# EDGAR Filing Document

**Accession Number:** 0000889512
**File Stem:** 0000940400-26-002297
**Filing Date:** 2026-1
**Character Count:** 187547
**Document Hash:** ae2ddbf2a62da58d92560374f72500ed
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-002297.hdr.sgml**: 20260126

**ACCESSION NUMBER**: 0000940400-26-002297

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251128

**FILED AS OF DATE**: 20260126

**DATE AS OF CHANGE**: 20260126

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LEGG MASON PARTNERS INSTITUTIONAL TRUST
- **CENTRAL INDEX KEY:** 0000889512

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06740
- **FILM NUMBER:** 26559358

**BUSINESS ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 1-877-721-1926

**MAIL ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CITIFUNDS INSTITUTIONAL TRUST
- **DATE OF NAME CHANGE:** 19981030

## Series and Classes Contracts Data

### WESTERN ASSET SMASh SERIES CORE COMPLETION FUND (Series ID: S000069099)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000220869 | SMASh SERIES CORE COMPLETION FUND | WAADX           |

## Nport-Ex

Schedule of Investments (unaudited)

November 30, 2025

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity <br>Date<br>| Face <br>Amount<br>| Value |
| **Mortgage-Backed Securities — 64.8%** | **Mortgage-Backed Securities — 64.8%** | **Mortgage-Backed Securities — 64.8%** | **Mortgage-Backed Securities — 64.8%** | **Mortgage-Backed Securities — 64.8%** |
| *FNMA — 57.7%* | *FNMA — 57.7%* | *FNMA — 57.7%* | *FNMA — 57.7%* | *FNMA — 57.7%* |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 1/1/56 | &nbsp;&nbsp; $7600000<br>| &nbsp;&nbsp;&nbsp; $6187078<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 1/1/56 | &nbsp;&nbsp; 7600000<br>| &nbsp;&nbsp;&nbsp; 6751586<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 1/1/56 | &nbsp;&nbsp; 8000000<br>| &nbsp;&nbsp;&nbsp; 7398141<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 1/1/56 | &nbsp;&nbsp; 7100000<br>| &nbsp;&nbsp;&nbsp; 6760474<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 1/1/56 | &nbsp;&nbsp; 11300000<br>| &nbsp;&nbsp;&nbsp; 11053939<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 1/1/56 | &nbsp;&nbsp; 13600000<br>| &nbsp;&nbsp;&nbsp; 13761879<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 1/1/56 | &nbsp;&nbsp; 10500000<br>| &nbsp;&nbsp;&nbsp; 10749596<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/1/61 | &nbsp;&nbsp; 217787<br>| &nbsp;&nbsp;&nbsp; 180828<br>|
| *Total FNMA* | *Total FNMA* | *Total FNMA* | *Total FNMA* | &nbsp;&nbsp; *62843521* |
| *GNMA — 7.1%* | *GNMA — 7.1%* | *GNMA — 7.1%* | *GNMA — 7.1%* | *GNMA — 7.1%* |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 1/20/53 | &nbsp;&nbsp; 150386<br>| &nbsp;&nbsp;&nbsp; 151474<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 1/20/55 | &nbsp;&nbsp; 1800000<br>| &nbsp;&nbsp;&nbsp; 1759606<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 1/20/56 | &nbsp;&nbsp; 4900000<br>| &nbsp;&nbsp;&nbsp; 4254186<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 1/20/56 | &nbsp;&nbsp; 1500000<br>| &nbsp;&nbsp;&nbsp; 1544002<br> <sup>(a)</sup><br>|
| *Total GNMA* | *Total GNMA* | *Total GNMA* | *Total GNMA* | &nbsp;&nbsp; *7709268* |
| **Total Mortgage-Backed Securities (Cost — $70,193,510)** | **Total Mortgage-Backed Securities (Cost — $70,193,510)** | **Total Mortgage-Backed Securities (Cost — $70,193,510)** | **Total Mortgage-Backed Securities (Cost — $70,193,510)** | &nbsp;&nbsp; **70552789** |
| **Asset-Backed Securities — 30.3%** | **Asset-Backed Securities — 30.3%** | **Asset-Backed Securities — 30.3%** | **Asset-Backed Securities — 30.3%** | **Asset-Backed Securities — 30.3%** |
| &nbsp;&nbsp;&nbsp; AIMCO CLO Ltd., 2024-22A A (3 mo. Term SOFR + 1.500%) | &nbsp;&nbsp; 5.384% | &nbsp;&nbsp; 4/19/37 | &nbsp;&nbsp; 2390000<br>| &nbsp;&nbsp;&nbsp; 2396271<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Apollo Aviation Securitization Equity Trust, 2024-1A A2 | &nbsp;&nbsp; 6.261% | &nbsp;&nbsp; 5/16/49 | &nbsp;&nbsp; 1843393<br>| &nbsp;&nbsp;&nbsp; 1901082<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Barings CLO Ltd., 2024-1A A (3 mo. Term SOFR + 1.630%) | &nbsp;&nbsp; 5.514% | &nbsp;&nbsp; 1/20/37 | &nbsp;&nbsp; 1470000<br>| &nbsp;&nbsp;&nbsp; 1474297<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Birch Grove CLO Ltd., 2024-8A A1 (3 mo. Term SOFR + 1.630%) | &nbsp;&nbsp; 5.514% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1003021<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; CarVal CLO Ltd., 2024-3A A1 (3 mo. Term SOFR + 1.390%) | &nbsp;&nbsp; 5.274% | &nbsp;&nbsp; 10/20/37 | &nbsp;&nbsp; 620000<br>| &nbsp;&nbsp;&nbsp; 621143<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Cent CLO Ltd., 2024-33A A1 (3 mo. Term SOFR + 1.600%) | &nbsp;&nbsp; 5.484% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 2700000<br>| &nbsp;&nbsp;&nbsp; 2708135<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Elevation CLO Ltd., 2025-18A A1 (3 mo. Term SOFR + 1.240%) | &nbsp;&nbsp; 5.124% | &nbsp;&nbsp; 3/28/38 | &nbsp;&nbsp; 810000<br>| &nbsp;&nbsp;&nbsp; 811187<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Elmwood CLO Ltd., 2019-1A A1RR (3 mo. Term SOFR + 1.520%) | &nbsp;&nbsp; 5.404% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 2280000<br>| &nbsp;&nbsp;&nbsp; 2285930<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Empower CLO Ltd., 2024-1A A1 (3 mo. Term SOFR + 1.600%) | &nbsp;&nbsp; 5.458% | &nbsp;&nbsp; 4/25/37 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1003045<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fortress Credit BSL Ltd., 2025-1A A (3 mo. Term SOFR + 1.270%) | &nbsp;&nbsp; 5.154% | &nbsp;&nbsp; 4/20/38 | &nbsp;&nbsp; 430000<br>| &nbsp;&nbsp;&nbsp; 430215<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; HalseyPoint CLO Ltd., 2020-3A A1R (3 mo. Term SOFR + 1.480%) | &nbsp;&nbsp; 5.318% | &nbsp;&nbsp; 7/30/37 | &nbsp;&nbsp; 320000<br>| &nbsp;&nbsp;&nbsp; 320727<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; J.G. Wentworth LLC, 2017-2A B | &nbsp;&nbsp; 5.090% | &nbsp;&nbsp; 9/17/74 | &nbsp;&nbsp; 222732<br>| &nbsp;&nbsp;&nbsp; 204318<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jack in the Box Funding LLC, 2022-1A A2I | &nbsp;&nbsp; 3.445% | &nbsp;&nbsp; 2/26/52 | &nbsp;&nbsp; 1850000<br>| &nbsp;&nbsp;&nbsp; 1802496<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Navient Student Loan Trust, 2014-8 A3 (30 Day Average SOFR + 0.714%) | &nbsp;&nbsp; 4.786% | &nbsp;&nbsp; 5/27/49 | &nbsp;&nbsp; 2191411<br>| &nbsp;&nbsp;&nbsp; 2183685<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Nelnet Student Loan Trust, 2025-AA A1A | &nbsp;&nbsp; 5.070% | &nbsp;&nbsp; 3/15/57 | &nbsp;&nbsp; 1781230<br>| &nbsp;&nbsp;&nbsp; 1814413<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oaktree CLO Ltd., 2024-25A A (3 mo. Term SOFR + 1.550%) | &nbsp;&nbsp; 5.434% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 2560000<br>| &nbsp;&nbsp;&nbsp; 2566642<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ocean Trails CLO Ltd., 2022-12A A1R (3 mo. Term SOFR + 1.330%) | &nbsp;&nbsp; 5.214% | &nbsp;&nbsp; 7/20/35 | &nbsp;&nbsp; 640000<br>| &nbsp;&nbsp;&nbsp; 640817<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Parallel Ltd., 2023-1A A1R (3 mo. Term SOFR + 1.390%) | &nbsp;&nbsp; 5.274% | &nbsp;&nbsp; 7/20/36 | &nbsp;&nbsp; 1530000<br>| &nbsp;&nbsp;&nbsp; 1533025<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2024-D B | &nbsp;&nbsp; 5.860% | &nbsp;&nbsp; 7/15/53 | &nbsp;&nbsp; 1350000<br>| &nbsp;&nbsp;&nbsp; 1394050<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Trinitas CLO Ltd., 2023-25A A1 (3 mo. Term SOFR + 1.850%) | &nbsp;&nbsp; 5.710% | &nbsp;&nbsp; 1/23/37 | &nbsp;&nbsp; 1560000<br>| &nbsp;&nbsp;&nbsp; 1565801<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Trinitas CLO Ltd., 2025-32A A1 (3 mo. Term SOFR + 1.330%) | &nbsp;&nbsp; 5.602% | &nbsp;&nbsp; 7/23/38 | &nbsp;&nbsp; 1320000<br>| &nbsp;&nbsp;&nbsp; 1323692<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; USQ Rail LLC, 2025-1A A | &nbsp;&nbsp; 5.480% | &nbsp;&nbsp; 3/29/55 | &nbsp;&nbsp; 1749283<br>| &nbsp;&nbsp;&nbsp; 1773030<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Vibrant CLO Ltd., 2021-15A A1AR (3 mo. Term SOFR + 1.200%) | &nbsp;&nbsp; 5.084% | &nbsp;&nbsp; 1/20/35 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 250239<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Whitebox CLO Ltd., 2019-1A A1RR (3 mo. Term SOFR + 1.320%) | &nbsp;&nbsp; 5.185% | &nbsp;&nbsp; 7/24/36 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1001330<br> <sup>(b)(c)</sup><br>|
| **Total Asset-Backed Securities (Cost — $32,793,088)** | **Total Asset-Backed Securities (Cost — $32,793,088)** | **Total Asset-Backed Securities (Cost — $32,793,088)** | **Total Asset-Backed Securities (Cost — $32,793,088)** | &nbsp;&nbsp; **33008591** |
| **Collateralized Mortgage Obligations**<sup>(d)</sup> **— 25.0%** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— 25.0%** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— 25.0%** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— 25.0%** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— 25.0%** |
| &nbsp;&nbsp;&nbsp; BANK, 2018-BN10 A5 | &nbsp;&nbsp; 3.688% | &nbsp;&nbsp; 2/15/61 | &nbsp;&nbsp; 1045000<br>| &nbsp;&nbsp;&nbsp; 1034702<br>|
| &nbsp;&nbsp;&nbsp; BF Mortgage Trust, 2019-NYT B (1 mo. Term SOFR + 1.697%) | &nbsp;&nbsp; 5.656% | &nbsp;&nbsp; 12/15/35 | &nbsp;&nbsp; 1250000<br>| &nbsp;&nbsp;&nbsp; 1238519<br> <sup>(b)(c)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2025

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(d)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; BOCA Commercial Mortgage Trust, 2024-BOCA E (1 mo. Term SOFR + <br> 4.437%) | &nbsp;&nbsp; 8.396% | &nbsp;&nbsp; 8/15/41 | &nbsp;&nbsp; $750000<br>| &nbsp;&nbsp;&nbsp; $752120<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BRAVO Residential Funding Trust, 2022-NQM1 A1 | &nbsp;&nbsp; 3.626% | &nbsp;&nbsp; 9/25/61 | &nbsp;&nbsp; 1727012<br>| &nbsp;&nbsp;&nbsp; 1715610<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2022-LP2 A (1 mo. Term SOFR + 1.013%) | &nbsp;&nbsp; 4.972% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 996069<br>| &nbsp;&nbsp;&nbsp; 994780<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2025-COPT A (1 mo. Term SOFR + 1.750%) | &nbsp;&nbsp; 5.709% | &nbsp;&nbsp; 8/15/42 | &nbsp;&nbsp; 2500000<br>| &nbsp;&nbsp;&nbsp; 2506086<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Trust, 2021-BXMF A (1 mo. Term SOFR + 0.750%) | &nbsp;&nbsp; 4.709% | &nbsp;&nbsp; 10/15/26 | &nbsp;&nbsp; 2084217<br>| &nbsp;&nbsp;&nbsp; 2079513<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2020-RPL4 A1 | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 1/25/60 | &nbsp;&nbsp; 707436<br>| &nbsp;&nbsp;&nbsp; 645939<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2022-NQM1 A1 | &nbsp;&nbsp; 2.265% | &nbsp;&nbsp; 11/25/66 | &nbsp;&nbsp; 894355<br>| &nbsp;&nbsp;&nbsp; 825183<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deephaven Residential Mortgage Trust, 2022-1 A1 | &nbsp;&nbsp; 2.205% | &nbsp;&nbsp; 1/25/67 | &nbsp;&nbsp; 946969<br>| &nbsp;&nbsp;&nbsp; 878587<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2022-R04 1M2 (30 <br> Day Average SOFR + 3.100%) | &nbsp;&nbsp; 7.172% | &nbsp;&nbsp; 3/25/42 | &nbsp;&nbsp; 340000<br>| &nbsp;&nbsp;&nbsp; 348832<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-3 IO, IO | &nbsp;&nbsp; 0.640% | &nbsp;&nbsp; 2/16/61 | &nbsp;&nbsp; 4265888<br>| &nbsp;&nbsp;&nbsp; 195472<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust, 2018-MP A | &nbsp;&nbsp; 4.419% | &nbsp;&nbsp; 7/11/40 | &nbsp;&nbsp; 10500000<br>| &nbsp;&nbsp;&nbsp; 9790981<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; MTN Commercial Mortgage Trust, 2022-LPFL A (1 mo. Term SOFR + 1.397%) | &nbsp;&nbsp; 5.357% | &nbsp;&nbsp; 3/15/39 | &nbsp;&nbsp; 2100000<br>| &nbsp;&nbsp;&nbsp; 2102193<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; OBX Trust, 2022-NQM1 A1 | &nbsp;&nbsp; 2.305% | &nbsp;&nbsp; 11/25/61 | &nbsp;&nbsp; 2316912<br>| &nbsp;&nbsp;&nbsp; 2100392<br> <sup>(b)(c)</sup><br>|
| **Total Collateralized Mortgage Obligations (Cost — $28,683,280)** | **Total Collateralized Mortgage Obligations (Cost — $28,683,280)** | **Total Collateralized Mortgage Obligations (Cost — $28,683,280)** | **Total Collateralized Mortgage Obligations (Cost — $28,683,280)** | &nbsp;&nbsp; **27208909** |
| **Corporate Bonds & Notes — 16.9%** | **Corporate Bonds & Notes — 16.9%** | **Corporate Bonds & Notes — 16.9%** | **Corporate Bonds & Notes — 16.9%** | **Corporate Bonds & Notes — 16.9%** |
| **Communication Services — 3.2%** | **Communication Services — 3.2%** | **Communication Services — 3.2%** | **Communication Services — 3.2%** | **Communication Services — 3.2%** |
| *Diversified Telecommunication Services — 0.2%* | *Diversified Telecommunication Services — 0.2%* | *Diversified Telecommunication Services — 0.2%* | *Diversified Telecommunication Services — 0.2%* | *Diversified Telecommunication Services — 0.2%* |
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 2.250% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 44110<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 2.355% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 130000<br>| &nbsp;&nbsp;&nbsp; 114932<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 8/10/33 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 39679<br>|
| *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | &nbsp;&nbsp; *198721* |
| *Entertainment — 0.0%††* | *Entertainment — 0.0%††* | *Entertainment — 0.0%††* | *Entertainment — 0.0%††* | *Entertainment — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | &nbsp;&nbsp; 4.279% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 12000<br>| &nbsp;&nbsp;&nbsp; *10980*<br>|
| *Interactive Media & Services — 0.7%* | *Interactive Media & Services — 0.7%* | *Interactive Media & Services — 0.7%* | *Interactive Media & Services — 0.7%* | *Interactive Media & Services — 0.7%* |
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 5/15/35 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30211<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; 71158<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 11/15/45 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 20463<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 39769<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 11/15/55 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 20346<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 5/15/65 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 39363<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 4.600% | &nbsp;&nbsp; 11/15/32 | &nbsp;&nbsp; 190000<br>| &nbsp;&nbsp;&nbsp; 192896<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 8/15/34 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; 71247<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 50561<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 11/15/45 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; 70064<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 11/15/55 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 49909<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 11/15/65 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 89688<br>|
| *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | &nbsp;&nbsp; *745675* |
| *Media — 1.3%* | *Media — 1.3%* | *Media — 1.3%* | *Media — 1.3%* | *Media — 1.3%* |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 6/1/34 | &nbsp;&nbsp; 630000<br>| &nbsp;&nbsp;&nbsp; 664690<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 5/1/47 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 8395<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 3.969% | &nbsp;&nbsp; 11/1/47 | &nbsp;&nbsp; 320000<br>| &nbsp;&nbsp;&nbsp; 245949<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 3.999% | &nbsp;&nbsp; 11/1/49 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 68070<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| *Media — continued* | *Media — continued* | *Media — continued* | *Media — continued* | *Media — continued* |
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 2.887% | &nbsp;&nbsp; 11/1/51 | &nbsp;&nbsp; $60000<br>| &nbsp;&nbsp;&nbsp; $36330<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 5/15/53 | &nbsp;&nbsp; 310000<br>| &nbsp;&nbsp;&nbsp; 285971<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 10/15/58 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 17125<br>|
| &nbsp;&nbsp;&nbsp; Fox Corp., Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 10/13/33 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 66504<br>|
| *Total Media* | *Total Media* | *Total Media* | *Total Media* | &nbsp;&nbsp; *1393034* |
| *Wireless Telecommunication Services — 1.0%* | *Wireless Telecommunication Services — 1.0%* | *Wireless Telecommunication Services — 1.0%* | *Wireless Telecommunication Services — 1.0%* | *Wireless Telecommunication Services — 1.0%* |
| &nbsp;&nbsp;&nbsp; Rogers Communications Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 50710<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 2.625% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 770000<br>| &nbsp;&nbsp;&nbsp; 734758<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 4/15/30 | &nbsp;&nbsp; 160000<br>| &nbsp;&nbsp;&nbsp; 157643<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 61770<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 11/15/55 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 122376<br>|
| *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | &nbsp;&nbsp; *1127257* |
| **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | &nbsp;&nbsp; **3475667** |
| **Consumer Discretionary — 1.5%** | **Consumer Discretionary — 1.5%** | **Consumer Discretionary — 1.5%** | **Consumer Discretionary — 1.5%** | **Consumer Discretionary — 1.5%** |
| *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* |
| &nbsp;&nbsp;&nbsp; Ford Motor Co., Senior Notes | &nbsp;&nbsp; 6.100% | &nbsp;&nbsp; 8/19/32 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; *61857*<br>|
| *Broadline Retail — 1.0%* | *Broadline Retail — 1.0%* | *Broadline Retail — 1.0%* | *Broadline Retail — 1.0%* | *Broadline Retail — 1.0%* |
| &nbsp;&nbsp;&nbsp; Prosus NV, Senior Notes | &nbsp;&nbsp; 4.027% | &nbsp;&nbsp; 8/3/50 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1130130*<br> <sup>(b)</sup><br>|
| *Hotels, Restaurants & Leisure — 0.4%* | *Hotels, Restaurants & Leisure — 0.4%* | *Hotels, Restaurants & Leisure — 0.4%* | *Hotels, Restaurants & Leisure — 0.4%* | *Hotels, Restaurants & Leisure — 0.4%* |
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 6/15/28 | &nbsp;&nbsp; 160000<br>| &nbsp;&nbsp;&nbsp; 163688<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/29 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 52368<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 6/14/30 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 31488<br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 9/30/31 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 92012<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 2/1/33 | &nbsp;&nbsp; 80000<br>| &nbsp;&nbsp;&nbsp; 82394<br> <sup>(b)</sup><br>|
| *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | &nbsp;&nbsp; *421950* |
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **1613937** |
| **Consumer Staples — 0.9%** | **Consumer Staples — 0.9%** | **Consumer Staples — 0.9%** | **Consumer Staples — 0.9%** | **Consumer Staples — 0.9%** |
| *Food Products — 0.3%* | *Food Products — 0.3%* | *Food Products — 0.3%* | *Food Products — 0.3%* | *Food Products — 0.3%* |
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/32 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 258501<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/1/35 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 62099<br> <sup>(b)</sup><br>|
| *Total Food Products* | *Total Food Products* | *Total Food Products* | *Total Food Products* | &nbsp;&nbsp; *320600* |
| *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Kenvue Inc., Senior Notes | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 3/22/33 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; *30777*<br>|
| *Tobacco — 0.6%* | *Tobacco — 0.6%* | *Tobacco — 0.6%* | *Tobacco — 0.6%* | *Tobacco — 0.6%* |
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 11/1/33 | &nbsp;&nbsp; 220000<br>| &nbsp;&nbsp;&nbsp; 250066<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 8/15/32 | &nbsp;&nbsp; 150000<br>| &nbsp;&nbsp;&nbsp; 156540<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 2/20/34 | &nbsp;&nbsp; 110000<br>| &nbsp;&nbsp;&nbsp; 118443<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 7.081% | &nbsp;&nbsp; 8/2/53 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 11450<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 8/15/55 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10531<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 2/13/29 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30708<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 2/13/31 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10398<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 2/13/34 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 62324<br>|
| *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | &nbsp;&nbsp; *650460* |
| **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | &nbsp;&nbsp; **1001837** |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2025

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Energy — 4.9%** | **Energy — 4.9%** | **Energy — 4.9%** | **Energy — 4.9%** | **Energy — 4.9%** |
| *Oil, Gas & Consumable Fuels — 4.9%* | *Oil, Gas & Consumable Fuels — 4.9%* | *Oil, Gas & Consumable Fuels — 4.9%* | *Oil, Gas & Consumable Fuels — 4.9%* | *Oil, Gas & Consumable Fuels — 4.9%* |
| &nbsp;&nbsp;&nbsp; Cheniere Energy Partners LP, Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 10/30/35 | &nbsp;&nbsp; $50000<br>| &nbsp;&nbsp;&nbsp; $51464<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC, Senior Notes | &nbsp;&nbsp; 6.036% | &nbsp;&nbsp; 11/15/33 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 128914<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC, Senior Notes | &nbsp;&nbsp; 6.544% | &nbsp;&nbsp; 11/15/53 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10817<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 5/28/45 | &nbsp;&nbsp; 1400000<br>| &nbsp;&nbsp;&nbsp; 1059048<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 6.650% | &nbsp;&nbsp; 10/15/34 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 56978<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 2/16/55 | &nbsp;&nbsp; 160000<br>| &nbsp;&nbsp;&nbsp; 158556<br>|
| &nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 82000<br>| &nbsp;&nbsp;&nbsp; 76917<br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 2/1/30 | &nbsp;&nbsp; 240000<br>| &nbsp;&nbsp;&nbsp; 261192<br>|
| &nbsp;&nbsp;&nbsp; Gulfstream Natural Gas System LLC, Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 7/23/35 | &nbsp;&nbsp; 130000<br>| &nbsp;&nbsp;&nbsp; 134038<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; KazMunayGas National Co. JSC, Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 4/19/47 | &nbsp;&nbsp; 440000<br>| &nbsp;&nbsp;&nbsp; 419560<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 11/1/26 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 91047<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.650% | &nbsp;&nbsp; 11/1/28 | &nbsp;&nbsp; 140000<br>| &nbsp;&nbsp;&nbsp; 145457<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 11/1/30 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10563<br>|
| &nbsp;&nbsp;&nbsp; Petroleos del Peru SA, Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 6/19/47 | &nbsp;&nbsp; 1270000<br>| &nbsp;&nbsp;&nbsp; 904488<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Reliance Industries Ltd., Senior Notes | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 1/12/52 | &nbsp;&nbsp; 2430000<br>| &nbsp;&nbsp;&nbsp; 1797862<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Viper Energy Partners LLC, Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 8/1/35 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 51274<br>|
| **Total Energy** | **Total Energy** | **Total Energy** | **Total Energy** | &nbsp;&nbsp; **5358175** |
| **Financials — 1.7%** | **Financials — 1.7%** | **Financials — 1.7%** | **Financials — 1.7%** | **Financials — 1.7%** |
| *Banks — 1.3%* | *Banks — 1.3%* | *Banks — 1.3%* | *Banks — 1.3%* | *Banks — 1.3%* |
| &nbsp;&nbsp;&nbsp; Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury <br> Constant Maturity Rate + 2.000%) | &nbsp;&nbsp; 4.175% | &nbsp;&nbsp; 3/24/28 | &nbsp;&nbsp; 200000<br>| &nbsp;&nbsp;&nbsp; 199884<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year <br> Treasury Constant Maturity Rate + 2.050%) | &nbsp;&nbsp; 4.588% | &nbsp;&nbsp; 5/4/37 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; 205106<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.894% to 12/5/33 then SOFR + 1.866%) | &nbsp;&nbsp; 5.894% | &nbsp;&nbsp; 12/5/34 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 268018<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year <br> Treasury Constant Maturity Rate + 1.420%) | &nbsp;&nbsp; 3.758% | &nbsp;&nbsp; 4/6/33 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 238620<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Subordinated Notes (5.576% to 7/23/35 then SOFR <br> + 1.635%) | &nbsp;&nbsp; 5.576% | &nbsp;&nbsp; 7/23/36 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 125611<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; PNC Financial Services Group Inc., Senior Notes (5.582% to 6/12/28 then <br> SOFR + 1.841%) | &nbsp;&nbsp; 5.582% | &nbsp;&nbsp; 6/12/29 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 124436<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + 2.050%) | &nbsp;&nbsp; 6.047% | &nbsp;&nbsp; 6/8/27 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; 70640<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) | &nbsp;&nbsp; 5.775% | &nbsp;&nbsp; 6/12/29 | &nbsp;&nbsp; 80000<br>| &nbsp;&nbsp;&nbsp; 83265<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) | &nbsp;&nbsp; 5.836% | &nbsp;&nbsp; 6/12/34 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 32206<br> <sup>(c)</sup><br>|
| *Total Banks* | *Total Banks* | *Total Banks* | *Total Banks* | &nbsp;&nbsp; *1347786* |
| *Capital Markets — 0.3%* | *Capital Markets — 0.3%* | *Capital Markets — 0.3%* | *Capital Markets — 0.3%* | *Capital Markets — 0.3%* |
| &nbsp;&nbsp;&nbsp; Charles Schwab Corp., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 8/24/26 | &nbsp;&nbsp; 150000<br>| &nbsp;&nbsp;&nbsp; 151806<br>|
| &nbsp;&nbsp;&nbsp; Charles Schwab Corp., Senior Notes (6.136% to 8/24/33 then SOFR + <br> 2.010%) | &nbsp;&nbsp; 6.136% | &nbsp;&nbsp; 8/24/34 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 32848<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; CI Financial Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/30/29 | &nbsp;&nbsp; 140000<br>| &nbsp;&nbsp;&nbsp; 148786<br> <sup>(b)</sup><br>|
| *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | &nbsp;&nbsp; *333440* |
| *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* |
| &nbsp;&nbsp;&nbsp; Aon North America Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/1/34 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; *104635*<br>|
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **1785861** |
| **Health Care — 1.0%** | **Health Care — 1.0%** | **Health Care — 1.0%** | **Health Care — 1.0%** | **Health Care — 1.0%** |
| *Biotechnology — 0.1%* | *Biotechnology — 0.1%* | *Biotechnology — 0.1%* | *Biotechnology — 0.1%* | *Biotechnology — 0.1%* |
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 3/15/29 | &nbsp;&nbsp; 80000<br>| &nbsp;&nbsp;&nbsp; 82126<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| *Biotechnology — continued* | *Biotechnology — continued* | *Biotechnology — continued* | *Biotechnology — continued* | *Biotechnology — continued* |
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; $40000<br>| &nbsp;&nbsp;&nbsp; $41564<br>|
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 5.050% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 20750<br>|
| *Total Biotechnology* | *Total Biotechnology* | *Total Biotechnology* | *Total Biotechnology* | &nbsp;&nbsp; *144440* |
| *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* |
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 3/1/29 | &nbsp;&nbsp; 35000<br>| &nbsp;&nbsp;&nbsp; 36204<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/13/31 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 94003<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 3/23/34 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 125451<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30814<br>|
| *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | &nbsp;&nbsp; *286472* |
| *Health Care Providers & Services — 0.3%* | *Health Care Providers & Services — 0.3%* | *Health Care Providers & Services — 0.3%* | *Health Care Providers & Services — 0.3%* | *Health Care Providers & Services — 0.3%* |
| &nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | &nbsp;&nbsp; 4.100% | &nbsp;&nbsp; 5/15/32 | &nbsp;&nbsp; 200000<br>| &nbsp;&nbsp;&nbsp; 195371<br>|
| &nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | &nbsp;&nbsp; 4.550% | &nbsp;&nbsp; 5/15/52 | &nbsp;&nbsp; 130000<br>| &nbsp;&nbsp;&nbsp; 109590<br>|
| *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | &nbsp;&nbsp; *304961* |
| *Pharmaceuticals — 0.3%* | *Pharmaceuticals — 0.3%* | *Pharmaceuticals — 0.3%* | *Pharmaceuticals — 0.3%* | *Pharmaceuticals — 0.3%* |
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.100% | &nbsp;&nbsp; 2/22/31 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 52305<br>|
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 2/22/34 | &nbsp;&nbsp; 110000<br>| &nbsp;&nbsp;&nbsp; 115477<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 2/9/34 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 122366<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 4.600% | &nbsp;&nbsp; 8/14/34 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30389<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/9/54 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 19127<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 5.100% | &nbsp;&nbsp; 2/9/64 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 28478<br>|
| *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | &nbsp;&nbsp; *368142* |
| **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | &nbsp;&nbsp; **1104015** |
| **Industrials — 0.6%** | **Industrials — 0.6%** | **Industrials — 0.6%** | **Industrials — 0.6%** | **Industrials — 0.6%** |
| *Aerospace & Defense — 0.4%* | *Aerospace & Defense — 0.4%* | *Aerospace & Defense — 0.4%* | *Aerospace & Defense — 0.4%* | *Aerospace & Defense — 0.4%* |
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 5/1/30 | &nbsp;&nbsp; 190000<br>| &nbsp;&nbsp;&nbsp; 195892<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 6.858% | &nbsp;&nbsp; 5/1/54 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 45619<br>|
| &nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 2/15/64 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 28460<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 64892<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/1/42 | &nbsp;&nbsp; 130000<br>| &nbsp;&nbsp;&nbsp; 118729<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 3.030% | &nbsp;&nbsp; 3/15/52 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 6645<br>|
| *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | &nbsp;&nbsp; *460237* |
| *Commercial Services & Supplies — 0.0%††* | *Commercial Services & Supplies — 0.0%††* | *Commercial Services & Supplies — 0.0%††* | *Commercial Services & Supplies — 0.0%††* | *Commercial Services & Supplies — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Waste Connections Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/34 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; *71830*<br>|
| *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* | *Industrial Conglomerates — 0.1%* |
| &nbsp;&nbsp;&nbsp; Honeywell International Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/35 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; *71885*<br>|
| *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* |
| &nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/1/28 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; *91619*<br>|
| **Total Industrials** | **Total Industrials** | **Total Industrials** | **Total Industrials** | &nbsp;&nbsp; **695571** |
| **Information Technology — 0.4%** | **Information Technology — 0.4%** | **Information Technology — 0.4%** | **Information Technology — 0.4%** | **Information Technology — 0.4%** |
| *Semiconductors & Semiconductor Equipment — 0.4%* | *Semiconductors & Semiconductor Equipment — 0.4%* | *Semiconductors & Semiconductor Equipment — 0.4%* | *Semiconductors & Semiconductor Equipment — 0.4%* | *Semiconductors & Semiconductor Equipment — 0.4%* |
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 7/15/35 | &nbsp;&nbsp; 170000<br>| &nbsp;&nbsp;&nbsp; 177092<br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 2/15/36 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 50137<br>|
| &nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 2/10/30 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 20589<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 2/9/33 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 31966<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 6.050% | &nbsp;&nbsp; 11/1/35 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 107370<br>|
| *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | &nbsp;&nbsp; *387154* |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2025

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| *Software — 0.0%††* | *Software — 0.0%††* | *Software — 0.0%††* | *Software — 0.0%††* | *Software — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 4/1/50 | &nbsp;&nbsp; $90000<br>| &nbsp;&nbsp;&nbsp; $*59594*<br>|
| **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | &nbsp;&nbsp; **446748** |
| **Materials — 2.4%** | **Materials — 2.4%** | **Materials — 2.4%** | **Materials — 2.4%** | **Materials — 2.4%** |
| *Chemicals — 1.3%* | *Chemicals — 1.3%* | *Chemicals — 1.3%* | *Chemicals — 1.3%* | *Chemicals — 1.3%* |
| &nbsp;&nbsp;&nbsp; MEGlobal BV, Senior Notes | &nbsp;&nbsp; 2.625% | &nbsp;&nbsp; 4/28/28 | &nbsp;&nbsp; 1510000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1447032*<br> <sup>(b)</sup><br>|
| *Construction Materials — 0.1%* | *Construction Materials — 0.1%* | *Construction Materials — 0.1%* | *Construction Materials — 0.1%* | *Construction Materials — 0.1%* |
| &nbsp;&nbsp;&nbsp; Amrize Finance US LLC, Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 4/7/30 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 20529<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Amrize Finance US LLC, Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 4/7/35 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 31160<br> <sup>(b)</sup><br>|
| *Total Construction Materials* | *Total Construction Materials* | *Total Construction Materials* | *Total Construction Materials* | &nbsp;&nbsp; *51689* |
| *Metals & Mining — 0.3%* | *Metals & Mining — 0.3%* | *Metals & Mining — 0.3%* | *Metals & Mining — 0.3%* | *Metals & Mining — 0.3%* |
| &nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 11/14/34 | &nbsp;&nbsp; 170000<br>| &nbsp;&nbsp;&nbsp; 176619<br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 5.673% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 126264<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 6.141% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 52572<br> <sup>(b)</sup><br>|
| *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | &nbsp;&nbsp; *355455* |
| *Paper & Forest Products — 0.7%* | *Paper & Forest Products — 0.7%* | *Paper & Forest Products — 0.7%* | *Paper & Forest Products — 0.7%* | *Paper & Forest Products — 0.7%* |
| &nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | &nbsp;&nbsp; 3.125% | &nbsp;&nbsp; 1/15/32 | &nbsp;&nbsp; 840000<br>| &nbsp;&nbsp;&nbsp; *752298*<br>|
| **Total Materials** | **Total Materials** | **Total Materials** | **Total Materials** | &nbsp;&nbsp; **2606474** |
| **Utilities — 0.3%** | **Utilities — 0.3%** | **Utilities — 0.3%** | **Utilities — 0.3%** | **Utilities — 0.3%** |
| *Electric Utilities — 0.3%* | *Electric Utilities — 0.3%* | *Electric Utilities — 0.3%* | *Electric Utilities — 0.3%* | *Electric Utilities — 0.3%* |
| &nbsp;&nbsp;&nbsp; Florida Power & Light Co., First Mortgage Bonds | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 3/15/55 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; 72811<br>|
| &nbsp;&nbsp;&nbsp; Georgia Power Co., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 61982<br>|
| &nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Secured Notes | &nbsp;&nbsp; 5.407% | &nbsp;&nbsp; 10/15/35 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 50096<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oglethorpe Power Corp., First Mortgage Bonds | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 2/1/55 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 60630<br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Secured Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 41155<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Senior Secured Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 41662<br> <sup>(b)</sup><br>|
| **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | &nbsp;&nbsp; **328336** |
| **Total Corporate Bonds & Notes (Cost — $20,432,674)** | **Total Corporate Bonds & Notes (Cost — $20,432,674)** | **Total Corporate Bonds & Notes (Cost — $20,432,674)** | **Total Corporate Bonds & Notes (Cost — $20,432,674)** | &nbsp;&nbsp; **18416621** |
| **U.S. Government & Agency Obligations — 9.5%** | **U.S. Government & Agency Obligations — 9.5%** | **U.S. Government & Agency Obligations — 9.5%** | **U.S. Government & Agency Obligations — 9.5%** | **U.S. Government & Agency Obligations — 9.5%** |
| *U.S. Government Obligations — 9.5%* | *U.S. Government Obligations — 9.5%* | *U.S. Government Obligations — 9.5%* | *U.S. Government Obligations — 9.5%* | *U.S. Government Obligations — 9.5%* |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 2/15/54 | &nbsp;&nbsp; 3370000 | &nbsp;&nbsp;&nbsp; 3139102<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/15/54 | &nbsp;&nbsp; 2350000 | &nbsp;&nbsp;&nbsp; 2189264<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 2/15/55 | &nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp; 29755<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 50000 | &nbsp;&nbsp;&nbsp; 50613<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 4/30/30 | &nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp; 30365<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 6/30/32 | &nbsp;&nbsp; 4790000 | &nbsp;&nbsp;&nbsp; 4858295<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/15/35 | &nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp; 40785<br>|
| **Total U.S. Government & Agency Obligations (Cost — $10,538,544)** | **Total U.S. Government & Agency Obligations (Cost — $10,538,544)** | **Total U.S. Government & Agency Obligations (Cost — $10,538,544)** | **Total U.S. Government & Agency Obligations (Cost — $10,538,544)** | &nbsp;&nbsp; **10338179** |
| **Sovereign Bonds — 4.0%** | **Sovereign Bonds — 4.0%** | **Sovereign Bonds — 4.0%** | **Sovereign Bonds — 4.0%** | **Sovereign Bonds — 4.0%** |
| *Chile — 0.2%* | *Chile — 0.2%* | *Chile — 0.2%* | *Chile — 0.2%* | *Chile — 0.2%* |
| &nbsp;&nbsp;&nbsp; Chile Government International Bond, Senior Notes | &nbsp;&nbsp; 3.100% | &nbsp;&nbsp; 1/22/61 | &nbsp;&nbsp; 340000<br>| &nbsp;&nbsp;&nbsp; *217328*<br>|
| *Israel — 0.8%* | *Israel — 0.8%* | *Israel — 0.8%* | *Israel — 0.8%* | *Israel — 0.8%* |
| &nbsp;&nbsp;&nbsp; State of Israel, Senior Notes | &nbsp;&nbsp; 3.375% | &nbsp;&nbsp; 1/15/50 | &nbsp;&nbsp; 1330000<br>| &nbsp;&nbsp;&nbsp; *913275*<br>|
| *Mexico — 1.1%* | *Mexico — 1.1%* | *Mexico — 1.1%* | *Mexico — 1.1%* | *Mexico — 1.1%* |
| &nbsp;&nbsp;&nbsp; Eagle Funding Luxco Sarl, Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 8/17/30 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1189235*<br> <sup>(b)</sup><br>|
| *Peru — 1.9%* | *Peru — 1.9%* | *Peru — 1.9%* | *Peru — 1.9%* | *Peru — 1.9%* |
| &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 3/30/36 | &nbsp;&nbsp; 860000<br>| &nbsp;&nbsp;&nbsp; 884252<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security |  | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| *Peru — continued* | *Peru — continued* | *Peru — continued* | *Peru — continued* | *Peru — continued* | *Peru — continued* |
| &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp; 3.550% | &nbsp;&nbsp; 3/10/51 | &nbsp;&nbsp; $160000<br>| &nbsp;&nbsp;&nbsp; $114732<br>|
| &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 1/15/72 | &nbsp;&nbsp; 1580000<br>| &nbsp;&nbsp;&nbsp; 1021272<br>|
| *Total Peru* | *Total Peru* | *Total Peru* | *Total Peru* | *Total Peru* | &nbsp;&nbsp; *2020256* |
| **Total Sovereign Bonds (Cost — $5,517,092)** | **Total Sovereign Bonds (Cost — $5,517,092)** | **Total Sovereign Bonds (Cost — $5,517,092)** | **Total Sovereign Bonds (Cost — $5,517,092)** | **Total Sovereign Bonds (Cost — $5,517,092)** | &nbsp;&nbsp; **4340094** |
| **U.S. Treasury Inflation Protected Securities — 1.4%** | **U.S. Treasury Inflation Protected Securities — 1.4%** | **U.S. Treasury Inflation Protected Securities — 1.4%** | **U.S. Treasury Inflation Protected Securities — 1.4%** | **U.S. Treasury Inflation Protected Securities — 1.4%** | **U.S. Treasury Inflation Protected Securities — 1.4%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes, Inflation Indexed (Cost — $1,560,859) | &nbsp;&nbsp;&nbsp; U.S. Treasury Notes, Inflation Indexed (Cost — $1,560,859) | &nbsp;&nbsp; 1.125% | &nbsp;&nbsp; 1/15/33 | &nbsp;&nbsp; 1570162<br>| &nbsp;&nbsp;&nbsp; **1523622**<br>|
|  |  | Expiration <br>Date<br>| Contracts | Notional <br>Amount<br>|  |
| **Purchased Options — 0.6%** | **Purchased Options — 0.6%** | **Purchased Options — 0.6%** | **Purchased Options — 0.6%** | **Purchased Options — 0.6%** | **Purchased Options — 0.6%** |
| **Exchange-Traded Purchased Options — 0.2%** | **Exchange-Traded Purchased Options — 0.2%** | **Exchange-Traded Purchased Options — 0.2%** | **Exchange-Traded Purchased Options — 0.2%** | **Exchange-Traded Purchased Options — 0.2%** | **Exchange-Traded Purchased Options — 0.2%** |
| &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.250 | &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.250 | 12/12/25 | &nbsp;&nbsp; 307 | &nbsp;&nbsp; $767500 | &nbsp;&nbsp;&nbsp; 34537<br>|
| &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.375 | &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.375 | 12/12/25 | &nbsp;&nbsp; 180 | &nbsp;&nbsp; 450000 | &nbsp;&nbsp;&nbsp; 1125<br>|
| &nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $96.750 | &nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $96.750 | 12/12/25 | &nbsp;&nbsp; 257 | &nbsp;&nbsp; 642500 | &nbsp;&nbsp;&nbsp; 3213<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $109.750 | &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $109.750 | 12/5/25 | &nbsp;&nbsp; 172 | &nbsp;&nbsp; 172000 | &nbsp;&nbsp;&nbsp; 25531<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Call @ $113.250 | &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Call @ $113.250 | 12/5/25 | &nbsp;&nbsp; 100 | &nbsp;&nbsp; 100000 | &nbsp;&nbsp;&nbsp; 26562<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Call @ $113.750 | &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Call @ $113.750 | 12/12/25 | &nbsp;&nbsp; 126 | &nbsp;&nbsp; 126000 | &nbsp;&nbsp;&nbsp; 25594<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Put @ $112.500 | &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Put @ $112.500 | 12/5/25 | &nbsp;&nbsp; 150 | &nbsp;&nbsp; 150000 | &nbsp;&nbsp;&nbsp; 2344<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Put @ $113.250 | &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Put @ $113.250 | 12/5/25 | &nbsp;&nbsp; 101 | &nbsp;&nbsp; 101000 | &nbsp;&nbsp;&nbsp; 17359<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $113.500 | &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $113.500 | 12/26/25 | &nbsp;&nbsp; 101 | &nbsp;&nbsp; 101000 | &nbsp;&nbsp;&nbsp; 50500<br>|
| **Total Exchange-Traded Purchased Options (Cost — $529,035)** | **Total Exchange-Traded Purchased Options (Cost — $529,035)** | **Total Exchange-Traded Purchased Options (Cost — $529,035)** | **Total Exchange-Traded Purchased Options (Cost — $529,035)** | **Total Exchange-Traded Purchased Options (Cost — $529,035)** | &nbsp;&nbsp; **186765** |
|  | Counterparty |  |  |  |  |
| **OTC Purchased Options — 0.4%** | **OTC Purchased Options — 0.4%** | **OTC Purchased Options — 0.4%** | **OTC Purchased Options — 0.4%** | **OTC Purchased Options — 0.4%** | **OTC Purchased Options — 0.4%** |
| &nbsp;&nbsp;&nbsp; Interest rate swaption, Call @ 290.000<sup>bps</sup>, payments <br> made by the Fund on Daily SOFR Compound annually, <br> 290.000<sup>bps</sup> payments received by the Fund annually, <br> maturing on 9/29/28 <br>| Goldman Sachs <br> Group Inc.<br>| 9/25/26 | &nbsp;&nbsp; 100030000 | &nbsp;&nbsp; 100030000 | &nbsp;&nbsp;&nbsp; 398814<br>|
| &nbsp;&nbsp;&nbsp; Interest rate swaption, Call @ 290.000<sup>bps</sup>, payments <br> made by the Fund on Daily SOFR Compound annually, <br> 290.000<sup>bps</sup> payments received by the Fund annually, <br> maturing on 9/29/28 <br>| Goldman Sachs <br> Group Inc.<br>| 9/25/26 | &nbsp;&nbsp; 5280000 | &nbsp;&nbsp; 5280000 | &nbsp;&nbsp;&nbsp; 21051<br>|
| **Total OTC Purchased Options (Cost — $429,817)** | **Total OTC Purchased Options (Cost — $429,817)** | **Total OTC Purchased Options (Cost — $429,817)** | **Total OTC Purchased Options (Cost — $429,817)** | **Total OTC Purchased Options (Cost — $429,817)** | &nbsp;&nbsp; **419865** |
| **Total Purchased Options (Cost — $958,852)** | **Total Purchased Options (Cost — $958,852)** | **Total Purchased Options (Cost — $958,852)** | **Total Purchased Options (Cost — $958,852)** | **Total Purchased Options (Cost — $958,852)** | &nbsp;&nbsp; **606630** |
| **Total Investments — 152.5% (Cost — $170,677,899)** | **Total Investments — 152.5% (Cost — $170,677,899)** | **Total Investments — 152.5% (Cost — $170,677,899)** | **Total Investments — 152.5% (Cost — $170,677,899)** | **Total Investments — 152.5% (Cost — $170,677,899)** | &nbsp;&nbsp; **165995435** |
| &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (52.5)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (52.5)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (52.5)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (52.5)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (52.5)% | &nbsp;&nbsp;&nbsp; (57159724)<br>|
| **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | &nbsp;&nbsp; **$108835711** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| †† | Represents less than 0.1%. |
| <sup>(a)</sup> | This security is traded on a to-be-announced ("TBA") basis. At November 30, 2025, the Fund held TBA securities with a total cost of $69,844,135. |
| <sup>(b)</sup> | 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 <br> registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. <br>|
| <sup>(c)</sup> | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published <br> 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 <br> reference rate and spread in their description above.<br>|
| <sup>(d)</sup> | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct <br> 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 <br> more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2025

 **Western Asset SMASh Series Core Completion Fund**

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| CAS |  | Connecticut Avenue Securities |
| CLO |  | Collateralized Loan Obligation |
| IO |  | Interest Only |
| JSC |  | Joint Stock Company |
| SOFR |  | Secured Overnight Financing Rate |

---

At November 30, 2025, the Fund had the following open written options contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** |
| Security | &nbsp;&nbsp;&nbsp; Expiration <br>Date<br>| &nbsp;&nbsp;&nbsp; Strike <br>Price<br>| Contracts | &nbsp;&nbsp;&nbsp; Notional <br>Amount<br>| Value |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/12/25 | &nbsp;&nbsp;&nbsp;&nbsp; $96.563 | &nbsp;&nbsp;&nbsp;&nbsp; 246 | &nbsp;&nbsp;&nbsp;&nbsp; $615000 | &nbsp;&nbsp;&nbsp;&nbsp; $(1538) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/12/25 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;96.750 | &nbsp;&nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp;&nbsp;&nbsp; 767500 | &nbsp;&nbsp;&nbsp;&nbsp; (1919) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 9/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.500 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 265000 | &nbsp;&nbsp;&nbsp;&nbsp; (26500) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.500 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 150000 | &nbsp;&nbsp;&nbsp;&nbsp; (22500) |
| 3-Month SOFR Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 12/12/25 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;95.375 | &nbsp;&nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp;&nbsp;&nbsp; 767500 | &nbsp;&nbsp;&nbsp;&nbsp; (1919) |
| 3-Month SOFR Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 12/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;96.500 | &nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp; 320000 | &nbsp;&nbsp;&nbsp;&nbsp; (33600) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/26/25 | &nbsp;&nbsp;&nbsp;&nbsp;111.000 | &nbsp;&nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp;&nbsp;&nbsp; 214000 | &nbsp;&nbsp;&nbsp;&nbsp; (15047) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/26/25 | &nbsp;&nbsp;&nbsp;&nbsp;115.000 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 200000 | &nbsp;&nbsp;&nbsp;&nbsp; (21875) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/26/25 | &nbsp;&nbsp;&nbsp;&nbsp;115.500 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 200000 | &nbsp;&nbsp;&nbsp;&nbsp; (15625) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/26/25 | &nbsp;&nbsp;&nbsp;&nbsp;116.000 | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 150000 | &nbsp;&nbsp;&nbsp;&nbsp; (7031) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 1/23/26 | &nbsp;&nbsp;&nbsp;&nbsp;115.500 | &nbsp;&nbsp;&nbsp;&nbsp; 202 | &nbsp;&nbsp;&nbsp;&nbsp; 202000 | &nbsp;&nbsp;&nbsp;&nbsp; (44187) |
| U.S. Treasury 10-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 12/26/25 | &nbsp;&nbsp;&nbsp;&nbsp;110.500 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 200000 | &nbsp;&nbsp;&nbsp;&nbsp; (6250) |
| U.S. Treasury Long-Term Bonds Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/26/25 | &nbsp;&nbsp;&nbsp;&nbsp;123.000 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp;&nbsp;&nbsp; (7812) |
| **Total Exchange-Traded Written Options (Premiums received — $683,787)** | **Total Exchange-Traded Written Options (Premiums received — $683,787)** | **Total Exchange-Traded Written Options (Premiums received — $683,787)** | **Total Exchange-Traded Written Options (Premiums received — $683,787)** | **Total Exchange-Traded Written Options (Premiums received — $683,787)** | &nbsp;&nbsp;&nbsp; **(205803)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | |
|:---|:---|:---|:---|:---|
| **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** | **OTC Written Options** |
|  | Counterparty |  |  |  |
| Interest rate swaption, Call, 345.000<sup>bps</sup> <br> payments made by the Fund annually, <br> payments received by the Fund on Daily <br> SOFR Compound annually, maturing on <br> 9/29/36 <br>(Premiums received — $397,037)<br>| Goldman Sachs Group Inc. | &nbsp;&nbsp; 9/25/26<br> 3.450 <br><sup>bps</sup><br>| &nbsp;&nbsp;&nbsp; 23410000 | &nbsp;&nbsp; **$(373020)**<br>|
| **Total Written Options (Premiums received — $1,080,824)** | **Total Written Options (Premiums received — $1,080,824)** | **Total Written Options (Premiums received — $1,080,824)** | **Total Written Options (Premiums received — $1,080,824)** | &nbsp;&nbsp; **$(578823)**<br>|

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| bps | basis points (100 basis points = 1.00%) |
| SOFR | Secured Overnight Financing Rate |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Completion Fund**

At November 30, 2025, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp; <br> Number of <br>Contracts<br>| &nbsp;&nbsp;&nbsp; <br> Expiration <br>Date<br>| &nbsp;&nbsp;&nbsp; <br> Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; <br> Market <br>Value<br>| &nbsp;&nbsp;&nbsp; <br> Unrealized <br>Appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)<br>|
| **Contracts to Buy:** |  |  |  |  |  |
| 1-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; $121775026 | &nbsp;&nbsp;&nbsp;&nbsp; $121780742 | &nbsp;&nbsp;&nbsp;&nbsp; $5716 |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 492 | &nbsp;&nbsp;&nbsp;&nbsp; 3/26 | &nbsp;&nbsp;&nbsp;&nbsp; 118071802 | &nbsp;&nbsp;&nbsp;&nbsp; 118409025 | &nbsp;&nbsp;&nbsp;&nbsp; 337223 |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 252 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 60801829 | &nbsp;&nbsp;&nbsp;&nbsp; 60763500 | &nbsp;&nbsp;&nbsp;&nbsp; (38329) |
| U.S. Treasury 5-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 552 | &nbsp;&nbsp;&nbsp;&nbsp; 3/26 | &nbsp;&nbsp;&nbsp;&nbsp; 60410863 | &nbsp;&nbsp;&nbsp;&nbsp; 60590628 | &nbsp;&nbsp;&nbsp;&nbsp; 179765 |
| U.S. Treasury 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp;&nbsp;&nbsp; 3/26 | &nbsp;&nbsp;&nbsp;&nbsp; 29737987 | &nbsp;&nbsp;&nbsp;&nbsp; 29809406 | &nbsp;&nbsp;&nbsp;&nbsp; 71419 |
| U.S. Treasury Ultra 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp; 3/26 | &nbsp;&nbsp;&nbsp;&nbsp; 27641666 | &nbsp;&nbsp;&nbsp;&nbsp; 27888751 | &nbsp;&nbsp;&nbsp;&nbsp; 247085 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 802879 |
| **Contracts to Sell:** |  |  |  |  |  |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 21594186 | &nbsp;&nbsp;&nbsp;&nbsp; 21576938 | &nbsp;&nbsp;&nbsp;&nbsp; 17248 |
| 30-Day Federal Funds | &nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 121911529 | &nbsp;&nbsp;&nbsp;&nbsp; 121932754 | &nbsp;&nbsp;&nbsp;&nbsp; (21225) |
| U.S. Treasury 2-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp;&nbsp;&nbsp; 3/26 | &nbsp;&nbsp;&nbsp;&nbsp; 84527229 | &nbsp;&nbsp;&nbsp;&nbsp; 84588047 | &nbsp;&nbsp;&nbsp;&nbsp; (60818) |
| U.S. Treasury Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp; 3/26 | &nbsp;&nbsp;&nbsp;&nbsp; 14954779 | &nbsp;&nbsp;&nbsp;&nbsp; 15032000 | &nbsp;&nbsp;&nbsp;&nbsp; (77221) |
| U.S. Treasury Ultra Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 211 | &nbsp;&nbsp;&nbsp;&nbsp; 3/26 | &nbsp;&nbsp;&nbsp;&nbsp; 25220729 | &nbsp;&nbsp;&nbsp;&nbsp; 25517813 | &nbsp;&nbsp;&nbsp;&nbsp; (297084) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (439100) |
| **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | &nbsp;&nbsp;&nbsp; **$363779** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** |
| SOFR |  | Secured Overnight Financing Rate |

---

At November 30, 2025, the Fund had the following open swap contracts:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  |
|  | &nbsp;&nbsp;&nbsp; Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; Payments <br>Received by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Depreciation<br>|
|  | &nbsp;&nbsp;&nbsp;&nbsp; $13170000 | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/30 | &nbsp;&nbsp;&nbsp;&nbsp; 2.452% <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(27435) | &nbsp;&nbsp;&nbsp;&nbsp; $(2887) | &nbsp;&nbsp;&nbsp;&nbsp; $(24548) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 50795000 | &nbsp;&nbsp;&nbsp;&nbsp; 8/31/32 | &nbsp;&nbsp;&nbsp;&nbsp; 3.420% <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; (36824) | &nbsp;&nbsp;&nbsp;&nbsp; 123528 | &nbsp;&nbsp;&nbsp;&nbsp; (160352) |
| **Total** | &nbsp;&nbsp;&nbsp; **$63965000** |  |  |  | &nbsp;&nbsp;&nbsp; **$(64259)** | &nbsp;&nbsp;&nbsp; **$120641** | &nbsp;&nbsp;&nbsp; **$(184900)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  |
| Reference Entity | Notional <br>Amount<sup>2</sup> <br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Periodic <br>Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Depreciation<br>|
| Markit CDX.NA.IG.45 Index | $67663000 | &nbsp;&nbsp;&nbsp;&nbsp; 12/20/30 | 1.000% quarterly | &nbsp;&nbsp;&nbsp; **$(1521980)** | &nbsp;&nbsp;&nbsp; **$(1500753)** | &nbsp;&nbsp;&nbsp; **$(21227)** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

November 30, 2025

 **Western Asset SMASh Series Core Completion Fund**

---

| | |
|:---|:---|
| <sup>1</sup> | 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 <br> from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities <br> 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 <br> recovery value of the referenced obligation or the underlying securities comprising the referenced index.<br>|
| <sup>2</sup> | 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 <br> occurs as defined under the terms of that particular swap agreement.<br>|
| <sup>3</sup> | 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 <br> 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 <br> of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection), when <br> 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 <br> default or other credit event occurring as defined under the terms of the agreement.<br>|
| † | Percentage shown is an annual percentage rate. |

---

Reference rate(s) and their value(s) as of period end used in this table:

---

| | |
|:---|:---|
| Reference Index | Reference <br>Rate<br>|
| &nbsp;&nbsp;&nbsp; Daily SOFR Compound | 4.120% |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** | **Abbreviation(s) used in this table:** |
| SOFR |  | Secured Overnight Financing 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.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Notes to Schedule of Investments (unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. Organization and significant accounting policies** 

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

Shares of the Fund may be purchased only by or on behalf of separately managed account clients where an affiliate of Franklin Templeton Fund Adviser, LLC ("FTFA") 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 FTFA. FTFA and the subadvisers 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 service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund's Board of Trustees (the "Board").

Pursuant to policies adopted by the Board, 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. 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.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

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

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, 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 quarterly.

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

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

• Level 1 — 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: <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; $70552789 | &nbsp;&nbsp; — | &nbsp;&nbsp; $70552789 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 33008591 | &nbsp;&nbsp; — | &nbsp;&nbsp; 33008591 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 27208909 | &nbsp;&nbsp; — | &nbsp;&nbsp; 27208909 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 18416621 | &nbsp;&nbsp; — | &nbsp;&nbsp; 18416621 |
| &nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 10338179 | &nbsp;&nbsp; — | &nbsp;&nbsp; 10338179 |
| &nbsp;&nbsp;&nbsp; Sovereign Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp; 4340094 | &nbsp;&nbsp; — | &nbsp;&nbsp; 4340094 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Inflation Protected Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 1523622 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1523622 |
| &nbsp;&nbsp;&nbsp; Purchased Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Purchased Options | &nbsp;&nbsp; $186765 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 186765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Purchased Options | &nbsp;&nbsp; — | &nbsp;&nbsp; 419865 | &nbsp;&nbsp; — | &nbsp;&nbsp; 419865 |
| **Total Investments** | &nbsp;&nbsp; **$186765** | &nbsp;&nbsp; **$165808670** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$165995435** |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $858456 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $858456 |
| **Total** | &nbsp;&nbsp; **$1045221** | &nbsp;&nbsp; **$165808670** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$166853891** |

---

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Written Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Written Options | &nbsp;&nbsp; $205803 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $205803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Written Options | &nbsp;&nbsp; — | &nbsp;&nbsp; $373020 | &nbsp;&nbsp; — | &nbsp;&nbsp; 373020 |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; 494677 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 494677 |
| &nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† | &nbsp;&nbsp; — | &nbsp;&nbsp; 184900 | &nbsp;&nbsp; — | &nbsp;&nbsp; 184900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Buy <br> Protection††<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 21227 | &nbsp;&nbsp; — | &nbsp;&nbsp; 21227 |
| **Total** | &nbsp;&nbsp; **$700480** | &nbsp;&nbsp; **$579147** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$1279627** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

† See Schedule of Investments for additional detailed categorizations. <br> †† Reflects the unrealized appreciation (depreciation) of the instruments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Legg Mason Partners Institutional Trust

- **b. Investment Company Act file number:** 811-06740

- **c. CIK number of Registrant:** 0000889512

- **d. LEI of Registrant:** 54930003LJE4ZPPMRV82

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** One Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 1-877-656-3863

**Item A.2. Information about the Series.**

- **a. Name of Series:** Western Asset SMASh Series Core Completion Fund

- **b. EDGAR series identifier (if any):** S000069099

- **c. LEI of Series:** 549300HUUQMD5AMJIL20

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-11-28

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $328717121.31

**Total Liabilities:** $220029039.89

**Net Assets:** $108688081.42

**Stand-by Commitments:** $153293576.40

**Cash Not Reported:** $7983069.31

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 46.07000000 | **1-Year:** 7080.02000000 | **5-Year:** 14895.50000000 | **10-Year:** 15914.66000000 | **30-Year:** 2255.95000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 22.89000000 | **10-Year:** 1967.48000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000220869 | 0.75%                | 0.55%                | 0.47%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $810772.58               | $357097.89                                 |
| Month 2  | $-218026.04              | $769806.45                                 |
| Month 3  | $179010.58               | $-172318.56                                |

### Schedule of Portfolio Investments

| Name                                        | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | FED FUND 30DAY                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -304 | NC      | $-21225.09    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |   5280000 | NC      | $21051.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10500000 | PA      | $10749595.71  | 9.89%             | 2056-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -10600000 | PA      | $-10378290.93 | -9.55%            | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10600000 | PA      | $10378290.93  | 9.55%             | 2055-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                     | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41661.89     | 0.04%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $199883.47    | 0.18%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                           | Elevation CLO 2025-18 Ltd                                                       | CUSIP: 28623JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    810000 | PA      | $811187.14    | 0.75%             | 2038-03-28      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52571.61     | 0.05%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                            | Trinitas CLO XXV Ltd                                                            | CUSIP: 89640BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1560000 | PA      | $1565801.33   | 1.44%             | 2037-01-23      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fortress Credit BSL Limited                 | Fortress Credit BSL XXIV Ltd                                                    | CUSIP: 34990BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    430000 | PA      | $430215.22    | 0.40%             | 2038-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                     | Reliance Industries Ltd                                                         | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   2430000 | PA      | $1797862.30   | 1.65%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -307 | NC      | $-1918.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FOX CORP                                    | Fox Corp                                                                        | CUSIP: 35137LAN5<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     60000 | PA      | $66503.93     | 0.06%             | 2033-10-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                              | Barings CLO Ltd 2024-I                                                          | CUSIP: 06763VAA3<br>LEI: 2549005VRCK51O5LRS39 | Long             | ABS-CBDO         | CORP              | KY        |   1470000 | PA      | $1474296.66   | 1.36%             | 2037-01-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                     | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $128913.94    | 0.12%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H062610<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1544002.32   | 1.42%             | 2056-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2025-COPT                                          | CUSIP: 05618XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2506085.50   | 2.31%             | 2042-08-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2022-NQM3                                       | CUSIP: 10569FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1727012 | PA      | $1715610.59   | 1.58%             | 2061-09-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11300000 | PA      | $11053938.77  | 10.17%            | 2056-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2316912 | PA      | $2100392.15   | 1.93%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $56977.60     | 0.05%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -7600000 | PA      | $-6751289.61  | -6.21%            | 2055-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       180 | NC      | $1125.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7600000 | PA      | $6751289.61   | 6.21%             | 2055-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                       | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $104635.41    | 0.10%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    240000 | PA      | $261192.26    | 0.24%             | 2030-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                            | Empower CLO 2024-1 Ltd                                                          | CUSIP: 29244RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1003044.60   | 0.92%             | 2037-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17124.84     | 0.02%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    770000 | PA      | $734758.20    | 0.68%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52305.08     | 0.05%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $238619.96    | 0.22%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10530.98     | 0.01%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $8394.56      | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 6-7 YEAR US TREASURY NOTE WEEK 2                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       126 | NC      | $25593.75     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Student Loan Trust 2014-8                                               | CUSIP: 63939DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2191411 | PA      | $2183685.22   | 2.01%             | 2049-05-27      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4265888 | PA      | $195471.93    | 0.18%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                         | Charles Schwab Corp/The                                                         | CUSIP: 808513CG8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151805.47    | 0.14%             | 2026-08-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61770.12     | 0.06%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CR7<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30389.22     | 0.03%             | 2034-08-14      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52367.73     | 0.05%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     90000 | PA      | $59593.71     | 0.05%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2024-D                                         | CUSIP: 83207QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1394050.10   | 1.28%             | 2053-07-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    110000 | PA      | $115477.08    | 0.11%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                            | Peruvian Government International Bond                                          | CUSIP: 715638DW9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1580000 | PA      | $1021272.50   | 0.94%             | 2072-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.IG.45.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1653547.45  | -1.52%            |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2350000 | PA      | $2189263.67   | 2.01%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    170000 | PA      | $177092.21    | 0.16%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     12000 | PA      | $10980.00     | 0.01%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                         | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    210000 | PA      | $205106.33    | 0.19%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7600000 | PA      | $6187077.46   | 5.69%             | 2056-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    120000 | PA      | $126264.21    | 0.12%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                              | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50561.31     | 0.05%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                  | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30776.74     | 0.03%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                         | Charles Schwab Corp/The                                                         | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32848.43     | 0.03%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                              | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    190000 | PA      | $192896.10    | 0.18%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 6-7 U.S. TREASURY NOTE WEEK 1                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       100 | NC      | $26562.50     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SUZANO AUSTRIA GMBH                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    840000 | PA      | $752297.80    | 0.69%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                            | Georgia Power Co                                                                | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61981.49     | 0.06%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                     | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $10816.62     | 0.01%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                            | Whitebox Clo I Ltd                                                              | CUSIP: 96467FAU4<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1001329.90   | 0.92%             | 2036-07-24      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195370.91    | 0.18%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   1400000 | PA      | $1059047.64   | 0.97%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     80000 | PA      | $83264.96     | 0.08%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    250000 | PA      | $258500.29    | 0.24%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122366.19    | 0.11%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    130000 | PA      | $114931.69    | 0.11%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       552 | NC      | $179764.97    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| MEGLOBAL BV                                 | MEGlobal BV                                                                     | CUSIP: 29441WAD7<br>LEI: 549300WBVLU2FILR7W19 | Long             | DBT              | CORP              | NL        |   1510000 | PA      | $1447032.25   | 1.33%             | 2028-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                       | Amrize Finance US LLC                                                           | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20529.26     | 0.02%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    160000 | PA      | $163688.13    | 0.15%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $30365.04     | 0.03%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                    | Florida Power & Light Co                                                        | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72811.43     | 0.07%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust               | MTN Commercial Mortgage Trust 2022-LPFL                                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2102192.82   | 1.93%             | 2039-03-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                      | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    120000 | PA      | $124435.76    | 0.11%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                       | Micron Technology Inc                                                           | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    100000 | PA      | $107369.64    | 0.10%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -8500000 | PA      | $-8096845.51  | -7.45%            | 2055-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8500000 | PA      | $8096845.51   | 7.45%             | 2055-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -307 | NC      | $-1918.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                      | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32205.95     | 0.03%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                           | Chile Government International Bond                                             | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    340000 | PA      | $217328.00    | 0.20%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    630000 | PA      | $664690.06    | 0.61%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| USQ Rail                                    | USQ Rail IV LLC                                                                 | CUSIP: 90356RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1749283 | PA      | $1773029.64   | 1.63%             | 2055-03-29      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140CF5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20588.77     | 0.02%             | 2030-02-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                       | Oglethorpe Power Corp                                                           | CUSIP: 677050AY2<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60630.48     | 0.06%             | 2055-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $50710.17     | 0.05%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CN6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28477.63     | 0.03%             | 2064-02-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    130000 | PA      | $109590.33    | 0.10%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13600000 | PA      | $13761879.44  | 12.66%            | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -60 | NC      | $-22500.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125610.96    | 0.12%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    170000 | PA      | $176618.86    | 0.16%             | 2034-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     10000 | PA      | $11449.58     | 0.01%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4900000 | PA      | $4254185.34   | 3.91%             | 2056-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $268018.24    | 0.25%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    160000 | PA      | $157642.34    | 0.15%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    190000 | PA      | $195891.36    | 0.18%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0526C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -13600000 | PA      | $-13773567.01 | -12.67%           | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0526C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13600000 | PA      | $13773567.01  | 12.67%            | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust              | BOCA Commercial Mortgage Trust 2024-BOCA                                        | CUSIP: 096817AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $752119.88    | 0.69%             | 2041-08-15      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       240 | NC      | $247084.80    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19126.73     | 0.02%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     10000 | PA      | $6645.27      | 0.01%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                             | Oaktree CLO 2024-25 Ltd                                                         | CUSIP: 67402PAA5<br>LEI: 254900NTZ5OVNC5X7789 | Long             | ABS-CBDO         | CORP              | KY        |   2560000 | PA      | $2566642.43   | 2.36%             | 2037-04-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                           | CI Financial Corp                                                               | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    140000 | PA      | $148785.79    | 0.14%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31488.00     | 0.03%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7600000 | PA      | $6751586.54   | 6.21%             | 2056-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization              | AASET 2024-1                                                                    | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1843393 | PA      | $1901082.06   | 1.75%             | 2049-05-16      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                       | Micron Technology Inc                                                           | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31966.51     | 0.03%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                     | HalseyPoint CLO 3 Ltd                                                           | CUSIP: 40638UAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $320726.69    | 0.30%             | 2037-07-30      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158556.40    | 0.15%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        | 100030000 | NC      | $398813.61    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       101 | NC      | $50500.00     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1570162 | PA      | $1523622.42   | 1.40%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Aimco                                       | AIMCO CLO 22 Ltd                                                                | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2390000 | PA      | $2396270.88   | 2.20%             | 2037-04-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1800000 | PA      | $1759605.46   | 1.62%             | 2055-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36204.14     | 0.03%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                              | CarVal CLO XI C Ltd                                                             | CUSIP: 14688RAA8<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $621142.72    | 0.57%             | 2037-10-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     90000 | PA      | $68069.87     | 0.06%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                             | Vibrant Clo XV Ltd                                                              | CUSIP: 92559EAN1<br>LEI: 5493000EZ05NPI8BXY34 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250239.13    | 0.23%             | 2035-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                              | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70064.37     | 0.06%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44110.13     | 0.04%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $50613.28     | 0.05%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US LONG BOND(CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -128 | NC      | $-77221.12    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    946969 | PA      | $878587.17    | 0.81%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4800000 | PA      | $4084677.74   | 3.76%             | 2055-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -4800000 | PA      | $-4084677.74  | -3.76%            | 2055-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     90000 | PA      | $94002.52     | 0.09%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    110000 | PA      | $118442.61    | 0.11%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62324.30     | 0.06%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAZ0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20462.87     | 0.02%             | 2045-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                          | Elmwood CLO I Ltd                                                               | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2280000 | PA      | $2285929.60   | 2.10%             | 2037-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10563.18     | 0.01%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707436 | PA      | $645938.76    | 0.59%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -200 | NC      | $-21875.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                              | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89687.99     | 0.08%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61856.74     | 0.06%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3370000 | PA      | $3139102.36   | 2.89%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAY3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71157.49     | 0.07%             | 2035-11-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Csmc 2022-Nqm1 Trust                                                            | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894355 | PA      | $825183.33    | 0.76%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                        | Lockheed Martin Corp                                                            | CUSIP: 539830CE7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28460.07     | 0.03%             | 2064-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BJ1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $145456.78    | 0.13%             | 2028-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1800000 | PA      | $1760800.77   | 1.62%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1800000 | PA      | $-1760800.77  | -1.62%            | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                             | State of Israel                                                                 | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   1330000 | PA      | $913274.57    | 0.84%             | 2050-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE WEEK 1                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       172 | NC      | $25531.25     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4790000 | PA      | $4858294.91   | 4.47%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA                       | Petroleos del Peru SA                                                           | CUSIP: 716564AB5<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |   1270000 | PA      | $904487.65    | 0.83%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10398.00     | 0.01%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                       | Amrize Finance US LLC                                                           | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31159.95     | 0.03%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                     | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    440000 | PA      | $419560.22    | 0.39%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                    | Viper Energy Partners LLC                                                       | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51274.25     | 0.05%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51463.72     | 0.05%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040610<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7100000 | PA      | $6760474.02   | 6.22%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                            | Peruvian Government International Bond                                          | CUSIP: 715638FC1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    860000 | PA      | $884252.00    | 0.81%             | 2036-03-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYT Mortgage Trust                          | BF 2019-NYT Mortgage Trust                                                      | CUSIP: 62954PAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1238518.63   | 1.14%             | 2035-12-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       381 | NC      | $79058.25     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Jack in the Box Funding, LLC                | Jack in the Box Funding LLC                                                     | CUSIP: 466365AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1802495.89   | 1.66%             | 2052-02-26      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                    | Eagle Funding Luxco Sarl                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   1170000 | PA      | $1189234.80   | 1.09%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -200 | NC      | $-15625.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 6-7 U.S. TREASURY NOTE WEEK 1                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       150 | NC      | $2343.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -106 | NC      | $-26500.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -405 | NC      | $-60818.04    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -200 | NC      | $-6250.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -150 | NC      | $-7031.26     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | ULTRA U.S. TREASURY BOND                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -211 | NC      | $-297083.78   | -0.27%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | 3 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -90 | NC      | $17248.50     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -128 | NC      | $-33600.00    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -202 | NC      | $-44187.50    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       307 | NC      | $34537.50     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -246 | NC      | $-1537.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | 3 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       252 | NC      | $-38329.20    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -100 | NC      | $-7812.50     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                   | IRS USD                                                                         | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-27434.69    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-36824.10    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        | -23410000 | NC      | $-373019.79   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    130000 | PA      | $118729.23    | 0.11%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122376.25    | 0.11%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30708.48     | 0.03%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                              | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49909.23     | 0.05%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217787 | PA      | $180828.24    | 0.17%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91047.13     | 0.08%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove CLO 8 Ltd                                                           | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1003020.90   | 0.92%             | 2037-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7400640.96   | 6.81%             | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0326C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -8000000 | PA      | $-7400640.96  | -6.81%            | 2055-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30211.42     | 0.03%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | 1 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       304 | NC      | $5716.28      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                        | BANK 2018-BNK10                                                                 | CUSIP: 065404BB0<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |   1045000 | PA      | $1034702.26   | 0.95%             | 2061-02-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Cent CLO LP                                 | Columbia Cent CLO 33 Ltd                                                        | CUSIP: 19737PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2708135.37   | 2.49%             | 2037-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     60000 | PA      | $36330.41     | 0.03%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Parallel Ltd                                | Parallel 2023-1 Ltd                                                             | CUSIP: 69915NAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1530000 | PA      | $1533025.42   | 1.41%             | 2036-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R04                                    | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $348832.15    | 0.32%             | 2042-03-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                            | Ocean Trails CLO XII Ltd                                                        | CUSIP: 67515DAS7<br>LEI: 549300RF4JV7XJ3EV147 | Long             | ABS-CBDO         | CORP              | JE        |    640000 | PA      | $640816.90    | 0.59%             | 2035-07-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996069 | PA      | $994779.65    | 0.92%             | 2039-02-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                     | Honeywell International Inc                                                     | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71884.81     | 0.07%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41564.73     | 0.04%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3600000 | PA      | $2930158.40   | 2.70%             | 2055-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       257 | NC      | $3212.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0206C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -3600000 | PA      | $-2930158.40  | -2.70%            | 2055-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40000 | PA      | $40784.38     | 0.04%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032617<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7398140.96   | 6.81%             | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    310000 | PA      | $285971.36    | 0.26%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39769.19     | 0.04%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-BXMF                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2084217 | PA      | $2079512.83   | 1.91%             | 2026-10-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20749.86     | 0.02%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                          | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10500000 | PA      | $9790981.20   | 9.01%             | 2040-07-11      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     60000 | PA      | $64891.75     | 0.06%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                       | Waste Connections Inc                                                           | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $71830.47     | 0.07%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 6-7 U.S. TREASURY NOTE WEEK 1                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       101 | NC      | $17359.38     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                     | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     40000 | PA      | $41155.20     | 0.04%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    320000 | PA      | $245949.02    | 0.23%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $45619.24     | 0.04%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     60000 | PA      | $62099.28     | 0.06%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBR3<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    220000 | PA      | $250066.11    | 0.23%             | 2033-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATURAL GAS                      | Gulfstream Natural Gas System LLC                                               | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $134038.05    | 0.12%             | 2035-07-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50095.55     | 0.05%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70640.07     | 0.06%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                  | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91618.82     | 0.08%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39362.76     | 0.04%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -214 | NC      | $-15046.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Trinitas CLO Ltd                            | Trinitas CLO XXXII Ltd                                                          | CUSIP: 89642NAA4<br>LEI: 254900KN2E57M5580B74 | Long             | ABS-CBDO         | CORP              | KY        |   1320000 | PA      | $1323691.91   | 1.22%             | 2038-07-23      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                   | Prosus NV                                                                       | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   1610000 | PA      | $1130130.45   | 1.04%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0606C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10500000 | PA      | $10752056.70  | 9.89%             | 2055-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0606C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        | -10500000 | PA      | $-10752056.70 | -9.89%            | 2055-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125451.05    | 0.12%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                              | CUSIP: 30303M8U9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     70000 | PA      | $71246.73     | 0.07%             | 2034-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XXXIX LLC                    | J.G. Wentworth XXXIX LLC                                                        | CUSIP: 46620VAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    222732 | PA      | $204317.77    | 0.19%             | 2074-09-17      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                     | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     80000 | PA      | $82393.99     | 0.08%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KBA4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20346.01     | 0.02%             | 2055-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $29755.08     | 0.03%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | 3 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       492 | NC      | $337223.07    | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39678.67     | 0.04%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150386 | PA      | $151474.19    | 0.14%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82125.94     | 0.08%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2025-A                                                | CUSIP: 64033XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1781231 | PA      | $1814413.41   | 1.67%             | 2057-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50137.21     | 0.05%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                     | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     90000 | PA      | $92012.51     | 0.08%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30814.09     | 0.03%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                            | Peruvian Government International Bond                                          | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    160000 | PA      | $114732.00    | 0.11%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    150000 | PA      | $156540.24    | 0.14%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                           | EOG Resources Inc                                                               | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     82000 | PA      | $76917.19     | 0.07%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-23

**Name of Applicant:** Legg Mason Partners Institutional Trust

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer