Services Borrower LLC, 2021 Refinancing Term Loan B1		3.500	%		9/23/26		16,651,077		16,677,836	(b)(c)(d)(e)
Hotels, Restaurants & Leisure - 2.8%
1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%)		1.843	%		11/19/26		18,261,724		18,028,376	(b)(c)(d)
8th Avenue Food & Provisions Inc., First Lien Term Loan (1 mo. USD LIBOR + 3.500%)		3.593	%		10/1/25		989,873		990,139	(b)(c)(d)(e)
Alterra Mountain Co., Initial Term Loan (1 mo. USD LIBOR + 2.750%)		2.843	%		7/31/24		5,208,864		5,137,705	(b)(c)(d)
Aramark Services Inc., Term Loan B3 (1 mo. USD LIBOR + 1.750%)		1.843	%		3/11/25		7,973,400		7,897,406	(b)(c)(d)
Aramark Services Inc., Term Loan B4 (1 mo. USD LIBOR + 1.750%)		1.843	%		1/15/27		282,150		278,870	(b)(c)(d)
Boyd Gaming Corp., Refinancing Term Loan B (1 week LIBOR + 2.250%)		2.321	%		9/15/23		1,920,209		1,920,864	(b)(c)(d)
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%)		2.843	%		12/23/24		9,161,365		9,099,260	(b)(c)(d)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         13

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Hotels, Restaurants & Leisure - (continued)
Caesars Resort Collection LLC, Term Loan B1 (1 mo. USD LIBOR + 4.500%)		4.593	%		7/21/25		8,945,050	$	8,990,473	(b)(c)(d)
Four Seasons Hotels Ltd., Restated Term Loan (1 mo. USD LIBOR + 2.000%)		2.093	%		11/30/23		7,937,306		7,931,797	(b)(c)(d)
Golden Nugget Inc., First Lien Initial Term Loan (the greater of 2 mo. USD LIBOR or 0.750% + 2.500%)		3.250	%		10/4/23		1,226,083		1,217,738	(b)(c)(d)
Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%)		1.842	%		6/22/26		6,007,300		5,965,164	(b)(c)(d)
PCI Gaming Authority, Term Loan Facility B (1 mo. USD LIBOR + 2.500%)		2.593	%		5/29/26		5,543,191		5,525,868	(b)(c)(d)
Scientific Games International Inc., Initial Term Loan B5 (1 mo. USD LIBOR + 2.750%)		2.843	%		8/14/24		18,931,526		18,772,445	(b)(c)(d)
Station Casinos LLC, Term Loan Facility B1 (the greater of 1 mo. USD LIBOR or 0.250% + 2.250%)		2.500	%		2/8/27		9,299,051		9,218,847	(b)(c)(d)
Total Hotels, Restaurants & Leisure									100,974,952
Specialty Retail - 1.0%
Academy Ltd., Refinancing Term Loan		—			11/5/27		922,500		927,689	(e)(f)
BJ’s Wholesale Club Inc., Term Loan B (1 mo. USD LIBOR + 2.000%)		2.094	%		2/3/24		1,093,427		1,095,067	(b)(c)(d)
Great Outdoors Group LLC, Term Loan B1 (the greater of 6 mo. LIBOR or 0.750% + 4.250%)		5.000	%		3/6/28		4,179,525		4,217,141	(b)(c)(d)
Harbor Freight Tools USA Inc., 2020 Initial Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 3.000%)		3.750	%		10/19/27		10,523,734		10,558,809	(b)(c)(d)
Michaels Cos. Inc., Term Loan B (the greater of 3 mo. USD LIBOR or 0.750% + 4.250%)		5.000	%		4/15/28		5,910,000		5,933,084	(b)(c)(d)

See Notes to Schedule of Investments.

    14     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Specialty Retail - (continued)
Petco Health & Wellness Co. Inc., First Lien Initial Term Loan (the greater of 3 mo. USD LIBOR or 0.750% + 3.250%)		4.000	%		3/3/28		15,320,000	$	15,337,787	(b)(c)(d)
Whatabrands LLC, 2020 Refinancing Term Loan (1 mo. USD LIBOR + 2.750%)		2.851	%		7/31/26		153,924		153,379	(b)(c)(d)
Total Specialty Retail									38,222,956
TOTAL CONSUMER DISCRETIONARY									178,087,432
CONSUMER STAPLES - 0.5%
Food & Staples Retailing - 0.4%
Froneri U.S. Inc., Term Loan Facility B2 (1 mo. USD LIBOR + 2.250%)		2.343	%		1/29/27		1,985,000		1,960,559	(b)(c)(d)
US Foods Inc., 2019 Incremental Term Loan B (1 mo. USD LIBOR + 2.000%)		2.093	%		9/13/26		4,402,294		4,343,902	(b)(c)(d)
US Foods Inc., Repriced Term Loan (1 mo. USD LIBOR + 1.750%)		1.843	%		6/27/23		9,187,721		9,113,595	(b)(c)(d)
Total Food & Staples Retailing									15,418,056
Household Products - 0.1%
Energizer Holdings Inc., Term Loan (the greater of 1 mo. USD LIBOR or 0.500% + 2.250%)		2.750	%		12/22/27		2,713,200		2,716,252	(b)(c)(d)
TOTAL CONSUMER STAPLES									18,134,308
FINANCIALS - 2.7%
Capital Markets - 0.5%
Edelman Financial Engines Center LLC, 2021 Refinancing Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 3.750%)		4.500	%		4/7/28		3,646,075		3,654,432	(b)(c)(d)
Finco I LLC, 2020 Term Loan (1 mo. USD LIBOR + 2.500%)		2.593	%		6/27/25		1,274,219		1,273,310	(b)(c)(d)
First Eagle Holdings Inc., 2018 Refinancing Term Loan B (3 mo. USD LIBOR + 2.500%)		2.703	%		2/1/27		2,155,295		2,136,268	(b)(c)(d)
Focus Financial Partners LLC, Term Loan B3 (1 mo. USD LIBOR + 2.000%)		2.093	%		7/3/24		4,621,968		4,584,414	(b)(c)(d)
Zebra Buyer LLC, Term Loan B		—			4/21/28		7,310,000		7,347,690	(e)
Total Capital Markets									18,996,114

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         15

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Diversified Financial Services - 1.6%
Alpha Topco Ltd. - Delta 2 (Lux) SARL, USD 2018 Incremental New Facility Loan B3 (the greater of 1 mo. USD LIBOR or 1.000% + 2.500%)		3.500	%		2/1/24		950,000	$	946,512	(b)(c)(d)
Citadel Securities LP, 2021 Term Loan (1 mo. USD LIBOR + 2.500%)		2.593	%		2/2/28		11,164,195		11,106,632	(b)(c)(d)
Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan (the greater of 1 mo. USD LIBOR or 1.000% + 3.750%)		4.750	%		4/9/27		10,376,588		10,442,520	(b)(c)(d)
Jane Street Group LLC, Dollar Term Loan (1 mo. USD LIBOR + 2.750%)		2.843	%		1/26/28		5,590,333		5,560,050	(b)(c)(d)
Trans Union LLC, Term Loan B5 (1 mo. USD LIBOR + 1.750%)		1.843	%		11/16/26		13,439,235		13,400,033	(b)(c)(d)
UFC Holdings LLC, Term Loan B3 (the greater of 3 mo. USD LIBOR or 0.750% + 3.000%)		3.750	%		4/29/26		12,215,900		12,219,712	(b)(c)(d)
VFH Parent LLC, Initial Term Loan (1 mo. USD LIBOR + 3.000%)		3.098	%		3/1/26		5,364,514		5,370,549	(b)(c)(d)
Total Diversified Financial Services									59,046,008
Insurance - 0.6%
AmWINS Group Inc., Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 2.250%)		3.000	%		2/19/28		4,867,800		4,850,685	(b)(c)(d)
Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%)		3.343	%		11/3/24		638,550		636,726	(b)(c)(d)
Asurion LLC, New Term Loan B8 (1 mo. USD LIBOR + 3.250%)		3.343	%		12/23/26		7,499,788		7,473,418	(b)(c)(d)
Asurion LLC, New Term Loan B9 (1 mo. USD LIBOR + 3.250%)		3.343	%		7/31/27		4,880,000		4,862,208	(b)(c)(d)
Asurion LLC, Replacement Term Loan B6 (1 mo. USD LIBOR + 3.000%)		3.093	%		11/3/23		2,433,462		2,430,040	(b)(c)(d)
Total Insurance									20,253,077
TOTAL FINANCIALS									98,295,199
HEALTH CARE - 5.7%
Health Care Providers & Services - 2.7%
Bioscrip Inc., First Lien Term Loan B (1 mo. USD LIBOR + 3.750%)		3.843	%		8/6/26		11,574,094		11,603,030	(b)(c)(d)
EyeCare Partners LLC, First Lien Initial Term Loan (the greater of 1 mo. USD LIBOR or 0.000% + 3.750%)		3.750	%		2/18/27		2,635,457		2,614,225	(b)(c)(d)

See Notes to Schedule of Investments.

    16     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Health Care Providers & Services - (continued)
Global Medical Response Inc., 2020 Term Loan (the greater of 3 mo. USD LIBOR or 1.000% + 4.750%)		5.750	%		10/2/25		4,862,307	$	4,889,152	(b)(c)(d)
Grifols Worldwide Operations USA Inc., Dollar Term Loan B (1 week LIBOR + 2.000%)		2.062	%		11/15/27		17,593,667		17,458,055	(b)(c)(d)
HCA Inc., Term Loan B12 (1 mo. USD LIBOR + 1.750%)		1.843	%		3/13/25		1,218,144		1,218,906	(b)(c)(d)
LifePoint Health Inc., First Lien Term Loan B (1 mo. USD LIBOR + 3.750%)		3.843	%		11/17/25		12,255,090		12,270,409	(b)(c)(d)
MPH Acquisition Holdings LLC, Initial Term Loan (the greater of 3 mo. USD LIBOR or 1.000% + 2.750%)		3.750	%		6/7/23		10,519,052		10,519,052	(b)(c)(d)
Phoenix Guarantor Inc., Term Loan B1 (1 mo. USD LIBOR + 3.250%)		3.343	%		3/5/26		7,874,428		7,812,912	(b)(c)(d)
Phoenix Guarantor Inc., Term Loan B3 (1 mo. USD LIBOR + 3.500%)		3.598	%		3/5/26		13,960,000		13,850,944	(b)(c)(d)(e)
Sterigenics-Nordion Holdings LLC, Term Loan (the greater of 3 mo. USD LIBOR or 0.500% + 2.750%)		3.250	%		12/11/26		17,780,000		17,731,852	(b)(c)(d)
Total Health Care Providers & Services									99,968,537
Health Care Technology - 0.6%
AthenaHealth Inc., Additional Term Loan B1		4.351-4.410	%		2/11/26		10,845,972		10,908,336	(b)(c)(d)
Change Healthcare Holdings LLC, Closing Date Term Loan		3.500	%		3/1/24		11,063,241		11,077,070	(b)(c)(d)
Total Health Care Technology									21,985,406
Life Sciences Tools & Services - 0.8%
Parexel International Corp., Initial Term Loan (1 mo. USD LIBOR + 2.750%)		2.843	%		9/27/24		10,460,000		10,394,625	(b)(c)(d)
PPD Inc., Initial Term Loan (the greater of 1 mo. USD LIBOR or 0.500% + 2.250%)		2.750	%		1/13/28		18,130,000		18,126,229	(b)(c)(d)
Total Life Sciences Tools & Services									28,520,854
Pharmaceuticals - 1.6%
Bausch Health Cos. Inc., First Incremental Term Loan (3 mo. USD LIBOR + 2.750%)		2.843	%		11/27/25		2,245,625		2,236,056	(b)(c)(d)
Bausch Health Cos. Inc., Initial Term Loan (1 mo. USD LIBOR + 3.000%)		3.093	%		6/2/25		8,388,441		8,368,519	(b)(c)(d)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         17

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - (continued)
Endo Luxembourg Finance Co. I SARL, 2021 Term Loan (the greater of 3 mo. USD LIBOR or 0.750% + 5.000%)		5.750	%		3/27/28		777,015	$	754,191	(b)(c)(d)
Gainwell Acquisition Corp., Term Loan B (the greater of 3 mo. USD LIBOR or 0.750% + 4.000%)		4.750	%		10/1/27		13,198,000		13,239,244	(b)(c)(d)
Horizon Therapeutics USA Inc., Incremental Term Loan B2 (the greater of 1 mo. USD LIBOR or 0.500% + 2.000%)		2.500	%		3/15/28		18,010,000		17,987,487	(b)(c)(d)
Jazz Financing Lux Sarl, Initial Dollar Term Loan (the greater of 1 mo. USD LIBOR or 0.500% + 3.500%)		4.000	%		5/5/28		14,750,000		14,831,656	(b)(c)(d)
Total Pharmaceuticals									57,417,153
TOTAL HEALTH CARE									207,891,950
INDUSTRIALS - 2.7%
Aerospace & Defense - 0.1%
Avolon TLB Borrower 1 US LLC, Term Loan B5 (the greater of 1 mo. USD LIBOR or 0.750% + 2.500%)		3.250	%		12/1/27		4,468,800		4,482,488	(b)(c)(d)
Transdigm Inc., Refinancing Term Loan F (1 mo. USD LIBOR + 2.250%)		2.343	%		12/9/25		748,106		739,137	(b)(c)(d)
Total Aerospace & Defense									5,221,625
Air Freight & Logistics - 0.2%
XPO Logistics Inc., Refinancing Term Loan (1 mo. USD LIBOR + 1.750%)		1.858	%		2/24/25		8,065,000		8,035,143	(b)(c)(d)
Airlines - 0.4%
Delta Air Lines Inc., Initial Term Loan (the greater of 3 mo. USD LIBOR or 1.000% + 3.750%)		4.750	%		10/20/27		1,910,000		2,004,837	(b)(c)(d)
United Airlines Inc., Term Loan B (the greater of 3 mo. USD LIBOR or 0.750% + 3.750%)		4.500	%		4/21/28		10,610,000		10,714,116	(b)(c)(d)
Total Airlines									12,718,953
Commercial Services & Supplies - 1.4%
Allied Universal Holdco LLC, USD Term Loan (the greater of 1 mo. USD LIBOR or 0.500% + 3.750%)		4.250	%		5/12/28		12,714,839		12,757,217	(b)(c)(d)
APi Group DE Inc., Initial Term Loan (1 mo. USD LIBOR + 2.500%)		2.593	%		10/1/26		15,253,460		15,191,500	(b)(c)(d)

See Notes to Schedule of Investments.

    18     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Commercial Services & Supplies - (continued)
Garda World Security Corp., Term Loan B2 (1 mo. USD LIBOR + 4.250%)		4.350	%		10/30/26		3,964,367	$	3,978,924	(b)(c)(d)
GFL Environmental Inc., 2020 Term Loan (the greater of 1 mo. USD LIBOR or 0.500% + 3.000%)		3.500	%		5/30/25		5,947,842		5,966,840	(b)(c)(d)
Verscend Holding Corp., New Term Loan B (1 mo. USD LIBOR + 4.000%)		4.093	%		8/27/25		13,357,219		13,398,961	(b)(c)(d)
Total Commercial Services & Supplies									51,293,442
Construction & Engineering - 0.0%††
AECOM, Term Loan B (1 mo. USD LIBOR + 1.750%)		1.843	%		4/13/28		1,770,000		1,769,448	(b)(c)(d)
Electrical Equipment - 0.1%
Brookfield WEC Holdings Inc., Refinancing Term Loan 2 (the greater of 1 mo. USD LIBOR or 0.500% + 2.750%)		3.250	%		8/1/25		2,891,068		2,876,211	(b)(c)(d)
Road & Rail - 0.4%
Genesee & Wyoming Inc., Initial Term Loan (3 mo. USD LIBOR + 2.000%)		2.203	%		12/30/26		14,014,768		13,970,103	(b)(c)(d)
Trading Companies & Distributors - 0.1%
BrightView Landscapes LLC, Initial Term Loan (1 mo. USD LIBOR + 2.500%)		2.625	%		8/15/25		3,112,000		3,100,330	(b)(c)(d)
Delos Finance SARL, 2018 Term Loan (3 mo. USD LIBOR + 1.750%)		1.953	%		10/6/23		275,000		275,074	(b)(c)(d)
Total Trading Companies & Distributors									3,375,404
TOTAL INDUSTRIALS									99,260,329
INFORMATION TECHNOLOGY - 2.1%
Communications Equipment - 0.1%
Commscope Inc., Initial Term Loan (1 mo. USD LIBOR + 3.250%)		3.343	%		4/6/26		3,751,910		3,744,095	(b)(c)(d)
IT Services - 0.2%
FleetCor Technologies Operating Co. LLC, Term Loan B4 (1 mo. USD LIBOR + 1.750%)		1.843	%		4/21/28		5,350,000		5,351,910	(b)(c)(d)
Software - 1.5%
DCert Buyer Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.000%)		4.093	%		10/16/26		17,669,505		17,704,473	(b)(c)(d)
Magenta Buyer LLC, First Lien Term Loan		—			5/3/28		19,540,000		19,599,030	(e)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         19

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Software - (continued)
Peraton Corp., First Lien Term Loan B (the greater of 1 mo. USD LIBOR or 0.750% + 3.750%)		4.500	%		2/1/28		15,270,000	$	15,325,903	(b)(c)(d)(e)
RealPage Inc., First Lien Initial Term Loan (the greater of 3 mo. USD LIBOR or 0.500% + 3.250%)		3.750	%		4/24/28		3,270,000		3,270,455	(b)(c)(d)
Total Software									55,899,861
Technology Hardware, Storage & Peripherals - 0.3%
Dell International LLC, Refinancing Term Loan B2 (the greater of 1 mo. USD LIBOR or 0.250% + 1.750%)		2.000	%		9/19/25		6,366,386		6,375,338	(b)(c)(d)
Western Digital Corp., New Term Loan B4 (3 mo. USD LIBOR + 1.750%)		1.843	%		4/29/23		2,593,484		2,598,022	(b)(c)(d)
Total Technology Hardware, Storage & Peripherals									8,973,360
TOTAL INFORMATION TECHNOLOGY									73,969,226
MATERIALS - 1.0%
Chemicals - 0.4%
INEOS US Petrochem LLC, 2026 Dollar Term Loan B (the greater of 3 mo. USD LIBOR or 0.500% + 2.750%)		3.250	%		1/29/26		13,720,000		13,682,270	(b)(c)(d)
Containers & Packaging - 0.5%
Berry Global Inc., Term Z Loan (1 mo. USD LIBOR + 1.750%)		1.861	%		7/1/26		8,253,128		8,197,123	(b)(c)(d)
Reynolds Consumer Products LLC, Initial Term Loan (1 mo. USD LIBOR + 1.750%)		1.843	%		2/4/27		7,981,773		7,957,380	(b)(c)(d)
Reynolds Group Holdings Inc., Incremental U.S. Term Loan (1 mo. USD LIBOR + 2.750%)		2.843	%		2/6/23		1,017,104		1,016,609	(b)(c)(d)
Total Containers & Packaging									17,171,112
Paper & Forest Products - 0.1%
Asplundh Tree Expert LLC, 2021 Refinancing Term Loan (1 mo. USD LIBOR + 1.750%)		1.843	%		9/7/27		6,091,762		6,085,098	(b)(c)(d)
TOTAL MATERIALS									36,938,480
REAL ESTATE - 1.0%
Equity Real Estate Investment Trusts (REITs) - 0.4%
VICI Properties 1 LLC, Term Loan B (1 mo. USD LIBOR + 1.750%)		1.843	%		12/20/24		14,015,370		13,901,495	(b)(c)(d)(e)

See Notes to Schedule of Investments.

    20     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Real Estate Management & Development - 0.6%
CityCenter Holdings LLC, Refinancing Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 2.250%)		3.000	%		4/18/24		20,967,626		$	20,834,943	(b)(c)(d)
Realogy Group LLC, Extended 2025 Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 2.250%)		3.000	%		2/7/25		429,478			428,538	(b)(c)(d)
Total Real Estate Management & Development										21,263,481
TOTAL REAL ESTATE										35,164,976
TOTAL SENIOR LOANS (Cost - $895,081,908)										898,474,331
SOVEREIGN BONDS - 21.4%
Argentina - 0.3%
Argentine Republic Government International Bond, Senior Notes		1.000	%		7/9/29		730,361			284,819
Argentine Republic Government International Bond, Senior Notes, Step bond (0.125% to 7/9/21 then 0.500%)		0.125	%		7/9/30		16,237,114			6,020,559
Argentine Republic Government International Bond, Senior Notes, Step bond (0.125% to 7/9/21 then 1.125%)		0.125	%		7/9/35		1,882,485			625,004
Provincia de Buenos Aires, Senior Notes		6.500	%		2/15/23		2,650,000			1,132,875	*(a)(g)
Provincia de Buenos Aires, Senior Notes		9.125	%		3/16/24		1,850,000			781,644	*(a)(g)
Provincia de Buenos Aires, Senior Notes		7.875	%		6/15/27		2,280,000			966,492	*(a)(g)
Total Argentina										9,811,393
Brazil - 2.7%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/23		213,849,000	BRL		42,910,336
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/25		59,433,000	BRL		12,102,594
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		23,207,000	BRL		4,727,479
Brazilian Government International Bond, Senior Notes		4.625	%		1/13/28		5,560,000			6,064,098
Brazilian Government International Bond, Senior Notes		5.625	%		1/7/41		3,180,000			3,458,250

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         21

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Brazil - (continued)
Brazilian Government International Bond, Senior Notes		5.000	%		1/27/45		9,080,000		$	9,145,149
Brazilian Government International Bond, Senior Notes		4.750	%		1/14/50		19,330,000			18,653,643
Total Brazil										97,061,549
China - 3.6%
China Government Bond, Senior Notes		3.390	%		5/21/25		140,000,000	CNH		22,733,807	(h)
China Government Bond, Senior Notes		3.290	%		5/23/29		671,000,000	CNY		107,305,586
Total China										130,039,393
Colombia - 0.5%
Colombia Government International Bond, Senior Notes		3.250	%		4/22/32		8,520,000			8,242,248
Colombia Government International Bond, Senior Notes		4.125	%		2/22/42		8,600,000			8,217,300
Colombia Government International Bond, Senior Notes		5.625	%		2/26/44		500,000			553,750
Total Colombia										17,013,298
Egypt - 0.0%††
Egypt Government International Bond, Senior Notes		5.577	%		2/21/23		1,190,000			1,254,529	(a)
Indonesia - 1.5%
Indonesia Government International Bond, Senior Notes		3.750	%		4/25/22		1,000,000			1,030,415	(h)
Indonesia Treasury Bond		7.000	%		5/15/27		544,513,000,000	IDR		40,347,752
Indonesia Treasury Bond		6.500	%		2/15/31		63,356,000,000	IDR		4,463,970	(i)
Indonesia Treasury Bond		7.500	%		6/15/35		100,987,000,000	IDR		7,335,963
Total Indonesia										53,178,100
Italy - 3.3%
Italy Buoni Poliennali Del Tesoro, Senior Notes		2.300	%		10/15/21		98,160,000	EUR		120,967,172	(h)
Kenya - 0.2%
Kenya Government International Bond, Senior Notes		6.875	%		6/24/24		4,260,000			4,740,741	(h)
Kenya Government International Bond, Senior Notes		7.250	%		2/28/28		910,000			1,012,034	(a)
Total Kenya										5,752,775

See Notes to Schedule of Investments.

    22     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Mexico - 6.4%
Mexican Bonos, Bonds		10.000	%		12/5/24		352,420,000	MXN	$	20,053,508
Mexican Bonos, Bonds		8.000	%		11/7/47		3,200,030,000	MXN		167,848,144
Mexican Bonos, Senior Notes		8.500	%		5/31/29		329,390,000	MXN		18,589,080
Mexican Bonos, Senior Notes		7.750	%		11/13/42		387,951,500	MXN		19,957,603
Mexico Government International
Bond, Senior Notes		3.600	%		1/30/25		3,310,000			3,669,168
Mexico Government International
Bond, Senior Notes		4.750	%		3/8/44		3,380,000			3,690,301
Total Mexico										233,807,804
Nigeria - 0.1%
Nigeria Government International Bond, Senior Notes		7.143	%		2/23/30		4,970,000			5,300,207	(a)
Peru - 0.1%
Peruvian Government International Bond, Senior Notes		6.550	%		3/14/37		510,000			688,783
Peruvian Government International Bond, Senior Notes		5.625	%		11/18/50		2,520,000			3,303,367
Total Peru										3,992,150
Russia - 2.7%
Russian Federal Bond - OFZ		7.000	%		1/25/23		746,890,000	RUB		10,363,838
Russian Federal Bond - OFZ		7.000	%		8/16/23		992,840,000	RUB		13,826,809
Russian Federal Bond - OFZ		7.750	%		9/16/26		659,350,000	RUB		9,473,856
Russian Federal Bond - OFZ		8.150	%		2/3/27		613,510,000	RUB		8,982,164
Russian Federal Bond - OFZ		7.050	%		1/19/28		1,249,561,000	RUB		17,347,429
Russian Federal Bond - OFZ		6.900	%		5/23/29		997,790,000	RUB		13,654,338
Russian Federal Bond - OFZ		7.650	%		4/10/30		1,497,220,000	RUB		21,383,949
Russian Federal Bond - OFZ		7.250	%		5/10/34		93,150,000	RUB		1,287,778
Total Russia										96,320,161
TOTAL SOVEREIGN BONDS (Cost - $810,297,988)										774,498,531
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - 14.0%
Alternative Loan Trust, 2007-OA8 1A1 (1 mo. USD LIBOR + 0.180%)		0.272	%		6/25/47		4,204,922			3,709,302	(b)
BAMLL Re-REMIC Trust, 2016-GG10 AJA		5.829	%		8/10/45		18,382,644			8,364,103	(a)(b)
Banc of America Funding Corp., 2015-R3 1A2		0.529	%		3/27/36		30,500,772			26,425,229	(a)(b)
Banc of America Funding Trust, 2014-R2 2A2 (1 mo. USD LIBOR + 0.210%)		0.301	%		5/26/37		10,660,829			10,069,730	(a)(b)
Banc of America Funding Trust, 2015-R2 9A2		0.367	%		3/27/36		16,824,330			16,710,959	(a)(b)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         23

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued)
Barclays Commercial Mortgage Trust, 2019-C5 A4		3.063	%		11/15/52		25,110,000	$	27,125,796
BCAP LLC Trust, 2013-RR3 4A2 (1 mo. USD LIBOR + 0.160%)		0.266	%		11/26/36		8,200,986		7,865,520	(a)(b)
BCAP LLC Trust, 2014-RR5 1A2 (1 mo. USD LIBOR + 0.225%)		0.556	%		1/26/36		26,650,000		25,211,260	(a)(b)
BX Commercial Mortgage Trust, 2020-VIVA E		3.549	%		3/11/44		2,910,000		2,917,271	(a)(b)
Citigroup Commercial Mortgage Trust, 2019-C7-A4		3.102	%		12/15/72		15,000,000		16,250,328
Commercial Mortgage Trust, 2014- CR20 B		4.239	%		11/10/47		720,000		771,382	(b)
CSMC Trust, 2014-11R 15A2		2.833	%		1/27/36		3,958,798		3,959,824	(a)(b)
CSMC Trust, 2014-USA E		4.373	%		9/15/37		530,000		463,107	(a)
CSMC Trust, 2014-USA F		4.373	%		9/15/37		1,100,000		848,951	(a)
CSMC Trust, 2017-CHOP G (1 mo. USD LIBOR + 5.350%)		5.451	%		7/15/32		16,100,000		13,095,252	(a)(b)
CSMC Trust, 2020-TMIC A (1 mo. USD LIBOR + 3.000%, 3.250% floor)		3.250	%		12/15/35		6,870,000		6,997,702	(a)(b)
Deutsche Mortgage Securities Inc., 2006-PR1 5AS2, IO		10.311	%		4/15/36		3,208,453		925,571	(a)(b)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-HRP1 B1 (1 mo. USD LIBOR + 4.600%)		4.692	%		12/25/42		2,610,000		2,676,349	(b)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B1 (1 mo. USD LIBOR + 3.750%)		3.842	%		4/25/43		25,400,000		26,078,904	(a)(b)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (1 mo. USD LIBOR + 11.750%)		11.842	%		5/25/43		17,417,399		19,916,956	(a)(b)
Federal National Mortgage Association (FNMA) - CAS, 2015- C03 2M2(1mo. USD LIBOR + 5.000%)		5.092	%		7/25/25		135,614		137,931	(a)(b)
Federal National Mortgage Association (FNMA) - CAS, 2016- C04 1M2(1mo. USD LIBOR + 4.250%)		4.342	%		1/25/29		9,210,054		9,598,249	(a)(b)

See Notes to Schedule of Investments.

    24     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued)
Federal National Mortgage Association (FNMA) - CAS, 2017- C03 1B1 (1 mo. USD LIBOR + 4.850%)		4.942	%		10/25/29		16,410,000	$	17,581,321	(a)(b)
Federal National Mortgage Association (FNMA) - CAS, 2018- C06 1M2(1mo. USD LIBOR + 2.000%)		2.092	%		3/25/31		7,125,121		7,171,171	(a)(b)
GMAC Commercial Mortgage Securities Inc., 2006-C1 AJ		5.349	%		11/10/45		5,345		5,202	(b)
Government National Mortgage Association (GNMA), 2014-157 IO, IO		0.327	%		5/16/55		5,572,773		92,319	(b)
GS Mortgage Securities Corp., 2014-2R3B(1mo. USD LIBOR + 0.610%)		0.716	%		11/26/37		15,882,574		14,242,730	(a)(b)
Hilton USA Trust, 2016-HHV D		4.194	%		11/5/38		2,800,000		3,004,167	(a)(b)
IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. USD LIBOR + 0.270%)		0.362	%		11/25/36		19,678,972		16,359,903	(b)
JPMBB Commercial Mortgage Securities Trust, 2014-C25 C		4.447	%		11/15/47		3,940,000		3,929,909	(b)
JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP9 AMS		5.337	%		5/15/47		4,554,852		3,835,395
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-CB19 AJ		5.893	%		2/12/49		526,209		191,540	(b)
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ		6.498	%		2/15/51		17,114		15,792	(b)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN FFX		4.625	%		1/16/37		49,120,000		48,868,623	(a)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX		4.688	%		1/16/37		38,360,000		37,154,188	(a)(b)
ML-CFC Commercial Mortgage Trust, 2007-5 AJ		5.450	%		8/12/48		703,967		351,984	(b)
ML-CFC Commercial Mortgage Trust, 2007-5 AJFL		5.450	%		8/12/48		307,643		153,822	(a)(b)
ML-CFC Commercial Mortgage Trust, 2007-9 AJ		6.193	%		9/12/49		48,820		48,109	(b)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         25

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS (j) - (continued)
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34 B		4.111	%		11/15/52		6,250,000	$	6,859,555	(b)
Morgan Stanley Capital I Trust, 2006- IQ12 AJ		5.399	%		12/15/43		83,171		56,468
Morgan Stanley Capital I Trust, 2007- IQ13 AJ		5.438	%		3/15/44		26,140		26,138
MRCD Mortgage Trust, 2019-PARK A		2.718	%		12/15/36		7,980,000		8,361,509	(a)
Natixis Commercial Mortgage Securities Trust, 2019-TRUE A (1 mo. USD LIBOR + 2.011%, 3.511% floor)		3.511	%		4/18/24		25,140,000		24,877,488	(a)(b)
PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. USD LIBOR + 2.750%)		2.840	%		5/27/23		21,319,568		21,105,189	(a)(b)
PMT Credit Risk Transfer Trust, 2019-3R A (1 mo. USD LIBOR + 2.700%)		2.790	%		10/27/22		8,685,165		8,715,620	(a)(b)
PMT Credit Risk Transfer Trust, 2021-1R A (1 mo. USD LIBOR + 2.900%)		3.009	%		2/27/24		12,856,672		12,869,554	(a)(b)
Prime Mortgage Trust, 2006-DR1 2A1		5.500	%		5/25/35		1,156,934		1,067,276	(a)
RBSSP Resecuritization Trust, 2013-4 1A2 (1 mo. USD LIBOR + 1.500%)		1.648	%		12/26/37		21,999,009		21,091,594	(a)(b)
Residential Accredit Loans Inc., 2007- QS7 1A7 (1 mo. USD LIBOR + 0.550%)		0.642	%		5/25/37		6,217,606		4,693,560	(b)
SFO Commercial Mortgage Trust, 2021-555 D (1 mo. USD LIBOR + 2.400%)		2.501	%		5/15/38		7,960,000		8,013,211	(a)(b)
TBW Mortgage-Backed Pass-Through Certificates, 2006-3 4A3, IO (-1.000 x 1 mo. USD LIBOR + 7.100%)		7.008	%		7/25/36		18,964,094		3,053,813	(b)
Wells Fargo Commercial Mortgage Trust, 2014-LC16 A5		3.817	%		8/15/50		980,000		1,061,812
WFRBS Commercial Mortgage Trust, 2014-C24 AS		3.931	%		11/15/47		1,270,000		1,349,641
WFRBS Commercial Mortgage Trust, 2014-C24 C		4.290	%		11/15/47		1,630,000		1,528,457	(b)
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $496,510,739)									507,856,736

See Notes to Schedule of Investments.

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WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
MORTGAGE-BACKED SECURITIES - 9.1%
FNMA - 9.1%
Federal National Mortgage Association (FNMA)		3.000	%		6/1/51-8/1/51		317,600,000	$	331,369,389	(k)
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 3.9%
U.S. Government Obligations - 3.9%
U.S. Treasury Bonds		3.750	%		11/15/43		4,420,000		5,627,212	(l)(m)
U.S. Treasury Bonds		1.250	%		5/15/50		29,170,000		22,636,376
U.S. Treasury Bonds		1.875	%		2/15/51		68,260,000		62,084,603
U.S. Treasury Bonds		2.375	%		5/15/51		11,630,000		11,858,966
U.S. Treasury Notes		0.750	%		3/31/26		8,650,000		8,643,242
U.S. Treasury Notes		1.250	%		5/31/28		31,670,000		31,640,309
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $146,272,693)									142,490,708
ASSET-BACKED SECURITIES - 3.8%
Accredited Mortgage Loan Trust, 2006-2 M1 (1 mo. USD LIBOR + 0.270%)		0.362	%		9/25/36		16,246,000		15,393,468	(b)
Bravo Mortgage Asset Trust, 2006-1A M1 (1 mo. USD LIBOR + 0.400%)		0.492	%		7/25/36		29,550,000		27,672,810	(a)(b)
CIT Mortgage Loan Trust, 2007-1 1M1 (1 mo. USD LIBOR + 1.500%)		1.592	%		10/25/37		8,350,000		8,479,846	(a)(b)
Fremont Home Loan Trust, 2006-B 1A (1 mo. USD LIBOR + 0.150%)		0.242	%		8/25/36		16,198,016		7,906,718	(b)
GSAMP Trust, 2005-SEA1 M2 (1 mo. USD LIBOR + 1.350%)		1.442	%		1/25/35		4,725,750		4,646,016	(a)(b)
Hildene Community Funding CDO Ltd., 2015-1A AR		3.250	%		11/1/35		15,280,000		15,280,000	(a)
Home Equity Asset Trust, 2005-6 M5 (1 mo. USD LIBOR + 0.945%)		1.037	%		12/25/35		2,980,000		2,953,817	(b)
JPMorgan Mortgage Acquisition Trust, 2007-CH4 M2 (1 mo. USD LIBOR + 0.240%)		0.332	%		5/25/37		25,250,000		23,226,003	(b)
Morgan Stanley ABS Capital I Inc. Trust, 2004-HE7 M1 (1 mo. USD LIBOR + 0.900%)		0.992	%		8/25/34		7,157,963		7,114,797	(b)
PFCA Home Equity Investment Trust, 2003-IFC5 A		4.279	%		1/22/35		11,143,334		11,321,282	(a)(b)
RAMP Trust, 2006-RZ3 M1 (1 mo. USD LIBOR + 0.350%)		0.442	%		8/25/36		11,812,098		11,631,928	(b)
TOTAL ASSET-BACKED SECURITIES (Cost - $133,791,683)									135,626,685

See Notes to Schedule of Investments.

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WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY		EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
PURCHASED OPTIONS - 0.2%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.0%††
Canadian Dollar Futures, Call @ $80.00			6/4/21		52		52,000	$	142,480
Euro Futures, Call @ $1.21			6/4/21		238		29,750,000		330,225
Euro Futures, Call @ $1.22			6/4/21		113		14,125,000		55,087
U.S. Treasury 10-Year Notes Futures, Call @ $131.50			6/25/21		462		462,000		382,594
U.S. Treasury 10-Year Notes Futures, Put @ $132.00			6/25/21		75		75,000		44,531
U.S. Treasury 10-Year Notes Futures, Put @ $131.75			6/25/21		76		76,000		36,813
U.S. Treasury Long-Term Bonds Futures, Call @ $157.50			6/25/21		52		52,000		44,688
U.S. Treasury Long-Term Bonds Futures, Call @ $156.00			6/25/21		547		547,000		888,875
U.S. Treasury Long-Term Bonds Futures, Call @ $156.50			6/25/21		75		75,000		100,781
TOTAL EXCHANGE-TRADED PURCHASED OPTIONS (Cost - $1,586,570)									2,026,074
	COUNTERPARTY
OTC PURCHASED OPTIONS - 0.2%
U.S. Dollar/ Colombian Peso, Put @ 3,500.00COP	Goldman Sachs Group Inc.		6/11/21		40,680,000		40,680,000		15,458
U.S. Dollar/Euro, Put @$1.19	BNP Paribas SA		7/6/21		147,421,326		147,421,326		4,275,586
U.S. Dollar/Euro, Put @$1.21	Goldman Sachs Group Inc.		7/20/21		27,470,000		27,470,000		433,129
U.S. Dollar/Euro, Put @$1.23	BNP Paribas SA		8/11/21		153,510,000		153,510,000		923,117
U.S. Dollar/Euro, Put @$1.22	Goldman Sachs Group Inc.		8/19/21		73,790,000		73,790,000		721,301
U.S. Dollar/Japanese Yen, Put @ 107.45JPY	Citibank N.A.		7/8/21		146,820,000		146,820,000		228,329
TOTAL OTC PURCHASED OPTIONS (Cost - $5,716,824)									6,596,920
TOTAL PURCHASED OPTIONS (Cost - $7,303,394)									8,622,994
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $3,703,547,447)									3,719,475,105

See Notes to Schedule of Investments.

    28     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
SHORT-TERM INVESTMENTS - 2.6%
U.S. GOVERNMENT AGENCIES - 0.7%
Federal Home Loan Bank (FHLB), Discount Notes (Cost - $25,059,130)		(0.010	)%		7/21/21		25,060,000	$	25,060,348	(n)
						SHARES
OVERNIGHT DEPOSITS - 1.9%
BNY Mellon Cash Reserve Fund (Cost - $70,816,637)		0.010	%				70,816,637		70,816,637
TOTAL SHORT-TERM INVESTMENTS (Cost - $95,875,767)									95,876,985
TOTAL INVESTMENTS - 105.2% (Cost - $3,799,423,214)									3,815,352,090
Liabilities in Excess of Other Assets - (5.2)%									(188,775,100	)
TOTAL NET ASSETS - 100.0%								$	3,626,576,990

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         29

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

† Face amount/notional amount denominated in U.S. dollars, unless otherwise noted.

†† Represents less than 0.1%.

* Non-income producing security.

(a) 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.

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

(c) Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.

(d) Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

(e) All or a portion of this loan is unfunded as of May 31, 2021. The interest rate for fully unfunded term loans is to be determined.

(f) Security is valued using significant unobservable inputs (Note 1).

(g) The coupon payment on this security is currently in default as of May 31, 2021.

(h) Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

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

(j) Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.

(k) This security is traded on a to-be-announced (“TBA”) basis. At May 31, 2021, the Fund held TBA securities with a total cost of $332,203,300.

(l) All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts.

(m) All or a portion of this security is held at the broker as collateral for open futures contracts.

(n) Rate shown represents yield-to-maturity.

See Notes to Schedule of Investments.

    30     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

Abbreviation(s) used in this schedule:

BRL	— Brazilian Real
CAS	— Connecticut Avenue Securities
CDO	— Collateralized Debt Obligation
CNH	— Chinese Offshore Yuan
CNY	— Chinese Yuan Renminbi
COP	— Colombian Peso
EUR	— Euro
IDR	— Indonesian Rupiah
IO	— Interest Only
JPY	— Japanese Yen
JSC	— Joint Stock Company
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
OFZ	— Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
Re-REMIC	— Resecuritization of Real Estate Mortgage Investment Conduit
RUB	— Russian Ruble
SOFR	— Secured Overnight Financing Rate
USD	— United States Dollar

SCHEDULE OF WRITTEN OPTIONS
Exchange-Traded Written Options
SECURITY	EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
Australian Dollar Futures, Call		7/9/21	$	79.00			51		51,000	$	(13,770	)
Euro-Bund Futures, Call		6/25/21		172.00	EUR		103		10,300,000		(64,226	)
Eurodollar 2-Year Midcurve Futures, Call		12/10/21		99.13			572		1,430,000		(218,075	)
Eurodollar 2-Year Midcurve Futures, Put		12/10/21		98.75			543		1,357,500		(139,144	)
U.S. Treasury 5-Year Notes Futures, Call		6/25/21		123.50			387		387,000		(202,571	)
U.S. Treasury 5-Year Notes Futures, Call		6/25/21		123.75			387		387,000		(136,055	)
U.S. Treasury 5-Year Notes Futures, Call		6/25/21		124.00			541		541,000		(114,117	)
U.S. Treasury 5-Year Notes Futures, Put		6/25/21		123.50			385		385,000		(66,172	)
U.S. Treasury 10-Year Notes Futures, Call		6/4/21		131.75			456		456,000		(185,250	)
U.S. Treasury 10-Year Notes Futures, Call		6/25/21		132.00			651		651,000		(345,844	)
U.S. Treasury 10-Year Notes Futures, Call		6/25/21		132.50			1,554		1,554,000		(461,344	)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         31

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SCHEDULE OF WRITTEN OPTIONS (cont’d)

SECURITY	EXPIRATION DATE		STRIKE PRICE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Treasury 10-Year Notes Futures, Call		6/25/21	$	133.00		1,564		1,564,000	$	(244,375	)
U.S. Treasury 10-Year Notes Futures, Call		7/23/21		132.00		759		759,000		(592,969	)
U.S. Treasury 10-Year Notes Futures, Call		7/23/21		132.50		765		765,000		(406,406	)
U.S. Treasury 10-Year Notes Futures, Put		6/25/21		131.50		226		226,000		(88,281	)
U.S. Treasury Long-Term Bonds Futures, Call		6/4/21		156.00		228		228,000		(224,438	)
U.S. Treasury Long-Term Bonds Futures, Call		6/25/21		157.00		418		418,000		(457,187	)
U.S. Treasury Long-Term Bonds Futures, Call		6/25/21		158.00		1,093		1,093,000		(751,437	)
U.S. Treasury Long-Term Bonds Futures, Call		6/25/21		159.00		76		76,000		(32,062	)
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $5,343,480)									$	(4,743,723	)

OTC Written Options
	COUNTERPARTY
Interest rate swaption, Call	Citibank N.A.	6/1/21	175.00	bps	4,719,000	4,719,000	$	(6	)
Interest rate swaption, Call	Goldman Sachs Group Inc.	6/1/21	175.00	bps	19,033,000	19,033,000		(23	)
Interest rate swaption, Call	Goldman Sachs Group Inc.	6/1/21	175.00	bps	9,055,000	9,055,000		(11	)
Interest rate swaption, Call	Morgan Stanley & Co. Inc.	6/3/21	180.00	bps	9,810,000	9,810,000		(855	)
Interest rate swaption, Call	Morgan Stanley & Co. Inc.	6/3/21	180.00	bps	9,810,000	9,810,000		(855	)
Interest rate swaption, Put	Citibank N.A.	6/1/21	225.00	bps	4,719,000	4,719,000		(1	)
Interest rate swaption, Put	Goldman Sachs Group Inc.	6/1/21	225.00	bps	19,033,000	19,033,000		(5	)
Interest rate swaption, Put	Goldman Sachs Group Inc.	6/1/21	225.00	bps	9,055,000	9,055,000		(2	)
Interest rate swaption, Put	Morgan Stanley & Co. Inc.	6/3/21	230.00	bps	9,810,000	9,810,000		(7	)

See Notes to Schedule of Investments.

    32     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

SCHEDULE OF WRITTEN OPTIONS (cont’d)

SECURITY	COUNTERPARTY	EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
Interest rate swaption, Put	Morgan Stanley & Co. Inc.		6/3/21		230.00	bps		9,810,000		9,810,000	$	(7	)
U.S. Dollar/Brazilian Real, Put	Morgan Stanley & Co. Inc.		6/14/21		5.40	BRL		40,680,000		40,680,000		(1,562,972	)
TOTAL OTC WRITTEN OPTIONS (Premiums received - $2,238,002)											$	(1,564,744	)
TOTAL WRITTEN OPTIONS (Premiums received - $7,581,482)											$	(6,308,467	)

† Notional amount denominated in U.S. dollars, unless otherwise noted.

Abbreviation(s) used in this schedule:

bps	— basis point spread (100 basis points = 1.00%)
BRL	— Brazilian Real
EUR	— Euro

At May 31, 2021, the Fund had the following open futures contracts:    

	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy:
90-Day Eurodollar		385		9/23	$	95,367,721	$	95,475,187	$	107,466
90-Day Eurodollar		21,198		12/23		5,243,177,776		5,248,624,800		5,447,024
Australian 10-Year Bonds		1,679		6/21		179,841,257		181,432,685		1,591,428
Australian Dollar		2,916		6/21		225,137,179		224,940,240		(196,939	)
British Pound		1,378		6/21		120,044,470		122,263,050		2,218,580
Canadian Dollar		1,015		6/21		80,366,271		83,981,100		3,614,829
Euro		1,029		6/21		152,834,050		156,980,381		4,146,331
Euro-Bobl		251		9/21		41,000,013		41,011,920		11,907
Euro-OAT		604		9/21		115,813,879		116,573,420		759,541
Japanese Yen		1,005		6/21		115,732,925		114,438,094		(1,294,831	)
Mexican Peso		3,912		6/21		92,558,792		98,054,280		5,495,488
Russian Ruble		309		6/21		10,367,723		10,533,038		165,315
U.S. Treasury 5-Year Notes		374		9/21		46,278,780		46,320,483		41,703
U.S. Treasury 10-Year Notes		1,638		9/21		216,153,057		216,113,625		(39,432	)
U.S. Treasury Long-Term Bonds		3,327		9/21		519,479,960		520,779,469		1,299,509
U.S. Treasury Ultra Long-Term Bonds		2,639		9/21		485,004,082		488,874,750		3,870,668

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         33

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy (continued)
United Kingdom 10-Year Long Gilt bonds		54		9/21	$	9,703,435	$	9,751,689	$	48,254
										27,286,841
Contracts to Sell:
90-Day Eurodollar		2,489		6/21		621,175,186		621,487,744		(312,558	)
90-Day Eurodollar		6,503		12/21		1,622,088,569		1,622,904,938		(816,369	)
Euro-Bund		5,091		9/21		1,062,160,623		1,064,647,639		(2,487,016	)
Euro-Buxl		280		9/21		67,644,824		68,063,846		(419,022	)
Japanese 10-Year Bonds		93		6/21		127,744,769		128,219,511		(474,742	)
U.S. Treasury 2-Year Notes		4,755		9/21		1,049,066,302		1,049,591,958		(525,656	)
U.S. Treasury Ultra 10-Year Notes		1,330		9/21		191,464,125		192,787,663		(1,323,538	)
										(6,358,901	)
Net unrealized appreciation on open futures contracts									$	20,927,940

Abbreviation(s) used in this table:

OAT — Obligations Assimilables du Trésor (French Treasury Bonds)

At May 31, 2021, the Fund had the following open forward foreign currency contracts:

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	6,000,000	USD	7,225,080	BNP Paribas SA		7/19/21	$	98,987
USD	2,373,294	EUR	1,990,000	BNP Paribas SA		7/19/21		(55,855	)
USD	128,730,356	EUR	107,940,000	BNP Paribas SA		7/19/21		(3,029,617	)
USD	143,200,966	EUR	119,898,009	BNP Paribas SA		7/19/21		(3,155,884	)
BRL	41,780,000	USD	7,459,116	Citibank N.A.		7/19/21		518,171
CAD	1,650,000	USD	1,317,407	Citibank N.A.		7/19/21		48,334
CAD	173,332,629	USD	138,393,744	Citibank N.A.		7/19/21		5,077,498
CAD	418,070,000	USD	334,012,432	Citibank N.A.		7/19/21		12,033,333
EUR	10,000,000	USD	12,185,700	Citibank N.A.		7/19/21		21,079
INR	1,625,339,626	USD	21,853,306	Citibank N.A.		7/19/21		399,656
MXN	1,501,830,947	USD	73,640,462	Citibank N.A.		7/19/21		1,326,247
RUB	10,934,240,000	USD	139,861,600	Citibank N.A.		7/19/21		8,404,006
USD	8,886,212	AUD	11,609,347	Citibank N.A.		7/19/21		(65,523	)
USD	107,147,653	CNY	706,574,482	Citibank N.A.		7/19/21		(3,455,251	)

See Notes to Schedule of Investments.

    34     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	8,549,170		EUR	7,000,000	Citibank N.A.		7/19/21	$	4,425
USD	135,944,526		EUR	114,290,000	Citibank N.A.		7/19/21		(3,566,752	)
USD	3,160,607		MXN	63,406,507	Citibank N.A.		7/19/21		(4,448	)
ZAR	284,980,000		USD	19,358,739	Citibank N.A.		7/19/21		1,177,518
GBP	60,448,586		USD	83,062,100	Goldman Sachs Group Inc.		7/19/21		2,727,984
RUB	3,677,220,000		USD	46,939,239	Goldman Sachs Group Inc.		7/19/21		2,922,960
RUB	5,522,491,803		USD	70,449,885	Goldman Sachs Group Inc.		7/19/21		4,433,746
IDR	1,292,892,733,489		USD	88,065,713	JPMorgan Chase & Co.		7/19/21		2,052,537
USD	24,260,262		CNH	159,943,057	JPMorgan Chase & Co.		7/19/21		(804,173	)
BRL	22,906,804		USD	4,017,036	Morgan Stanley & Co. Inc.		7/19/21		356,686
BRL	30,610,000		USD	5,367,902	Morgan Stanley & Co. Inc.		7/19/21		476,634
BRL	61,220,000		USD	10,735,805	Morgan Stanley & Co. Inc.		7/19/21		953,268
JPY	13,084,662,208		USD	119,068,378	Morgan Stanley & Co. Inc.		7/19/21		109,285
Total								$	29,004,851

Abbreviation(s) used in this table:

AUD	— Australian Dollar
BRL	— Brazilian Real
CAD	— Canadian Dollar
CNH	— Chinese Offshore Yuan
CNY	— Chinese Yuan Renminbi
EUR	— Euro
GBP	— British Pound
IDR	— Indonesian Rupiah
INR	— Indian Rupee
JPY	— Japanese Yen
MXN	— Mexican Peso
RUB	— Russian Ruble
USD	— United States Dollar
ZAR	— South African Rand

At May 31, 2021, the Fund had the following open swap contracts:

OTC INTEREST RATE SWAPS

SWAP COUNTERPARTY

NOTIONAL AMOUNT*

TERMINATION DATE

PAYMENTS MADE BY THE FUND†

PAYMENTS RECEIVED BY THE FUND†

UPFRONT PREMIUMS PAID (RECEIVED)

UNREALIZED APPRECIATION

JPMorgan Chase & Co.

448,516,000

BRL

1/4/27

BRL-CDI

**

7.044

%**

—

$

224,819

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         35

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

CENTRALLY CLEARED INTEREST RATE SWAPS
NOTIONAL AMOUNT*			TERMINATION DATE		PAYMENTS MADE BY THE FUND†	PAYMENTS RECEIVED BY THE FUND†	UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
	60,790,000			5/13/22	3.450%**	CPURNSA**		—		$	225,822
	196,690,000			5/13/23	2.940%**	CPURNSA**		—			824,431
	785,112,000			12/18/25	3-Month LIBOR quarterly	1.100% semi-annually		—			(4,129,422	)
	257,480,000			5/13/26	CPURNSA**	2.750%**	$	191,195			79,240
	296,183,000			5/15/27	0.450% semi-annually	3-Month LIBOR quarterly		(741,276	)		11,659,619
	111,554,000			11/15/27	0.780% semi-annually	3-Month LIBOR quarterly		544,209			2,016,077
	331,801,000			2/15/28	1.250% semi-annually	3-Month LIBOR quarterly		400,501			(1,025,191	)
	179,340,000			2/15/28	1.350% semi-annually	3-Month LIBOR quarterly		174,963			(1,965,717	)
	1,482,510,000	MXN		7/18/29	28-Day MXN TIIE - Banxico every 28 days	7.450% every 28 days		515,074			3,669,523
	1,560,270,000	MXN		7/20/29	28-Day MXN TIIE - Banxico every 28 days	7.440% every 28 days		656,703			3,694,708
	30,600,000			11/15/45	0.800% semi-annually	3-Month LIBOR quarterly		897,356			6,564,838
	35,330,000			2/15/47	1.600% semi-annually	3-Month LIBOR quarterly		208,021			2,605,317
	44,178,000			2/15/47	2.000% semi-annually	3-Month LIBOR quarterly		651,134			(516,587	)
	43,640,000			10/7/50	1.200% semi-annually	3-Month LIBOR quarterly		343,967			7,950,036
	6,535,000			6/3/51	2.000% semi-annually	3-Month LIBOR quarterly		67,964			(95,553	)
	19,620,000			6/7/51	2.050% semi-annually	3-Month LIBOR quarterly		(2,452	)		(154,155	)
	Total						$	3,907,359		$	31,402,986

See Notes to Schedule of Investments.

    36     Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) May 31, 2021

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		PERIODIC PAYMENTS RECEIVED BY THE FUND†		MARKET VALUE3		UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED APPRECIATION
Markit CDX.NA.HY.36 Index	$	313,615,000		6/20/26		5.000% quarterly	$	30,463,635	$	25,739,363	$	4,724,272
Markit CDX.NA.IG.36 Index		1,115,469,000		6/20/26		1.000% quarterly		27,262,063		23,657,041		3,605,022
Total	$	1,429,084,000					$	57,725,698	$	49,396,404	$	8,329,294

¹  If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

²  The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³  The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

† Percentage shown is an annual percentage rate.

* Notional amount denominated in U.S. dollars, unless otherwise noted.

** One time payment made at termination date.

Abbreviation(s) used in this table:

BRL	— Brazilian Real
BRL-CDI	— Brazil Cetip InterBank Deposit Rate
CPURNSA	— U.S. CPI Urban Consumers NSA Index
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
TIIE	— Equilibrium Interbanking Interest Rate (Tasa de Intere’s Interbancaria de Equilibrio)

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

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         37

Notes to Schedule of Investments (unaudited)

1. Organization and significant accounting policies

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

Shares of the Fund may be purchased only by or on behalf of separately managed account clients where an affiliate of Legg Mason Partners Fund Advisor, LLC (“LMPFA”) has an agreement to serve as investment adviser or subadviser (each affiliate, a “Managed Account Adviser”) to the account with the managed account program sponsor (the “Program Sponsor”) (typically, a registered investment adviser or broker/dealer) or directly with the client. Shareholders of the Fund pay fees to their separately managed account sponsor, some of which are paid to affiliates of LMPFA. LMPFA and the 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”).

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

38

Notes to Schedule of Investments (unaudited) (continued)

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 (formerly known as Legg Mason North Atlantic Fund Valuation Committee prior to March 1, 2021) (the “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.

39

Notes to Schedule of Investments (unaudited) (continued)

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

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

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

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

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

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

ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Long-Term Investments†:
Corporate Bonds & Notes		—	$	920,535,731		—	$	920,535,731
Senior Loans:
Consumer Discretionary		—		177,159,743	$	927,689		178,087,432
Other Senior Loans		—		720,386,899		—		720,386,899
Sovereign Bonds		—		774,498,531		—		774,498,531
Collateralized Mortgage Obligations		—		507,856,736		—		507,856,736
Mortgage-Backed Securities		—		331,369,389		—		331,369,389
U.S. Government & Agency Obligations		—		142,490,708		—		142,490,708
Asset-Backed Securities		—		135,626,685		—		135,626,685
Purchased Options:
Exchange-Traded Purchased Options	$	2,026,074		—		—		2,026,074
OTC Purchased Options		—		6,596,920		—		6,596,920
Total Long-Term Investments		2,026,074		3,716,521,342		927,689		3,719,475,105
Short-Term Investments†:
U.S. Government Agencies		—		25,060,348		—		25,060,348
Overnight Deposits		—		70,816,637		—		70,816,637
Total Short-Term Investments		—		95,876,985		—		95,876,985
Total Investments	$	2,026,074	$	3,812,398,327	$	927,689	$	3,815,352,090

40

Notes to Schedule of Investments (unaudited) (continued)

ASSETS (cont’d)
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Futures Contracts††	$	28,818,043		—		—	$	28,818,043
Forward Foreign Currency Contracts††		—	$	43,142,354		—		43,142,354
OTC Interest Rate Swaps		—		224,819		—		224,819
Centrally Cleared Interest Rate Swaps††		—		39,289,611		—		39,289,611
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection††		—		8,329,294		—		8,329,294
Total Other Financial Instruments	$	28,818,043	$	90,986,078		—	$	119,804,121
Total	$	30,844,117	$	3,903,384,405	$	927,689	$	3,935,156,211
LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Written Options:
Exchange-Traded Written Options	$	4,743,723		—		—	$	4,743,723
OTC Written Options		—	$	1,564,744		—		1,564,744
Futures Contracts††		7,890,103		—		—		7,890,103
Forward Foreign Currency Contracts††		—		14,137,503		—		14,137,503
Centrally Cleared Interest Rate Swaps††		—		7,886,625		—		7,886,625
Total	$	12,633,826	$	23,588,872		—	$	36,222,698

† See Schedule of Investments for additional detailed categorizations.

†† Reflects the unrealized appreciation (depreciation) of the instruments.

41