Legg Mason Partners Institutional Trust NPORT-P Western Asset SMASh Series Core Plus Completion Fund (Mar 2023 report)

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CORPORATE BONDS & NOTES - 23.1%
COMMUNICATION SERVICES - 3.3%
Diversified Telecommunication Services - 0.1%
Altice France SA, Senior Secured Notes		5.500	%		1/15/28		200,000	$	164,490	(a)
Altice France SA, Senior Secured Notes		5.500	%		10/15/29		2,650,000		2,028,723	(a)
Total Diversified Telecommunication Services									2,193,213
Entertainment - 0.1%
Netflix Inc., Senior Notes		5.875	%		2/15/25		2,845,000		2,904,702
Warnermedia Holdings Inc., Senior Notes		6.412	%		3/15/26		1,200,000		1,206,423
Total Entertainment									4,111,125
Interactive Media & Services - 0.1%
Tencent Holdings Ltd., Senior Notes		3.840	%		4/22/51		3,990,000		2,905,062	(a)
Media - 1.2%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.750	%		2/1/32		5,350,000		4,499,925	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		5/1/32		8,260,000		6,764,197
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		6/1/33		2,220,000		1,789,908	(a)
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		4.908	%		7/23/25		100,000		99,042
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		6.484	%		10/23/45		2,000,000		1,896,955
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		5,100,000		4,553,280
DISH DBS Corp., Senior Notes		7.750	%		7/1/26		1,220,000		806,463
DISH DBS Corp., Senior Notes		5.125	%		6/1/29		3,150,000		1,680,777
DISH DBS Corp., Senior Secured Notes		5.250	%		12/1/26		2,260,000		1,807,480	(a)
DISH DBS Corp., Senior Secured Notes		5.750	%		12/1/28		420,000		314,213	(a)
Fox Corp., Senior Notes		5.476	%		1/25/39		2,000,000		1,917,373
Time Warner Cable LLC, Senior Secured Notes		7.300	%		7/1/38		2,500,000		2,596,694
Virgin Media Secured Finance PLC, Senior Secured Notes		5.500	%		5/15/29		3,300,000		3,076,879	(a)
Total Media									31,803,186
Wireless Telecommunication Services - 1.8%
America Movil SAB de CV, Senior Notes		6.125	%		3/30/40		1,500,000		1,615,134
CSC Holdings LLC, Senior Notes		6.500	%		2/1/29		5,500,000		4,572,796	(a)
CSC Holdings LLC, Senior Notes		4.125	%		12/1/30		650,000		467,412	(a)
CSC Holdings LLC, Senior Notes		3.375	%		2/15/31		1,150,000		796,605	(a)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         1

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Wireless Telecommunication Services - (continued)
CSC Holdings LLC, Senior Notes		4.500	%		11/15/31		18,090,000	$	13,060,437	(a)
Sprint Capital Corp., Senior Notes		6.875	%		11/15/28		650,000		699,075
Sprint Capital Corp., Senior Notes		8.750	%		3/15/32		5,490,000		6,689,894
Sprint LLC, Senior Notes		7.875	%		9/15/23		180,000		181,493
Sprint LLC, Senior Notes		7.625	%		2/15/25		1,973,000		2,047,710
T-Mobile USA Inc., Senior Notes		2.250	%		2/15/26		1,350,000		1,256,797
T-Mobile USA Inc., Senior Notes		2.625	%		2/15/29		4,230,000		3,730,905
T-Mobile USA Inc., Senior Notes		3.375	%		4/15/29		3,880,000		3,540,839
T-Mobile USA Inc., Senior Notes		3.500	%		4/15/31		9,200,000		8,281,596
T-Mobile USA Inc., Senior Notes		3.000	%		2/15/41		1,000,000		742,190
Vmed O2 UK Financing I PLC, Senior Secured Notes		4.750	%		7/15/31		730,000		626,636	(a)
Total Wireless Telecommunication Services									48,309,519
TOTAL COMMUNICATION SERVICES									89,322,105
CONSUMER DISCRETIONARY - 3.9%
Automobiles - 2.6%
Ford Motor Co., Senior Notes		3.250	%		2/12/32		150,000		118,105
Ford Motor Co., Senior Notes		6.100	%		8/19/32		4,770,000		4,629,099
Ford Motor Credit Co. LLC, Senior Notes		5.125	%		6/16/25		200,000		196,049
Ford Motor Credit Co. LLC, Senior Notes		3.375	%		11/13/25		5,580,000		5,237,472
Ford Motor Credit Co. LLC, Senior Notes		4.950	%		5/28/27		2,750,000		2,627,075
Ford Motor Credit Co. LLC, Senior Notes		3.815	%		11/2/27		250,000		224,410
Ford Motor Credit Co. LLC, Senior Notes		7.350	%		11/4/27		10,000,000		10,325,100
Ford Motor Credit Co. LLC, Senior Notes		2.900	%		2/16/28		2,130,000		1,833,888
Ford Motor Credit Co. LLC, Senior Notes		2.900	%		2/10/29		200,000		165,839
Ford Motor Credit Co. LLC, Senior Notes		5.113	%		5/3/29		230,000		216,247
Ford Motor Credit Co. LLC, Senior Notes		7.350	%		3/6/30		22,000,000		22,627,000
Ford Motor Credit Co. LLC, Senior Notes		4.000	%		11/13/30		12,260,000		10,434,573
Ford Motor Credit Co. LLC, Senior Notes		3.625	%		6/17/31		13,420,000		11,075,998
Total Automobiles									69,710,855
Broadline Retail - 0.6%
Prosus NV, Senior Notes		3.061	%		7/13/31		19,380,000		15,283,629	(a)
Diversified Consumer Services - 0.0%††
Service Corp. International, Senior Notes		7.500	%		4/1/27		1,370,000		1,421,090
Hotels, Restaurants & Leisure - 0.6%
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		3.875	%		1/15/28		460,000		428,246	(a)
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		3.500	%		2/15/29		1,960,000		1,756,728	(a)

See Notes to Schedule of Investments.

    2     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Hotels, Restaurants & Leisure - (continued)
GLP Capital LP/GLP Financing II Inc., Senior Notes		5.375	%		4/15/26		310,000	$	301,135
VOC Escrow Ltd., Senior Secured Notes		5.000	%		2/15/28		3,540,000		3,145,803	(a)
Wynn Macau Ltd., Senior Notes		5.625	%		8/26/28		7,740,000		6,591,536	(a)
Wynn Macau Ltd., Senior Notes		5.125	%		12/15/29		1,110,000		910,428	(a)
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes		7.125	%		2/15/31		3,080,000		3,127,032	(a)
Total Hotels, Restaurants & Leisure									16,260,908
Household Durables - 0.0%††
MDC Holdings Inc., Senior Notes		6.000	%		1/15/43		1,650,000		1,435,994
Textiles, Apparel & Luxury Goods - 0.1%
Hanesbrands Inc., Senior Notes		4.875	%		5/15/26		1,840,000		1,745,645	(a)
TOTAL CONSUMER DISCRETIONARY									105,858,121
CONSUMER STAPLES - 1.3%
Food Products - 0.4%
Kraft Heinz Foods Co., Senior Notes		4.250	%		3/1/31		1,360,000		1,316,877
Kraft Heinz Foods Co., Senior Notes		6.750	%		3/15/32		432,000		483,995
Kraft Heinz Foods Co., Senior Notes		6.875	%		1/26/39		1,130,000		1,281,683
Kraft Heinz Foods Co., Senior Notes		7.125	%		8/1/39		330,000		377,753	(a)
Kraft Heinz Foods Co., Senior Notes		4.625	%		10/1/39		330,000		302,842
Kraft Heinz Foods Co., Senior Notes		5.000	%		6/4/42		1,810,000		1,737,516
Kraft Heinz Foods Co., Senior Notes		4.375	%		6/1/46		2,160,000		1,883,704
Kraft Heinz Foods Co., Senior Notes		5.500	%		6/1/50		2,730,000		2,766,720
Total Food Products									10,151,090
Personal Care Products - 0.1%
Kenvue Inc., Senior Notes		4.900	%		3/22/33		2,150,000		2,222,212	(a)
Tobacco - 0.8%
Altria Group Inc., Senior Notes		5.800	%		2/14/39		5,000,000		4,888,973
Altria Group Inc., Senior Notes		5.950	%		2/14/49		7,500,000		7,106,848
Altria Group Inc., Senior Notes		6.200	%		2/14/59		792,000		776,842
BAT Capital Corp., Senior Notes		3.734	%		9/25/40		10,000,000		7,158,528
BAT Capital Corp., Senior Notes		3.984	%		9/25/50		2,500,000		1,721,294
Total Tobacco									21,652,485
TOTAL CONSUMER STAPLES									34,025,787
ENERGY - 5.3%
Oil, Gas & Consumable Fuels - 5.3%
Apache Corp., Senior Notes		5.100	%		9/1/40		6,268,000		5,321,689
Cameron LNG LLC, Senior Secured Notes		3.302	%		1/15/35		4,820,000		4,152,650	(a)
Cheniere Energy Inc., Senior Notes		4.625	%		10/15/28		3,160,000		3,006,550

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         3

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Cheniere Energy Partners LP, Senior Notes		3.250	%		1/31/32		7,030,000	$	5,814,443
Continental Resources Inc., Senior Notes		4.375	%		1/15/28		10,830,000		10,215,859
Devon Energy Corp., Senior Notes		8.250	%		8/1/23		320,000		321,380
Devon Energy Corp., Senior Notes		5.250	%		10/15/27		170,000		170,111
Devon Energy Corp., Senior Notes		5.875	%		6/15/28		720,000		733,812
Devon Energy Corp., Senior Notes		5.000	%		6/15/45		1,250,000		1,112,809
Ecopetrol SA, Senior Notes		4.625	%		11/2/31		21,540,000		16,592,018
Ecopetrol SA, Senior Notes		5.875	%		5/28/45		1,170,000		813,150
Energy Transfer LP, Junior Subordinated Notes (3 mo. USD LIBOR + 4.028%)		8.892	%		4/17/23		2,880,000		2,565,059	(b)(c)
Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then 5 year Treasury Constant Maturity Rate + 5.694%)		6.500	%		11/15/26		3,170,000		2,797,525	(b)(c)
Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%)		6.750	%		5/15/25		600,000		530,313	(b)(c)
Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%)		7.125	%		5/15/30		8,010,000		6,756,435	(b)(c)
EQM Midstream Partners LP, Senior Notes		5.500	%		7/15/28		490,000		445,684
EQT Corp., Senior Notes		3.900	%		10/1/27		2,520,000		2,371,106
EQT Corp., Senior Notes		5.000	%		1/15/29		180,000		170,901
KazMunayGas National Co. JSC, Senior Notes		5.375	%		4/24/30		500,000		447,174	(a)
KazMunayGas National Co. JSC, Senior Notes		6.375	%		10/24/48		2,850,000		2,378,040	(a)
Kinder Morgan Inc., Senior Notes		7.750	%		1/15/32		300,000		349,091
Kinder Morgan Inc., Senior Notes		5.550	%		6/1/45		2,000,000		1,895,099
Occidental Petroleum Corp., Senior Notes		6.200	%		3/15/40		11,829,000		11,911,093
Occidental Petroleum Corp., Senior Notes		6.600	%		3/15/46		5,000,000		5,262,500
Petrobras Global Finance BV, Senior Notes		5.500	%		6/10/51		7,380,000		5,735,428
Petroleos Mexicanos, Senior Notes		6.875	%		8/4/26		1,650,000		1,567,987
Petroleos Mexicanos, Senior Notes		5.500	%		6/27/44		330,000		194,573
Petroleos Mexicanos, Senior Notes		6.750	%		9/21/47		1,000,000		650,811
Range Resources Corp., Senior Notes		4.875	%		5/15/25		1,680,000		1,648,908
Range Resources Corp., Senior Notes		8.250	%		1/15/29		1,780,000		1,877,811
Sabine Pass Liquefaction LLC, Senior Secured Notes		5.750	%		5/15/24		1,300,000		1,303,437
Southwestern Energy Co., Senior Notes		5.375	%		3/15/30		1,510,000		1,421,393
Southwestern Energy Co., Senior Notes		4.750	%		2/1/32		7,580,000		6,704,130

See Notes to Schedule of Investments.

    4     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Senior Notes		6.000	%		12/31/30		330,000	$	295,352	(a)
Targa Resources Partners LP/Targa
Resources Partners Finance Corp., Senior Notes		6.875	%		1/15/29		830,000		846,752
Targa Resources Partners LP/Targa
Resources Partners Finance Corp., Senior Notes		4.875	%		2/1/31		3,590,000		3,362,913
Targa Resources Partners LP/Targa
Resources Partners Finance Corp., Senior Notes		4.000	%		1/15/32		560,000		488,687
Venture Global Calcasieu Pass LLC, Senior Secured Notes		3.875	%		11/1/33		4,040,000		3,398,226	(a)
Western Midstream Operating LP, Senior Notes		5.300	%		3/1/48		25,640,000		21,764,514
Western Midstream Operating LP, Senior Notes		5.500	%		8/15/48		2,000,000		1,725,230
Williams Cos. Inc., Senior Notes		4.550	%		6/24/24		230,000		228,390
Williams Cos. Inc., Senior Notes		7.500	%		1/15/31		152,000		169,450
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		2,930,000		2,871,108
TOTAL ENERGY									142,389,591
FINANCIALS - 0.7%
Banks - 0.4%
Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year Treasury Constant Maturity Rate + 2.050%)		4.588	%		5/4/37		3,620,000		3,193,989	(c)
BNP Paribas SA, Senior Notes (5.125% to 1/13/28 then 1 year Treasury Constant Maturity Rate + 1.450%)		5.125	%		1/13/29		4,910,000		4,923,959	(a)(c)
Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year Treasury Constant Maturity Rate + 1.420%)		3.758	%		4/6/33		750,000		671,606	(a)(c)
Wells Fargo & Co., Senior Notes (5.013%to 4/4/50 then SOFR + 4.502%)		5.013	%		4/4/51		1,000,000		942,961	(c)
Wells Fargo & Co., Subordinated Notes		4.750	%		12/7/46		2,000,000		1,741,421
Total Banks									11,473,936
Capital Markets - 0.2%
Credit Suisse AG, Senior Notes		4.750	%		8/9/24		1,170,000		1,135,251

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         5

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Capital Markets - (continued)
Credit Suisse AG, Senior Notes		7.500	%		2/15/28		2,270,000	$	2,411,875
Credit Suisse Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%)		9.016	%		11/15/33		890,000		1,056,786	(a)(c)
Total Capital Markets									4,603,912
Financial Services - 0.1%
Park Aerospace Holdings Ltd., Senior Notes		5.500	%		2/15/24		2,840,000		2,814,741	(a)
TOTAL FINANCIALS									18,892,589
HEALTH CARE - 3.2%
Health Care Providers & Services - 0.5%
Fresenius Medical Care U.S. Finance II Inc., Senior Notes		4.750	%		10/15/24		5,070,000		5,013,599	(a)
HCA Inc., Senior Notes		3.500	%		9/1/30		7,660,000		6,827,831
HCA Inc., Senior Notes		5.500	%		6/15/47		190,000		178,645
HCA Inc., Senior Notes		7.500	%		11/15/95		10,000		10,985
Tenet Healthcare Corp., Senior Secured Notes		4.375	%		1/15/30		330,000		296,472
Total Health Care Providers & Services									12,327,532
Pharmaceuticals - 2.7%
Bausch Health Americas Inc., Senior Notes		9.250	%		4/1/26		540,000		401,174	(a)
Bausch Health Americas Inc., Senior Notes		8.500	%		1/31/27		830,000		380,293	(a)
Bausch Health Cos. Inc., Senior Notes		6.250	%		2/15/29		5,160,000		2,066,012	(a)
Bausch Health Cos. Inc., Senior Notes		7.250	%		5/30/29		280,000		107,488	(a)
Bausch Health Cos. Inc., Senior Notes		5.250	%		1/30/30		2,160,000		808,650	(a)
Bausch Health Cos. Inc., Senior Secured Notes		5.500	%		11/1/25		350,000		288,158	(a)
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.800	%		7/21/23		29,000		28,685
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		7.125	%		1/31/25		3,920,000		4,004,319
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		3.150	%		10/1/26		35,960,000		32,579,041
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		4.750	%		5/9/27		30,410,000		28,423,543
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		5.125	%		5/9/29		4,690,000		4,252,923
Total Pharmaceuticals									73,340,286
TOTAL HEALTH CARE									85,667,818

See Notes to Schedule of Investments.

    6     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
INDUSTRIALS - 2.8%
Aerospace & Defense - 0.0%††
Boeing Co., Senior Notes		5.705	%		5/1/40		1,000,000	$	1,012,639
Building Products - 0.0%††
Builders FirstSource Inc., Senior Notes		4.250	%		2/1/32		1,070,000		933,349	(a)
Commercial Services & Supplies - 0.0%††
Allied Universal Holdco LLC/Allied Universal Finance Corp., Senior Secured Notes		6.625	%		7/15/26		330,000		317,460	(a)
CoreCivic Inc., Senior Notes		4.750	%		10/15/27		210,000		185,407
Total Commercial Services & Supplies									502,867
Ground Transportation - 0.0%††
XPO Inc., Senior Notes		6.250	%		5/1/25		456,000		453,924	(a)
Machinery - 0.1%
Vertiv Group Corp., Senior Secured Notes		4.125	%		11/15/28		2,070,000		1,828,814	(a)
Passenger Airlines - 1.9%
Delta Air Lines Inc., Senior Secured Notes		7.000	%		5/1/25		18,220,000		18,692,289	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.500	%		10/20/25		5,436,000		5,348,145	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.750	%		10/20/28		5,390,000		5,205,921	(a)
Hawaiian Brand Intellectual Property Ltd./
HawaiianMiles Loyalty Ltd., Senior Secured Notes		5.750	%		1/20/26		700,000		665,434	(a)
Mileage Plus Holdings LLC/Mileage Plus
Intellectual Property Assets Ltd., Senior Secured Notes		6.500	%		6/20/27		6,519,500		6,504,929	(a)
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes		8.000	%		9/20/25		4,907,999		4,924,809	(a)
United Airlines Inc., Senior Secured Notes		4.375	%		4/15/26		4,390,000		4,205,085	(a)
United Airlines Inc., Senior Secured Notes		4.625	%		4/15/29		6,756,000		6,119,729	(a)
Total Passenger Airlines									51,666,341
Trading Companies & Distributors - 0.8%
Air Lease Corp., Senior Notes		5.300	%		2/1/28		1,350,000		1,333,452
H&E Equipment Services Inc., Senior Notes		3.875	%		12/15/28		1,080,000		947,700	(a)
United Rentals North America Inc., Senior Notes		4.875	%		1/15/28		13,060,000		12,502,338
United Rentals North America Inc., Senior Notes		5.250	%		1/15/30		100,000		96,347

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         7

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Trading Companies & Distributors - (continued)
United Rentals North America Inc., Senior Notes		3.875	%		2/15/31		1,620,000	$	1,431,432
United Rentals North America Inc., Senior Notes		3.750	%		1/15/32		4,220,000		3,638,969
Total Trading Companies & Distributors									19,950,238
TOTAL INDUSTRIALS									76,348,172
INFORMATION TECHNOLOGY - 0.3%
Communications Equipment - 0.2%
CommScope Inc., Senior Secured Notes		6.000	%		3/1/26		1,150,000		1,111,136	(a)
CommScope Inc., Senior Secured Notes		4.750	%		9/1/29		1,980,000		1,652,310	(a)
CommScope Technologies LLC, Senior Notes		5.000	%		3/15/27		2,000,000		1,464,800	(a)
Total Communications Equipment									4,228,246
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 0.1%
Intel Corp., Senior Notes		5.125	%		2/10/30		1,000,000		1,018,788
Micron Technology Inc., Senior Notes		5.875	%		2/9/33		1,370,000		1,385,989
Total Semiconductors & Semiconductor Equipment									2,404,777
Software - 0.0%††
Open Text Holdings Inc., Senior Notes		4.125	%		2/15/30		320,000		274,848	(a)
Open Text Holdings Inc., Senior Notes		4.125	%		12/1/31		400,000		330,394	(a)
Total Software									605,242
TOTAL INFORMATION TECHNOLOGY									7,238,265
MATERIALS - 2.2%
Chemicals - 0.9%
OCP SA, Senior Notes		4.500	%		10/22/25		1,180,000		1,147,290	(a)
OCP SA, Senior Notes		3.750	%		6/23/31		4,000,000		3,287,400	(a)
OCP SA, Senior Notes		5.125	%		6/23/51		4,630,000		3,384,910	(a)
Orbia Advance Corp. SAB de CV, Senior Notes		1.875	%		5/11/26		10,430,000		9,299,683	(a)
Orbia Advance Corp. SAB de CV, Senior Notes		2.875	%		5/11/31		9,900,000		7,958,214	(a)
Total Chemicals									25,077,497
Containers & Packaging - 0.2%
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes		5.250	%		8/15/27		590,000		465,752	(a)
Ball Corp., Senior Notes		4.000	%		11/15/23		310,000		306,662
Ball Corp., Senior Notes		3.125	%		9/15/31		4,730,000		3,918,639
Total Containers & Packaging									4,691,053

See Notes to Schedule of Investments.

    8     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Metals & Mining - 0.5%
ArcelorMittal SA, Senior Notes		7.000	%		10/15/39		2,000,000		$	2,105,243
Freeport-McMoRan Inc., Senior Notes		4.625	%		8/1/30		2,030,000			1,919,828
Freeport-McMoRan Inc., Senior Notes		5.450	%		3/15/43		7,950,000			7,445,300
Southern Copper Corp., Senior Notes		5.250	%		11/8/42		500,000			479,049
Teck Resources Ltd., Senior Notes		6.000	%		8/15/40		240,000			242,987
Vale Canada Ltd., Senior Notes		7.200	%		9/15/32		1,254,000			1,356,386
Vale Overseas Ltd., Senior Notes		6.875	%		11/21/36		1,368,000			1,431,258
Total Metals & Mining										14,980,051
Paper & Forest Products - 0.6%
Suzano Austria GmbH, Senior Notes		3.750	%		1/15/31		13,710,000			11,941,718
Suzano Austria GmbH, Senior Notes		3.125	%		1/15/32		5,160,000			4,226,129
Total Paper & Forest Products										16,167,847
TOTAL MATERIALS										60,916,448
REAL ESTATE - 0.1%
Diversified REITs - 0.1%
VICI Properties LP/VICI Note Co. Inc., Senior Notes		4.500	%		1/15/28		1,225,000			1,136,001	(a)
Health Care REITs - 0.0%††
CTR Partnership LP/CareTrust Capital Corp., Senior Notes		3.875	%		6/30/28		1,310,000			1,121,485	(a)
TOTAL REAL ESTATE										2,257,486
TOTAL CORPORATE BONDS & NOTES (Cost - $695,662,262)										622,916,382
SOVEREIGN BONDS - 20.0%
Argentina - 0.3%
Argentine Republic Government International Bond, Senior Notes		1.000	%		7/9/29		730,361			206,173
Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23, 0.750% to 7/9/27 then 1.750%)		0.500	%		7/9/30		16,237,114			4,744,150
Provincia de Buenos Aires, Senior Notes,
Step bond (5.250% to 9/1/23, 6.375% to 9/1/24 then 6.625%)		5.250	%		9/1/37		8,834,786			3,130,297	(a)
Total Argentina										8,080,620
Brazil - 2.5%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		130,000,000	BRL		24,090,120
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/33		143,857,000	BRL		24,184,271

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         9

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Brazil - (continued)
Brazilian Government International Bond, Senior Notes		5.625	%		1/7/41		3,180,000		$	2,821,589
Brazilian Government International Bond, Senior Notes		4.750	%		1/14/50		21,630,000			16,053,829
Total Brazil										67,149,809
Colombia - 0.2%
Colombia Government International Bond, Senior Notes		4.125	%		2/22/42		8,600,000			5,595,754
Colombia Government International Bond, Senior Notes		5.625	%		2/26/44		500,000			379,625
Total Colombia										5,975,379
Indonesia - 3.9%
Indonesia Treasury Bond		7.000	%		5/15/27		544,513,000,000	IDR		37,120,357
Indonesia Treasury Bond		6.500	%		2/15/31		875,398,000,000	IDR		58,060,176
Indonesia Treasury Bond		6.375	%		4/15/32		57,165,000,000	IDR		3,735,693
Indonesia Treasury Bond		7.500	%		6/15/35		100,987,000,000	IDR		7,024,538
Total Indonesia										105,940,764
Kenya - 0.5%
Republic of Kenya Government International Bond, Senior Notes		6.875	%		6/24/24		4,260,000			3,948,083	(d)
Republic of Kenya Government International Bond, Senior Notes		7.250	%		2/28/28		910,000			748,534	(a)
Republic of Kenya Government International Bond, Senior Notes		6.300	%		1/23/34		11,470,000			8,129,362	(a)
Total Kenya										12,825,979
Mexico - 12.1%
Mexican Bonos, Bonds		8.000	%		11/7/47		3,200,030,000	MXN		158,163,525
Mexican Bonos, Senior Notes		7.750	%		11/23/34		1,718,650,000	MXN		88,028,833
Mexican Bonos, Senior Notes		7.750	%		11/13/42		1,579,171,500	MXN		76,469,321
Mexico Government International Bond, Senior Notes		4.750	%		3/8/44		3,380,000			2,880,722
Total Mexico										325,542,401
Nigeria - 0.1%
Nigeria Government International Bond, Senior Notes		7.143	%		2/23/30		4,970,000			3,802,298	(a)
Paraguay - 0.2%
Paraguay Government International Bond, Senior Notes		3.849	%		6/28/33		4,570,000			4,037,610	(a)

See Notes to Schedule of Investments.

    10     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Peru - 0.0%††
Peruvian Government International Bond, Senior Notes		6.550	%		3/14/37		510,000		$	555,943
Russia - 0.2%
Russian Federal Bond - OFZ		7.750	%		9/16/26		659,350,000	RUB		424,565	*(e)
Russian Federal Bond - OFZ		8.150	%		2/3/27		613,510,000	RUB		395,048	*(e)
Russian Federal Bond - OFZ		7.050	%		1/19/28		2,374,777,000	RUB		1,529,155	*(e)
Russian Federal Bond - OFZ		6.900	%		5/23/29		786,393,000	RUB		506,370	*(e)
Russian Federal Bond - OFZ		7.650	%		4/10/30		1,497,220,000	RUB		964,082	*(e)
Russian Federal Bond - OFZ		7.250	%		5/10/34		93,150,000	RUB		59,981	*(e)
Total Russia										3,879,201
TOTAL SOVEREIGN BONDS (Cost - $659,429,007)										537,790,004
COLLATERALIZED MORTGAGE OBLIGATIONS (f) - 17.5%
Alternative Loan Trust, 2007-OA8 1A1 (1 mo. USD LIBOR + 0.360%)		5.205	%		6/25/47		3,143,935			2,489,625	(c)
AOA Mortgage Trust, 2021-1177 A (1 mo. USD LIBOR + 0.874%)		5.559	%		10/15/38		8,235,000			7,605,886	(a)(c)
BAMLL Re-REMIC Trust, 2016-GG10 AJA		5.596	%		8/10/45		9,852,831			2,516,020	(a)(c)
Banc of America Funding Corp., 2015-R3 1A2		3.952	%		3/27/36		28,869,824			23,008,935	(a)(c)
Banc of America Funding Trust, 2014-R2 2A2 (1 mo. USD LIBOR + 0.210%)		5.041	%		5/26/37		8,632,505			7,316,753	(a)(c)
Banc of America Funding Trust, 2015-R2 9A2		4.734	%		3/27/36		12,472,557			10,478,672	(a)(c)
Barclays Commercial Mortgage Trust, 2019-C5 A4		3.063	%		11/15/52		25,110,000			22,221,401
BCAP LLC Trust, 2013-RR3 4A2 (1 mo. USD LIBOR + 0.160%)		3.914	%		11/26/36		3,180,987			3,139,576	(a)(c)
BCAP LLC Trust, 2014-RR5 1A2 (1 mo. USD LIBOR + 0.225%)		4.652	%		1/26/36		20,282,099			18,379,312	(a)(c)
BX Commercial Mortgage Trust, 2019-IMC F (1 mo. USD LIBOR + 2.900%)		7.584	%		4/15/34		3,210,000			3,049,135	(a)(c)
BX Commercial Mortgage Trust, 2020-VIVA E		3.549	%		3/11/44		6,847,863			5,152,614	(a)(c)
BX Commercial Mortgage Trust, 2021-21M A (1 mo. USD LIBOR + 0.730%)		5.414	%		10/15/36		9,469,097			9,115,652	(a)(c)
BX Commercial Mortgage Trust, 2021- ACNT A (1 mo. USD LIBOR + 0.850%)		5.535	%		11/15/38		7,780,000			7,490,057	(a)(c)
BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. USD LIBOR + 3.890%)		8.574	%		10/15/38		9,267,151			8,458,814	(a)(c)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         11

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS (f) - (continued)
BX Trust, 2021-BXMF A (1 mo. USD LIBOR + 0.636%)		5.320	%		10/15/26		24,640,000	$	23,614,616	(a)(c)
Citigroup Commercial Mortgage Trust, 2019-C7 A4		3.102	%		12/15/72		15,000,000		13,169,535
Commercial Mortgage Trust, 2014-CR20 B		4.239	%		11/10/47		720,000		672,593	(c)
CSMC OA LLC, 2014-USA F		4.373	%		9/15/37		1,100,000		509,182	(a)
CSMC Trust, 2014-11R 15A2		3.931	%		1/27/36		3,383,969		3,051,850	(a)(c)
CSMC Trust, 2014-USA E		4.373	%		9/15/37		530,000		296,869	(a)
CSMC Trust, 2017-CHOP G (1 mo. USD LIBOR + 5.350%)		10.034	%		7/15/32		7,606,000		6,806,625	(a)(c)
CSMC Trust, 2020-TMIC A (1 mo. USD LIBOR + 3.500%)		8.184	%		12/15/35		6,870,000		6,810,384	(a)(c)
Deutsche Mortgage Securities Inc., 2006- PR1 5AS2, IO		4.212	%		4/15/36		2,454,195		445,755	(a)(c)
ELP Commercial Mortgage Trust, 2021-ELP D (1 mo. USD LIBOR + 1.519%)		6.204	%		11/15/38		15,900,000		14,963,339	(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2021-DNA5 B1 (30 Day Average SOFR + 3.050%)		7.610	%		1/25/34		11,170,000		10,290,220	(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HRP1 B2 (1 mo. USD LIBOR + 11.750%)		16.595	%		5/25/43		17,186,154		19,063,741	(a)(c)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-HRP1 B1 (1 mo. USD LIBOR + 4.600%)		9.445	%		12/25/42		2,610,000		2,661,836	(c)
Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1B1 (1 mo. USD LIBOR + 4.850%)		9.695	%		10/25/29		16,410,000		17,539,056	(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2018-R07 1B1 (1 mo. USD LIBOR + 4.350%)		9.195	%		4/25/31		2,414,000		2,504,045	(a)(c)
Federal National Mortgage Association (FNMA) - CAS, 2021-R01 1B1 (30 Day Average SOFR + 3.100%)		7.660	%		10/25/41		8,870,000		8,383,207	(a)(c)
Government National Mortgage Association (GNMA), 2014-157 IO, IO		0.191	%		5/16/55		2,201,963		16,742	(c)
GS Mortgage Securities Corp., 2014-2R 3B (1 mo. USD LIBOR + 0.610%)		5.455	%		2/1/51		15,882,574		13,931,582	(a)

See Notes to Schedule of Investments.

    12     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS (f) - (continued)
GS Mortgage Securities Corp. Trust, 2018- LUAU G (1 mo. USD LIBOR + 4.450%)		9.134	%		11/15/32		10,000,000	$	9,376,109	(a)(c)
Hilton USA Trust, 2016-HHV D		4.194	%		11/5/38		2,800,000		2,511,249	(a)(c)
IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. USD LIBOR + 0.540%)		5.385	%		11/25/36		18,871,040		13,952,732	(c)
JPMBB Commercial Mortgage Securities Trust, 2014-C25 C		4.436	%		11/15/47		3,940,000		3,061,578	(c)
JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP9 AMS		5.337	%		5/15/47		3,474,854		3,321,534
JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ		6.201	%		2/15/51		15,868		14,150	(c)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN FFX		4.625	%		1/16/37		39,120,000		30,764,034	(a)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX		4.688	%		1/16/37		38,360,000		28,619,847	(a)(c)
JPMorgan Chase Commercial Mortgage Securities Trust, 2021-NYAH H (1 mo. USD LIBOR + 3.390%)		8.074	%		6/15/38		7,960,000		6,809,276	(a)(c)
KIND Trust, 2021-KIND D (1 mo. USD LIBOR + 2.414%)		7.241	%		8/15/38		21,226,588		19,785,186	(a)(c)
KIND Trust, 2021-KIND XCP, IO		0.000	%		8/15/38		78,050,000		82	(a)(c)
ML-CFC Commercial Mortgage Trust, 2007-5 AJ		5.450	%		8/12/48		693,289		177,619	(c)
ML-CFC Commercial Mortgage Trust, 2007-5 AJFL		5.450	%		8/12/48		302,977		77,622	(a)(c)
ML-CFC Commercial Mortgage Trust, 2007-9 AJ		6.193	%		9/12/49		25,465		24,970	(c)
Morgan Stanley Bank of America Merrill Lynch Trust, 2017-C34 B		4.111	%		11/15/52		6,250,000		5,586,705	(c)
MRCD Mortgage Trust, 2019-PARK A		2.718	%		12/15/36		7,980,000		7,303,493	(a)
NYO Commercial Mortgage Trust, 2021- 1290 C (1 mo. USD LIBOR + 1.995%)		6.680	%		11/15/38		9,150,000		7,888,985	(a)(c)
PMT Credit Risk Transfer Trust, 2019-2R A (1 mo. USD LIBOR + 2.750%)		7.602	%		5/27/23		10,521,672		10,299,612	(a)(c)
PMT Credit Risk Transfer Trust, 2019-3R A (1 mo. USD LIBOR + 3.700%)		8.552	%		11/27/31		3,543,697		3,430,254	(a)(c)
PMT Credit Risk Transfer Trust, 2021-1R A (1 mo. USD LIBOR + 2.900%)		7.752	%		2/27/24		7,031,042		6,826,226	(a)(c)
Prime Mortgage Trust, 2006-DR1 2A1		5.500	%		5/25/35		828,888		728,240	(a)
RBSSP Resecuritization Trust, 2013-4 1A2 (1 mo. USD LIBOR + 1.500%)		6.104	%		12/26/37		17,792,807		12,834,432	(a)(c)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         13

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS (f) - (continued)
Residential Accredit Loans Inc., 2007-QS7 1A7 (1 mo. USD LIBOR + 0.550%)		5.395	%		5/25/37		4,505,162	$	3,311,460	(c)
SFO Commercial Mortgage Trust, 2021-555 D (1 mo. USD LIBOR + 2.400%)		7.084	%		5/15/38		7,960,000		6,583,648	(a)(c)
Soho Trust, 2021-SOHO C		2.697	%		8/10/38		15,108,500		9,842,795	(a)(c)
TBW Mortgage-Backed Pass-Through Certificates, 2006-3 4A3, IO (-1.000 x 1 mo. USD LIBOR + 7.100%)		2.255	%		7/25/36		18,812,325		1,150,227	(c)
Wells Fargo Commercial Mortgage Trust, 2014-LC16 A5		3.817	%		8/15/50		980,000		954,416
WFRBS Commercial Mortgage Trust, 2014- C24 AS		3.931	%		11/15/47		1,270,000		1,212,368
WFRBS Commercial Mortgage Trust, 2014- C24 C		4.290	%		11/15/47		1,630,000		1,294,445	(c)
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $527,588,588)									472,896,923
MORTGAGE-BACKED SECURITIES - 17.1%
FHLMC - 0.7%
Federal Home Loan Mortgage Corp. (FHLMC)		2.500	%		7/1/50-4/1/52		15,289,457		13,356,403	(g)
Federal Home Loan Mortgage Corp. (FHLMC)		4.500	%		1/1/51-11/1/52		3,951,218		3,885,794	(g)
Federal Home Loan Mortgage Corp. (FHLMC)		3.000	%		11/1/51		603,268		542,774	(g)
Federal Home Loan Mortgage Corp. (FHLMC)		3.500	%		5/1/52		2,759,799		2,567,167	(g)
Total FHLMC									20,352,138
FNMA - 7.8%
Federal National Mortgage Association (FNMA)		2.000	%		2/1/51-12/1/51		2,198,092		1,824,124	(g)
Federal National Mortgage Association (FNMA)		3.000	%		3/1/52		1,404,932		1,263,689	(g)
Federal National Mortgage Association (FNMA)		2.000	%		4/1/52		87,900,000		72,676,461	(h)
Federal National Mortgage Association (FNMA)		2.500	%		4/1/52		90,800,000		78,268,891	(h)
Federal National Mortgage Association (FNMA)		3.000	%		4/1/52		24,100,000		21,625,838	(h)
Federal National Mortgage Association (FNMA)		3.500	%		4/1/52		16,200,000		15,053,976	(h)
Federal National Mortgage Association (FNMA)		4.000	%		4/1/52		14,800,000		14,156,025	(h)

See Notes to Schedule of Investments.

    14     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
FNMA - (continued)
Federal National Mortgage Association (FNMA)		4.500	%		4/1/52		3,100,000	$	3,037,609	(h)
Federal National Mortgage Association (FNMA)		4.500	%		11/1/52		2,286,838		2,244,707	(g)
Total FNMA									210,151,320
GNMA - 8.6%
Government National Mortgage Association (GNMA) II		2.500	%		9/20/51		5,137,931		4,527,414	(g)
Government National Mortgage Association (GNMA) II		2.000	%		4/1/52		45,000,000		38,232,942	(h)
Government National Mortgage Association (GNMA) II		2.500	%		4/1/52		119,900,000		105,526,051	(h)
Government National Mortgage Association (GNMA) II		3.000	%		4/1/52		40,000,000		36,437,258	(h)
Government National Mortgage Association (GNMA) II		4.500	%		4/1/52		6,300,000		6,205,690	(h)
Government National Mortgage Association (GNMA) II		5.000	%		4/1/52		20,000,000		20,026,563	(h)
Government National Mortgage Association (GNMA) II		5.500	%		4/1/52		19,800,000		20,025,457	(h)
Total GNMA									230,981,375
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $455,476,452)									461,484,833
SENIOR LOANS - 11.4%
COMMUNICATION SERVICES - 1.1%
Entertainment - 0.3%
UFC Holdings LLC, Term Loan B3 (3 mo. USD LIBOR + 2.750%)		7.570	%		4/29/26		7,222,823		7,192,920	(c)(i)(j)
Interactive Media & Services - 0.1%
Rackspace Technology Global Inc., Term Loan B (3 mo. USD LIBOR + 2.750%)		7.595	%		2/15/28		7,494,917		4,075,024	(c)(i)(j)
Media - 0.7%
Charter Communications Operating LLC, Term Loan B1 (1 mo. Term SOFR + 1.750%)		6.557	%		4/30/25		1,745,579		1,746,670	(c)(i)(j)
Charter Communications Operating LLC, Term Loan B2 (1 mo. Term SOFR + 1.750%)		6.557	%		2/1/27		1,562,757		1,550,794	(c)(i)(j)
iHeartCommunications Inc., New Term Loan (1 mo. USD LIBOR + 3.000%)		7.840	%		5/1/26		2,413,329		2,146,535	(c)(i)(j)
Nexstar Media Inc., Term Loan B4 (1 mo. USD LIBOR + 2.500%)		7.340	%		9/18/26		1,959,655		1,957,696	(c)(i)(j)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         15

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - (continued)
Terrier Media Buyer Inc., 2021 Refinancing Term Loan B (3 mo. USD LIBOR + 3.500%)		8.659	%		12/17/26		1,555,746	$	1,383,058	(c)(i)(j)
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%)		7.184	%		1/31/28		7,846,685		7,736,832	(c)(i)(j)
Virgin Media Bristol LLC, Term Loan Facility Q (1 mo. USD LIBOR + 3.250%)		7.934	%		1/31/29		1,910,000		1,894,013	(c)(i)(j)
Total Media									18,415,598
TOTAL COMMUNICATION SERVICES									29,683,542
CONSUMER DISCRETIONARY - 1.9%
Automobile Components - 0.6%
Clarios Global LP, First Lien Amendment No. 1 Dollar Term Loan (1 mo. USD LIBOR + 3.250%)		8.090	%		4/30/26		16,362,550		16,307,981	(c)(i)(j)
Diversified Consumer Services - 0.1%
Prime Security Services Borrower LLC, 2021 Refinancing Term Loan B1 (3 mo. USD LIBOR + 2.750%)		7.517	%		9/23/26		3,688,325		3,681,612	(c)(i)(j)
Hotels, Restaurants & Leisure - 0.9%
Alterra Mountain Co., 2028 Term Loan B (1 mo. USD LIBOR + 3.500%)		8.341	%		8/17/28		4,618,739		4,612,965	(c)(i)(j)
Caesars Entertainment Inc., Term Loan B (1 mo. Term SOFR + 3.350%)		8.157	%		2/6/30		770,000		767,432	(c)(i)(j)
Entain Holdings Gibraltar Ltd., Term Loan Facility B (3 mo. Term SOFR + 2.600%)		7.437	%		3/29/27		1,313,893		1,313,072	(c)(i)(j)
PCI Gaming Authority, Term Loan Facility B (1 mo. USD LIBOR + 2.500%)		7.340	%		5/29/26		4,794,030		4,795,037	(c)(i)(j)
Scientific Games International Inc., Initial Term Loan B (1 mo. Term SOFR + 3.100%)		7.960	%		4/13/29		8,885,867		8,832,153	(c)(i)(j)
Station Casinos LLC, Term Loan Facility B1 (1 mo. USD LIBOR + 2.250%)		7.100	%		2/8/27		3,915,115		3,889,960	(c)(i)(j)
Total Hotels, Restaurants & Leisure									24,210,619
Specialty Retail - 0.3%
Great Outdoors Group LLC, Term Loan B2 (1 mo. USD LIBOR + 3.750%)		8.590	%		3/6/28		3,288,247		3,251,271	(c)(i)(j)
Harbor Freight Tools USA Inc., 2021 Refinancing Term Loan (1 mo. USD LIBOR + 2.750%)		7.590	%		10/19/27		4,968,643		4,826,837	(c)(i)(j)
Total Specialty Retail									8,078,108
TOTAL CONSUMER DISCRETIONARY									52,278,320

See Notes to Schedule of Investments.

    16     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CONSUMER STAPLES - 0.2%
Beverages - 0.1%
Triton Water Holdings Inc., First Lien Initial Term Loan (3 mo. USD LIBOR + 3.500%)		8.659	%		3/31/28		4,078,239	$	3,676,798	(c)(i)(j)
Household Products - 0.1%
Energizer Holdings Inc., Term Loan (1 mo. Term SOFR + 2.364%)		7.116	%		12/22/27		2,382,267		2,368,867	(c)(i)(j)
TOTAL CONSUMER STAPLES									6,045,665
FINANCIALS - 1.9%
Capital Markets - 0.5%
Allspring Buyer LLC, Term Loan (3 mo. USD LIBOR + 3.000%)		8.188	%		11/1/28		3,527,696		3,523,287	(c)(i)(j)
First Eagle Holdings Inc., 2018 Refinancing Term Loan B (3 mo. USD LIBOR + 2.500%)		7.659	%		2/1/27		2,110,480		2,053,771	(c)(i)(j)
Focus Financial Partners LLC, Term Loan B5 (1 mo. Term SOFR + 3.250%)		8.057	%		6/30/28		7,641,612		7,583,230	(c)(i)(j)
Total Capital Markets									13,160,288
Consumer Finance - 0.1%
Trans Union LLC, Term Loan B5 (1 mo. USD LIBOR + 1.750%)		6.590	%		11/16/26		2,982,421		2,966,450	(c)(i)(j)
Financial Services - 0.9%
Citadel Securities LP, 2021 Term Loan (1 mo. Term SOFR + 2.614%)		7.422	%		2/2/28		8,140,012		8,079,817	(c)(i)(j)
Deerfield Dakota Holding LLC, First Lien Initial Dollar Term Loan (1 mo. Term SOFR + 3.750%)		8.557	%		4/9/27		6,119,794		5,941,311	(c)(i)(j)
Setanta Aircraft Leasing DAC, Term Loan (3 mo. USD LIBOR + 2.000%)		7.159	%		11/5/28		5,000,000		5,005,625	(c)(i)(j)
VFH Parent LLC, Initial Term Loan (1 mo. Term SOFR + 3.100%)		7.859	%		1/13/29		5,445,000		5,267,193	(c)(i)(j)
Total Financial Services									24,293,946
Insurance - 0.4%
AmWINS Group Inc., 2023 Incremental Term Loan (1 mo. Term SOFR + 2.850%)		7.657	%		2/19/28		1,236,900		1,233,424	(c)(i)(j)
AmWINS Group Inc., Term Loan (1 mo. USD LIBOR + 2.250%)		7.090	%		2/19/28		127,127		125,812	(c)(i)(j)
Asurion LLC, New Term Loan B8 (1 mo. USD LIBOR + 3.250%)		8.090	%		12/23/26		5,990,972		5,573,761	(c)(i)(j)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         17

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Insurance - (continued)
Asurion LLC, New Term Loan B9 (1 mo. USD LIBOR + 3.250%)		8.090	%		7/31/27		3,036,853	$	2,793,905	(c)(i)(j)
Asurion LLC, Term Loan B11 (1 mo. Term SOFR + 4.250%)		9.057	%		8/21/28		627,060		583,165	(c)(i)(j)
Total Insurance									10,310,067
TOTAL FINANCIALS									50,730,751
HEALTH CARE - 2.4%
Health Care Equipment & Supplies - 0.1%
Medline Borrower LP, Initial Dollar Term Loan (1 mo. USD LIBOR + 3.250%)		8.090	%		10/23/28		3,819,676		3,729,264	(c)(i)(j)
Health Care Providers & Services - 1.2%
EyeCare Partners LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 3.750%)		8.590	%		2/18/27		2,582,615		2,119,901	(c)(i)(j)
Global Medical Response Inc., 2020 Term Loan (3 mo. USD LIBOR + 4.250%)		9.236	%		10/2/25		4,764,818		3,375,087	(c)(i)(j)
Grifols Worldwide Operations USA Inc., Dollar Term Loan B (1 mo. USD LIBOR + 2.000%)		6.840	%		11/15/27		5,187,618		5,091,439	(c)(i)(j)
Phoenix Guarantor Inc., Term Loan B1 (1 mo. USD LIBOR + 3.250%)		8.090	%		3/5/26		6,926,982		6,762,466	(c)(i)(j)
Phoenix Guarantor Inc., Term Loan B3 (1 mo. USD LIBOR + 3.500%)		8.340	%		3/5/26		2,006,165		1,962,421	(c)(i)(j)
Sotera Health Holdings LLC, Term Loan (3 mo. USD LIBOR + 2.750%)		7.575	%		12/11/26		11,800,000		11,409,125	(c)(i)(j)
Total Health Care Providers & Services									30,720,439
Health Care Technology - 0.4%
AthenaHealth Group Inc., Initial Delayed Draw Term Loan		—			2/15/29		1,373,002		1,288,905	(k)
AthenaHealth Group Inc., Initial Term Loan (1 mo. Term SOFR + 3.500%)		8.259	%		2/15/29		11,176,456		10,491,898	(c)(i)(j)
Total Health Care Technology									11,780,803
Life Sciences Tools & Services - 0.3%
ICON Luxembourg Sarl, Term Loan (3 mo. Term SOFR + 2.512%)		7.410	%		7/3/28		6,309,858		6,302,413	(c)(i)(j)
PRA Health Sciences Inc., Term Loan (3 mo. USD LIBOR + 2.250%)		7.000	%		7/3/28		1,671,575		1,669,602	(c)(i)(j)
Total Life Sciences Tools & Services									7,972,015

See Notes to Schedule of Investments.

    18     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - 0.4%
Gainwell Acquisition Corp., Term Loan B (3 mo. USD LIBOR + 4.000%)		8.998	%		10/1/27		6,912,771	$	6,618,979	(c)(i)(j)
Jazz Financing Lux Sarl, Initial Dollar Term Loan (1 mo. USD LIBOR + 3.500%)		8.340	%		5/5/28		4,290,455		4,279,278	(c)(i)(j)
Total Pharmaceuticals									10,898,257
TOTAL HEALTH CARE									65,100,778
INDUSTRIALS - 2.5%
Aerospace & Defense - 0.1%
Avolon TLB Borrower 1 (US) LLC, Term Loan B5 (1 mo. USD LIBOR + 2.250%)		7.011	%		12/1/27		1,396,827		1,400,026	(c)(i)(j)
Building Products - 0.7%
Hunter Douglas Holding BV, Term Loan B1 (3 mo. Term SOFR + 3.500%)		8.373	%		2/26/29		16,353,716		14,765,116	(c)(i)(j)
Quikrete Holdings Inc., Fourth Amendment Term Loan B1 (1 mo. USD LIBOR + 3.000%)		7.840	%		3/19/29		4,104,934		4,063,166	(c)(i)(j)
Total Building Products									18,828,282
Commercial Services & Supplies - 1.1%
Ali Group North America Co., Initial Term Loan B (1 mo. Term SOFR + 2.114%)		6.922	%		7/30/29		3,320,253		3,277,920	(c)(i)(j)
Allied Universal Holdco LLC, USD Term Loan (1 mo. Term SOFR + 3.850%)		8.657	%		5/12/28		9,724,399		9,249,508	(c)(i)(j)
APi Group DE Inc., Initial Term Loan (1 mo. USD LIBOR + 2.500%)		7.340	%		10/1/26		3,934,392		3,936,851	(c)(i)(j)
Garda World Security Corp., Term Loan B2 (1 mo. Term SOFR + 4.350%)		9.109	%		10/30/26		2,964,367		2,940,296	(c)(i)(j)
GFL Environmental Inc., 2023 Refinancing Term Loan (1 mo. Term SOFR + 3.100%)		7.907	%		5/31/27		5,828,886		5,840,864	(c)(i)(j)
Verscend Holding Corp., New Term Loan B (1 mo. USD LIBOR + 4.000%)		8.840	%		8/27/25		4,174,366		4,175,681	(c)(i)(j)
Total Commercial Services & Supplies									29,421,120
Construction & Engineering - 0.1%
Brown Group Holding LLC, Initial Term Loan (1 mo. Term SOFR + 2.600%)		7.407	%		6/7/28		3,023,051		3,001,013	(c)(i)(j)
Ground Transportation - 0.2%
Genesee & Wyoming Inc., Initial Term Loan (3 mo. Term SOFR + 2.100%)		6.998	%		12/30/26		5,261,578		5,235,270	(c)(i)(j)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         19

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE			FACE AMOUNT†		VALUE
Passenger Airlines - 0.3%
Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 3.750%)		8.558	%		10/20/27			1,814,500	$	1,883,460	(c)(i)(j)
United Airlines Inc., Term Loan B (3 mo. USD LIBOR + 3.750%)		8.568	%		4/21/28			5,809,505		5,781,184	(c)(i)(j)
Total Passenger Airlines										7,664,644
Trading Companies & Distributors - 0.0%††
Delos Finance SARL, 2018 Term Loan (3 mo. USD LIBOR + 1.750%)		6.909	%		10/6/23			275,000		275,230	(c)(i)(j)
TOTAL INDUSTRIALS										65,825,585
INFORMATION TECHNOLOGY - 1.3%
Communications Equipment - 0.1%
CommScope Inc., Initial Term Loan (1 mo. USD LIBOR + 3.250%)		8.090	%		4/6/26			3,675,729		3,545,351	(c)(i)(j)
Electronic Equipment, Instruments & Components - 0.3%
II-VI Inc., Term Loan B (1 mo. Term SOFR + 2.864%)		7.672	%		7/2/29			6,850,938		6,799,556	(c)(i)(j)
Software - 0.9%
DCert Buyer Inc., First Lien Initial Term Loan (3 mo. Term SOFR + 4.000%)		8.696	%		10/16/26			6,643,478		6,519,976	(c)(i)(j)
Magenta Buyer LLC, First Lien Initial Term Loan (3 mo. USD LIBOR + 4.750%)		9.580	%		7/27/28			11,144,628		9,230,148	(c)(i)(j)
Peraton Corp., First Lien Term Loan B (1 mo. USD LIBOR + 3.750%)		8.590	%		2/1/28			8,030,253		7,946,618	(c)(i)(j)
Total Software										23,696,742
TOTAL INFORMATION TECHNOLOGY										34,041,649
MATERIALS - 0.1%
Paper & Forest Products - 0.1%						��
Asplundh Tree Expert LLC, 2021 Refinancing Term Loan (1 mo. USD LIBOR + 1.750%)		6.590	%		9/7/27			2,140,028		2,132,003	(c)(i)(j)
TOTAL SENIOR LOANS (Cost - $317,474,782)										305,838,293
U.S. TREASURY INFLATION PROTECTED SECURITIES - 4.2%
U.S. Treasury Notes, Inflation Indexed (Cost - $112,694,567)		1.125	%		1/15/33			113,490,420		113,298,078
ASSET-BACKED SECURITIES - 3.2%
Accredited Mortgage Loan Trust, 2006-2 M1 (1 mo. USD LIBOR + 0.270%)		5.115	%		9/25/36			16,246,000		14,771,898	(c)
Bravo Mortgage Asset Trust, 2006-1A M1 (1 mo. USD LIBOR + 0.600%)		5.445	%		7/25/36			28,710,748		24,353,516	(a)(c)

See Notes to Schedule of Investments.

    20     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
ASSET-BACKED SECURITIES - (continued)
CIT Mortgage Loan Trust, 2007-1 1M1 (1 mo. USD LIBOR + 1.500%)		6.345	%		10/25/37		8,350,000	$	8,007,473	(a)(c)
Fremont Home Loan Trust, 2006-B 1A (1 mo. USD LIBOR + 0.300%)		5.145	%		8/25/36		15,008,800		6,317,513	(c)
GSAMP Trust, 2005-SEA1 M2 (1 mo. USD LIBOR + 1.350%)		6.195	%		1/25/35		3,174,168		3,155,024	(a)(c)
Home Equity Asset Trust, 2005-6 M5 (1 mo. USD LIBOR + 0.945%)		5.790	%		12/25/35		2,980,000		2,746,939	(c)
JPMorgan Mortgage Acquisition Trust, 2007-CH4 M2 (1 mo. USD LIBOR + 0.240%)		5.085	%		5/25/37		12,625,000		11,228,600	(c)
KREF Ltd., 2021-FL2 D (1 mo. USD LIBOR + 2.200%)		6.909	%		2/15/39		3,130,000		2,899,351	(a)(c)
Morgan Stanley ABS Capital Inc. Trust, 2004-HE7 M1 (1 mo. USD LIBOR + 0.900%)		5.745	%		8/25/34		5,715,376		5,328,050	(c)
RAMP Trust, 2006-RZ3 M1 (1 mo. USD LIBOR + 0.350%)		5.195	%		8/25/36		6,524,078		6,287,978	(c)
TOTAL ASSET-BACKED SECURITIES (Cost - $92,581,040)									85,096,342
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 1.1%
U.S. Government Obligations - 1.1%
U.S. Treasury Bonds		4.000	%		11/15/42		22,590,000		23,211,225
U.S. Treasury Bonds		3.750	%		11/15/43		4,420,000		4,369,498	(l)(m)
U.S. Treasury Bonds		3.000	%		8/15/52		2,310,000		2,029,912
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $29,667,105)									29,610,635
	EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†
PURCHASED OPTIONS - 0.2%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.2%
SOFR 1-Year Mid-Curve Futures, Put @ $95.875		12/15/23			1,788		4,470,000		916,350
SOFR 1-Year Mid-Curve Futures, Put @ $96.000		12/15/23			4,189		10,472,500		2,513,400
U.S. Treasury 5-Year Notes Futures, Call @ $109.500		4/7/23			353		353,000		162,711
U.S. Treasury 5-Year Notes Futures, Call @ $109.500		4/21/23			351		351,000		249,539
U.S. Treasury 5-Year Notes Futures, Call @ $110.250		4/21/23			234		234,000		106,031
U.S. Treasury 5-Year Notes Futures, Call @ $111.000		4/21/23			468		468,000		135,281

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         21

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
EXCHANGE-TRADED PURCHASED OPTIONS - (continued)
U.S. Treasury 5-Year Notes Futures, Call @ $112.500		4/21/23			232		232,000	$	27,188
U.S. Treasury 6 to 7-Year Notes Futures, Call @ $114.750		4/7/23			665		665,000		446,797
U.S. Treasury 6 to 7-Year Notes Futures, Put @ $114.250		4/7/23			352		352,000		104,500
U.S. Treasury 6 to 7-Year Notes Futures, Put @ $114.500		4/7/23			273		273,000		102,375
U.S. Treasury 10-Year Notes Futures, Call @ $114.750		4/21/23			78		78,000		79,219
U.S. Treasury 10-Year Notes Futures, Call @ $116.750		4/21/23			156		156,000		58,500
U.S. Treasury 10-Year Notes Futures, Call @ $119.000		4/21/23			155		155,000		19,375
U.S. Treasury 10-Year Notes Futures, Put @ $114.500		4/21/23			78		78,000		56,063
U.S. Treasury Long-Term Bonds Futures, Call @ $130.000		4/7/23			117		117,000		193,781
U.S. Treasury Long-Term Bonds Futures, Call @ $130.500		4/7/23			117		117,000		157,219
U.S. Treasury Long-Term Bonds Futures, Call @ $130.500		4/21/23			39		39,000		79,219
U.S. Treasury Long-Term Bonds Futures, Call @ $134.000		4/21/23			117		117,000		84,094
U.S. Treasury Long-Term Bonds Futures, Call @ $137.000		4/21/23			77		77,000		21,656
TOTAL PURCHASED OPTIONS (Cost - $8,061,794)									5,513,298
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $2,898,635,597)									2,634,444,788
	RATE					SHARES
SHORT-TERM INVESTMENTS - 10.3%
BNY Mellon Cash Reserve Fund (Cost - $278,179,776)		2.200	%				278,179,776		278,179,776	(n)
TOTAL INVESTMENTS - 108.1% (Cost - $3,176,815,373)									2,912,624,564
Liabilities in Excess of Other Assets - (8.1)%									(217,429,029	)
TOTAL NET ASSETS - 100.0%								$	2,695,195,535

See Notes to Schedule of Investments.

    22     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

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

†† Represents less than 0.1%.

* Non-income producing security.

(a) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(b) Security has no maturity date. The date shown represents the next call date.

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

(d) 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.

(e) The coupon payment on this security is currently in default as of March 31, 2023.

(f) 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.

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

(h) This security is traded on a to-be-announced (“TBA”) basis. At March 31, 2023, the Fund held TBA securities with a total cost of $425,461,544.

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

(j) 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.

(k) All or a portion of this loan is unfunded as of March 31, 2023. The interest rate for fully unfunded term loans is to be determined. At March 31, 2023, the total principal amount and market value of unfunded commitments totaled $1,373,002 and $1,288,905, respectively.

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

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

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

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         23

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

Abbreviation(s) used in this schedule:
BRL	— Brazilian Real
CAS	— Connecticut Avenue Securities
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)
REMIC	— Real Estate Mortgage Investment Conduit
Re-REMIC	— Resecuritization of Real Estate Mortgage Investment Conduit
RUB	— Russian Ruble
SOFR	— Secured Overnight Financing Rate
USD	— United States Dollar

At March 31, 2023, the Fund had the following written options contracts:

EXCHANGE-TRADED WRITTEN OPTIONS

SECURITY	EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†			VALUE
Australian Dollar Futures, Put		4/6/23	$	69.000			111		111,000		$	(222,000	)
Euro-Bund Futures, Call		4/21/23		136.500	EUR		108		10,800,000	EUR		(134,695	)
Euro-Bund Futures, Call		4/21/23		137.000	EUR		161		16,100,000	EUR		(167,620	)
Euro-Bund Futures, Put		4/21/23		134.000	EUR		378		37,800,000	EUR		(286,959	)
Euro-Bund Futures, Put		4/21/23		138.000	EUR		107		10,700,000	EUR		(327,237	)
SOFR 1-Year Mid-Curve Futures, Put		12/15/23		95.250			3,576		8,940,000			(782,250	)
SOFR 1-Year Mid-Curve Futures, Put		12/15/23		95.375			8,378		20,945,000			(2,199,225	)
U.S. Treasury 5-Year Notes Futures, Call		4/21/23		107.000			735		735,000			(1,866,211	)
U.S. Treasury 5-Year Notes Futures, Call		4/21/23		107.500			816		816,000			(1,695,750	)
U.S. Treasury 5-Year Notes Futures, Call		4/21/23		109.000			725		725,000			(696,680	)
U.S. Treasury 5-Year Notes Futures, Call		4/21/23		109.750			466		466,000			(287,610	)
U.S. Treasury 5-Year Notes Futures, Call		4/21/23		110.000			4,276		4,276,000			(2,271,625	)
U.S. Treasury 5-Year Notes Futures, Put		4/21/23		106.500			1,655		1,655,000			(38,790	)
U.S. Treasury 5-Year Notes Futures, Put		4/21/23		107.000			1,008		1,008,000			(39,376	)

See Notes to Schedule of Investments.

    24     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

SECURITY	EXPIRATION DATE		STRIKE PRICE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Treasury 5-Year Notes Futures, Put		4/21/23	$	107.750		1,248		1,248,000	$	(136,500	)
U.S. Treasury 5-Year Notes Futures, Put		4/21/23		108.000		310		310,000		(46,016	)
U.S. Treasury 5-Year Notes Futures, Put		4/21/23		108.500		5,059		5,059,000		(1,343,797	)
U.S. Treasury 5-Year Notes Futures, Put		4/21/23		109.000		2,333		2,333,000		(1,057,141	)
U.S. Treasury 5-Year Notes Futures, Put		4/21/23		109.250		770		770,000		(439,141	)
U.S. Treasury 5-Year Notes Futures, Put		4/21/23		110.000		927		927,000		(948,727	)
U.S. Treasury 6 to 7-Year Notes Futures, Call		4/7/23		115.000		741		741,000		(405,234	)
U.S. Treasury 6 to 7-Year Notes Futures, Call		4/7/23		115.750		311		311,000		(87,469	)
U.S. Treasury 6 to 7-Year Notes Futures, Put		4/7/23		113.500		348		348,000		(38,063	)
U.S. Treasury 6 to 7-Year Notes Futures, Put		4/7/23		114.000		619		619,000		(135,406	)
U.S. Treasury 10-Year Notes Futures, Call		4/21/23		114.000		1,339		1,339,000		(1,924,812	)
U.S. Treasury 10-Year Notes Futures, Call		4/21/23		115.000		854		854,000		(773,937	)
U.S. Treasury 10-Year Notes Futures, Call		4/21/23		115.500		1,576		1,576,000		(1,108,125	)
U.S. Treasury 10-Year Notes Futures, Call		4/21/23		116.000		1,397		1,397,000		(763,984	)
U.S. Treasury 10-Year Notes Futures, Call		4/21/23		117.000		232		232,000		(76,125	)
U.S. Treasury 10-Year Notes Futures, Call		5/26/23		115.000		320		320,000		(460,000	)
U.S. Treasury 10-Year Notes Futures, Put		4/21/23		111.500		12		12,000		(938	)
U.S. Treasury 10-Year Notes Futures, Put		4/21/23		112.500		806		806,000		(125,937	)
U.S. Treasury 10-Year Notes Futures, Put		4/21/23		113.000		1,085		1,085,000		(271,250	)
U.S. Treasury 10-Year Notes Futures, Put		4/21/23		114.000		4,418		4,418,000		(2,278,031	)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         25

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

SECURITY	EXPIRATION DATE		STRIKE PRICE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Treasury 10-Year Notes Futures, Put		4/21/23	$	115.000		314		314,000	$	(309,094	)
U.S. Treasury 10-Year Notes Futures, Put		4/21/23		117.000		464		464,000		(1,116,500	)
U.S. Treasury Long-Term Bonds Futures, Call		4/7/23		131.000		78		78,000		(82,875	)
U.S. Treasury Long-Term Bonds Futures, Call		4/21/23		132.000		39		39,000		(51,797	)
U.S. Treasury Long-Term Bonds Futures, Call		4/21/23		132.500		39		39,000		(44,484	)
U.S. Treasury Long-Term Bonds Futures, Call		4/21/23		133.000		116		116,000		(114,188	)
U.S. Treasury Long-Term Bonds Futures, Put		4/7/23		130.000		82		82,000		(41,000	)
U.S. Treasury Long-Term Bonds Futures, Put		4/21/23		129.000		156		156,000		(124,313	)
U.S. Treasury Long-Term Bonds Futures, Put		4/21/23		130.000		470		470,000		(543,437	)
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $29,017,504)									$	(25,864,349	)

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

Abbreviation(s) used in this schedule:

EUR	— Euro
SOFR	— Secured Overnight Financing Rate

At March 31, 2023, the Fund had the following open futures contracts:

	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (depreciation)
Contracts to Buy:
30-Day Federal Funds		1,865		5/23	$	739,729,488	$	739,725,944	$	(3,544	)
3-Month SOFR		755		12/23		179,798,418		180,058,063		259,645
3-Month SOFR		10		9/23		2,411,521		2,378,125		(33,396	)
3-Month SOFR		1,052		3/26		253,494,001		255,280,950		1,786,949
Australian 10-Year Bonds		1,371		6/23		108,997,169		112,618,648		3,621,479
Australian Dollar		3,858		6/23		260,130,945		258,524,580		(1,606,365	)
British Pound		991		6/23		74,530,882		76,523,781		1,992,899
Euro		638		6/23		84,759,576		86,955,413		2,195,837

See Notes to Schedule of Investments.

    26     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (depreciation)
Contracts to Buy (continued)
Euro-Bobl		752		6/23	$	93,959,564	$	96,136,327	$	2,176,763
Euro-OAT		576		6/23		78,559,500		81,351,035		2,791,535
Japanese Yen		2,936		6/23		272,256,515		279,745,750		7,489,235
Mexican Peso		2,346		6/23		63,484,071		64,127,910		643,839
U.S. Treasury 5-Year Notes		10,875		6/23		1,192,230,696		1,190,897,434		(1,333,262	)
U.S. Treasury Long- Term Bonds		2,796		6/23		365,327,499		366,712,875		1,385,376
U.S. Treasury Ultra Long-Term Bonds		7,745		6/23		1,055,165,346		1,093,013,125		37,847,779
United Kingdom Long Gilt Bonds		751		6/23		93,063,939		95,746,913		2,682,974
										61,897,743
Contracts to Sell:
3-Month SOFR		10,687		3/24		2,556,209,032		2,556,864,750		(655,718	)
3-Month SOFR		4,144		3/25		996,444,548		1,003,625,000		(7,180,452	)
Canadian Dollar		156		6/23		11,329,865		11,542,440		(212,575	)
Euro-Bund		407		6/23		59,848,930		59,958,621		(109,691	)
Euro-Buxl		261		6/23		37,670,549		39,871,057		(2,200,508	)
Japanese 10-Year Bonds		165		6/23		180,766,168		184,069,290		(3,303,122	)
U.S. Treasury 2-Year Notes		10,238		6/23		2,101,227,626		2,113,667,104		(12,439,478	)
U.S. Treasury 10-Year Notes		11,331		6/23		1,287,622,739		1,302,179,822		(14,557,083	)
U.S. Treasury Ultra 10-Year Notes		1,985		6/23		232,325,974		240,464,151		(8,138,177	)
										(48,796,804	)
Net unrealized appreciation on open futures contracts									$	13,100,939

Abbreviation(s) used in this table:

Bobl	— Bundesobligation (Medium-term German Federal Government Bond)
Buxl	— Ultra Long German Bond
OAT	— Obligations Assimilables du Trésor (French Treasury Bonds)
SOFR	— Secured Overnight Financing Rate

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         27

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

At March 31, 2023, the Fund had the following open forward foreign currency contracts:

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	4,504,501		USD	4,875,766	BNP Paribas SA		4/18/23	$	14,263
EUR	5,800,000		USD	6,333,890	BNP Paribas SA		4/18/23		(37,483	)
EUR	5,900,000		USD	6,416,663	BNP Paribas SA		4/18/23		(11,698	)
EUR	19,450,000		USD	21,091,035	BNP Paribas SA		4/18/23		23,639
USD	1,076,155		EUR	1,000,000	BNP Paribas SA		4/18/23		(9,432	)
USD	3,051,085		EUR	2,850,000	BNP Paribas SA		4/18/23		(42,839	)
USD	4,611,083		EUR	4,330,000	BNP Paribas SA		4/18/23		(89,511	)
JPY	311,779,204		USD	2,302,434	Goldman Sachs Group Inc.		4/18/23		52,477
JPY	1,669,700,000		USD	12,352,319	Goldman Sachs Group Inc.		4/18/23		259,151
JPY	1,670,940,000		USD	12,352,537	Goldman Sachs Group Inc.		4/18/23		268,299
JPY	1,672,540,000		USD	12,351,764	Goldman Sachs Group Inc.		4/18/23		281,157
JPY	1,673,690,000		USD	12,351,500	Goldman Sachs Group Inc.		4/18/23		290,107
MXN	827,370,461		USD	41,799,053	Goldman Sachs Group Inc.		4/18/23		3,953,290
USD	2,976,764		EUR	2,800,000	Goldman Sachs Group Inc.		4/18/23		(62,881	)
USD	427,390		JPY	56,100,000	Goldman Sachs Group Inc.		4/18/23		3,659
USD	1,272,289		JPY	168,000,000	Goldman Sachs Group Inc.		4/18/23		3,362
USD	25,977,902		JPY	3,444,718,015	Goldman Sachs Group Inc.		4/18/23		(40,520	)
USD	69,263,074		JPY	9,058,571,159	Goldman Sachs Group Inc.		4/18/23		842,461
USD	6,450,572		MXN	120,000,000	Goldman Sachs Group Inc.		4/18/23		(185,247	)
USD	30,718,296		MXN	585,051,050	Goldman Sachs Group Inc.		4/18/23		(1,634,148	)
ZAR	284,980,000		USD	16,637,767	Goldman Sachs Group Inc.		4/18/23		(657,600	)
CAD	368,935,178		USD	276,242,131	JPMorgan Chase & Co.		4/18/23		(3,190,179	)
CNH	621,042,444		USD	91,683,020	JPMorgan Chase & Co.		4/18/23		(1,195,707	)
INR	1,625,339,626		USD	19,514,223	JPMorgan Chase & Co.		4/18/23		239,905
USD	32,781,911		CAD	44,156,415	JPMorgan Chase & Co.		4/18/23		101,386
USD	32,990,601		CAD	44,240,000	JPMorgan Chase & Co.		4/18/23		248,214
USD	98,584,706		CNH	674,797,523	JPMorgan Chase & Co.		4/18/23		265,154
USD	84,021,281		CNY	576,343,979	JPMorgan Chase & Co.		4/18/23		23,956
USD	24,059,945		IDR	375,966,717,624	JPMorgan Chase & Co.		4/18/23		(1,001,070	)
AUD	73,895,636		USD	51,524,693	Morgan Stanley & Co. Inc.		4/18/23		(2,097,343	)
NOK	644,050,549		EUR	60,635,926	Morgan Stanley & Co. Inc.		4/18/23		(4,258,913	)
USD	75,953,536		GBP	62,183,091	Morgan Stanley & Co. Inc.		4/18/23		(784,224	)
Net unrealized depreciation on open forward foreign currency contracts								$	(8,428,315	)

See Notes to Schedule of Investments.

    28     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

Abbreviation(s) used in this table:

AUD	— Australian Dollar
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
NOK	— Norwegian Krone
USD	— United States Dollar
ZAR	— South African Rand

At March 31, 2023, the Fund had the following open swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAPS
	NOTIONAL AMOUNT*			TERMINATION DATE		PAYMENTS MADE BY THE FUND†	PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
		452,327,000			8/15/28	1.130% annually	Daily SOFR Compound annually	$	48,938,612		$	2,267,946		$	46,670,666
		719,995,000			2/15/29	2.850% annually	Daily SOFR Compound annually		17,642,187			15,914,583			1,727,604
		141,813,000			4/30/29	3.270% annually	Daily SOFR Compound annually		224,707			(1,608,482	)		1,833,189
		193,808,000			6/30/29	3.850% annually	Daily SOFR Compound annually		(6,087,970	)		192,434			(6,280,404	)
		1,482,510,000	MXN		7/18/29	28-Day MXN TIIE - Banxico every 28 days	7.450% every 28 days		(3,987,241	)		402,328			(4,389,569	)
		1,560,270,000	MXN		7/20/29	28-Day MXN TIIE - Banxico every 28 days	7.440% every 28 days		(4,241,627	)		513,450			(4,755,077	)
		138,082,000			9/30/29	3.250% annually	Daily SOFR Compound annually		177,500			60,904			116,596

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         29

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

CENTRALLY CLEARED INTEREST RATE SWAPS (cont’d)
	NOTIONAL AMOUNT*		TERMINATION DATE		PAYMENTS MADE BY THE FUND†	PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE		UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
		80,113,000		3/18/32	2.000% annually	Daily SOFR Compound annually	$	7,465,999	$	649,374		$	6,816,625
		213,837,000		2/15/47	1.520% annually	Daily SOFR Compound annually		55,855,009		(5,342,490	)		61,197,499
		13,280,000		2/15/47	1.729% annually	Daily SOFR Compound annually		3,006,030		-			3,006,030
		56,426,000		8/15/47	1.650% annually	Daily SOFR Compound annually		13,608,699		5,672,650			7,936,049
		70,733,000		2/15/48	2.600% annually	Daily SOFR Compound annually		5,629,834		4,862,040			767,794
		28,722,000		2/15/48	2.620% annually	Daily SOFR Compound annually		2,187,399		32,741			2,154,658
		53,810,000		2/15/48	3.050% annually	Daily SOFR Compound annually		123,863		1,658,769			(1,534,906	)
		67,210,000		4/21/52	2.500% annually	Daily SOFR Compound annually		6,175,749		114,960			6,060,789
Total							$	146,718,750	$	25,391,207		$	121,327,543

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		IMPLIED CREDIT SPREAD AT MARCH 31, 20233		PERIODIC PAYMENTS RECEIVED BY THE FUND†		MARKET VALUE			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION
Apache Corp., 4.875%, due 11/15/27	$	9,404,000		6/20/26		1.287%		1.000% quarterly	$	(80,370	)	$	(304,781	)	$	224,411
Apache Corp., 4.875%, due 11/15/27		26,989,000		12/20/26		1.470%		1.000% quarterly		(429,527	)		(604,031	)		174,504
Total	$	36,393,000							$	(509,897	)	$	(908,812	)	$	398,915

See Notes to Schedule of Investments.

    30     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

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 APPRECIATION
Markit CDX.NA.IG.40 Index	$	1,218,711,000		6/20/28	1.000% quarterly	$	13,938,565	$	9,075,346	$	4,863,219

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION5
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		PERIODIC PAYMENTS MADE BY THE FUND†	MARKET VALUE4			UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED DEPRECIATION
Markit CDX.NA.HY.40 Index	$	132,949,800		6/20/28	5.000% quarterly	$	(1,996,431	)	$	402,346	$	(2,398,777	)

OTC TOTAL RETURN SWAPS
SWAP COUNTERPARTY	NOTIONAL AMOUNT		TERMINATION DATE		PERIODIC PAYMENTS MADE BY THE FUND‡	PERIODIC PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE			UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED DEPRECIATION
U.S. Treasury JPMorgan Chase & Co.	$	55,560,000		8/21/23	Daily SOFR Compound + 0.100%**	U.S. Treasury Bonds, 2.375%, due 5/15/51**	$	(4,602,053	)		—	$	(4,602,053	)

See Notes to Schedule of Investments.

Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report         31

WESTERN ASSET SMASH SERIES CORE PLUS COMPLETION FUND

Schedule of investments (unaudited) (cont’d) March 31, 2023

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.

⁵  If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index.

† Percentage shown is an annual percentage rate.

‡ Periodic payments made/received by the Fund are based on the total return of the referenced entity.

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

** One time payment made at termination date.

Abbreviation(s) used in this table:

MXN	— Mexican Peso
SOFR	— Secured Overnight Financing Rate
TIIE	— Tasa de Intere’s Interbancaria de Equilibrio (Equilibrium Interbanking Interest Rate)

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

See Notes to Schedule of Investments.

    32     Western Asset SMASh Series Core Plus Completion Fund 2023 Quarterly Report

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. At a meeting held in September 2022, the Fund’s Board of Trustees approved changing the Fund’s fiscal year end from February 28th to December 31st. This change resulted in a short-period annual report for the ten-month period from February 28th to December 31st.

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 Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services –Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.

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

33

Notes to Schedule of Investments (unaudited) (continued)

service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

Pursuant to policies adopted by the Board of Trustees, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

34

Notes to Schedule of Investments (unaudited) (continued)

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

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

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

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

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

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

ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Long-Term Investments†:
Corporate Bonds & Notes		—	$	622,916,382		—	$	622,916,382
Sovereign Bonds		—		537,790,004		—		537,790,004
Collateralized Mortgage Obligations		—		472,896,923		—		472,896,923
Mortgage-Backed Securities		—		461,484,833		—		461,484,833
Senior Loans		—		305,838,293		—		305,838,293
U.S. Treasury Inflation Protected Securities		—		113,298,078		—		113,298,078
Asset-Backed Securities		—		85,096,342		—		85,096,342
U.S. Government & Agency Obligations		—		29,610,635		—		29,610,635
Purchased Options	$	5,513,298		—		—		5,513,298
Total Long-Term Investments		5,513,298		2,628,931,490		—		2,634,444,788
Short-Term Investments†		—		278,179,776		—		278,179,776
Total Investments	$	5,513,298	$	2,907,111,266		—	$	2,912,624,564

35

Notes to Schedule of Investments (unaudited) (continued)

ASSETS (cont’d)
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3)		TOTAL
Other Financial Instruments:
Futures Contracts††	$	64,874,310		—		—	$	64,874,310
Forward Foreign Currency Contracts††		—	$	6,870,480		—		6,870,480
Centrally Cleared Interest Rate Swaps††		—		138,287,499		—		138,287,499
Centrally Cleared Credit Default Swaps on Corporate Issues - Sell Protection††		—		398,915		—		398,915
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection††		—		4,863,219		—		4,863,219
Total Other Financial Instruments	$	64,874,310	$	150,420,113		—	$	215,294,423
Total	$	70,387,608	$	3,057,531,379		—	$	3,127,918,987

LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3)		TOTAL
Other Financial Instruments:
Written Options	$	25,864,349		—		—	$	25,864,349
Futures Contracts††		51,773,371		—		—		51,773,371
Forward Foreign Currency Contracts††		—	$	15,298,795		—		15,298,795
Centrally Cleared Interest Rate Swaps††		—		16,959,956		—		16,959,956
Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection††		—		2,398,777		—		2,398,777
OTC Total Return Swaps‡		—		4,602,053		—		4,602,053
Total	$	77,637,720	$	39,259,581		—	$	116,897,301

† 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.

36