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

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
SOVEREIGN BONDS - 25.0%
Argentina - 0.2%
Argentine Republic Government International Bond, Senior Notes		1.000	%		7/9/29		730,361		$	243,407
Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23 then 0.750%)		0.500	%		7/9/30		16,237,114			5,075,560
Argentine Republic Government International Bond, Senior Notes, Step bond (1.125% to 7/9/22 then 1.500%)		1.125	%		7/9/35		1,882,485			532,291
Provincia de Buenos Aires, Senior Notes, Step bond (3.900% to 9/1/22 then 5.250%)		3.900	%		9/1/37		7,464,786			2,922,912	(a)
Total Argentina										8,774,170
Brazil - 4.1%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/23		213,849,000	BRL		37,356,262
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/25		59,433,000	BRL		10,190,592
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		138,069,000	BRL		23,301,630
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/31		374,167,000	BRL		62,193,032
Brazilian Government International Bond, Senior Notes		5.625	%		1/7/41		3,180,000			3,141,554
Brazilian Government International Bond, Senior Notes		5.000	%		1/27/45		9,080,000			8,214,313
Brazilian Government International Bond, Senior Notes		4.750	%		1/14/50		21,630,000			18,600,502
Total Brazil										162,997,885
China - 8.1%
China Government Bond		3.290	%		5/23/29		1,871,000,000	CNY		302,131,617
China Government Bond, Senior Notes		3.390	%		5/21/25		140,000,000	CNH		22,597,557	(b)
Total China										324,729,174
Colombia - 0.4%
Colombia Government International Bond, Senior Notes		3.250	%		4/22/32		8,520,000			7,625,826
Colombia Government International Bond, Senior Notes		4.125	%		2/22/42		8,600,000			7,314,816
Colombia Government International Bond, Senior Notes		5.625	%		2/26/44		500,000			493,150
Total Colombia										15,433,792

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Egypt - 0.0%††
Egypt Government International Bond, Senior Notes		5.577	%		2/21/23		1,190,000		$	1,208,803	(a)
Indonesia - 2.9%
Indonesia Government International Bond, Senior Notes		3.750	%		4/25/22		1,000,000			1,011,410	(b)
Indonesia Treasury Bond		7.000	%		5/15/27		544,513,000,000	IDR		40,831,346
Indonesia Treasury Bond		6.500	%		2/15/31		875,398,000,000	IDR		62,269,540
Indonesia Treasury Bond		6.375	%		4/15/32		57,165,000,000	IDR		4,077,085
Indonesia Treasury Bond		7.500	%		6/15/35		100,987,000,000	IDR		7,463,413
Total Indonesia										115,652,794
Kenya - 0.4%
Republic of Kenya Government International Bond, Senior Notes		6.875	%		6/24/24		4,260,000			4,524,440	(b)
Republic of Kenya Government International Bond, Senior Notes		7.250	%		2/28/28		910,000			963,608	(a)
Republic of Kenya Government International Bond, Senior Notes		6.300	%		1/23/34		11,470,000			10,938,193	(a)
Total Kenya										16,426,241
Mexico - 6.1%
Mexican Bonos, Bonds		10.000	%		12/5/24		352,420,000	MXN		17,683,451
Mexican Bonos, Bonds		8.000	%		11/7/47		3,200,030,000	MXN		147,952,561
Mexican Bonos, Senior Notes		8.500	%		5/31/29		329,390,000	MXN		16,296,579
Mexican Bonos, Senior Notes		7.750	%		11/13/42		1,279,171,500	MXN		57,911,769
Mexico Government International Bond, Senior Notes		3.600	%		1/30/25		3,310,000			3,529,056
Mexico Government International Bond, Senior Notes		4.750	%		3/8/44		3,380,000			3,663,666
Total Mexico										247,037,082
Nigeria - 0.1%
Nigeria Government International Bond, Senior Notes		7.143	%		2/23/30		4,970,000			4,735,963	(a)
Peru - 0.1%
Peruvian Government International Bond, Senior Notes		6.550	%		3/14/37		510,000			686,070
Peruvian Government International Bond, Senior Notes		5.625	%		11/18/50		2,520,000			3,442,471
Total Peru										4,128,541
Russia - 2.6%
Russian Federal Bond — OFZ		7.000	%		1/25/23		746,890,000	RUB		9,922,767
Russian Federal Bond — OFZ		7.000	%		8/16/23		992,840,000	RUB		13,116,631

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Russia - continued
Russian Federal Bond — OFZ		7.750	%		9/16/26		659,350,000	RUB	$	8,674,706
Russian Federal Bond — OFZ		8.150	%		2/3/27		613,510,000	RUB		8,208,186
Russian Federal Bond — OFZ		7.050	%		1/19/28		2,374,777,000	RUB		30,028,895
Russian Federal Bond — OFZ		6.900	%		5/23/29		1,180,403,000	RUB		14,768,191
Russian Federal Bond — OFZ		7.650	%		4/10/30		1,497,220,000	RUB		19,488,589
Russian Federal Bond — OFZ		7.250	%		5/10/34		93,150,000	RUB		1,166,313
Total Russia										105,374,278
TOTAL SOVEREIGN BONDS (Cost - $1,098,770,180)										1,006,498,723
CORPORATE BONDS & NOTES - 24.5%
COMMUNICATION SERVICES - 3.2%
Diversified Telecommunication Services - 0.3%
AT&T Inc., Senior Notes		3.100	%		2/1/43		6,300,000			6,094,301
Verizon Communications Inc., Senior Notes		4.000	%		3/22/50		5,000,000			5,818,918
Total Diversified Telecommunication Services										11,913,219
Entertainment - 0.1%
Netflix Inc., Senior Notes		5.875	%		2/15/25		2,845,000			3,203,598
Interactive Media & Services - 0.7%
Alphabet Inc., Senior Notes		2.050	%		8/15/50		4,000,000			3,626,395
Tencent Holdings Ltd., Senior Notes		3.680	%		4/22/41		6,780,000			7,088,765	(a)
Tencent Holdings Ltd., Senior Notes		3.840	%		4/22/51		17,830,000			19,320,590	(a)
Total Interactive Media & Services										30,035,750
Media - 1.2%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.125	%		5/1/27		3,470,000			3,577,570	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.000	%		2/1/28		3,100,000			3,198,332	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		8/15/30		1,400,000			1,413,580	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		5/1/32		7,950,000			7,928,654
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		4.464	%		7/23/22		640,000			651,372
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		4.908	%		7/23/25		100,000			110,388
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		6.484	%		10/23/45		2,000,000			2,738,103

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 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	$	8,462,252
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		5,100,000		5,167,473
DISH DBS Corp., Senior Notes		7.750	%		7/1/26		1,220,000		1,255,752
DISH DBS Corp., Senior Notes		5.125	%		6/1/29		3,150,000		2,772,315
DISH DBS Corp., Senior Secured Notes		5.250	%		12/1/26		2,260,000		2,242,564	(a)
Fox Corp., Senior Notes		5.476	%		1/25/39		3,000,000		3,883,880
Time Warner Cable LLC, Senior Secured Notes		7.300	%		7/1/38		2,500,000		3,591,808
Total Media									46,994,043
Wireless Telecommunication Services - 0.9%
America Movil SAB de CV, Senior Notes		6.125	%		3/30/40		1,500,000		2,127,786
CSC Holdings LLC, Senior Notes		4.125	%		12/1/30		450,000		431,318	(a)
CSC Holdings LLC, Senior Notes		4.500	%		11/15/31		7,080,000		6,863,600	(a)
Sprint Capital Corp., Senior Notes		6.875	%		11/15/28		650,000		803,504
Sprint Capital Corp., Senior Notes		8.750	%		3/15/32		3,980,000		5,889,704
Sprint Corp., Senior Notes		7.875	%		9/15/23		180,000		198,006
Sprint Corp., Senior Notes		7.625	%		2/15/25		1,973,000		2,262,104
T-Mobile USA Inc., Senior Notes		2.250	%		2/15/26		1,350,000		1,335,481
T-Mobile USA Inc., Senior Notes		2.625	%		2/15/29		4,230,000		4,087,407
T-Mobile USA Inc., Senior Notes		3.500	%		4/15/31		2,270,000		2,311,269	(a)
T-Mobile USA Inc., Senior Secured Notes		3.000	%		2/15/41		5,000,000		4,778,264
T-Mobile USA Inc., Senior Secured Notes		3.300	%		2/15/51		5,000,000		4,872,802
Total Wireless Telecommunication Services									35,961,245
TOTAL COMMUNICATION SERVICES									128,107,855
CONSUMER DISCRETIONARY - 3.0%
Automobiles - 1.1%
Ford Motor Credit Co. LLC, Senior Notes		5.125	%		6/16/25		200,000		216,464
Ford Motor Credit Co. LLC, Senior Notes		3.375	%		11/13/25		5,580,000		5,706,554
Ford Motor Credit Co. LLC, Senior Notes		4.125	%		8/17/27		3,220,000		3,400,996
Ford Motor Credit Co. LLC, Senior Notes		3.815	%		11/2/27		250,000		258,813
Ford Motor Credit Co. LLC, Senior Notes		2.900	%		2/16/28		2,130,000		2,098,583
Ford Motor Credit Co. LLC, Senior Notes		4.000	%		11/13/30		27,260,000		28,635,540
Ford Motor Credit Co. LLC, Senior Notes		3.625	%		6/17/31		5,820,000		5,947,574
Total Automobiles									46,264,524

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Diversified Consumer Services - 0.1%
Prime Security Services Borrower LLC/ Prime Finance Inc., Senior Secured Notes		5.750	%		4/15/26		2,900,000	$	3,073,362	(a)
Service Corp. International, Senior Notes		7.500	%		4/1/27		1,370,000		1,643,527
Total Diversified Consumer Services									4,716,889
Hotels, Restaurants & Leisure - 0.8%
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		3.875	%		1/15/28		460,000		454,781	(a)
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		3.500	%		2/15/29		1,960,000		1,887,588	(a)
GLP Capital LP/GLP Financing II Inc., Senior Notes		5.375	%		4/15/26		310,000		344,316
Hilton Domestic Operating Co. Inc., Senior Notes		5.375	%		5/1/25		4,240,000		4,393,700	(a)
Hilton Domestic Operating Co. Inc., Senior Notes		5.750	%		5/1/28		1,800,000		1,906,796	(a)
Hilton Domestic Operating Co. Inc., Senior Notes		3.625	%		2/15/32		1,100,000		1,069,486	(a)
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes		4.875	%		4/1/27		2,630,000		2,702,102
McDonald’s Corp., Senior Notes		4.200	%		4/1/50		5,000,000		6,104,160
VOC Escrow Ltd., Senior Secured Notes		5.000	%		2/15/28		3,540,000		3,402,276	(a)
Wynn Macau Ltd., Senior Notes		5.625	%		8/26/28		7,740,000		7,138,834	(a)
Wynn Macau Ltd., Senior Notes		5.125	%		12/15/29		1,110,000		996,369	(a)
Total Hotels, Restaurants & Leisure									30,400,408
Household Durables - 0.2%
Lennar Corp., Senior Notes		4.500	%		4/30/24		1,420,000		1,516,688
Lennar Corp., Senior Notes		4.750	%		5/30/25		160,000		175,835
Lennar Corp., Senior Notes		5.250	%		6/1/26		606,000		688,522
Lennar Corp., Senior Notes		5.000	%		6/15/27		280,000		319,851
Lennar Corp., Senior Notes		4.750	%		11/29/27		2,040,000		2,321,041
MDC Holdings Inc., Senior Notes		6.000	%		1/15/43		1,650,000		2,079,033
Toll Brothers Finance Corp., Senior Notes		4.375	%		4/15/23		1,850,000		1,918,542
Total Household Durables									9,019,512
Internet & Direct Marketing Retail - 0.5%
Prosus NV, Senior Notes		3.061	%		7/13/31		19,380,000		18,755,239	(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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Specialty Retail - 0.2%
Home Depot Inc., Senior Notes		3.350	%		4/15/50		3,000,000	$	3,341,483
Lowe’s Cos. Inc., Senior Notes		3.000	%		10/15/50		5,000,000		5,038,123
Total Specialty Retail									8,379,606
Textiles, Apparel & Luxury Goods - 0.1%
Hanesbrands Inc., Senior Notes		4.625	%		5/15/24		450,000		468,943	(a)
Hanesbrands Inc., Senior Notes		4.875	%		5/15/26		1,840,000		1,968,671	(a)
Total Textiles, Apparel & Luxury Goods									2,437,614
TOTAL CONSUMER DISCRETIONARY									119,973,792
CONSUMER STAPLES - 2.0%
Beverages - 0.5%
Anheuser-Busch InBev Worldwide Inc., Senior Notes		5.550	%		1/23/49		10,000,000		13,811,812
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.500	%		6/1/50		2,000,000		2,478,853
Coca-Cola Co., Senior Notes		2.500	%		3/15/51		1,510,000		1,477,445
Constellation Brands Inc., Senior Notes		4.250	%		5/1/23		300,000		314,165
Constellation Brands Inc., Senior Notes		4.750	%		11/15/24		1,560,000		1,713,608
Total Beverages									19,795,883
Food Products - 0.8%
Kraft Heinz Foods Co., Senior Notes		4.250	%		3/1/31		1,360,000		1,557,009
Kraft Heinz Foods Co., Senior Notes		6.750	%		3/15/32		432,000		584,921
Kraft Heinz Foods Co., Senior Notes		6.875	%		1/26/39		1,130,000		1,656,722
Kraft Heinz Foods Co., Senior Notes		7.125	%		8/1/39		330,000		496,037	(a)
Kraft Heinz Foods Co., Senior Notes		4.625	%		10/1/39		330,000		386,202
Kraft Heinz Foods Co., Senior Notes		5.000	%		6/4/42		1,810,000		2,212,951
Kraft Heinz Foods Co., Senior Notes		5.200	%		7/15/45		4,960,000		6,324,897
Kraft Heinz Foods Co., Senior Notes		4.375	%		6/1/46		2,160,000		2,503,108
Kraft Heinz Foods Co., Senior Notes		4.875	%		10/1/49		4,010,000		5,006,397
Kraft Heinz Foods Co., Senior Notes		5.500	%		6/1/50		2,730,000		3,708,754
Lamb Weston Holdings Inc., Senior Notes		4.875	%		5/15/28		2,670,000		2,838,357	(a)
Mars Inc., Senior Notes		2.375	%		7/16/40		3,000,000		2,904,735	(a)
Total Food Products									30,180,090
Tobacco - 0.7%
Altria Group Inc., Senior Notes		5.800	%		2/14/39		5,000,000		6,046,217
Altria Group Inc., Senior Notes		5.950	%		2/14/49		7,500,000		9,470,079
Altria Group Inc., Senior Notes		6.200	%		2/14/59		792,000		1,034,730

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Tobacco - continued
BAT Capital Corp., Senior Notes		3.734	%		9/25/40		10,000,000	$	9,653,262
BAT Capital Corp., Senior Notes		3.984	%		9/25/50		2,500,000		2,446,952
Total Tobacco									28,651,240
TOTAL CONSUMER STAPLES									78,627,213
ENERGY - 7.7%
Oil, Gas & Consumable Fuels - 7.7%
Apache Corp., Senior Notes		5.100	%		9/1/40		16,268,000		17,674,450
BP Capital Markets America Inc., Senior Notes		2.772	%		11/10/50		5,000,000		4,734,532
Cameron LNG LLC, Senior Secured Notes		3.302	%		1/15/35		4,820,000		5,096,369	(a)
Cheniere Energy Inc., Senior Secured Notes		4.625	%		10/15/28		3,160,000		3,258,734
Cheniere Energy Partners LP, Senior Notes		3.250	%		1/31/32		7,030,000		6,839,909	(a)
Continental Resources Inc., Senior Notes		4.375	%		1/15/28		10,830,000		11,678,668
Devon Energy Corp., Senior Notes		8.250	%		8/1/23		320,000		352,291	(a)
Devon Energy Corp., Senior Notes		5.250	%		10/15/27		170,000		179,733	(a)
Devon Energy Corp., Senior Notes		5.875	%		6/15/28		720,000		785,684	(a)
Devon Energy Corp., Senior Notes		5.000	%		6/15/45		5,000,000		6,039,187
Ecopetrol SA, Senior Notes		4.625	%		11/2/31		21,540,000		20,635,535
Ecopetrol SA, Senior Notes		5.875	%		5/28/45		1,170,000		1,092,827
Energy Transfer LP/Regency Energy Finance Corp., Senior Notes		5.875	%		3/1/22		30,000		30,000
EOG Resources Inc., Senior Notes		4.950	%		4/15/50		3,000,000		4,065,779
EQT Corp., Senior Notes		3.000	%		10/1/22		905,000		908,281
EQT Corp., Senior Notes		3.900	%		10/1/27		11,880,000		12,399,988
EQT Corp., Senior Notes		5.000	%		1/15/29		180,000		197,433
Exxon Mobil Corp., Senior Notes		3.452	%		4/15/51		5,000,000		5,470,391
KazMunayGas National Co. JSC, Senior Notes		5.375	%		4/24/30		500,000		574,732	(a)
KazMunayGas National Co. JSC, Senior Notes		6.375	%		10/24/48		2,850,000		3,608,026	(a)
Kinder Morgan Inc., Senior Notes		7.750	%		1/15/32		300,000		423,806
Kinder Morgan Inc., Senior Notes		5.550	%		6/1/45		5,000,000		6,346,121
MEG Energy Corp., Senior Notes		5.875	%		2/1/29		1,030,000		1,023,640	(a)
MPLX LP, Senior Notes		4.875	%		12/1/24		1,780,000		1,936,171
MPLX LP, Senior Notes		4.875	%		6/1/25		1,710,000		1,872,391
MPLX LP, Senior Notes		4.500	%		4/15/38		2,000,000		2,222,943

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - continued
Occidental Petroleum Corp., Senior Notes		7.500	%		5/1/31		15,000,000	$	18,939,150
Occidental Petroleum Corp., Senior Notes		6.200	%		3/15/40		11,829,000		14,047,115
Occidental Petroleum Corp., Senior Notes		6.600	%		3/15/46		5,000,000		6,375,000
Petrobras Global Finance BV, Senior Notes		5.750	%		2/1/29		53,230,000		56,227,914
Petrobras Global Finance BV, Senior Notes		5.500	%		6/10/51		7,380,000		6,560,931
Petroleos Mexicanos, Senior Notes		6.875	%		8/4/26		1,650,000		1,752,861
Petroleos Mexicanos, Senior Notes		6.625	%		6/15/35		1,000,000		918,855
Petroleos Mexicanos, Senior Notes		5.500	%		6/27/44		330,000		250,821
Qatar Energy, Senior Notes		2.250	%		7/12/31		13,090,000		12,894,174	(a)
Qatar Energy, Senior Notes		3.125	%		7/12/41		7,790,000		7,829,378	(a)
Qatar Energy, Senior Notes		3.300	%		7/12/51		8,430,000		8,637,041	(a)
Range Resources Corp., Senior Notes		5.875	%		7/1/22		211,000		213,084
Range Resources Corp., Senior Notes		5.000	%		3/15/23		2,347,000		2,383,648
Range Resources Corp., Senior Notes		4.875	%		5/15/25		1,680,000		1,717,800
Range Resources Corp., Senior Notes		8.250	%		1/15/29		1,780,000		1,964,283	(a)
Sabine Pass Liquefaction LLC, Senior Secured Notes		5.750	%		5/15/24		1,300,000		1,420,419
Shell International Finance BV, Senior Notes		3.250	%		4/6/50		5,000,000		5,375,925
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.875	%		4/15/26		700,000		726,397
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.375	%		2/1/27		840,000		860,126
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.500	%		7/15/27		1,630,000		1,736,129
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.875	%		1/15/29		830,000		920,665
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		4.875	%		2/1/31		3,590,000		3,856,755

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 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	$	579,600	(a)
Western Midstream Operating LP, Senior Notes		5.300	%		3/1/48		20,000,000		23,198,600
Western Midstream Operating LP, Senior Notes		5.500	%		8/15/48		2,000,000		2,315,160
Williams Cos. Inc., Senior Notes		4.550	%		6/24/24		230,000		247,226
Williams Cos. Inc., Senior Notes		7.500	%		1/15/31		152,000		207,540
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		5,800,000		7,584,335
TOTAL ENERGY									309,188,553
FINANCIALS - 0.6%
Banks - 0.5%
Bank of America Corp., Senior Notes (2.831% to 10/24/50 then SOFR + 1.880%)		2.831	%		10/24/51		5,000,000		4,994,820	(c)
CIT Group Inc., Senior Notes		5.000	%		8/15/22		2,651,000		2,724,313
CIT Group Inc., Senior Notes		5.000	%		8/1/23		710,000		750,012
CIT Group Inc., Senior Notes		4.750	%		2/16/24		1,950,000		2,060,994
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%)		5.013	%		4/4/51		5,000,000		6,926,272	(c)
Wells Fargo & Co., Subordinated Notes		4.750	%		12/7/46		2,000,000		2,532,522
Total Banks									19,988,933
Diversified Financial Services - 0.1%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		4.625	%		7/1/22		590,000		603,390
Park Aerospace Holdings Ltd., Senior Notes		5.250	%		8/15/22		220,000		225,730	(a)
Park Aerospace Holdings Ltd., Senior Notes		4.500	%		3/15/23		1,210,000		1,255,494	(a)
Park Aerospace Holdings Ltd., Senior Notes		5.500	%		2/15/24		2,840,000		3,059,436	(a)
Total Diversified Financial Services									5,144,050
TOTAL FINANCIALS									25,132,983
HEALTH CARE - 2.6%
Biotechnology - 0.1%
AbbVie Inc., Senior Notes		4.050	%		11/21/39		5,000,000		5,729,093
Health Care Providers & Services - 1.0%
Centene Corp., Senior Notes		3.375	%		2/15/30		1,490,000		1,502,572
Cigna Corp., Senior Notes		4.800	%		8/15/38		5,000,000		6,137,454

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Health Care Providers & Services - continued
Cigna Corp., Senior Notes		4.900	%		12/15/48		5,000,000	$	6,487,924
Fresenius Medical Care U.S. Finance II Inc., Senior Notes		4.750	%		10/15/24		5,070,000		5,499,381	(a)
HCA Inc., Senior Notes		5.375	%		2/1/25		2,120,000		2,315,040
HCA Inc., Senior Notes		5.375	%		9/1/26		1,430,000		1,597,582
HCA Inc., Senior Notes		5.625	%		9/1/28		1,540,000		1,781,769
HCA Inc., Senior Notes		5.875	%		2/1/29		4,380,000		5,146,631
HCA Inc., Senior Notes		3.500	%		9/1/30		3,710,000		3,867,786
HCA Inc., Senior Notes		7.500	%		11/15/95		10,000		14,804
HCA Inc., Senior Secured Notes		4.750	%		5/1/23		1,750,000		1,838,685
HCA Inc., Senior Secured Notes		5.000	%		3/15/24		890,000		960,717
HCA Inc., Senior Secured Notes		5.250	%		4/15/25		670,000		745,325
HCA Inc., Senior Secured Notes		5.250	%		6/15/26		90,000		101,329
HCA Inc., Senior Secured Notes		4.500	%		2/15/27		90,000		99,089
HCA Inc., Senior Secured Notes		5.500	%		6/15/47		190,000		250,633
Total Health Care Providers & Services									38,346,721
Pharmaceuticals - 1.5%
Bausch Health Americas Inc., Senior Notes		9.250	%		4/1/26		310,000		325,156	(a)
Bausch Health Americas Inc., Senior Notes		8.500	%		1/31/27		830,000		855,348	(a)
Bausch Health Cos. Inc., Senior Notes		9.000	%		12/15/25		2,380,000		2,487,540	(a)
Bausch Health Cos. Inc., Senior Notes		6.250	%		2/15/29		5,160,000		4,685,280	(a)
Bausch Health Cos. Inc., Senior Notes		7.250	%		5/30/29		280,000		266,125	(a)
Bausch Health Cos. Inc., Senior Secured Notes		5.500	%		11/1/25		350,000		354,293	(a)
Teva Pharmaceutical Finance Co. BV, Senior Notes		2.950	%		12/18/22		3,420,000		3,413,981
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.800	%		7/21/23		940,000		942,270
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		6.000	%		4/15/24		5,050,000		5,262,100
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		7.125	%		1/31/25		3,920,000		4,193,302
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		3.150	%		10/1/26		35,020,000		32,831,600
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		5.125	%		5/9/29		3,540,000		3,467,359
Total Pharmaceuticals									59,084,354
TOTAL HEALTH CARE									103,160,168

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
INDUSTRIALS - 3.1%
Aerospace & Defense - 0.7%
Boeing Co., Senior Notes		5.705	%		5/1/40		4,000,000	$	5,114,361
Boeing Co., Senior Notes		5.805	%		5/1/50		10,000,000		13,507,958
Boeing Co., Senior Notes		5.930	%		5/1/60		5,000,000		6,922,555
Raytheon Technologies Corp., Senior Notes		4.500	%		6/1/42		2,000,000		2,475,442
Total Aerospace & Defense									28,020,316
Airlines - 2.0%
Delta Air Lines Inc., Senior Notes		3.625	%		3/15/22		6,210,000		6,218,046
Delta Air Lines Inc., Senior Notes		3.800	%		4/19/23		840,000		856,226
Delta Air Lines Inc., Senior Notes		2.900	%		10/28/24		680,000		685,586
Delta Air Lines Inc., Senior Notes		7.375	%		1/15/26		6,420,000		7,432,787
Delta Air Lines Inc., Senior Secured Notes		7.000	%		5/1/25		29,450,000		33,856,603	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.500	%		10/20/25		5,930,000		6,219,557	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.750	%		10/20/28		5,390,000		5,911,827	(a)
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes		6.500	%		6/20/27		7,670,000		8,201,416	(a)
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes		8.000	%		9/20/25		4,907,999		5,373,670	(a)
United Airlines Inc., Senior Secured Notes		4.375	%		4/15/26		300,000		301,778	(a)
United Airlines Inc., Senior Secured Notes		4.625	%		4/15/29		5,336,000		5,317,324	(a)
Total Airlines									80,374,820
Commercial Services & Supplies - 0.1%
CoreCivic Inc., Senior Notes		4.750	%		10/15/27		210,000		190,326
GFL Environmental Inc., Senior Secured Notes		4.250	%		6/1/25		3,120,000		3,195,941	(a)
Total Commercial Services & Supplies									3,386,267
Trading Companies & Distributors - 0.3%
United Rentals North America Inc., Senior Notes		4.875	%		1/15/28		13,060,000		13,697,458
United Rentals North America Inc., Senior Notes		5.250	%		1/15/30		100,000		107,969
Total Trading Companies & Distributors									13,805,427
TOTAL INDUSTRIALS									125,586,830

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
INFORMATION TECHNOLOGY - 0.3%
Communications Equipment - 0.1%
CommScope Technologies LLC, Senior Notes		5.000	%		3/15/27		2,000,000	$	1,800,410	(a)
Semiconductors & Semiconductor Equipment - 0.2%
NVIDIA Corp., Senior Notes		3.500	%		4/1/50		5,000,000		5,789,069
NVIDIA Corp., Senior Notes		3.700	%		4/1/60		2,500,000		2,996,302
Total Semiconductors & Semiconductor Equipment									8,785,371
TOTAL INFORMATION TECHNOLOGY									10,585,781
MATERIALS - 1.8%
Chemicals - 0.7%
OCP SA, Senior Notes		4.500	%		10/22/25		1,180,000		1,245,193	(a)
OCP SA, Senior Notes		3.750	%		6/23/31		4,000,000		3,867,600	(a)
OCP SA, Senior Notes		5.125	%		6/23/51		4,630,000		4,376,392	(a)
Orbia Advance Corp. SAB de CV, Senior Notes		1.875	%		5/11/26		10,430,000		10,214,620	(a)
Orbia Advance Corp. SAB de CV, Senior Notes		2.875	%		5/11/31		9,900,000		9,669,132	(a)
Total Chemicals									29,372,937
Containers & Packaging - 0.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes		5.250	%		8/15/27		590,000		579,660	(a)
Ball Corp., Senior Notes		4.000	%		11/15/23		310,000		324,686
Ball Corp., Senior Notes		3.125	%		9/15/31		4,040,000		3,894,560
Graphic Packaging International LLC, Senior Notes		4.875	%		11/15/22		960,000		984,682
Total Containers & Packaging									5,783,588
Metals & Mining - 0.5%
ArcelorMittal SA, Senior Notes		7.000	%		10/15/39		2,000,000		2,731,667
Freeport-McMoRan Inc., Senior Notes		4.625	%		8/1/30		2,030,000		2,147,091
Freeport-McMoRan Inc., Senior Notes		5.450	%		3/15/43		10,450,000		12,899,323
Southern Copper Corp., Senior Notes		5.250	%		11/8/42		500,000		623,270
Teck Resources Ltd., Senior Notes		6.000	%		8/15/40		240,000		309,509
Vale Overseas Ltd., Senior Notes		6.875	%		11/21/36		1,368,000		1,774,419
Total Metals & Mining									20,485,279
Paper & Forest Products - 0.5%
Suzano Austria GmbH, Senior Notes		3.750	%		1/15/31		13,710,000		13,401,799
Suzano Austria GmbH, Senior Notes		3.125	%		1/15/32		5,160,000		4,817,763
Total Paper & Forest Products									18,219,562
TOTAL MATERIALS									73,861,366

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
REAL ESTATE - 0.0%††
Equity Real Estate Investment Trusts (REITs) - 0.0%††
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer Inc., Senior Notes		4.500	%		1/15/28		1,225,000	$	1,320,930
UTILITIES - 0.2%
Electric Utilities - 0.2%
FirstEnergy Corp., Senior Notes		7.375	%		11/15/31		3,000,000		4,019,730
FirstEnergy Corp., Senior Notes		5.350	%		7/15/47		3,000,000		3,564,473
TOTAL UTILITIES									7,584,203
TOTAL CORPORATE BONDS & NOTES (Cost - $941,207,920)									983,129,674
SENIOR LOANS - 21.8%
COMMUNICATION SERVICES - 3.9%
Diversified Telecommunication Services - 1.1%
Delta TopCo Inc., First Lien Term Loan (the greater of 6 mo. USD LIBOR or 0.750% + 3.750%)		4.500	%		12/1/27		17,852,750		17,828,559	(c)(d)(e)(f)
Level 3 Financing Inc., 2027 Term Loan B (1 mo. USD LIBOR + 1.750%)		1.840	%		3/1/27		8,904,750		8,705,818	(c)(d)(e)
Zayo Group Holdings Inc., Initial Dollar Term Loan (1 mo. USD LIBOR + 3.000%)		3.090	%		3/9/27		15,490,000		15,174,624	(c)(d)(e)
Total Diversified Telecommunication Services									41,709,001
Entertainment - 0.1%
Go Daddy Operating Co. LLC, Term Loan B2 (1 mo. USD LIBOR + 1.750%)		1.840	%		2/15/24		4,168,982		4,129,564	(c)(d)(e)
Interactive Media & Services - 0.2%
Rackspace Technology Global Inc., Term Loan B (the greater of 3 mo. USD LIBOR or 0.750% + 2.750%)		3.500	%		2/15/28		8,547,050		8,438,759	(c)(d)(e)
Media - 2.4%
Charter Communications Operating LLC, Term Loan B1 (1 mo. USD LIBOR + 1.750%)		1.850	%		4/30/25		8,212,773		8,184,521	(c)(d)(e)
Charter Communications Operating LLC, Term Loan B2 (1 mo. USD LIBOR + 1.750%)		1.850	%		2/1/27		12,891,234		12,751,945	(c)(d)(e)
Entercom Media Corp., Term Loan B2 (1 mo. USD LIBOR + 2.500%)		2.592	%		11/18/24		2,556,244		2,527,486	(c)(d)(e)
iHeartCommunications Inc., New Term Loan (1 mo. USD LIBOR + 3.000%)		3.090	%		5/1/26		14,329,878		14,168,739	(c)(d)(e)

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - continued
Nexstar Broadcasting Inc., Term Loan B4 (1 mo. USD LIBOR + 2.500%)		2.586	%		9/18/26		16,261,260	$	16,171,254	(c)(d)(e)
Numericable U.S. LLC, USD Term Loan B12 (3 mo. USD LIBOR + 3.688%)		3.811	%		1/31/26		2,349,817		2,331,018	(c)(d)(e)
Terrier Media Buyer Inc., 2021 Refinancing Term Loan B (1 mo. USD LIBOR + 3.500%)		3.590	%		12/17/26		10,596,102		10,487,492	(c)(d)(e)(f)
Univision Communications Inc., 2021 Replacement Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 3.250%)		4.000	%		3/15/26		11,890,315		11,879,198	(c)(d)(e)
Virgin Media Bristol LLC, Term Loan Facility N (3 mo. USD LIBOR + 2.500%)		2.589	%		1/31/28		16,996,685		16,794,849	(c)(d)(e)(f)
Virgin Media Bristol LLC, Term Loan Facility Q (1 mo. USD LIBOR + 3.250%)		3.339	%		1/31/29		1,910,000		1,907,450	(c)(d)(e)
Ziggo Financing Partnership, Term Loan I (1 mo. USD LIBOR + 2.500%)		2.589	%		4/28/28		638,000		629,578	(c)(d)(e)
Total Media									97,833,530
Wireless Telecommunication Services - 0.1%
CSC Holdings LLC, 2018 Incremental Term Loan (1 mo. USD LIBOR + 2.250%)		2.339	%		1/15/26		2,576,752		2,529,842	(c)(d)(e)
TOTAL COMMUNICATION SERVICES									154,640,696
CONSUMER DISCRETIONARY - 4.3%
Auto Components - 0.5%
American Axle & Manufacturing Inc., Term Loan B (the greater of 1 mo. USD LIBOR or 0.750% + 2.250%)		3.000	%		4/8/24		2,353,614		2,344,789	(c)(d)(e)
Clarios Global LP, First Amendment First Lien Dollar Term Loan (1 mo. USD LIBOR + 3.250%)		3.340	%		4/30/26		16,362,551		16,185,262	(c)(d)(e)
Total Auto Components									18,530,051
Diversified Consumer Services - 0.4%
Prime Security Services Borrower LLC, 2021 Refinancing Term Loan B1 (the greater of 6 mo. USD LIBOR or 0.750% + 2.750%)		3.500	%		9/23/26		17,877,822		17,814,445	(c)(d)(e)(f)
Hotels, Restaurants & Leisure - 2.5%
1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%)		1.840	%		11/19/26		18,169,259		17,790,703	(c)(d)(e)

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Hotels, Restaurants & Leisure - continued
8th Avenue Food & Provisions Inc., First Lien Term Loan (1 mo. USD LIBOR + 7.775%)		7.842	%		10/1/25		984,810	$	972,657	(c)(d)(e)
Alterra Mountain Co., 2028 Term Loan B (the greater of 1 mo. USD LIBOR or 0.500% + 3.500%)		4.000	%		7/21/28		5,195,404		5,153,217	(c)(d)(e)
Aramark Services Inc., Term Loan B3 (1 mo. USD LIBOR + 1.750%)		1.837	%		3/11/25		6,973,400		6,830,446	(c)(d)(e)
Boyd Gaming Corp., Refinancing Term Loan B (1 week USD LIBOR + 2.250%)		2.328	%		9/15/23		1,904,152		1,902,609	(c)(d)(e)
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%)		2.840	%		12/23/24		9,114,019		9,035,411	(c)(d)(e)
Caesars Resort Collection LLC, Term Loan B1 (1 mo. USD LIBOR + 3.500%)		3.590	%		7/21/25		8,900,100		8,900,545	(c)(d)(e)
Entain Holdings Gibraltar Ltd., USD Term Loan Facility B (the greater of 3 mo. USD LIBOR or 0.500% + 2.500%)		3.000	%		3/29/27		3,291,750		3,284,344	(c)(d)(e)
Four Seasons Hotels Ltd., Restated Term Loan (1 mo. USD LIBOR + 2.000%)		2.087	%		11/30/23		7,895,858		7,856,418	(c)(d)(e)
Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%)		1.842	%		6/22/26		6,007,300		5,931,277	(c)(d)(e)
PCI Gaming Authority, Term Loan Facility B (1 mo. USD LIBOR + 2.500%)		2.590	%		5/29/26		5,543,191		5,503,003	(c)(d)(e)
Scientific Games International Inc., Initial Term Loan B5 (1 mo. USD LIBOR + 2.750%)		2.840	%		8/14/24		18,833,941		18,720,184	(c)(d)(e)
Station Casinos LLC, Term Loan Facility B1 (the greater of 1 mo. USD LIBOR or 0.250% + 2.250%)		2.500	%		2/8/27		9,251,532		9,113,591	(c)(d)(e)
Total Hotels, Restaurants & Leisure									100,994,405
Specialty Retail - 0.9%
Academy Ltd., Refinancing Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 3.750%)		4.500	%		11/5/27		917,888		919,324	(c)(d)(e)
Great Outdoors Group LLC, Term Loan B2 (the greater of 3 mo. USD LIBOR or 0.750% + 3.750%)		4.500	%		3/6/28		4,158,575		4,163,773	(c)(d)(e)
Harbor Freight Tools USA Inc., 2021 Refinancing Term Loan (the greater of 1 mo. USD LIBOR or 0.500% + 2.750%)		3.250	%		10/19/27		10,470,850		10,394,989	(c)(d)(e)

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Specialty Retail - continued
Michaels Cos. Inc., Term Loan B (the greater of 3 mo. USD LIBOR or 0.750% + 4.250%)		5.000	%		4/15/28		4,145,225	$	4,124,250	(c)(d)(e)
Petco Health and 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		15,243,400		15,183,036	(c)(d)(e)
Whatabrands LLC, Initial Term Loan B (the greater of 1 mo. USD LIBOR or 0.500% + 3.250%)		3.750	%		8/3/28		170,000		169,221	(c)(d)(e)
Total Specialty Retail									34,954,593
TOTAL CONSUMER DISCRETIONARY									172,293,494
CONSUMER STAPLES - 0.3%
Beverages - 0.1%
Triton Water Holdings Inc., First Lien Initial Term Loan		—			3/31/28		5,000,000		4,985,325	(f)
Food & Staples Retailing - 0.1%
Froneri U.S. Inc., Term Loan Facility B2 (1 mo. USD LIBOR + 2.250%)		2.340	%		1/29/27		1,975,000		1,934,967	(c)(d)(e)
US Foods Inc., 2019 Incremental Term Loan B (1 mo. USD LIBOR + 2.000%)		2.090	%		9/13/26		4,379,947		4,321,562	(c)(d)(e)
Total Food & Staples Retailing									6,256,529
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		2,699,600		2,692,851	(c)(d)(e)
TOTAL CONSUMER STAPLES									13,934,705
ENERGY - 0.3%
Oil, Gas & Consumable Fuels - 0.3%
Pilot Travel Centers LLC, Initial Term Loan B		—			8/4/28		11,070,000		10,986,975	(f)
FINANCIALS - 2.4%
Capital Markets - 0.5%
Allspring Buyer LLC, Term Loan B		—			11/1/28		6,586,000		6,580,534	(f)
Edelman Financial Engines Center LLC, 2021 Refinancing Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 3.500%)		4.250	%		4/7/28		3,636,960		3,625,903	(c)(d)(e)
Finco I LLC, 2020 Term Loan (1 mo. USD LIBOR + 2.500%)		2.590	%		6/27/25		1,267,817		1,263,062	(c)(d)(e)

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Capital Markets - continued
First Eagle Holdings Inc., 2018 Refinancing Term Loan B (3 mo. USD LIBOR + 2.566%)		2.632	%		2/1/27		2,144,091	$	2,113,709	(c)(d)(e)
Focus Financial Partners LLC, Term Loan B3 (1 mo. USD LIBOR + 2.000%)		2.090	%		7/3/24		7,868,204		7,795,935	(c)(d)(e)(f)
Total Capital Markets									21,379,143
Diversified Financial Services - 1.4%
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		945,606	(c)(d)(e)
Citadel Securities LP, 2021 Term Loan (1 mo. USD LIBOR + 2.500%)		2.590	%		2/2/28		13,628,374		13,509,126	(c)(d)(e)(f)
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		10,324,313		10,323,022	(c)(d)(e)
Jane Street Group LLC, Dollar Term Loan (1 mo. USD LIBOR + 2.750%)		2.840	%		1/26/28		5,562,311		5,503,907	(c)(d)(e)
Setanta Aircraft Leasing DAC, Term Loan		—			11/5/28		10,000,000		9,995,850	(f)
UFC Holdings LLC, Term Loan B3 (the greater of 6 mo. USD LIBOR or 0.750% + 2.750%)		3.500	%		4/29/26		7,476,094		7,377,971	(c)(d)(e)
VFH Parent LLC, Initial Term Loan (1 mo. USD LIBOR + 3.000%)		3.092	%		3/1/26		9,421,367		9,410,202	(c)(d)(e)(f)
Total Diversified Financial Services									57,065,684
Insurance - 0.5%
AmWINS Group Inc., Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 2.250%)		3.000	%		2/19/28		4,843,407		4,782,864	(c)(d)(e)
Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%)		3.090	%		11/3/24		635,267		630,220	(c)(d)(e)
Asurion LLC, New Term Loan B8 (1 mo. USD LIBOR + 3.250%)		3.340	%		12/23/26		7,462,195		7,359,590	(c)(d)(e)
Asurion LLC, New Term Loan B9 (1 mo. USD LIBOR + 3.250%)		3.340	%		7/31/27		4,855,600		4,795,512	(c)(d)(e)
Asurion LLC, Replacement Term Loan B6 (1 mo. USD LIBOR + 3.125%)		3.215	%		11/3/23		1,974,006		1,969,081	(c)(d)(e)
Total Insurance									19,537,267
TOTAL FINANCIALS									97,982,094

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
HEALTH CARE - 5.1%
Health Care Equipment & Supplies - 0.3%
Medline Borrower LP, Initial Dollar Term Loan		—			10/23/28		10,000,000	$	9,977,200	(f)
Health Care Providers & Services - 2.0%
EyeCare Partners LLC, First Lien Initial Term Loan (3 mo. USD LIBOR + 3.750%)		3.882	%		2/18/27		2,622,247		2,595,368	(c)(d)(e)
Global Medical Response Inc., 2020 Term Loan (the greater of 3 mo. USD LIBOR or 1.000% + 4.250%)		5.250	%		10/2/25		4,837,935		4,813,746	(c)(d)(e)
Grifols Worldwide Operations USA Inc., Dollar Term Loan B (1 week USD LIBOR + 2.000%)		2.076	%		11/15/27		17,504,585		17,195,804	(c)(d)(e)
LifePoint Health Inc., First Lien Term Loan B (1 mo. USD LIBOR + 3.750%)		3.842	%		11/16/25		8,835,090		8,773,863	(c)(d)(e)
Parexel International Corp., Term Loan		—			8/11/28		8,110,000		8,088,468	(f)
Phoenix Guarantor Inc., Term Loan B1 (1 mo. USD LIBOR + 3.250%)		3.342	%		3/5/26		7,834,557		7,758,327	(c)(d)(e)
Phoenix Guarantor Inc., Term Loan B3 (1 mo. USD LIBOR + 3.500%)		3.589	%		3/5/26		13,890,200		13,779,981	(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		17,713,325	(c)(d)(e)
Total Health Care Providers & Services									80,718,882
Health Care Technology - 0.6%
AthenaHealth Inc., Additional Term Loan B1		4.339-4.400	%		2/11/26		14,541,742		14,547,195	(c)(d)(e)(f)
Change Healthcare Holdings LLC, Closing Date Term Loan		3.500	%		3/1/24		10,556,515		10,543,689	(c)(d)(e)
Total Health Care Technology									25,090,884
Life Sciences Tools & Services - 0.8%
ICON Luxembourg Sarl, Term Loan (the greater of 3 mo. USD LIBOR or 0.500% + 2.500%)		3.000	%		7/3/28		10,892,121		10,871,699	(c)(d)(e)
PPD Inc., Initial Term Loan (the greater of 1 mo. USD LIBOR or 0.500% + 2.000%)		2.500	%		1/13/28		18,039,350		18,021,040	(c)(d)(e)
PRA Health Sciences Inc., Term Loan (the greater of 3 mo. USD LIBOR or 0.500% + 2.500%)		3.000	%		7/3/28		2,713,779		2,708,690	(c)(d)(e)
Total Life Sciences Tools & Services									31,601,429

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - 1.4%
Bausch Health Cos. Inc., Initial Term Loan (1 mo. USD LIBOR + 3.000%)		3.087	%		6/2/25		6,802,198	$	6,748,529	(c)(d)(e)
Gainwell Acquisition Corp., Term Loan B (the greater of 3 mo. USD LIBOR or 0.750% + 4.000%)		4.750	%		10/1/27		13,131,845		13,140,118	(c)(d)(e)
Horizon Therapeutics USA Inc., Incremental Term Loan B2 (the greater of 1 mo. USD LIBOR or 0.500% + 1.750%)		2.250	%		3/15/28		17,919,950		17,844,776	(c)(d)(e)
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		17,823,125		17,812,074	(c)(d)(e)(f)
Total Pharmaceuticals									55,545,497
TOTAL HEALTH CARE									202,933,892
INDUSTRIALS - 3.0%
Aerospace & Defense - 0.1%
Avolon TLB Borrower 1 US LLC, Term Loan B5 (the greater of 1 mo. USD LIBOR or 0.500% + 2.250%)		2.750	%		12/1/27		4,446,400		4,442,821	(c)(d)(e)
Transdigm Inc., Refinancing Term Loan F (1 mo. USD LIBOR + 2.250%)		2.340	%		12/9/25		744,318		730,362	(c)(d)(e)
Total Aerospace & Defense									5,173,183
Airlines - 0.3%
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		2,013,064	(c)(d)(e)
United Airlines Inc., Term Loan B (the greater of 3 mo. USD LIBOR or 0.750% + 3.750%)		4.500	%		4/21/28		10,556,950		10,559,853	(c)(d)(e)
Total Airlines									12,572,917
Building Products - 0.1%
Quikrete Holdings Inc., Term Loan B1		—			2/21/28		5,960,000		5,927,309	(f)
Commercial Services & Supplies - 1.6%
Ali Group SRL, Term Loan B		—			10/13/28		5,000,000		4,959,975	(f)
Allied Universal Holdco LLC, USD Term Loan (the greater of 3 mo. USD LIBOR or 0.500% + 3.750%)		4.250	%		5/12/28		14,674,839		14,571,235	(c)(d)(e)(f)
APi Group DE Inc., Initial Term Loan (1 mo. USD LIBOR + 2.500%)		2.590	%		10/1/26		16,234,214		16,196,226	(c)(d)(e)(f)
Garda World Security Corp., Term Loan B2 (1 mo. USD LIBOR + 4.250%)		4.350	%		10/30/26		3,964,367		3,966,131	(c)(d)(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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Commercial Services & Supplies - continued
GFL Environmental Inc., 2020 Term Loan (the greater of 3 mo. USD LIBOR or 0.500% + 3.000%)		3.500	%		5/30/25		5,918,028	$	5,924,834	(c)(d)(e)
Verscend Holding Corp., New Term Loan B (1 mo. USD LIBOR + 4.000%)		4.090	%		8/27/25		16,793,827		16,791,727	(c)(d)(e)(f)
Total Commercial Services & Supplies									62,410,128
Construction & Engineering - 0.2%
Brown Group Holding LLC, Initial Term Loan		—			6/7/28		7,380,000		7,331,550	(f)
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		2,876,576		2,843,165	(c)(d)(e)
Road & Rail - 0.5%
Genesee & Wyoming Inc., Initial Term Loan (3 mo. USD LIBOR + 2.000%)		2.132	%		12/30/26		13,943,987		13,838,570	(c)(d)(e)
XPO Logistics Inc., Refinancing Term Loan (1 mo. USD LIBOR + 1.750%)		1.831	%		2/24/25		8,065,000		8,013,747	(c)(d)(e)
Total Road & Rail									21,852,317
Trading Companies & Distributors - 0.1%
BrightView Landscapes LLC, Initial Term Loan (1 mo. USD LIBOR + 2.500%)		2.625	%		8/15/25		3,096,000		3,080,535	(c)(d)(e)
Delos Finance SARL, 2018 Term Loan (3 mo. USD LIBOR + 1.750%)		1.882	%		10/6/23		275,000		274,779	(c)(d)(e)
Total Trading Companies & Distributors									3,355,314
TOTAL INDUSTRIALS									121,465,883
INFORMATION TECHNOLOGY - 1.7%
Communications Equipment - 0.1%
CommScope Inc., Initial Term Loan (1 mo. USD LIBOR + 3.250%)		3.340	%		4/6/26		3,732,864		3,641,894	(c)(d)(e)
IT Services - 0.1%
FleetCor Technologies Operating Co. LLC, Term Loan B4 (1 mo. USD LIBOR + 1.750%)		1.840	%		4/28/28		5,336,625		5,326,646	(c)(d)(e)
Software - 1.5%
DCert Buyer Inc., First Lien Initial Term Loan (1 mo. USD LIBOR + 4.000%)		4.090	%		10/16/26		17,580,265		17,537,457	(c)(d)(e)
Magenta Buyer LLC, First Lien Initial Term Loan (the greater of 3 mo. USD LIBOR or 0.750% + 5.000%)		5.750	%		7/27/28		19,540,000		19,279,532	(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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 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		18,193,650	$	18,174,183	(c)(d)(e)(f)
RealPage Inc., First Lien Initial Term Loan (the greater of 1 mo. USD LIBOR or 0.500% + 3.250%)		3.750	%		4/24/28		3,270,000		3,244,249	(c)(d)(e)
Total Software									58,235,421
TOTAL INFORMATION TECHNOLOGY									67,203,961
MATERIALS - 0.8%
Chemicals - 0.3%
INEOS US Petrochem LLC, 2026 Dollar Term Loan B (the greater of 1 mo. USD LIBOR or 0.500% + 2.750%)		3.250	%		1/29/26		13,685,700		13,666,472	(c)(d)(e)
Containers & Packaging - 0.3%
Berry Global Inc., Term Loan Z (2 mo. USD LIBOR + 1.750%)		1.864	%		7/1/26		7,393,511		7,328,818	(c)(d)(e)
Reynolds Consumer Products LLC, Initial Term Loan (1 mo. USD LIBOR + 1.750%)		1.840	%		2/4/27		6,340,454		6,311,288	(c)(d)(e)
Total Containers & Packaging									13,640,106
Paper & Forest Products - 0.2%
Asplundh Tree Expert LLC, 2021 Refinancing Term Loan (1 mo. USD LIBOR + 1.750%)		1.840	%		9/7/27		6,061,150		6,028,753	(c)(d)(e)
Total Materials									33,335,331
TOTAL SENIOR LOANS (Cost - $876,583,317)									874,777,031
COLLATERALIZED MORTGAGE OBLIGATIONS (g) - 16.7%
Alternative Loan Trust, 2007-OA8 1A1 (1 mo. USD LIBOR + 0.360%)		0.452	%		6/25/47		4,058,729		3,594,896	(c)
AOA Mortgage Trust, 2021-1177 A (1 mo. USD LIBOR + 0.874%)		0.964	%		10/15/38		23,735,000		23,743,027	(a)(c)
BAMLL Re-REMIC Trust, 2016-GG10 AJA		6.025	%		8/10/45		18,382,644		6,847,531	(a)(c)
Banc of America Funding Corp., 2015-R3 1A2		0.495	%		3/27/36		30,579,260		28,124,987	(a)(c)
Banc of America Funding Trust, 2014-R2 2A2 (1 mo. USD LIBOR + 0.210%)		0.303	%		5/26/37		10,433,077		9,960,845	(a)(c)
Banc of America Funding Trust, 2015-R2 9A2		0.350	%		3/27/36		15,777,317		15,685,277	(a)(c)
Barclays Commercial Mortgage Trust, 2019-C5 A4		3.063	%		11/15/52		25,110,000		26,802,183

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS (g) - continued
BCAP LLC Trust, 2013-RR3 4A2 (1 mo. USD LIBOR + 0.160%)		0.249	%		11/26/36		6,178,728	$	5,970,693	(a)(c)
BCAP LLC Trust, 2014-RR5 1A2 (1 mo. USD LIBOR + 0.225%)		0.539	%		1/26/36		24,603,807		23,513,074	(a)(c)
BX Commercial Mortgage Trust, 2019- IMC F (1 mo. USD LIBOR + 2.900%)		2.989	%		4/15/34		3,210,000		3,186,058	(a)(c)
BX Commercial Mortgage Trust, 2020- VIVA E		3.667	%		3/11/44		6,847,863		6,659,511	(a)(c)
BX Commercial Mortgage Trust, 2021- 21M A (1 mo. USD LIBOR + 0.730%)		0.820	%		10/15/36		12,710,000		12,650,191	(a)(c)
BX Commercial Mortgage Trust, 2021- ACNT A (1 mo. USD LIBOR + 0.850%)		0.950	%		11/15/26		7,780,000		7,772,860	(a)(c)
BX Commercial Mortgage Trust, 2021- XL2 J (1 mo. USD LIBOR + 3.890%)		3.980	%		10/15/38		10,000,000		9,992,585	(a)(c)
BX Trust, 2021-BXMF A (1 mo. USD LIBOR + 0.636%)		0.726	%		10/15/26		24,640,000		24,484,342	(a)(c)
Citigroup Commercial Mortgage Trust, 2019-C7 A4		3.102	%		12/15/72		15,000,000		16,131,825
Commercial Mortgage Trust, 2014-CR20 B		4.239	%		11/10/47		720,000		750,280	(c)
CSMC OA LLC, 2014-USA F		4.373	%		9/15/37		1,100,000		863,019	(a)
CSMC Trust, 2014-11R 15A2		2.791	%		1/27/36		4,267,803		4,277,718	(a)(c)
CSMC Trust, 2014-USA E		4.373	%		9/15/37		530,000		476,562	(a)
CSMC Trust, 2017-CHOP G (1 mo. USD LIBOR + 5.600%)		5.690	%		7/15/32		11,706,000		10,774,179	(a)(c)
CSMC Trust, 2020-TMIC A (1 mo. USD LIBOR + 3.000%, 3.250% floor)		3.250	%		12/15/35		6,870,000		6,920,433	(a)(c)
Deutsche Mortgage Securities Inc., 2006-PR1 5AS2, IO		10.354	%		4/15/36		2,971,072		920,194	(a)(c)
ELP Commercial Mortgage Trust, 2021- ELP D (1 mo. USD LIBOR + 1.518%)		1.619	%		11/15/38		15,900,000		15,858,221	(a)(c)
Extended Stay America Trust, 2021-ESH A (1 mo. USD LIBOR + 1.080%)		1.170	%		7/15/38		8,515,698		8,524,356	(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA5 B1 (30 Day Average SOFR + 3.050%)		3.100	%		1/25/34		9,670,000		9,769,251	(a)(c)
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		2,734,737	(c)

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS (g) - continued
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	$	26,063,423	(a)(c)
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		17,353,836		19,580,236	(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2015-C03 2M2 (1 mo. USD LIBOR + 5.000%)		5.092	%		7/25/25		39,251		39,481	(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1B1 (1 mo. USD LIBOR + 4.850%)		4.942	%		10/25/29		16,410,000		17,859,328	(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2018-C06 1M2 (1 mo. USD LIBOR + 2.000%)		2.092	%		3/25/31		7,014,960		7,064,303	(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2018-R07 1B1 (1 mo. USD LIBOR + 4.350%)		4.442	%		4/25/31		2,414,000		2,486,658	(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2021-R01 1B1, IO (30 Day Average SOFR + 3.100%)		3.150	%		10/25/41		8,870,000		8,917,045	(a)(c)
GMAC Commercial Mortgage Securities Inc., 2006-C1 AJ		5.349	%		11/10/45		4,712		4,572	(c)
Government National Mortgage Association (GNMA), 2014-157 IO, IO		0.283	%		5/16/55		3,746,987		59,813	(c)
GS Mortgage Securities Corp., 2014-2R 3B (1 mo. USD LIBOR + 0.610%)		0.702	%		11/26/37		15,882,574		14,324,741	(a)
GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. USD LIBOR + 4.450%)		4.540	%		11/15/32		10,000,000		10,044,714	(a)(c)
Hilton USA Trust, 2016-HHV D		4.333	%		11/5/38		2,800,000		2,939,087	(a)(c)
IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. USD LIBOR + 0.540%)		0.632	%		11/25/36		19,334,192		16,021,663	(c)
JPMBB Commercial Mortgage Securities Trust, 2014-C25 C		4.589	%		11/15/47		3,940,000		3,838,048	(c)
JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP9 AMS		5.337	%		5/15/47		4,321,582		3,970,021
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ		6.718	%		2/15/51		16,506		15,259	(c)

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS (g) - continued
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN FFX		4.625	%		1/16/37		49,120,000	$	47,989,636	(a)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX		4.844	%		1/16/37		38,360,000		36,861,804	(a)(c)
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYAH H (1 mo. USD LIBOR + 3.390%)		3.480	%		6/15/38		7,960,000		7,953,477	(a)(c)
KIND Trust, 2021-KIND D (1 mo. USD LIBOR + 2.300%)		2.390	%		8/15/38		21,380,000		21,341,507	(a)(c)
KIND Trust, 2021-KIND XCP, IO		0.247	%		8/15/38		78,050,000		131,624	(a)(c)
ML-CFC Commercial Mortgage Trust, 2007-5 AJ		5.450	%		8/12/48		701,448		343,779	(c)
ML-CFC Commercial Mortgage Trust, 2007-5 AJFL		5.450	%		8/12/48		306,543		150,236	(a)(c)
ML-CFC Commercial Mortgage Trust, 2007-9 AJ		6.193	%		9/12/49		41,425		40,822	(c)
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34 B		4.111	%		11/15/52		6,250,000		6,805,855	(c)
Morgan Stanley Capital I Trust, 2006- IQ12 AJ		5.399	%		12/15/43		75,927		46,695
Morgan Stanley Capital I Trust, 2007- IQ13 AJ		5.438	%		3/15/44		10,492		10,488
Motel Trust, 2021-MTL6 E (1 mo. USD LIBOR + 2.700%)		2.790	%		9/15/38		4,490,000		4,492,435	(a)(c)
MRCD Mortgage Trust, 2019-PARK A		2.718	%		12/15/36		7,980,000		8,123,761	(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		24,930,207	(a)(c)
NYO Commercial Mortgage Trust, 2021- 1290 C (1 mo. USD LIBOR + 1.995%)		2.075	%		11/15/38		9,150,000		9,138,412	(a)(c)
PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. USD LIBOR + 2.750%)		2.840	%		5/27/23		15,123,142		14,995,252	(a)(c)
PMT Credit Risk Transfer Trust, 2019-3R A (1 mo. USD LIBOR + 2.700%)		2.790	%		10/27/22		5,923,779		5,930,241	(a)(c)
PMT Credit Risk Transfer Trust, 2021-1R A (1 mo. USD LIBOR + 2.900%)		2.987	%		2/27/24		10,126,177		10,279,274	(a)(c)
Prime Mortgage Trust, 2006-DR1 2A1		5.500	%		5/25/35		1,048,073		1,013,008	(a)
RBSSP Resecuritization Trust, 2013-4 1A2 (1 mo. USD LIBOR + 1.500%)		1.648	%		12/26/37		20,532,232		20,018,238	(a)(c)
Residential Accredit Loans Inc., 2007- QS7 1A7 (1 mo. USD LIBOR + 0.550%)		0.642	%		5/25/37		5,562,645		4,362,661	(c)

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS (g) - continued
SFO Commercial Mortgage Trust, 2021- 555 D (1 mo. USD LIBOR + 2.400%)		2.490	%		5/15/38		7,960,000	$	7,983,697	(a)(c)
Soho Trust, 2021-SOHO C		2.786	%		8/10/38		15,108,500		13,951,400	(a)(c)
TBW Mortgage-Backed Pass-Through Certificates, 2006-3 4A3, IO (-1.000 x 1 mo. USD LIBOR + 7.100%)		7.008	%		7/25/36		18,849,298		2,517,914	(c)
Wells Fargo Commercial Mortgage Trust, 2014-LC16 A5		3.817	%		8/15/50		980,000		1,032,103
WFRBS Commercial Mortgage Trust, 2014-C24 AS		3.931	%		11/15/47		1,270,000		1,328,228
WFRBS Commercial Mortgage Trust, 2014-C24 C		4.290	%		11/15/47		1,630,000		1,515,773	(c)
Total Collateralized Mortgage Obligations (Cost - $663,174,178)									673,505,754
MORTGAGE-BACKED SECURITIES - 4.4%
FHLMC - 0.2%
Federal Home Loan Mortgage Corp. (FHLMC)		2.000	%		5/1/51- 11/1/51		5,888,160		5,910,013
FNMA - 4.2%
Federal National Mortgage Association (FNMA)		3.000	%		2/1/50		1,437,954		1,507,530
Federal National Mortgage Association (FNMA)		2.000	%		4/1/51- 11/1/51		12,750,535		12,814,414
Federal National Mortgage Association (FNMA)		2.000	%		7/1/51- 11/1/51		21,091,438		21,142,824	(h)
Federal National Mortgage Association (FNMA)		2.000	%		12/1/51		60,200,000		60,251,735	(i)
Federal National Mortgage Association (FNMA)		2.000	%		1/1/52		74,000,000		73,901,719	(h)(i)
Total FNMA									169,618,222
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $174,618,273)									175,528,235
ASSET-BACKED SECURITIES - 3.0%
Accredited Mortgage Loan Trust, 2006-2 M1 (1 mo. USD LIBOR + 0.270%)		0.362	%		9/25/36		16,246,000		15,663,375	(c)
Bravo Mortgage Asset Trust, 2006-1A M1 (1 mo. USD LIBOR + 0.400%)		0.492	%		7/25/36		29,550,000		28,805,426	(a)(c)
CIT Mortgage Loan Trust, 2007-1 1M1 (1 mo. USD LIBOR + 1.500%)		1.592	%		10/25/37		8,350,000		8,495,643	(a)(c)
Fremont Home Loan Trust, 2006-B 1A (1 mo. USD LIBOR + 0.150%)		0.242	%		8/25/36		15,755,248		7,703,240	(c)

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

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
ASSET-BACKED SECURITIES - continued
GSAMP Trust, 2005-SEA1 M2 (1 mo. USD LIBOR + 1.350%)		1.442	%		1/25/35		4,725,750	$	4,690,391	(a)(c)
Home Equity Asset Trust, 2005-6 M5 (1 mo. USD LIBOR + 0.945%)		1.037	%		12/25/35		2,980,000		2,966,973	(c)
JPMorgan Mortgage Acquisition Trust, 2007-CH4 M2 (1 mo. USD LIBOR + 0.240%)		0.332	%		5/25/37		25,250,000		23,713,987	(c)
KREF Ltd., 2021-FL2 D (1 mo. USD LIBOR + 2.200%)		2.289	%		2/15/39		3,130,000		3,127,852	(a)(c)
Morgan Stanley ABS Capital I Inc. Trust, 2004-HE7 M1 (1 mo. USD LIBOR + 0.900%)		0.992	%		8/25/34		6,714,157		6,683,974	(c)
PFCA Home Equity Investment Trust, 2003-IFC5 A		4.355	%		1/22/35		10,445,259		10,650,703	(a)(c)
RAMP Trust, 2006-RZ3 M1 (1 mo. USD LIBOR + 0.350%)		0.442	%		8/25/36		10,081,713		9,990,666	(c)
TOTAL ASSET-BACKED SECURITIES (Cost - $119,424,203)									122,492,230
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 1.1%
U.S. Government Obligations - 1.1%
U.S. Treasury Bonds		2.000	%		11/15/41		38,410,000		39,382,253
U.S. Treasury Bonds		3.750	%		11/15/43		4,420,000		5,933,677	(j)(k)
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $42,831,709)									45,315,930
	EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†
PURCHASED OPTIONS - 0.1%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.1%
Australian Dollar Futures, Call @ $73.00		12/3/21			108		108,000		1,080
Canadian Dollar Futures, Call @ $80.00		12/3/21			117		117,000		585
Canadian Dollar Futures, Call @ $81.00		12/3/21			67		67,000		335
Euro Futures, Call @ $1.13		12/3/21			27		3,375,000		17,213
Euro Futures, Call @ $1.13		12/3/21			108		13,500,000		117,450
Euro Futures, Call @ $1.13		1/7/22			108		13,500,000		179,550
Euro Futures, Put @ $1.13		1/7/22			108		13,500,000		76,950
Japanese Yen Futures, Call @ $88.00		12/3/21			44		55,000		33,000
U.S. Treasury 5-Year Notes Futures, Put @ $121.25		12/23/21			196		196,000		73,500
U.S. Treasury 10-Year Notes Futures, Call @ $129.00		12/23/21			118		118,000		230,469

See Notes to Schedule of Investments.

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

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) (cont’d) November 30, 2021

SECURITY	EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
EXCHANGE-TRADED PURCHASED OPTIONS - continued
U.S. Treasury 10-Year Notes Futures, Call @ $129.50		12/23/21			17		17,000	$	26,297
U.S. Treasury 10-Year Notes Futures, Put @ $130.75		12/23/21			77		77,000		50,531
U.S. Treasury Long-Term Bonds Futures, Call @ $158.50		12/3/21			39		39,000		142,594
U.S. Treasury Long-Term Bonds Futures, Call @ $158.00		12/23/21			78		78,000		352,219
U.S. Treasury Long-Term Bonds Futures, Call @ $160.00		12/23/21			557		557,000		1,653,594
U.S. Treasury Long-Term Bonds Futures, Call @ $162.50		12/23/21			77		77,000		114,297
U.S. Treasury Long-Term Bonds Futures, Put @ $161.00		12/23/21			154		154,000		182,875
U.S. Treasury Long-Term Bonds Futures, Put @ $162.00		12/23/21			154		154,000		247,844
TOTAL PURCHASED OPTIONS (Cost - $2,254,926)									3,500,383
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $3,918,864,706)									3,884,747,960
	RATE			MATURITY DATE		FACE AMOUNT†
SHORT-TERM INVESTMENTS - 4.2%
U.S. TREASURY BILLS - 1.3%
U.S. Treasury Bills (Cost - $49,977,633)		0.093	%		5/26/22		50,000,000		49,977,552	(l)
						SHARES
OVERNIGHT DEPOSITS - 2.9%
BNY Mellon Cash Reserve Fund (Cost - $117,807,397)		0.000	%				117,807,397		117,807,397
TOTAL SHORT-TERM INVESTMENTS (Cost - $167,785,030)									167,784,949
TOTAL INVESTMENTS - 100.8% (Cost - $4,086,649,736)									4,052,532,909
Liabilities in Excess of Other Assets - (0.8)%									(33,536,892	)
TOTAL NET ASSETS - 100.0%								$	4,018,996,017

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2021 Quarterly Report         27

WESTERN ASSET SMASh SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) November 30, 2021

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

†† Represents less than 0.1%.

(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) 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.

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

(e) 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.

(f) All or a portion of this loan is unfunded as of November 30, 2021. The interest rate for fully unfunded term loans is to be determined.

(g) 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.

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

(i) This security is traded on a to-be-announced (“TBA”) basis. At November 30, 2021, the Fund held TBA securities with a total cost of $133,300,910.

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

(k) All or a portion of this security is held at the broker as collateral for open futures contracts and exchange-traded options.

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

Abbreviation(s) used in this schedule:

BRL	— Brazilian Real
CAS	— Connecticut Avenue Securities
CNH	— Chinese Offshore Yuan
CNY	— Chinese Yuan Renminbi
IDR	— Indonesian Rupiah
IO	— Interest Only
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

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) November 30, 2021

Schedule of Written Options
Exchange-Traded Written Options
SECURITY	EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
Australian Dollar Futures, Call		12/3/21	$	74.00			106		106,000	$	(530	)
Australian Dollar Futures, Call		12/3/21		74.50			106		106,000		(530	)
Euro Futures, Call		12/3/21		1.17			110		13,750,000		(688	)
Euro-Bund Futures, Call		12/23/21		172.50	EUR		157		15,700,000		(361,449	)
Euro-Bund Futures, Put		12/23/21		171.50	EUR		106		10,600,000		(31,256	)
Euro-Bund Futures, Put		12/23/21		173.00	EUR		206		20,600,000		(133,166	)
Eurodollar 2-Year Mid-Curve Futures, Call		12/10/21		99.13			572		1,430,000		(3,575	)
Eurodollar 2-Year Mid-Curve Futures, Call		12/10/21		99.25			372		930,000		(2,325	)
Eurodollar 2-Year Mid-Curve Futures, Put		12/10/21		98.50			198		495,000		(63,113	)
Eurodollar 2-Year Mid-Curve Futures, Put		12/10/21		98.75			543		1,357,500		(437,794	)
U.S. Treasury 5-Year Notes Futures, Call		12/3/21		120.75			539		539,000		(370,562	)
U.S. Treasury 5-Year Notes Futures, Call		12/3/21		121.00			346		346,000		(170,297	)
U.S. Treasury 5-Year Notes Futures, Call		12/23/21		121.25			3,446		3,446,000		(1,803,767	)
U.S. Treasury 5-Year Notes Futures, Call		12/23/21		121.50			2,459		2,459,000		(960,547	)
U.S. Treasury 5-Year Notes Futures, Call		12/23/21		122.00			158		158,000		(29,625	)
U.S. Treasury 5-Year Notes Futures, Call		12/23/21		122.25			1,493		1,493,000		(186,625	)
U.S. Treasury 10-Year Notes Futures, Call		12/3/21		129.25			174		174,000		(274,594	)
U.S. Treasury 10-Year Notes Futures, Call		12/3/21		129.75			154		154,000		(170,844	)
U.S. Treasury 10-Year Notes Futures, Call		12/23/21		130.00			309		309,000		(366,937	)
U.S. Treasury 10-Year Notes Futures, Call		12/23/21		130.25			308		308,000		(312,812	)
U.S. Treasury 10-Year Notes Futures, Call		12/23/21		130.50			1,186		1,186,000		(1,019,219	)
U.S. Treasury 10-Year Notes Futures, Call		12/23/21		131.00			1,789		1,789,000		(1,062,219	)

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) November 30, 2021

Schedule of Written Options (cont’d)
SECURITY	EXPIRATION DATE		STRIKE PRICE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Treasury 10-Year Notes Futures, Call		12/23/21	$	131.50		1,411		1,411,000	$	(551,172	)
U.S. Treasury 10-Year Notes Futures, Call		12/23/21		132.00		1,909		1,909,000		(477,250	)
U.S. Treasury 10-Year Notes Futures, Call		12/23/21		132.50		138		138,000		(19,406	)
U.S. Treasury 10-Year Notes Futures, Call		1/21/22		130.00		293		293,000		(434,922	)
U.S. Treasury 10-Year Notes Futures, Call		1/21/22		131.50		385		385,000		(264,688	)
U.S. Treasury 10-Year Notes Futures, Call		2/18/22		131.00		78		78,000		(91,406	)
U.S. Treasury 10-Year Notes Futures, Call		2/18/22		131.50		308		308,000		(288,750	)
U.S. Treasury 10-Year Notes Futures, Call		2/18/22		132.00		541		541,000		(405,750	)
U.S. Treasury 10-Year Notes Futures, Put		12/23/21		129.00		154		154,000		(21,656	)
U.S. Treasury 10-Year Notes Futures, Put		12/23/21		129.75		97		97,000		(28,797	)
U.S. Treasury 10-Year Notes Futures, Put		12/23/21		130.00		958		958,000		(359,250	)
U.S. Treasury 10-Year Notes Futures, Put		12/23/21		131.00		308		308,000		(240,625	)
U.S. Treasury Long-Term Bonds Futures, Call		12/3/21		159.00		116		116,000		(367,937	)
U.S. Treasury Long-Term Bonds Futures, Call		12/3/21		160.00		11		11,000		(24,922	)
U.S. Treasury Long-Term Bonds Futures, Call		12/23/21		159.00		378		378,000		(1,399,781	)
U.S. Treasury Long-Term Bonds Futures, Call		12/23/21		161.00		2,145		2,145,000		(4,960,312	)
U.S. Treasury Long-Term Bonds Futures, Call		12/23/21		162.00		1,136		1,136,000		(1,970,250	)
U.S. Treasury Long-Term Bonds Futures, Call		12/23/21		163.00		1,525		1,525,000		(1,930,078	)
U.S. Treasury Long-Term Bonds Futures, Call		12/23/21		164.00		57		57,000		(51,656	)
U.S. Treasury Long-Term Bonds Futures, Put		12/10/21		159.00		79		79,000		(18,516	)

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) November 30, 2021

Schedule of Written Options (cont’d)
SECURITY	EXPIRATION DATE		STRIKE PRICE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Treasury Long-Term Bonds Futures, Put		12/23/21	$	157.00		236		236,000	$	(59,000	)
U.S. Treasury Long-Term Bonds Futures, Put		12/23/21		158.00		289		289,000		(112,891	)
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $13,994,851)									$	(21,841,489	)

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

Abbreviation(s) used in this schedule:

EUR — Euro

At November 30, 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		6,727		12/22	$	1,671,249,014	$	1,666,193,812	$	(5,055,202	)
90-Day Eurodollar		3,011		6/23		747,044,279		742,813,700		(4,230,579	)
90-Day Eurodollar		755		9/23		186,988,523		185,965,938		(1,022,585	)
90-Day Eurodollar		22,114		12/23		5,466,885,899		5,442,255,400		(24,630,499	)
Australian 3-Year Bonds		1,498		12/21		121,787,644		122,372,209		584,565
Australian 10-Year Bonds		1,679		12/21		172,461,401		166,832,714		(5,628,687	)
Australian Dollar		2,083		12/21		153,473,978		148,320,015		(5,153,963	)
British Pound		798		12/21		68,724,951		66,243,975		(2,480,976	)
Canadian Dollar		862		12/21		68,632,460		67,421,330		(1,211,130	)
Euro		882		12/21		129,796,186		124,874,663		(4,921,523	)
Euro		48		3/22		6,772,620		6,814,800		42,180
Euro-Bobl		251		3/22		38,273,824		38,229,717		(44,107	)
Euro-OAT		541		3/22		101,856,106		101,732,410		(123,696	)
Japanese Yen		973		12/21		110,442,684		107,540,825		(2,901,859	)
Mexican Peso		4,607		12/21		113,621,570		107,043,645		(6,577,925	)
Russian Ruble		1,923		12/21		65,839,745		64,540,688		(1,299,057	)
U.S. Treasury 5-Year Notes		16,963		3/22		2,047,734,106		2,059,281,738		11,547,632
U.S. Treasury 10-Year Notes		828		3/22		107,961,355		108,312,750		351,395
U.S. Treasury Ultra Long-Term Bonds		5,612		3/22		1,083,694,904		1,125,556,750		41,861,846
United Kingdom 10-Year Long Gilt bonds		3		3/22		496,861		503,838		6,977
										(10,887,193	)

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) November 30, 2021

	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Sell:
90-Day Eurodollar		4,043		3/22	$	1,008,416,591	$	1,007,919,900	$	496,691
90-Day Eurodollar		5,219		12/21		1,301,775,415		1,302,107,881		(332,466	)
Euro-Bund		602		12/21		116,414,121		117,681,860		(1,267,739	)
Euro-Bund		2,415		3/22		475,378,783		476,806,658		(1,427,875	)
Euro-Buxl		302		3/22		72,862,656		74,082,361		(1,219,705	)
Eurotop 100 Stock Index		1,259		3/22		358,823,642		358,849,852		(26,210	)
Japanese 10-Year Bonds		93		12/21		124,972,651		125,009,245		(36,594	)
U.S. Treasury 2-Year Notes		3,041		3/22		664,120,633		665,171,238		(1,050,605	)
U.S. Treasury Long-Term Bonds		1,658		3/22		264,740,982		268,803,250		(4,062,268	)
U.S. Treasury Ultra 10-Year Notes		1,012		3/22		146,065,240		148,653,317		(2,588,077	)
										(11,514,848	)
Net unrealized depreciation on open futures contracts									$	(22,402,041	)

Abbreviation(s) used in this table:

OAT — Obligations Assimilables du Trésor (French Treasury Bonds)

At November 30, 2021, the Fund had the following open forward foreign currency contracts:

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
CAD	64,400,000	USD	50,708,661	Goldman Sachs Group Inc.		12/15/21	$	(287,941	)
GBP	45,937,500	USD	61,740,000	Goldman Sachs Group Inc.		12/15/21		(627,746	)
AUD	112,100,000	USD	81,945,100	JPMorgan Chase & Co.		12/15/21		(2,019,710	)
EUR	108,375,000	USD	127,153,678	Morgan Stanley & Co. Inc.		12/15/21		(4,175,809	)
BRL	180,756,757	USD	31,689,807	BNP Paribas SA		1/18/22		128,515
USD	51,885,701	EUR	44,810,000	BNP Paribas SA		1/18/22		973,537
USD	75,086,216	EUR	64,850,000	BNP Paribas SA		1/18/22		1,405,032
BRL	306,046,000	USD	53,670,624	Citibank N.A.		1/18/22		202,162
CAD	304,420,000	USD	242,362,963	Citibank N.A.		1/18/22		(3,945,789	)

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) November 30, 2021

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	5,000,000		USD	5,799,895	Citibank N.A.		1/18/22	$	(119,002	)
IDR	399,524,552,376		USD	27,673,271	Citibank N.A.		1/18/22		86,616
INR	1,625,339,626		USD	21,639,457	Citibank N.A.		1/18/22		(118,010	)
MXN	543,033,461		USD	26,109,512	Citibank N.A.		1/18/22		(1,027,591	)
USD	2,422,872		CAD	3,000,000	Citibank N.A.		1/18/22		73,317
USD	55,495,887		CAD	68,778,616	Citibank N.A.		1/18/22		1,629,507
USD	108,204,362		CNY	706,574,482	Citibank N.A.		1/18/22		(2,186,634	)
USD	4,419,594		EUR	3,800,000	Citibank N.A.		1/18/22		102,115
USD	5,189,209		EUR	4,600,000	Citibank N.A.		1/18/22		(37,212	)
USD	8,122,303		EUR	7,000,000	Citibank N.A.		1/18/22		169,053
USD	151,689,426		EUR	130,858,009	Citibank N.A.		1/18/22		3,011,354
RUB	7,379,131,803		USD	99,806,340	Goldman Sachs Group Inc.		1/18/22		(1,238,772	)
RUB	14,502,330,000		USD	195,627,154	Goldman Sachs Group Inc.		1/18/22		(1,910,682	)
USD	14,947,804		GBP	10,953,645	Goldman Sachs Group Inc.		1/18/22		367,495
USD	3,473,307		RUB	248,730,000	Goldman Sachs Group Inc.		1/18/22		150,869
USD	23,681,141		RUB	1,701,400,000	Goldman Sachs Group Inc.		1/18/22		954,503
USD	8,469,901		AUD	11,609,347	JPMorgan Chase & Co.		1/18/22		189,374
USD	24,525,125		CNH	159,943,057	JPMorgan Chase & Co.		1/18/22		(495,109	)
CAD	28,300,000		USD	22,539,420	Morgan Stanley & Co. Inc.		1/18/22		(375,285	)
CAD	30,240,000		USD	24,088,554	Morgan Stanley & Co. Inc.		1/18/22		(405,040	)
CAD	169,033,629		USD	134,648,668	Morgan Stanley & Co. Inc.		1/18/22		(2,264,067	)
JPY	13,084,662,208		USD	115,272,399	Morgan Stanley & Co. Inc.		1/18/22		589,020
USD	11,390,162		BRL	63,175,536	Morgan Stanley & Co. Inc.		1/18/22		269,474
ZAR	284,980,000		USD	18,479,875	Morgan Stanley & Co. Inc.		1/18/22		(684,016	)
Total								$	(11,616,472	)

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

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) November 30, 2021

At November 30, 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 DEPRECIATION

JPMorgan Chase & Co.

448,516,000

BRL

1/4/27

BRL-CDI

**

7.044

%**

—

$

(6,125,950

)

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)
	496,240,000	CAD		10/27/23	1.483% semi-annually	3-Month CAD LIBOR quarterly	$	(10,750	)	$	24,366
	169,230,000			11/18/23	3.970%**	CPURNSA**		(487,697	)		(939,150	)
	1,328,480,000			6/4/24	3-Month LIBOR quarterly	0.820% semi-annually		—			(8,641,997	)
	144,580,000			10/20/26	2.950%**	CPURNSA**		(75,652	)		498,316
	169,230,000			11/18/26	CPURNSA**	3.370%**		1,462,560			1,980,194
	192,310,000			11/20/26	1.520% annually	Daily SOFR Compound annually		(238,861	)		(820,385	)
	118,982,000			5/15/27	0.710% annually	Daily SOFR Compound annually		577,111			1,648,205
	125,708,000			2/15/28	1.350% semi-annually	3-Month LIBOR quarterly		154,994			28,276
	452,327,000			8/15/28	1.130% annually	Daily SOFR Compound annually		2,267,946			(1,486,087	)
	657,669,000			8/15/28	1.220% annually	Daily SOFR Compound annually		(966,359	)		(1,727,230	)
	95,601,000			11/1/28	1.200% annually	Daily SOFR Compound annually		(5,578	)		(285,818	)
	1,482,510,000	MXN		7/18/29	28-Day MXN TIIE - Banxico every 28 days	7.450% every 28 days		484,634			(196,850	)
	1,560,270,000	MXN		7/20/29	28-Day MXN TIIE - Banxico every 28 days	7.440% every 28 days		618,027			(359,642	)

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) November 30, 2021

CENTRALLY CLEARED INTEREST RATE SWAPS (cont’d)
NOTIONAL AMOUNT*		TERMINATION DATE		PAYMENTS MADE BY THE FUND†	PAYMENTS RECEIVED BY THE FUND†	UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
	144,580,000		10/20/31	CPURNSA**	2.770%**	$	123,130		$	358,151
	144,580,000		10/20/31	1.733% annually	Daily SOFR Compound annually		569,562			(1,899,014	)
	30,600,000		11/15/45	0.800% semi-annually	3-Month LIBOR quarterly		897,356			4,612,739
	35,330,000		2/15/47	1.600% semi-annually	3-Month LIBOR quarterly		208,021			232,896
	33,813,000		2/15/47	1.630% semi-annually	3-Month LIBOR quarterly		(195,844	)		542,727
	30,758,000		2/15/47	2.000% semi-annually	3-Month LIBOR quarterly		448,568			(2,554,290	)
	213,837,000		2/15/47	1.520% annually	Daily SOFR Compound annually		(5,342,490	)		(182,105	)
	13,280,000		2/15/47	1.729% annually	Daily SOFR Compound annually		—			(939,333	)
	43,640,000		10/7/50	1.200% semi-annually	3-Month LIBOR quarterly		343,967			4,452,592
	6,535,000		6/3/51	2.000% semi-annually	3-Month LIBOR quarterly		67,964			(650,824	)
	19,620,000		6/7/51	2.050% semi-annually	3-Month LIBOR quarterly		(2,452	)		(1,855,505	)
	56,670,000		7/9/51	1.671% semi-annually	3-Month LIBOR quarterly		(252,571	)		71,178
	Total					$	645,586		$	(8,088,590	)

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) November 30, 2021

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		IMPLIED CREDIT SPREAD AT NOVEMBER 30, 20213			PERIODIC PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
Apache Corp., 4.875%, due 11/15/27	$	9,404,000		6/20/26		1.608	%	1.000% quarterly	$	(248,426	)	$	(430,737	)	$	182,311
Apache Corp., 4.875%, due 11/15/27		8,160,000		12/20/26		1.763	%	1.000% quarterly		(296,561	)		(251,523	)		(45,038	)
Total	$	17,564,000							$	(544,987	)	$	(682,260	)	$	137,273

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		PERIODIC PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE4		UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED DEPRECIATION
Markit CDX.NA.HY.37 Index	$	240,915,000		12/20/26	5.000% quarterly	$	18,395,546	$	22,189,836	$	(3,794,290	)
Markit CDX.NA.IG.37 Index		1,294,203,250		12/20/26	1.000% quarterly		26,576,464		29,686,593		(3,110,129	)
Total	$	1,535,118,250				$	44,972,010	$	51,876,429	$	(6,904,419	)

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) November 30, 2021

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  Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads 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. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.

⁴  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
CAD	— Canadian Dollar
CPURNSA	— U.S. CPI Urban Consumers NSA Index
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
SOFR	— Secured Overnight Financing Rate
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) (cont’d)

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 “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) (cont’d)

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

• Level 1 – 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†:
Sovereign Bonds		—	$	1,006,498,723		—	$	1,006,498,723
Corporate Bonds & Notes		—		983,129,674		—		983,129,674
Senior Loans		—		874,777,031		—		874,777,031
Collateralized Mortgage Obligations		—		673,505,754		—		673,505,754
Mortgage-Backed Securities		—		175,528,235		—		175,528,235
Asset-Backed Securities		—		122,492,230		—		122,492,230
U.S. Government & Agency Obligations		—		45,315,930		—		45,315,930
Purchased Options	$	3,500,383		—		—		3,500,383
Total Long-Term Investments		3,500,383		3,881,247,577		—		3,884,747,960
Short-Term Investments†:
U.S. Treasury Bills		—		49,977,552		—		49,977,552
Overnight Deposits		—		117,807,397		—		117,807,397
Total Short-Term Investments		—		167,784,949		—		167,784,949
Total Investments	$	3,500,383	$	4,049,032,526		—	$	4,052,532,909

40

Notes to Schedule of Investments (unaudited) (cont’d)

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††	$	54,891,286		—		—	$	54,891,286
Forward Foreign Currency Contracts††		—	$	10,301,943		—		10,301,943
Centrally Cleared Interest Rate Swaps††		—		14,449,640		—		14,449,640
Centrally Cleared Credit Default Swaps on Corporate Issues - Sell Protection††		—		182,311		—		182,311
Total Other Financial Instruments	$	54,891,286	$	24,933,894		—	$	79,825,180
Total	$	58,391,669	$	4,073,966,420		—	$	4,132,358,089
LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Written Options	$	21,841,489		—		—	$	21,841,489
Futures Contracts††		77,293,327		—		—		77,293,327
Forward Foreign Currency Contracts††		—	$	21,918,415		—		21,918,415
OTC Interest Rate Swaps‡		—		6,125,950		—		6,125,950
Centrally Cleared Interest Rate Swaps††		—		22,538,230		—		22,538,230
Centrally Cleared Credit Default Swaps on Corporate Issues - Sell Protection††		—		45,038		—		45,038
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection††		—		6,904,419		—		6,904,419
Total	$	99,134,816	$	57,532,052		—	$	156,666,868

† See Schedule of Investments for additional detailed categorizations.

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

‡ Value includes any premium paid or received with respect to swap contracts.

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