WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
| MUNICIPAL BONDS - 92.0% | ||||||||||||||||
Alabama - 2.3% | ||||||||||||||||
Alabama State Corrections Institution Finance Authority Revenue, Series A | 5.250 | % | 7/1/52 | $ | 400,000 | $ | 429,672 | |||||||||
Black Belt Energy Gas District, AL, Gas Project Revenue Bonds, Project #6, Series B | 4.000 | % | 12/1/26 | 80,000 | 79,136 | (a)(b) | ||||||||||
Hoover, AL, IDA Revenue, United States Steel Corp. Project, Series 2019 | 5.750 | % | 10/1/49 | 100,000 | 101,259 | (c) | ||||||||||
Jefferson County, AL, Sewer Revenue: | ||||||||||||||||
Convertible CAB, Subordinated Lien, Warrants, Step bond, Series F, Refunding (0.000% to 10/1/23 then 7.900%) | 0.000 | % | 10/1/50 | 470,000 | 486,622 | |||||||||||
Senior Lien, Warrants, Series A, Refunding, AGM | 5.500 | % | 10/1/53 | 75,000 | 76,735 | |||||||||||
Subordinated Lien, Warrants, Series D, Refunding | 6.000 | % | 10/1/42 | 105,000 | 110,780 | |||||||||||
Southeast Alabama Gas Supply District, Gas Supply Revenue, Project #2, Series A | 4.000 | % | 6/1/24 | 645,000 | 644,190 | (a)(b) | ||||||||||
|
| |||||||||||||||
Total Alabama | 1,928,394 | |||||||||||||||
|
| |||||||||||||||
Alaska - 0.8% | ||||||||||||||||
Alaska State Housing Finance Corp. Revenue, State Capital Project II, Series B | 5.000 | % | 12/1/37 | 75,000 | 80,549 | |||||||||||
Anchorage, AK, Port Revenue, Series A | 5.000 | % | 12/1/50 | 150,000 | 151,342 | (c) | ||||||||||
Northern Tobacco Securitization Corp., AK, Tobacco Settlement Revenue, Asset Backed Senior Bonds, Class 1, Series A, Refunding | 4.000 | % | 6/1/50 | 500,000 | 437,767 | |||||||||||
|
| |||||||||||||||
Total Alaska | 669,658 | |||||||||||||||
|
| |||||||||||||||
Arizona - 3.3% | ||||||||||||||||
Arizona State IDA, Education Revenue: | ||||||||||||||||
Academies Math & Science Project, Refunding, SD Credit Program | 5.000 | % | 7/1/37 | 45,000 | 45,931 | |||||||||||
Academies Math & Science Project, Refunding, SD Credit Program | 5.000 | % | 7/1/38 | 500,000 | 509,621 | |||||||||||
Academies Math & Science Project, Series S, Refunding, SD Credit Program | 5.000 | % | 7/1/47 | 50,000 | 50,312 | |||||||||||
Chandler, AZ, IDA Revenue, Intel Corp. Project | 5.000 | % | 6/3/24 | 500,000 | 503,312 | (a)(b)(c) | ||||||||||
Maricopa County, AZ, IDA, Legacy Traditional School Projects, Series A, SD Credit Program | 4.000 | % | 7/1/34 | 400,000 | 397,145 | |||||||||||
Phoenix, AZ, IDA, Great Hearts Academies, Refunding | 5.000 | % | 7/1/36 | 75,000 | 75,464 | |||||||||||
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
1 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Arizona - (continued) | ||||||||||||||||
Queen Creek, AZ, Excise Tax & State Shared Revenue, Series A | 5.000 | % | 8/1/47 | $ | 585,000 | $ | 621,599 | |||||||||
Salt Verde, AZ, Financial Corp., Natural Gas Revenue, Series 2007 | 5.000 | % | 12/1/32 | 495,000 | 516,726 | |||||||||||
|
| |||||||||||||||
Total Arizona | 2,720,110 | |||||||||||||||
|
| |||||||||||||||
Arkansas - 0.2% | ||||||||||||||||
Arkansas State Development Finance Authority Revenue, United States Steel Corporation Project, Green Bonds | 5.700 | % | 5/1/53 | 200,000 | 201,000 | (c) | ||||||||||
|
| |||||||||||||||
California - 10.1% | ||||||||||||||||
Alameda, CA, Corridor Transportation Authority Revenue: | ||||||||||||||||
Second Subordinated Lien, Series B, Refunding | 5.000 | % | 10/1/34 | 50,000 | 51,507 | |||||||||||
Second Subordinated Lien, Series B, Refunding | 5.000 | % | 10/1/36 | 50,000 | 51,162 | |||||||||||
Second Subordinated Lien, Series B, Refunding | 5.000 | % | 10/1/37 | 200,000 | 203,820 | |||||||||||
Bay Area Toll Authority, CA, Toll Bridge Revenue, San Francisco Bay Area, Series B-1 (SIFMA Municipal Swap Index Yield + 1.100%) | 4.510 | % | 4/1/24 | 160,000 | 160,306 | (a)(b) | ||||||||||
California State Community Choice Financing Authority Revenue: | ||||||||||||||||
Clean Energy Project, Green Bonds, Series A-1 | 4.000 | % | 8/1/28 | 200,000 | 199,540 | (a)(b) | ||||||||||
Clean Energy Project, Green Bonds, Series B-1 | 5.000 | % | 8/1/29 | 500,000 | 524,574 | (a)(b) | ||||||||||
California State MFA Revenue: | ||||||||||||||||
Senior Lien, LINXS APM Project, Series A | 5.000 | % | 12/31/34 | 100,000 | 104,114 | (c) | ||||||||||
Senior Lien, LINXS APM Project, Series A | 5.000 | % | 12/31/43 | 100,000 | 101,381 | (c) | ||||||||||
California State MFA Special Facility Revenue, United Airlines, Inc., Los Angeles International Airport Project | 4.000 | % | 7/15/29 | 75,000 | 73,095 | (c) | ||||||||||
California State, GO: | ||||||||||||||||
Various Purpose, Refunding | 4.000 | % | 11/1/36 | 15,000 | 15,352 | |||||||||||
Various Purpose, Refunding | 5.000 | % | 10/1/45 | 500,000 | 560,651 | |||||||||||
Various Purpose, Refunding | 4.000 | % | 10/1/50 | 500,000 | 492,780 | |||||||||||
California Statewide CDA, Student Housing Revenue, University of CA, Irvine Campus Apartments, Phase IV | 5.000 | % | 5/15/33 | 50,000 | 52,070 | |||||||||||
Eastern Municipal Water District Financing Authority, CA, Water & Wastewater Revenue, Series D | 5.000 | % | 7/1/47 | 50,000 | 52,909 | |||||||||||
See Notes to Schedule of Investments.
2 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
California - (continued) | ||||||||||||||||
Golden State, CA, Tobacco Securitization Corp., Tobacco Settlement Revenue, Senior Asset-Backed Bonds, Series A-1, Refunding | 5.000 | % | 6/1/51 | $ | 650,000 | $ | 677,382 | |||||||||
Long Beach, CA, Bond Finance Authority Revenue, Natural Gas Purchase, Series A | 5.500 | % | 11/15/37 | 50,000 | 53,976 | |||||||||||
Los Angeles, CA, Department of Airports Revenue: | ||||||||||||||||
Los Angeles International Airport, Subordinated, Series C | 5.000 | % | 5/15/44 | 415,000 | 426,394 | (c) | ||||||||||
Subordinated, Los Angeles International Airport, Series C | 5.000 | % | 5/15/37 | 95,000 | 98,687 | (c) | ||||||||||
Los Angeles, CA, Department of Water & Power Waterworks Revenue, Series A | 5.000 | % | 7/1/48 | 500,000 | 529,286 | |||||||||||
Los Angeles, CA, Wastewater System Revenue, Green Bonds, Subordinated, Series A | 5.000 | % | 6/1/48 | 100,000 | 106,206 | |||||||||||
M-S-R Energy Authority, CA, Natural Gas Revenue: | ||||||||||||||||
Series A | 6.125 | % | 11/1/29 | 45,000 | 47,968 | |||||||||||
Series B | 6.125 | % | 11/1/29 | 135,000 | 143,909 | |||||||||||
Northern California Energy Authority, Commodity Supply Revenue, Series A | 4.000 | % | 7/1/24 | 250,000 | 251,045 | (a)(b) | ||||||||||
Port of Oakland, CA, Intermediate Lien Revenue: | ||||||||||||||||
Series H, Refunding | 5.000 | % | 5/1/29 | 150,000 | 161,104 | (c) | ||||||||||
Series H, Refunding | 5.000 | % | 11/1/29 | 300,000 | 324,137 | (c) | ||||||||||
River Islands, CA, Public Financing Authority, Special Tax Revenue, Community Facilities District No. 2003-1, Series A-1, Refunding, AGM | 5.250 | % | 9/1/52 | 250,000 | 277,149 | |||||||||||
Riverside County, CA, Transportation Commission Sales Tax Revenue, Series B, Refunding | 5.000 | % | 6/1/37 | 100,000 | 107,642 | |||||||||||
Riverside, CA, Electric Revenue, Series A, Refunding | 5.000 | % | 10/1/48 | 100,000 | 107,186 | |||||||||||
Riverside, CA, Sewer Revenue, Series A, Refunding | 5.000 | % | 8/1/34 | 100,000 | 111,263 | |||||||||||
San Bernardino, CA, USD Revenue, COP, 2019 School Financing Project, AGM | 5.000 | % | 10/1/36 | 100,000 | 108,892 | |||||||||||
San Diego County, CA, Regional Transportation Commission, Sales Tax Revenue, Series A | 5.000 | % | 4/1/48 | 300,000 | 312,335 | |||||||||||
San Francisco, CA, City & County Airport Commission, International Airport Revenue: | ||||||||||||||||
Second Series A, Refunding | 5.000 | % | 5/1/47 | 400,000 | 406,395 | (c) | ||||||||||
SFO Fuel Co. LLC, Series A, Refunding | 5.000 | % | 1/1/33 | 100,000 | 107,228 | (c) | ||||||||||
San Mateo County, CA, Joint Powers Financing Authority, Lease Revenue, Capital Project, Series A | 5.000 | % | 7/15/43 | 50,000 | 53,654 | |||||||||||
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
3 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
California - (continued) | ||||||||||||||||
Sanger, CA, USD Revenue, COP, Capital Projects, Refunding, AGM | 5.000 | % | 6/1/52 | $ | 250,000 | $ | 250,014 | |||||||||
Southern California Water Replenishment District Financing Authority, Replenishment Revenue, Series 2018 | 5.000 | % | 8/1/48 | 500,000 | 536,574 | |||||||||||
Stockton, CA, PFA Parking Revenue, Refunding | 5.000 | % | 3/1/35 | 430,000 | 437,481 | |||||||||||
Tobacco Securitization Authority of Southern California Revenue, Asset Backed Refunding, San Diego County Tobacco Asset Securitization Corporation, Class 1, Series A | 5.000 | % | 6/1/48 | 100,000 | 103,643 | |||||||||||
|
| |||||||||||||||
Total California | 8,382,811 | |||||||||||||||
|
| |||||||||||||||
Colorado - 1.6% | ||||||||||||||||
Arvada, CO, Vauxmont Metropolitan District, GO, Refunding, AGM | 5.000 | % | 12/15/24 | 130,000 | 132,831 | |||||||||||
Colorado Springs, CO, Utilities System Revenue, Series B | 4.000 | % | 11/15/46 | 325,000 | 317,532 | |||||||||||
Colorado State Educational & Cultural Facilities Authority Revenue, University of Denver Project, Series A | 5.000 | % | 3/1/43 | 50,000 | 52,287 | |||||||||||
Colorado State Health Facilities Authority Revenue: | ||||||||||||||||
Commonspirit Health Project, Series A | 5.500 | % | 11/1/47 | 150,000 | 160,116 | |||||||||||
Commonspirit Health Project, Series A | 5.250 | % | 11/1/52 | 150,000 | 156,026 | |||||||||||
Improvement and Refunding Revenue, Bethesda Project, Series A | 5.000 | % | 9/15/48 | 50,000 | 45,091 | |||||||||||
Colorado State High Performance Transportation Enterprise Revenue: | ||||||||||||||||
C-470 Express Lanes | 5.000 | % | 12/31/47 | 100,000 | 100,026 | |||||||||||
C-470 Express Lanes | 5.000 | % | 12/31/51 | 230,000 | 228,950 | |||||||||||
Denver, CO, City & County Special Facility Apartment Revenue, United Airlines Inc. Project, Refunding | 5.000 | % | 10/1/32 | 100,000 | 100,045 | (c) | ||||||||||
|
| |||||||||||||||
Total Colorado | 1,292,904 | |||||||||||||||
|
| |||||||||||||||
Connecticut - 1.1% | ||||||||||||||||
Connecticut State HEFA Revenue, Sacred Heart University Issue, Series I-1, Refunding | 5.000 | % | 7/1/36 | 50,000 | 52,319 | |||||||||||
Connecticut State Special Tax Revenue, Transportation Infrastructure, Series A | 5.000 | % | 1/1/37 | 500,000 | 533,149 | |||||||||||
See Notes to Schedule of Investments.
4 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Connecticut - (continued) | ||||||||||||||||
Connecticut State, GO: | ||||||||||||||||
Series A | 4.000 | % | 4/15/37 | $ | 125,000 | $ | 127,053 | |||||||||
Series E | 5.000 | % | 10/15/34 | 50,000 | 52,676 | |||||||||||
University of Connecticut, Student Fee Revenue, Series A | 5.000 | % | 11/15/43 | 100,000 | 105,756 | |||||||||||
|
| |||||||||||||||
Total Connecticut | 870,953 | |||||||||||||||
|
| |||||||||||||||
District of Columbia - 0.1% | ||||||||||||||||
District of Columbia Revenue, KIPP DC Project, Series B, Refunding | 5.000 | % | 7/1/42 | 75,000 | 75,486 | |||||||||||
|
| |||||||||||||||
Florida - 4.4% | ||||||||||||||||
Broward County, FL, Airport System Revenue: | ||||||||||||||||
Series 2017 | 5.000 | % | 10/1/47 | 50,000 | 50,875 | (c) | ||||||||||
Series A | 5.000 | % | 10/1/45 | 250,000 | 251,137 | (c) | ||||||||||
Broward County, FL, Port Facilities Revenue, Series B | 5.000 | % | 9/1/31 | 200,000 | 215,864 | (c) | ||||||||||
Fort Pierce, FL, Utilities Authority Revenue, Series A, Refunding, AGM | 4.000 | % | 10/1/52 | 100,000 | 94,259 | |||||||||||
Greater Orlando, FL, Aviation Authority, Airport Facilities Revenue, Priority Subordinated, Series A | 5.000 | % | 10/1/47 | 25,000 | 25,438 | (c) | ||||||||||
Hillsborough County, FL, Aviation Authority Revenue, Tampa International Airport, Series E | 5.000 | % | 10/1/43 | 200,000 | 205,824 | (c) | ||||||||||
Miami-Dade County, FL, Aviation Revenue: | ||||||||||||||||
Series A, Refunding | 4.000 | % | 10/1/41 | 150,000 | 146,399 | |||||||||||
Series A, Refunding | 5.000 | % | 10/1/49 | 300,000 | 306,843 | (c) | ||||||||||
Series B, Refunding | 5.000 | % | 10/1/40 | 200,000 | 203,613 | (c) | ||||||||||
Miami-Dade County, FL, Seaport Revenue, Senior Bonds, Series A, Refunding | 5.250 | % | 10/1/52 | 650,000 | 685,450 | (c) | ||||||||||
Orange County, FL, Health Facilities Authority Revenue: | ||||||||||||||||
Orlando Health Inc., Series A | 5.000 | % | 10/1/53 | 250,000 | 261,469 | |||||||||||
Presbyterian Retirement Communities, Refunding | 5.000 | % | 8/1/36 | 5,000 | 5,156 | |||||||||||
Palm Beach County, FL, Health Facilities Authority Revenue: | ||||||||||||||||
ACTS Retirement-Life Communities, Series B | 5.000 | % | 11/15/42 | 500,000 | 476,664 | |||||||||||
Jupiter Medical Center Project, Series A | 5.000 | % | 11/1/34 | 200,000 | 210,854 | |||||||||||
Volusia County, FL, EFA Revenue, Educational Facilities Embry-Riddle Aeronautical University Inc. Project, Refunding | 5.000 | % | 10/15/47 | 500,000 | 514,417 | |||||||||||
|
| |||||||||||||||
Total Florida | 3,654,262 | |||||||||||||||
|
| |||||||||||||||
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
5 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Georgia - 1.6% | ||||||||||||||||
Cobb County, GA, Kennestone Hospital Authority Revenue, Wellstar Health System, Inc. Project, Series A | 5.000 | % | 4/1/50 | $ | 250,000 | $ | 257,321 | |||||||||
Dahlonega, GA, Downtown Development Authority Revenue, North Georgia MAC LLC Project, Refunding | 5.000 | % | 7/1/39 | 100,000 | 104,201 | |||||||||||
Fulton County, GA, Development Authority Revenue, Georgia Institute of Technology | 5.000 | % | 6/15/44 | 100,000 | 107,673 | |||||||||||
Georgia State Higher Education Facilities Authority Revenue, USG Real Estate, Refunding | 5.000 | % | 6/15/33 | 50,000 | 54,856 | |||||||||||
Georgia State Municipal Electric Authority Power Revenue: | ||||||||||||||||
Plant Vogtle Units 3&4, Project J, Series A | 5.000 | % | 1/1/56 | 175,000 | 177,058 | |||||||||||
Plant Vogtle Units 3&4, Project M, Series A | 5.250 | % | 7/1/64 | 200,000 | 207,792 | |||||||||||
Plant Vogtle Units 3&4, Project P, Series A | 5.500 | % | 7/1/64 | 150,000 | 154,624 | |||||||||||
Project One Subordinated, Series A | 5.000 | % | 1/1/45 | 100,000 | 103,448 | |||||||||||
Main Street Natural Gas Inc., GA, Gas Project Revenue, Series A | 5.000 | % | 5/15/43 | 200,000 | 197,996 | |||||||||||
|
| |||||||||||||||
Total Georgia | 1,364,969 | |||||||||||||||
|
| |||||||||||||||
Idaho - 0.1% | ||||||||||||||||
Idaho State Health Facilities Authority Revenue, Trinity Health Credit Group, Series A | 5.000 | % | 12/1/47 | 100,000 | 102,063 | |||||||||||
|
| |||||||||||||||
Illinois - 13.4% | ||||||||||||||||
Chicago, IL, Board of Education, Dedicated Capital Improvement, Special Tax Revenue: | ||||||||||||||||
Series 2018 | 5.000 | % | 4/1/42 | 100,000 | 101,129 | |||||||||||
Series 2023 | 5.750 | % | 4/1/48 | 750,000 | 815,067 | |||||||||||
Chicago, IL, Board of Education, GO: | ||||||||||||||||
Dedicated, Series H | 5.000 | % | 12/1/46 | 850,000 | 821,500 | |||||||||||
Series A | 5.000 | % | 12/1/40 | 1,100,000 | 1,100,909 | |||||||||||
Series C, Refunding | 5.000 | % | 12/1/25 | 100,000 | 102,306 | |||||||||||
Chicago, IL, GO: | ||||||||||||||||
Chicago Works, Series A | 5.500 | % | 1/1/39 | 1,000,000 | 1,082,074 | |||||||||||
Series A | 5.000 | % | 1/1/44 | 125,000 | 123,100 | |||||||||||
Series A, Refunding | 5.625 | % | 1/1/29 | 250,000 | 265,504 | |||||||||||
Series C, Refunding | 5.000 | % | 1/1/25 | 30,000 | 30,583 | |||||||||||
Chicago, IL, O’Hare International Airport Revenue: | ||||||||||||||||
Series C, Refunding | 5.000 | % | 1/1/43 | 250,000 | 260,610 | (c) | ||||||||||
Series D, Refunding | 5.000 | % | 1/1/46 | 10,000 | 10,096 | |||||||||||
TrIPS Obligated Group | 5.000 | % | 7/1/48 | 50,000 | 49,150 | (c) | ||||||||||
See Notes to Schedule of Investments.
6 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Illinois - (continued) | ||||||||||||||||
Chicago, IL, Transit Authority, Sales Tax Receipts Revenue, Second Lien, Series A, Refunding | 5.000 | % | 12/1/45 | $ | 50,000 | $ | 52,143 | |||||||||
Chicago, IL, Wastewater Transmission Revenue: | ||||||||||||||||
Second Lien, Series A, AGM | 5.250 | % | 1/1/58 | 1,500,000 | 1,620,768 | |||||||||||
Second Lien, Series A, Refunding | 5.000 | % | 1/1/47 | 35,000 | 35,469 | |||||||||||
Chicago, IL, Waterworks Revenue: | ||||||||||||||||
Second Lien, Series 2017, Refunding | 5.000 | % | 11/1/29 | 30,000 | 31,644 | |||||||||||
Second Lien, Series 2017-2, Refunding, AGM | 5.000 | % | 11/1/32 | 60,000 | 63,908 | |||||||||||
Elk Grove Village, IL, GO, Cook and DuPage Counties, Refunding | 5.000 | % | 1/1/36 | 35,000 | 37,188 | |||||||||||
Illinois State Finance Authority Revenue: | ||||||||||||||||
Benedictine University, Refunding | 4.000 | % | 10/1/33 | 100,000 | 91,701 | |||||||||||
Northshore University Healthsystem, Series A, Refunding | 5.000 | % | 8/15/32 | 100,000 | 112,758 | |||||||||||
University of Illinois at Urbana, Academic Facilities Lease Revenue Bonds | 5.000 | % | 10/1/49 | 50,000 | 51,251 | |||||||||||
University of Illinois, Health Services Facility Lease Revenue Bonds | 5.000 | % | 10/1/30 | 250,000 | 267,532 | |||||||||||
Illinois State Sales Tax Revenue, Subordinated, Series D, Refunding | 5.000 | % | 6/15/23 | 205,000 | 204,999 | |||||||||||
Illinois State Sports Facilities Authority Revenue, Sport Facilities Project, Series 2019, Refunding, BAM | 5.000 | % | 6/15/29 | 50,000 | 52,515 | |||||||||||
Illinois State, GO: | ||||||||||||||||
Series 2016 | 5.000 | % | 1/1/33 | 25,000 | 25,756 | |||||||||||
Series 2016, Refunding | 5.000 | % | 2/1/27 | 25,000 | 26,356 | |||||||||||
Series 2016, Refunding | 5.000 | % | 2/1/29 | 20,000 | 21,089 | |||||||||||
Series A | 5.000 | % | 5/1/36 | 250,000 | 261,086 | |||||||||||
Series A | 5.000 | % | 3/1/46 | 400,000 | 414,867 | |||||||||||
Series A, Refunding | 5.000 | % | 10/1/29 | 150,000 | 161,825 | |||||||||||
Series A, Refunding | 5.000 | % | 10/1/30 | 350,000 | 376,488 | |||||||||||
Series D | 5.000 | % | 11/1/27 | 225,000 | 240,096 | |||||||||||
Kane County, IL, School District No 131 Aurora East Side, GO, Series A, AGM | 4.000 | % | 12/1/34 | 725,000 | 749,655 | |||||||||||
Metropolitan Pier & Exposition Authority, IL, Revenue: | ||||||||||||||||
McCormick Place Expansion Project, Series A, Refunding | 5.000 | % | 12/15/45 | 500,000 | 505,622 | |||||||||||
McCormick Place Expansion Project, Series A, Refunding | 4.000 | % | 12/15/47 | 500,000 | 451,314 | |||||||||||
McCormick Place Expansion Project, Series B, Refunding | 5.000 | % | 6/15/42 | 60,000 | 61,132 | |||||||||||
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
7 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Illinois - (continued) | ||||||||||||||||
Regional Transportation Authority, IL, GO, Series A, Refunding, NATL | 6.000 | % | 7/1/29 | $ | 415,000 | $ | 464,549 | |||||||||
|
| |||||||||||||||
Total Illinois | 11,143,739 | |||||||||||||||
|
| |||||||||||||||
Indiana - 1.2% | ||||||||||||||||
Indiana State Finance Authority Revenue: | ||||||||||||||||
Marion General Hospital, Series A | 4.000 | % | 7/1/45 | 100,000 | 95,084 | |||||||||||
Midwestern Disaster Relief, Ohio Valley Electric Corp. Project, Series A | 4.250 | % | 11/1/30 | 100,000 | 98,127 | |||||||||||
Indiana State Finance Authority Wastewater Utility Revenue, Green Bonds, CWA Authority Project, Series A | 5.000 | % | 10/1/41 | 100,000 | 103,286 | |||||||||||
Indianapolis, IN, Local Public Improvement Bond Bank: | ||||||||||||||||
Courthouse and Jail Project, Series A | 4.000 | % | 2/1/44 | 100,000 | 97,994 | |||||||||||
Courthouse and Jail Project, Series A | 5.000 | % | 2/1/54 | 300,000 | 313,063 | |||||||||||
Indianapolis Airport Authority Project, Revenue, Series 2019D, Refunding | 5.000 | % | 1/1/26 | 300,000 | 308,423 | (c) | ||||||||||
|
| |||||||||||||||
Total Indiana | 1,015,977 | |||||||||||||||
|
| |||||||||||||||
Iowa - 0.5% | ||||||||||||||||
Iowa State Finance Authority Revenue, Midwestern Disaster Area, Iowa Fertilizer Co. Project, Refunding | 5.000 | % | 12/1/42 | 300,000 | 303,387 | (a)(b) | ||||||||||
Iowa State Tobacco Settlement Authority Revenue, Asset Backed Senior Bonds, Class 1, Series A-2, Refunding | 4.000 | % | 6/1/49 | 100,000 | 89,144 | |||||||||||
|
| |||||||||||||||
Total Iowa | 392,531 | |||||||||||||||
|
| |||||||||||||||
Kentucky - 3.1% | ||||||||||||||||
Ashland, KY, Medical Center Refunding Revenue Bonds: | ||||||||||||||||
Ashland Hospital Corporation, King’s Daughters Medical Center, Refunding | 5.000 | % | 2/1/25 | 625,000 | 634,174 | |||||||||||
Ashland Hospital Corporation, King’s Daughters Medical Center, Refunding | 5.000 | % | 2/1/26 | 550,000 | 563,419 | |||||||||||
Kentucky State Economic Development Finance Authority Revenue, Louisville Arena, Louisville Arena Authority Inc., Refunding, AGM | 5.000 | % | 12/1/45 | 100,000 | 102,267 | |||||||||||
Kentucky State PEA, Gas Supply Revenue: | ||||||||||||||||
Series A | 4.000 | % | 6/1/26 | 300,000 | 299,026 | (a)(b) | ||||||||||
Series C | 4.000 | % | 6/1/25 | 200,000 | 199,469 | (a)(b) | ||||||||||
See Notes to Schedule of Investments.
8 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Kentucky - (continued) | ||||||||||||||||
Louisville/Jefferson County, KY, Metropolitan Government Health System Revenue, Norton Healthcare Inc., Series A | 4.000 | % | 10/1/40 | $ | 500,000 | $ | 469,478 | |||||||||
Owensboro, KY, Electric Light & Power System Revenue, Series B, Refunding | 5.000 | % | 1/1/24 | 345,000 | 347,637 | |||||||||||
|
| |||||||||||||||
Total Kentucky | 2,615,470 | |||||||||||||||
|
| |||||||||||||||
Louisiana - 0.7% | ||||||||||||||||
Lafayette Parish, LA, School Board Sales Tax Revenue, Series 2023 | 4.000 | % | 4/1/53 | 250,000 | 238,710 | |||||||||||
Louisiana State PFA, Lease Revenue, Provident Group, Flagship Properties | 5.000 | % | 7/1/42 | 50,000 | 51,015 | |||||||||||
Shreveport, LA, Water & Sewer Revenue, Series A, AGM | 5.000 | % | 12/1/41 | 10,000 | 10,645 | |||||||||||
St. John the Baptist Parish, LA, State Revenue: | ||||||||||||||||
Marathon Oil Corp. Project, Series A-3, Refunding | 2.200 | % | 7/1/26 | 150,000 | 141,123 | (a)(b) | ||||||||||
Marathon Oil Corp. Project, Series B-2, Refunding | 2.375 | % | 7/1/26 | 125,000 | 118,228 | (a)(b) | ||||||||||
|
| |||||||||||||||
Total Louisiana | 559,721 | |||||||||||||||
|
| |||||||||||||||
Maryland - 0.3% | ||||||||||||||||
Maryland State Stadium Authority Built to Learn Revenue, Series 2021 | 4.000 | % | 6/1/46 | 250,000 | 238,959 | |||||||||||
|
| |||||||||||||||
Massachusetts - 1.2% | ||||||||||||||||
Massachusetts State DFA Revenue: | ||||||||||||||||
Boston Medical Center, Sustainability Bonds, Series G, Refunding | 5.250 | % | 7/1/52 | 250,000 | 260,195 | |||||||||||
Broad Institute Inc., Refunding | 5.000 | % | 4/1/36 | 85,000 | 91,133 | |||||||||||
UMass Boston Student Housing Project | 5.000 | % | 10/1/28 | 10,000 | 10,202 | |||||||||||
Wellforce Issue, Series A, Refunding | 5.000 | % | 7/1/44 | 50,000 | 48,446 | |||||||||||
Worcester Polytechnic Institute, Series B, Refunding | 5.000 | % | 9/1/42 | 75,000 | 77,752 | |||||||||||
Massachusetts State Port Authority Revenue: | ||||||||||||||||
Series A | 5.000 | % | 7/1/33 | 55,000 | 59,268 | (c) | ||||||||||
Series A, Refunding | 5.000 | % | 7/1/36 | 160,000 | 169,865 | (c) | ||||||||||
Series E | 5.000 | % | 7/1/46 | 250,000 | 260,713 | (c) | ||||||||||
Massachusetts State Water Resources Authority Revenue, Series B, Refunding | 5.000 | % | 8/1/40 | 50,000 | 53,237 | (d) | ||||||||||
|
| |||||||||||||||
Total Massachusetts | 1,030,811 | |||||||||||||||
|
| |||||||||||||||
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
9 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Michigan - 2.2% | ||||||||||||||||
Detroit, MI, Downtown Development Authority Revenue, Catalyst Development, Series A, Refunding, AGM | 5.000 | % | 7/1/43 | $ | 100,000 | $ | 100,333 | |||||||||
Great Lakes Water Authority, MI, Water Supply System Revenue: | ||||||||||||||||
Senior Lien, Series A | 5.000 | % | 7/1/45 | 750,000 | 792,114 | |||||||||||
Senior Lien, Series A | 5.000 | % | 7/1/49 | 650,000 | 680,745 | |||||||||||
Michigan State Finance Authority Revenue: | ||||||||||||||||
Henry Ford Health System, Series A | 4.000 | % | 11/15/50 | 100,000 | 88,313 | |||||||||||
Tobacco Settlement Asset Backed Senior Bonds, Series B-1, Refunding | 5.000 | % | 6/1/49 | 40,000 | 40,650 | |||||||||||
Michigan State Strategic Fund Limited Obligation Revenue, I-75 Improvement Project | 5.000 | % | 12/31/43 | 100,000 | 100,091 | (c) | ||||||||||
|
| |||||||||||||||
Total Michigan | 1,802,246 | |||||||||||||||
|
| |||||||||||||||
Missouri - 0.1% | ||||||||||||||||
Missouri State HEFA Revenue, Lutheran Senior Service Projects, Series A | 5.000 | % | 2/1/42 | 50,000 | 46,386 | |||||||||||
|
| |||||||||||||||
Nebraska - 0.8% | ||||||||||||||||
Douglas County, NE, Hospital Authority No. 2 Revenue, Children’s Hospital Obligated Group, Series A, Refunding | 4.000 | % | 11/15/36 | 425,000 | 426,682 | |||||||||||
Omaha Public Power District, NE, Electric System Revenue, Series B, Refunding | 4.000 | % | 2/1/46 | 250,000 | 242,579 | |||||||||||
|
| |||||||||||||||
Total Nebraska | 669,261 | |||||||||||||||
|
| |||||||||||||||
Nevada - 0.3% | ||||||||||||||||
Sparks, NV, Tourism Improvement, Senior Sales Tax Anticipation Revenue, Series A, Refunding | 2.750 | % | 6/15/28 | 250,000 | 231,791 | (e) | ||||||||||
| �� |
|
| ||||||||||||||
New Jersey - 5.5% | ||||||||||||||||
Essex County, NJ, Improvement Authority, GO: | ||||||||||||||||
CHF-Newark LLC, New Jersey Institute of Technology Lease Revenue Bonds, Series A, BAM | 5.000 | % | 8/1/35 | 180,000 | 197,579 | |||||||||||
CHF-Newark LLC, New Jersey Institute of Technology Lease Revenue Bonds, Series A, BAM | 5.000 | % | 8/1/36 | 215,000 | 232,443 | |||||||||||
See Notes to Schedule of Investments.
10 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
New Jersey - (continued) | ||||||||||||||||
New Jersey State EDA Revenue: | ||||||||||||||||
Private Activity-The Goethals Bridge Replacement Project, AGM | 5.125 | % | 1/1/39 | $ | 85,000 | $ | 85,374 | (c) | ||||||||
Private Activity-The Goethals Bridge Replacement Project, AGM | 5.125 | % | 7/1/42 | 150,000 | 150,483 | (c) | ||||||||||
School Facilities Construction, Series BBB, Refunding | 5.500 | % | 6/15/31 | 100,000 | 108,651 | (d) | ||||||||||
School Facilities Construction, Series DDD | 5.000 | % | 6/15/33 | 50,000 | 54,225 | (d) | ||||||||||
School Facilities Construction, Series QQQ | 5.000 | % | 6/15/31 | 400,000 | 444,534 | |||||||||||
School Facilities Construction, Series SSS, Refunding | 5.250 | % | 6/15/36 | 500,000 | 537,939 | (f) | ||||||||||
Special Facility, Port Newark Container Terminal LLC Project, Refunding | 5.000 | % | 10/1/37 | 100,000 | 101,352 | (c) | ||||||||||
Transit Transportation Project, Series A | 5.000 | % | 11/1/32 | 150,000 | 164,013 | |||||||||||
New Jersey State EDA, Lease Revenue, Health Department and Taxation Division Office Project, Series A | 5.000 | % | 6/15/33 | 105,000 | 111,476 | |||||||||||
New Jersey State Health Care Facilities Financing Authority Revenue, Hackensack Meridian Health, Series A, Refunding | 5.000 | % | 7/1/38 | 50,000 | 52,480 | |||||||||||
New Jersey State Transportation Trust Fund Authority Revenue: | ||||||||||||||||
Transportation Program, Series AA | 5.250 | % | 6/15/43 | 100,000 | 104,934 | |||||||||||
Transportation Program, Series AA | 5.000 | % | 6/15/45 | 100,000 | 100,809 | |||||||||||
Transportation Program, Series AA | 4.000 | % | 6/15/50 | 500,000 | 464,350 | |||||||||||
Transportation Program, Series AA, Refunding | 5.000 | % | 6/15/36 | 300,000 | 327,616 | |||||||||||
Transportation Program, Series BB | 4.000 | % | 6/15/36 | 500,000 | 501,787 | |||||||||||
Transportation System, Series A, Refunding | 5.000 | % | 12/15/25 | 100,000 | 103,801 | |||||||||||
Transportation System, Series A, Refunding | 5.000 | % | 12/15/28 | 150,000 | 162,688 | |||||||||||
Transportation System, Series A, Refunding | 4.250 | % | 6/15/40 | 350,000 | 346,467 | (f) | ||||||||||
New Jersey State Turnpike Authority Revenue: | ||||||||||||||||
Series A, Refunding | 5.000 | % | 1/1/35 | 100,000 | 104,211 | |||||||||||
Series G, Refunding | 5.000 | % | 1/1/35 | 60,000 | 64,848 | |||||||||||
Tobacco Settlement Financing Corp., NJ, Revenue, Series A, Refunding | 5.250 | % | 6/1/46 | 30,000 | 31,219 | |||||||||||
|
| |||||||||||||||
Total New Jersey | 4,553,279 | |||||||||||||||
|
| |||||||||||||||
New York - 11.3% | ||||||||||||||||
Hempstead Town, NY, Local Development Corp. Revenue, Hofstra University Project, Refunding | 5.000 | % | 7/1/42 | 100,000 | 103,046 | |||||||||||
Hudson Yards Infrastructure Corp., NY, Second Indenture Revenue, Series A, Refunding | 5.000 | % | 2/15/35 | 140,000 | 147,924 | |||||||||||
Long Island, NY, Power Authority Electric System Revenue, Series B, Refunding | 1.650 | % | 9/1/24 | 250,000 | 242,503 | (a)(b) | ||||||||||
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
11 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
New York - (continued) | ||||||||||||||||
MTA, NY, Transportation Revenue: | ||||||||||||||||
Green Bonds, Series E | 5.000 | % | 11/15/33 | $ | 250,000 | $ | 270,810 | |||||||||
Series A-2 | 5.000 | % | 5/15/30 | 335,000 | 359,208 | (a)(b) | ||||||||||
Series F, Refunding | 5.000 | % | 11/15/27 | 500,000 | 514,187 | |||||||||||
New York City, NY, GO: | ||||||||||||||||
Subseries A-1 | 5.000 | % | 8/1/47 | 250,000 | 268,183 | |||||||||||
Subseries B-1 | 5.250 | % | 10/1/43 | 500,000 | 561,903 | |||||||||||
New York City, NY, Industrial Development Agency Revenue, Yankee Stadium Project, Refunding | 4.000 | % | 3/1/45 | 100,000 | 91,106 | |||||||||||
New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue: | ||||||||||||||||
Second General Resolution Fiscal 2022, Series AA, Subseries AA-1 | 4.000 | % | 6/15/51 | 500,000 | 486,643 | |||||||||||
Second General Resolution, Series CC-1, Refunding | 5.000 | % | 6/15/46 | 1,000,000 | 1,030,959 | |||||||||||
New York State Dormitory Authority Revenue: | ||||||||||||||||
New York University, Series A, Refunding | 5.000 | % | 7/1/43 | 50,000 | 53,140 | |||||||||||
Non-State Supported Debt, Memorial Sloan- Kettering Cancer Center, Series B-1 | 4.000 | % | 7/1/51 | 250,000 | 233,111 | |||||||||||
New York State Dormitory Authority, Income Tax Revenue, Series B, Refunding | 5.000 | % | 2/15/41 | 100,000 | 105,856 | |||||||||||
New York State Dormitory Authority, Sales Tax Revenue: | ||||||||||||||||
Bidding Group 3, Series E, Refunding | 5.000 | % | 3/15/38 | 100,000 | 107,731 | |||||||||||
Bidding Group 4, Series E, Refunding | 5.000 | % | 3/15/44 | 100,000 | 106,357 | |||||||||||
New York State Liberty Development Corp., Liberty Revenue, 3 World Trade Center Project, Class 1, Refunding | 5.000 | % | 11/15/44 | 100,000 | 98,190 | (e) | ||||||||||
New York State Thruway Authority General Revenue, Junior Indebtedness Obligations, Junior Lien, Series A | 5.000 | % | 1/1/46 | 50,000 | 50,936 | |||||||||||
New York State Transportation Development Corp., Special Facilities Revenue: | ||||||||||||||||
Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project | 5.000 | % | 1/1/30 | 75,000 | 77,427 | (c) | ||||||||||
Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project | 5.000 | % | 1/1/32 | 45,000 | 46,445 | (c) | ||||||||||
Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project | 4.375 | % | 10/1/45 | 250,000 | 237,167 | (c) | ||||||||||
LaGuardia Airport Terminal B Redevelopment Project | 5.000 | % | 7/1/30 | 50,000 | 50,426 | (c) | ||||||||||
LaGuardia Airport Terminal B Redevelopment Project, Series A | 5.000 | % | 7/1/41 | 25,000 | 24,856 | (c) | ||||||||||
LaGuardia Airport Terminal B Redevelopment Project, Series A | 5.000 | % | 7/1/46 | 750,000 | 730,491 | (c) | ||||||||||
Terminal 4 John F. Kennedy International Airport Project, Series A | 4.000 | % | 12/1/40 | 300,000 | 278,039 | (c) | ||||||||||
See Notes to Schedule of Investments.
12 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
New York - (continued) | ||||||||||||||||
Oneida County, NY, Local Development Corp. Revenue, Mohawk Valley Health System Project, Series A, Refunding, AGM | 4.000 | % | 12/1/49 | $ | 635,000 | $ | 562,385 | |||||||||
Port Authority of New York & New Jersey Revenue: | ||||||||||||||||
Consolidated Series 185 | 5.000 | % | 9/1/25 | 10,000 | 10,161 | (c) | ||||||||||
Consolidated Series 221 | 4.000 | % | 7/15/45 | 1,000,000 | 952,147 | (c) | ||||||||||
Triborough Bridge & Tunnel Authority, NY, Revenue: | ||||||||||||||||
General-MTA Bridges & Tunnels, Series A | 5.000 | % | 11/15/49 | 175,000 | 184,853 | |||||||||||
General-MTA Bridges & Tunnels, Series A | 5.000 | % | 11/15/49 | 1,000,000 | 1,066,555 | |||||||||||
Troy, NY, Capital Resource Corp., Rensselaer Polytechnic Institute Project, Series A, Refunding | 5.000 | % | 9/1/28 | 325,000 | 349,702 | |||||||||||
|
| |||||||||||||||
Total New York | 9,402,447 | |||||||||||||||
|
| |||||||||||||||
North Carolina - 0.3% | ||||||||||||||||
Charlotte, NC, Lease Revenue, COP, Convention Facility Project, Series A, Refunding | 4.000 | % | 6/1/49 | 70,000 | 68,452 | |||||||||||
North Carolina State Medical Care Commission, Retirement Facilities Revenue, The Forest at Duke Project | 4.000 | % | 9/1/41 | 160,000 | 135,022 | |||||||||||
North Carolina State Turnpike Authority, Monroe Expressway Toll Revenue, Series A, Refunding | 5.000 | % | 7/1/42 | 5,000 | 5,080 | |||||||||||
|
| |||||||||||||||
Total North Carolina | 208,554 | |||||||||||||||
|
| |||||||||||||||
North Dakota - 0.5% | ||||||||||||||||
Grand Forks, ND, Health Care System Revenue, Altru Health System, Refunding, AGM | 3.000 | % | 12/1/46 | 550,000 | 411,931 | |||||||||||
|
| |||||||||||||||
Ohio - 2.8% | ||||||||||||||||
American Municipal Power Inc., OH, Revenue, AMP Fremont Energy Center Project, Series A, Refunding | 4.000 | % | 2/15/38 | 250,000 | 243,853 | |||||||||||
Buckeye, OH, Tobacco Settlement Financing Authority Revenue, Senior Bonds, Series B-2, Refunding | 5.000 | % | 6/1/55 | 250,000 | 231,627 | |||||||||||
Ohio State Air Quality Development Authority Revenue: | ||||||||||||||||
American Electric Co. Project, Series B, Refunding | 2.500 | % | 10/1/29 | 100,000 | 86,444 | (a)(b)(c) | ||||||||||
American Electric Co. Project, Series D, Refunding | 2.100 | % | 10/1/24 | 250,000 | 240,749 | (a)(b)(c) | ||||||||||
AMG Vanadium Project, Series 2019 | 5.000 | % | 7/1/49 | 120,000 | 108,510 | (c) | ||||||||||
Duke Energy Corp. Project, Series B, Refunding | 4.250 | % | 6/1/27 | 100,000 | 98,871 | (a)(b)(c) | ||||||||||
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
13 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Ohio - (continued) | ||||||||||||||||
Ohio State Higher Educational Facility Commission College & University Revenue: | ||||||||||||||||
University of Dayton 2018 Project, Series B, Refunding | 5.000 | % | 12/1/34 | $ | 500,000 | $ | 533,327 | |||||||||
Xavier University 2020 Project | 5.000 | % | 5/1/33 | 495,000 | 543,940 | |||||||||||
Ohio State Hospital Revenue, University Hospitals Health Systems Inc., Series E | 4.000 | % | 1/15/37 | 100,000 | 97,048 | |||||||||||
Warrensville Heights, OH, School District, GO, Refunding, BAM | 5.000 | % | 12/1/44 | 175,000 | 177,363 | |||||||||||
|
| |||||||||||||||
Total Ohio | 2,361,732 | |||||||||||||||
|
| |||||||||||||||
Oregon - 0.2% | ||||||||||||||||
Salem, OR, Hospital Facility Authority Revenue, Capital Manor Project, Refunding | 4.000 | % | 5/15/32 | 185,000 | 172,409 | |||||||||||
|
| |||||||||||||||
Pennsylvania - 5.4% | ||||||||||||||||
Allegheny County, PA, HDA Revenue, University Pittsburgh Medical Center, Series A, Refunding | 4.000 | % | 7/15/39 | 150,000 | 146,918 | |||||||||||
Berks County, PA, IDA, Healthcare Facilities Revenue, Highlands at Wyomissing, Refunding | 5.000 | % | 5/15/32 | 50,000 | 50,355 | |||||||||||
Bucks County, PA, Water and Sewer Authority, Sewer System Revenue, Series A, AGM | 4.250 | % | 12/1/47 | 100,000 | 99,318 | |||||||||||
Commonwealth Financing Authority, PA, Tobacco Master Settlement Payment Revenue | 5.000 | % | 6/1/30 | 50,000 | 53,762 | |||||||||||
Lancaster County, PA, Convention Center Authority Revenue, Hotel Room Rental Tax, Series B, Refunding | 4.750 | % | 5/1/57 | 250,000 | 251,638 | |||||||||||
Lancaster County, PA, Hospital Authority Revenue, Penn State Health | 5.000 | % | 11/1/37 | 600,000 | 636,728 | |||||||||||
Pennsylvania State Economic Development Financing Authority, Solid Waste Disposal Revenue, Waste Management Inc. Project | 2.150 | % | 7/1/24 | 100,000 | 98,040 | (a)(b)(c) | ||||||||||
Pennsylvania State Economic Development Financing Authority Revenue, Tax-Exempt Private Activity, The Penndot Major Bridges Package One Project | 5.250 | % | 6/30/53 | 1,350,000 | 1,384,689 | (c) | ||||||||||
Pennsylvania State Turnpike Commission Revenue: | ||||||||||||||||
Series A | 5.000 | % | 12/1/44 | 175,000 | 183,750 | |||||||||||
Series A-1 | 5.000 | % | 12/1/47 | 25,000 | 25,803 | |||||||||||
Series B | 5.000 | % | 12/1/45 | 500,000 | 528,847 | |||||||||||
Series B, Refunding | 5.250 | % | 12/1/47 | 250,000 | 271,847 | |||||||||||
Subordinated, Series B | 5.000 | % | 12/1/48 | 100,000 | 104,086 | |||||||||||
See Notes to Schedule of Investments.
14 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Pennsylvania - (continued) | ||||||||||||||||
Philadelphia, PA, Authority for IDR: | ||||||||||||||||
Charter School Revenue, Philadelphia Performing Arts: A String Theory Charter School Project, Refunding | 5.000 | % | 6/15/50 | $ | 100,000 | $ | 95,025 | |||||||||
City Service Agreement Revenue, Rebuild Project | 5.000 | % | 5/1/35 | 250,000 | 267,416 | |||||||||||
Lease Revenue, Refunding | 5.000 | % | 10/1/30 | 100,000 | 112,786 | |||||||||||
Philadelphia, PA, GO, Series B | 5.000 | % | 2/1/35 | 150,000 | 164,423 | |||||||||||
State Public School Building Authority, PA, Lease Revenue, Philadelphia SD Project, Series A, Refunding, AGM, State Aid Withholding | 5.000 | % | 6/1/31 | 20,000 | 21,008 | |||||||||||
|
| |||||||||||||||
Total Pennsylvania | 4,496,439 | |||||||||||||||
|
| |||||||||||||||
Puerto Rico - 4.7% | ||||||||||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority Revenue, Senior Lien, Series A, Refunding | 5.000 | % | 7/1/47 | 500,000 | 481,681 | (e) | ||||||||||
Puerto Rico Commonwealth Highway & Transportation Authority Revenue: | ||||||||||||||||
CAB, Restructured, Series B | 0.000 | % | 7/1/32 | 82,000 | 52,237 | |||||||||||
Restructured, Series A | 5.000 | % | 7/1/62 | 80,000 | 76,900 | |||||||||||
Puerto Rico Commonwealth, GO: | ||||||||||||||||
Restructured, Series A-1 | 4.000 | % | 7/1/35 | 175,000 | 156,767 | |||||||||||
Restructured, Series A-1 | 4.000 | % | 7/1/37 | 760,000 | 661,435 | |||||||||||
Restructured, Series A-1 | 4.000 | % | 7/1/41 | 100,000 | 83,759 | |||||||||||
Puerto Rico Electric Power Authority Revenue: | ||||||||||||||||
Series A | 5.000 | % | 7/1/29 | 195,000 | 139,913 | *(g) | ||||||||||
Series A | 5.000 | % | 7/1/42 | 320,000 | 229,600 | *(g) | ||||||||||
Series A | 5.050 | % | 7/1/42 | 100,000 | 71,750 | *(g) | ||||||||||
Series XX | 5.250 | % | 7/1/40 | 360,000 | 258,300 | *(g) | ||||||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue: | ||||||||||||||||
CAB, Restructured, Series A-1 | 0.000 | % | 7/1/27 | 60,000 | 50,518 | |||||||||||
CAB, Restructured, Series A-1 | 0.000 | % | 7/1/46 | 630,000 | 170,257 | |||||||||||
Restructured, Series A-1 | 4.550 | % | 7/1/40 | 10,000 | 9,542 | |||||||||||
Restructured, Series A-1 | 4.750 | % | 7/1/53 | 1,000,000 | 927,260 | |||||||||||
Restructured, Series A-1 | 5.000 | % | 7/1/58 | 358,000 | 342,945 | |||||||||||
Restructured, Series A-2 | 4.329 | % | 7/1/40 | 230,000 | 213,654 | |||||||||||
|
| |||||||||||||||
Total Puerto Rico | 3,926,518 | |||||||||||||||
|
| |||||||||||||||
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
15 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
South Carolina - 0.3% | ||||||||||||||||
South Carolina State Jobs-EDA Hospital Facilities Revenue, Bon Secours Mercy Health Inc., Series A, Refunding | 4.000 | % | 12/1/44 | $ | 250,000 | $ | 238,025 | |||||||||
|
| |||||||||||||||
South Dakota - 0.0%†† | ||||||||||||||||
South Dakota State HEFA Revenue, Regional Health | 5.000 | % | 9/1/40 | 25,000 | 25,560 | |||||||||||
|
| |||||||||||||||
Tennessee - 1.3% | ||||||||||||||||
Clarksville, TN, Water, Sewer & Gas Revenue, Series A | 4.000 | % | 2/1/51 | 500,000 | 477,227 | |||||||||||
Metropolitan Government of Nashville & Davidson County, TN, Water & Sewer Revenue, Subordinated, Series B, Refunding | 5.000 | % | 7/1/46 | 50,000 | 52,200 | |||||||||||
Tennessee State Energy Acquisition Corp., Natural Gas Revenue: | ||||||||||||||||
Series 2018 | 4.000 | % | 11/1/25 | 100,000 | 99,588 | (a)(b) | ||||||||||
Series A | 5.250 | % | 9/1/26 | 425,000 | 432,507 | |||||||||||
|
| |||||||||||||||
Total Tennessee | 1,061,522 | |||||||||||||||
|
| |||||||||||||||
Texas - 5.3% | ||||||||||||||||
Arlington, TX, Higher Education Finance Corp., Education Revenue, Uplift Education, Series A, Refunding, PSF - GTD | 5.000 | % | 12/1/37 | 20,000 | 20,877 | |||||||||||
Arlington, TX, Special Tax Revenue, Subordinated Lien, Series C, BAM | 5.000 | % | 2/15/41 | 100,000 | 101,561 | |||||||||||
Austin, TX, Airport System Revenue, Series B | 5.000 | % | 11/15/44 | 250,000 | 258,837 | (c) | ||||||||||
Central Texas Regional Mobility Authority Revenue, Senior Lien, Series B | 4.000 | % | 1/1/51 | 1,245,000 | 1,137,569 | |||||||||||
Forney, TX, ISD, GO, Unlimited Tax School Building Bonds, Series 2019, PSF - GTD | 5.000 | % | 2/15/49 | 100,000 | 103,754 | |||||||||||
Grand Parkway Transportation Corp., TX, System Toll Revenue, First Tier Toll Revenue, Series C, Refunding | 4.000 | % | 10/1/40 | 500,000 | 486,466 | |||||||||||
Harris County, TX, Cultural Education Facilities Finance Corp.: | ||||||||||||||||
Hospital Revenue, Texas Children’s Hospital, Series B, Refunding | 5.000 | % | 10/1/31 | 350,000 | 397,860 | (a)(b) | ||||||||||
Thermal Utility Revenue, Teco Project, Refunding | 5.000 | % | 11/15/33 | 200,000 | 214,438 | |||||||||||
See Notes to Schedule of Investments.
16 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Texas - (continued) | ||||||||||||||||
Hays, TX, ISD, GO, Unlimited Tax School Building Bonds, PSF - GTD | 4.000 | % | 2/15/47 | $ | 200,000 | $ | 194,594 | |||||||||
Houston, TX, Airport System Revenue: | ||||||||||||||||
Special Facilities, United Airlines Inc., Technical Operations Center Project | 5.000 | % | 7/15/28 | 100,000 | 101,362 | (c) | ||||||||||
Special Facilities, United Airlines Inc., Terminal Improvement Project, Series B-1 | 4.000 | % | 7/15/41 | 400,000 | 349,189 | (c) | ||||||||||
Subordinated Lien, Series A, Refunding | 4.000 | % | 7/1/46 | 330,000 | 307,151 | (c) | ||||||||||
Newark, TX, Higher Education Finance Corp., Education Revenue, TLC Academy, Series A | 4.000 | % | 8/15/31 | 100,000 | 94,233 | |||||||||||
Southwest Texas, Higher Education Authority Inc. Revenue, Southern Methodist University Project, Refunding | 5.000 | % | 10/1/41 | 50,000 | 52,579 | |||||||||||
Tarrant County, TX, Cultural Education Facilities Finance Corp., Hospital Revenue, Methodist Hospitals of Dallas | 4.000 | % | 10/1/47 | 250,000 | 237,714 | |||||||||||
Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facility Revenue: | ||||||||||||||||
Buckner Retirement Services Inc. Project, Refunding | 5.000 | % | 11/15/37 | 50,000 | 50,149 | |||||||||||
Buckner Retirement Services Inc. Project, Refunding | 5.000 | % | 11/15/46 | 50,000 | 48,165 | |||||||||||
Texas State, Municipal Gas Acquisition & Supply Corp. I, Gas Supply Revenue, Senior Lien, Series D | 6.250 | % | 12/15/26 | 115,000 | 119,527 | |||||||||||
Texas State Private Activity Bond Surface Transportation Corp. Revenue: | ||||||||||||||||
Senior Lien, Blueridge Transportation Group LLC | 5.000 | % | 12/31/40 | 5,000 | 5,015 | (c) | ||||||||||
Senior Lien, LBJ Infrastructure Group LLC, I-635 Managed Lanes Project, Series A, Refunding | 4.000 | % | 12/31/35 | 75,000 | 72,546 | |||||||||||
West Harris County, TX, Regional Water Authority Revenue, Series 2019 | 4.000 | % | 12/15/49 | 100,000 | 90,868 | |||||||||||
|
| |||||||||||||||
Total Texas | 4,444,454 | |||||||||||||||
|
| |||||||||||||||
Utah - 2.5% | ||||||||||||||||
Salt Lake City, UT, Airport Revenue, Salt Lake City International Airport, Series A | 5.000 | % | 7/1/43 | 250,000 | 256,522 | (c) | ||||||||||
Utah State Charter School Finance Authority, Charter School Revenue: | ||||||||||||||||
Syracuse Arts Academy Project, UT CSCE | 5.000 | % | 4/15/37 | 5,000 | 5,106 | |||||||||||
Utah Charter Academies Project, Series 2018, UT CSCE | 5.000 | % | 10/15/38 | 220,000 | 225,983 | |||||||||||
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
17 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Utah - (continued) | ||||||||||||||||
Utah State Infrastructure Agency, Telecommunications Revenue, Series A | 5.250 | % | 10/15/33 | $ | 200,000 | $ | 204,593 | |||||||||
Vineyard Redevelopment Agency, UT, Tax Increment Revenue: | ||||||||||||||||
Series 2021, Refunding, AGM | 5.000 | % | 5/1/31 | 235,000 | 266,511 | |||||||||||
Series 2021, Refunding, AGM | 4.000 | % | 5/1/37 | 275,000 | 279,825 | |||||||||||
Series 2021, Refunding, AGM | 4.000 | % | 5/1/39 | 300,000 | 301,778 | |||||||||||
Series 2021, Refunding, AGM | 4.000 | % | 5/1/41 | 290,000 | 290,470 | |||||||||||
Series 2021, Refunding, AGM | 4.000 | % | 5/1/46 | 275,000 | 266,534 | |||||||||||
|
| |||||||||||||||
Total Utah | 2,097,322 | |||||||||||||||
|
| |||||||||||||||
Virginia - 0.7% | ||||||||||||||||
Arlington County, VA, IDA Revenue: | ||||||||||||||||
Refunding | 5.000 | % | 2/15/43 | 50,000 | 53,146 | |||||||||||
Virginia Hospital Center, Refunding | 5.000 | % | 7/1/36 | 200,000 | 216,807 | |||||||||||
Virginia State Small Business Financing Authority Revenue: | ||||||||||||||||
National Senior Campuses, Inc., Series A, Refunding | 5.000 | % | 1/1/34 | 85,000 | 90,701 | |||||||||||
Senior Lien, I-495 HOT Lanes Project, Refunding | 5.000 | % | 12/31/47 | 200,000 | 202,754 | (c) | ||||||||||
|
| |||||||||||||||
Total Virginia | 563,408 | |||||||||||||||
|
| |||||||||||||||
Washington - 1.0% | ||||||||||||||||
Port of Seattle, WA, Intermediate Lien Revenue: | ||||||||||||||||
Series 2019 | 5.000 | % | 4/1/34 | 250,000 | 266,998 | (c) | ||||||||||
Series 2022, Refunding | 5.000 | % | 8/1/41 | 250,000 | 265,097 | (c) | ||||||||||
Washington State Health Care Facilities Authority Revenue: | ||||||||||||||||
Commonspirit Health, Series A, Refunding | 5.000 | % | 8/1/44 | 200,000 | 205,914 | |||||||||||
Seattle Cancer Care Alliance, Refunding | 5.000 | % | 9/1/50 | 100,000 | 103,958 | |||||||||||
|
| |||||||||||||||
Total Washington | 841,967 | |||||||||||||||
|
| |||||||||||||||
Wisconsin - 0.8% | ||||||||||||||||
Public Finance Authority, WI, Revenue: | ||||||||||||||||
Carmelite System Inc., Obligated Group, Series 2020, Refunding | 5.000 | % | 1/1/40 | 50,000 | 48,464 | |||||||||||
Cone Health, Series A | 5.000 | % | 10/1/52 | 250,000 | 258,536 | |||||||||||
See Notes to Schedule of Investments.
18 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
Wisconsin - (continued) | ||||||||||||||||
Public Finance Authority, WI, Student Housing Revenue, CHF Wilmington LLC, University of North Carolina at Wilmington Project, AGM | 5.000 | % | 7/1/53 | $ | 100,000 | $ | 102,707 | |||||||||
Wisconsin State HEFA Revenue, Bellin Memorial Hospital Inc., Series A | 5.500 | % | 12/1/52 | 250,000 | 270,232 | |||||||||||
|
| |||||||||||||||
Total Wisconsin | 679,939 | |||||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS | 76,495,008 | |||||||||||||||
|
| |||||||||||||||
| MUNICIPAL BONDS DEPOSITED IN TENDER OPTION BOND TRUST(h) - 1.4% |
| |||||||||||||||
New York - 1.4% | ||||||||||||||||
New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue, Second General Resolution Fiscal 2023, Subseries AA-1 (Cost - $1,073,248) | 5.250 | % | 6/15/52 | 1,000,000 | 1,111,024 | |||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
| 77,606,032 | ||||||||||||||
|
| |||||||||||||||
| SHORT-TERM INVESTMENTS - 6.8% | ||||||||||||||||
| MUNICIPAL BONDS - 6.8% | ||||||||||||||||
Arizona - 0.5% | ||||||||||||||||
Phoenix, AZ, IDA, Health Care Facilities Revenue, Mayo Clinic, Series B, SPA - Northern Trust Co. | 3.850 | % | 11/15/52 | 450,000 | 450,000 | (i)(j) | ||||||||||
|
| |||||||||||||||
Connecticut - 0.6% | ||||||||||||||||
Connecticut State Housing Finance Authority, Housing Mortgage Finance, Series C, SPA - TD Bank N.A. | 3.500 | % | 11/15/48 | 500,000 | 500,000 | (i)(j) | ||||||||||
|
| |||||||||||||||
Delaware - 0.3% | ||||||||||||||||
University of Delaware Revenue, Series 2005, Refunding, SPA - TD Bank N.A. | 3.900 | % | 11/1/35 | 270,000 | 270,000 | (i)(j) | ||||||||||
|
| |||||||||||||||
Georgia - 1.1% | ||||||||||||||||
Bartow County Development Authority, GA, Solid Waste Disposal Facility Revenue, Georgia Power Company Plant Bowen Project | 4.200 | % | 11/1/62 | 950,000 | 950,000 | (c)(i)(j) | ||||||||||
|
| |||||||||||||||
Mississippi - 0.4% | ||||||||||||||||
Mississippi State Business Finance Corp., Gulf Opportunity Zone, IDR, Chevron USA Inc. Project, Series C | 3.850 | % | 12/1/30 | 300,000 | 300,000 | (i)(j) | ||||||||||
|
| |||||||||||||||
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
19 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
(Percentages shown based on Fund net assets)
SECURITY | RATE | MATURITY DATE | FACE AMOUNT | VALUE | ||||||||||||
New York - 1.5% | ||||||||||||||||
New York City, NY, GO: | ||||||||||||||||
Subseries D-4, LOC - TD Bank N.A. | 3.850 | % | 8/1/40 | $ | 600,000 | $ | 600,000 | (i)(j) | ||||||||
Subseries I-4, Refunding, LOC - TD Bank N.A. | 3.850 | % | 4/1/36 | 200,000 | 200,000 | (i)(j) | ||||||||||
New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue, Second General Resolution Fiscal 2014, Series AA-3, Refunding, SPA - TD Bank N.A. | 3.850 | % | 6/15/49 | 400,000 | 400,000 | (i)(j) | ||||||||||
|
| |||||||||||||||
Total New York | 1,200,000 | |||||||||||||||
|
| |||||||||||||||
Ohio - 0.1% | ||||||||||||||||
Ohio State, GO, Common Schools, Series C | 3.400 | % | 6/15/26 | 100,000 | 100,000 | (i)(j) | ||||||||||
|
| |||||||||||||||
Oregon - 2.3% | ||||||||||||||||
Oregon State Facilities Authority Revenue: | ||||||||||||||||
Peacehealth, Series A, Refunding, LOC - U.S. Bank N.A. | 3.920 | % | 8/1/34 | 100,000 | 100,000 | (i)(j) | ||||||||||
Peacehealth, Series B, Refunding, LOC - TD Bank N.A. | 3.900 | % | 8/1/34 | 1,800,000 | 1,800,000 | (i)(j) | ||||||||||
|
| |||||||||||||||
Total Oregon | 1,900,000 | |||||||||||||||
|
| |||||||||||||||
TOTAL MUNICIPAL BONDS | 5,670,000 | |||||||||||||||
|
| |||||||||||||||
| SHARES | ||||||||||||||||
| OVERNIGHT DEPOSITS - 0.0%†† | ||||||||||||||||
BNY Mellon Cash Reserve Fund | 2.250 | % | 10,910 | 10,910 | (k) | |||||||||||
|
| |||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
| 5,680,910 | ||||||||||||||
|
| |||||||||||||||
TOTAL INVESTMENTS - 100.2% |
| 83,286,942 | ||||||||||||||
TOB Floating Rate Notes - (0.8)% | (665,000 | ) | ||||||||||||||
Other Assets in Excess of Other Liabilities - 0.6% | 504,316 | |||||||||||||||
|
| |||||||||||||||
TOTAL NET ASSETS - 100.0% | $ | 83,126,258 | ||||||||||||||
|
| |||||||||||||||
See Notes to Schedule of Investments.
20 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
| †† | Represents less than 0.1%. |
| * | Non-income producing security. |
| (a) | Maturity date shown represents the mandatory tender date. |
| (b) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (c) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (“AMT”). |
| (d) | Pre-Refunded bonds are generally escrowed with U.S. government obligations and/or U.S. government agency securities. |
| (e) | 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. |
| (f) | Securities traded on a when-issued or delayed delivery basis. |
| (g) | The coupon payment on this security is currently in default as of May 31, 2023. |
| (h) | Represents securities deposited into a special purpose entity, referred to as a Tender Option Bond (“TOB”) trust. |
| (i) | Variable rate demand obligations (“VRDOs”) have a demand feature under which the Fund can tender them back to the issuer or liquidity provider on no more than 7 days notice. The interest rate generally resets on a daily or weekly basis and is determined on the specific interest rate reset date by the remarketing agent, pursuant to a formula specified in official documents for the VRDO, or set at the highest rate allowable as specified in official documents for the VRDO. VRDOs are benchmarked to the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index. The SIFMA Municipal Swap Index is compiled from weekly interest rate resets of tax-exempt VRDOs reported to the Municipal Securities Rulemaking Board’s Short-term Obligation Rate Transparency System. |
| (j) | Maturity date shown is the final maturity date. The security may be sold back to the issuer before final maturity. |
| (k) | Rate shown is one-day yield as of the end of the reporting period. |
See Notes to Schedule of Investments.
Western Asset SMASh Series TF Fund 2023 Quarterly Report |
21 |
WESTERN ASSET SMASh SERIES TF FUND
| Schedule of investments (unaudited) (cont’d) | May 31, 2023 |
| Abbreviation(s) used in this schedule: | ||
| AGM | — Assured Guaranty Municipal Corporation - Insured Bonds | |
| BAM | — Build America Mutual - Insured Bonds | |
| CAB | — Capital Appreciation Bonds | |
| CDA | — Communities Development Authority | |
| COP | — Certificates of Participation | |
| CSCE | — Charter School Credit Enhancement | |
| CWA | — Clean Water Act | |
| DFA | — Development Finance Agency | |
| EDA | — Economic Development Authority | |
| EFA | — Educational Facilities Authority | |
| GO | — General Obligation | |
| GTD | — Guaranteed | |
| HDA | — Housing Development Authority | |
| HEFA | — Health & Educational Facilities Authority | |
| IDA | — Industrial Development Authority | |
| IDR | — Industrial Development Revenue | |
| ISD | — Independent School District | |
| LOC | — Letter of Credit | |
| MFA | — Municipal Finance Authority | |
| MTA | — Metropolitan Transportation Authority | |
| NATL | — National Public Finance Guarantee Corporation - Insured Bonds | |
| PEA | — Public Energy Authority | |
| PFA | — Public Facilities Authority | |
| PSF | — Permanent School Fund | |
| SD | — School District | |
| SIFMA | — Securities Industry and Financial Markets Association | |
| SPA | — Standby Bond Purchase Agreement - Insured Bonds | |
| USD | — Unified School District | |
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.
22 | Western Asset SMASh Series TF Fund 2023 Quarterly Report |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset SMASh Series TF Fund (the “Fund”) is a separate non-diversified investment series of Legg Mason Partners Institutional Trust (the “Trust”). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
Shares of the Fund may be purchased only by or on behalf of separately managed account clients where an affiliate of Legg Mason Partners Fund Advisor, LLC (“LMPFA”) has an agreement to serve as investment adviser or subadviser (each affiliate, a “Managed Account Adviser”) to the account with the managed account program sponsor (the “Program Sponsor”) (typically, a registered investment adviser or broker/dealer) or directly with the client. Shareholders of the Fund pay fees to their separately managed account sponsor, some of which are paid to affiliates of LMPFA. LMPFA and the subadviser do not charge investment management fees to the Fund.
The 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. 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.
23 |
Notes to Schedule of Investments (unaudited) (cont’d)
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.
24 |
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 – 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 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†: | ||||||||||||||||
Municipal Bonds | — | $ | 76,495,008 | — | $ | 76,495,008 | ||||||||||
Municipal Bonds Deposited in Tender Option Bond Trust | — | 1,111,024 | — | 1,111,024 | ||||||||||||
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Total Long-Term Investments | — | 77,606,032 | — | 77,606,032 | ||||||||||||
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Short-Term Investments†: | ||||||||||||||||
Municipal Bonds | — | 5,670,000 | — | 5,670,000 | ||||||||||||
Overnight Deposits | — | 10,910 | — | 10,910 | ||||||||||||
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Total Short-Term Investments | — | 5,680,910 | — | 5,680,910 | ||||||||||||
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Total Investments | — | $ | 83,286,942 | — | $ | 83,286,942 | ||||||||||
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| † | See Schedule of Investments for additional detailed categorizations. |
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