# EDGAR Filing Document

**Accession Number:** 0000889512
**File Stem:** 0000940400-25-010358
**Filing Date:** 2025-11
**Character Count:** 341159
**Document Hash:** 39fa1845652db827379874d2a5338cd4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-010358.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0000940400-25-010358

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20251231

**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:** 251519287

**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 Plus Completion Fund (Series ID: S000014683)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000040181 | SMASh Series Core Plus Completion Fund | LMECX           |

## Nport-Ex

Schedule of Investments (unaudited)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp; Face <br>Amount†<br>| Value |
| **Corporate Bonds & Notes — 37.3%** | **Corporate Bonds & Notes — 37.3%** | **Corporate Bonds & Notes — 37.3%** | **Corporate Bonds & Notes — 37.3%** | **Corporate Bonds & Notes — 37.3%** |
| **Communication Services — 5.9%** | **Communication Services — 5.9%** | **Communication Services — 5.9%** | **Communication Services — 5.9%** | **Communication Services — 5.9%** |
| *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; Altice Financing SA, Senior Secured Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 8/15/29 | &nbsp;&nbsp; 1720000<br>| &nbsp;&nbsp;&nbsp; $*1295736*<br> <sup>(a)</sup><br>|
| *Entertainment — 0.3%* | *Entertainment — 0.3%* | *Entertainment — 0.3%* | *Entertainment — 0.3%* | *Entertainment — 0.3%* |
| &nbsp;&nbsp;&nbsp; Flutter Treasury DAC, Senior Secured Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 6/4/31 | &nbsp;&nbsp; 1820000<br>| &nbsp;&nbsp;&nbsp; 1848547<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | &nbsp;&nbsp; 4.279% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 157000<br>| &nbsp;&nbsp;&nbsp; 144047<br>|
| *Total Entertainment* | *Total Entertainment* | *Total Entertainment* | *Total Entertainment* | &nbsp;&nbsp; *1992594* |
| *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* |
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 5/15/35 | &nbsp;&nbsp; 160000<br>| &nbsp;&nbsp;&nbsp; 160209<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 220000<br>| &nbsp;&nbsp;&nbsp; 220644<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 5/15/65 | &nbsp;&nbsp; 240000<br>| &nbsp;&nbsp;&nbsp; 239004<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 8/15/34 | &nbsp;&nbsp; 400000<br>| &nbsp;&nbsp;&nbsp; 405382<br>|
| *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | &nbsp;&nbsp; *1025239* |
| *Media — 2.2%* | *Media — 2.2%* | *Media — 2.2%* | *Media — 2.2%* | *Media — 2.2%* |
| &nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 1780000<br>| &nbsp;&nbsp;&nbsp; 1647598<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 5/1/32 | &nbsp;&nbsp; 2900000<br>| &nbsp;&nbsp;&nbsp; 2641004<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications <br> Operating Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 6/1/34 | &nbsp;&nbsp; 460000<br>| &nbsp;&nbsp;&nbsp; 490398<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications <br> Operating Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 6.484% | &nbsp;&nbsp; 10/23/45 | &nbsp;&nbsp; 1110000<br>| &nbsp;&nbsp;&nbsp; 1097185<br>|
| &nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 6/1/29 | &nbsp;&nbsp; 2620000<br>| &nbsp;&nbsp;&nbsp; 2242759<br>|
| &nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Secured Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 12/1/26 | &nbsp;&nbsp; 2260000<br>| &nbsp;&nbsp;&nbsp; 2222562<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; DISH DBS Corp., Senior Secured Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 12/1/28 | &nbsp;&nbsp; 420000<br>| &nbsp;&nbsp;&nbsp; 402986<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fox Corp., Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 10/13/33 | &nbsp;&nbsp; 1030000<br>| &nbsp;&nbsp;&nbsp; 1134356<br>|
| &nbsp;&nbsp;&nbsp; Fox Corp., Senior Notes | &nbsp;&nbsp; 5.476% | &nbsp;&nbsp; 1/25/39 | &nbsp;&nbsp; 960000<br>| &nbsp;&nbsp;&nbsp; 964094<br>|
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC, Senior Secured Notes | &nbsp;&nbsp; 7.300% | &nbsp;&nbsp; 7/1/38 | &nbsp;&nbsp; 1680000<br>| &nbsp;&nbsp;&nbsp; 1836498<br>|
| &nbsp;&nbsp;&nbsp; Virgin Media Secured Finance PLC, Senior Secured Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 5/15/29 | &nbsp;&nbsp; 1470000<br>| &nbsp;&nbsp;&nbsp; 1454447<br> <sup>(a)</sup><br>|
| *Total Media* | *Total Media* | *Total Media* | *Total Media* | &nbsp;&nbsp; *16133887* |
| *Wireless Telecommunication Services — 3.1%* | *Wireless Telecommunication Services — 3.1%* | *Wireless Telecommunication Services — 3.1%* | *Wireless Telecommunication Services — 3.1%* | *Wireless Telecommunication Services — 3.1%* |
| &nbsp;&nbsp;&nbsp; CSC Holdings LLC, Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 2/1/29 | &nbsp;&nbsp; 5500000<br>| &nbsp;&nbsp;&nbsp; 4069810<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSC Holdings LLC, Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 11/15/31 | &nbsp;&nbsp; 11770000<br>| &nbsp;&nbsp;&nbsp; 7663922<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Rogers Communications Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; 640000<br>| &nbsp;&nbsp;&nbsp; 649483<br>|
| &nbsp;&nbsp;&nbsp; Sprint Capital Corp., Senior Notes | &nbsp;&nbsp; 8.750% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 1930000<br>| &nbsp;&nbsp;&nbsp; 2351887<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 2.625% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 720000<br>| &nbsp;&nbsp;&nbsp; 683502<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/15/31 | &nbsp;&nbsp; 4960000<br>| &nbsp;&nbsp;&nbsp; 4719338<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 760000<br>| &nbsp;&nbsp;&nbsp; 777722<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 2/15/41 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 751857<br>|
| &nbsp;&nbsp;&nbsp; Vmed O2 UK Financing I PLC, Senior Secured Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 7/15/31 | &nbsp;&nbsp; 730000<br>| &nbsp;&nbsp;&nbsp; 687566<br> <sup>(a)</sup><br>|
| *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | &nbsp;&nbsp; *22355087* |
| **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | &nbsp;&nbsp; **42802543** |
| **Consumer Discretionary — 5.3%** | **Consumer Discretionary — 5.3%** | **Consumer Discretionary — 5.3%** | **Consumer Discretionary — 5.3%** | **Consumer Discretionary — 5.3%** |
| *Automobile Components — 0.8%* | *Automobile Components — 0.8%* | *Automobile Components — 0.8%* | *Automobile Components — 0.8%* | *Automobile Components — 0.8%* |
| &nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 3/24/31 | &nbsp;&nbsp; 1340000<br>| &nbsp;&nbsp;&nbsp; 1331714<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; ZF North America Capital Inc., Senior Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 4/23/32 | &nbsp;&nbsp; 4640000<br>| &nbsp;&nbsp;&nbsp; 4445569<br> <sup>(a)</sup><br>|
| *Total Automobile Components* | *Total Automobile Components* | *Total Automobile Components* | *Total Automobile Components* | &nbsp;&nbsp; *5777283* |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Automobiles — 0.5%* | *Automobiles — 0.5%* | *Automobiles — 0.5%* | *Automobiles — 0.5%* | *Automobiles — 0.5%* |
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | &nbsp;&nbsp; 3.375% | &nbsp;&nbsp; 11/13/25 | &nbsp;&nbsp; 830000<br>| &nbsp;&nbsp;&nbsp; $828505<br>|
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 5/28/27 | &nbsp;&nbsp; 1820000<br>| &nbsp;&nbsp;&nbsp; 1817635<br>|
| &nbsp;&nbsp;&nbsp; Ford Motor Credit Co. LLC, Senior Notes | &nbsp;&nbsp; 7.350% | &nbsp;&nbsp; 11/4/27 | &nbsp;&nbsp; 200000<br>| &nbsp;&nbsp;&nbsp; 208633<br>|
| &nbsp;&nbsp;&nbsp; PM General Purchaser LLC, Senior Secured Notes | &nbsp;&nbsp; 9.500% | &nbsp;&nbsp; 10/1/28 | &nbsp;&nbsp; 690000<br>| &nbsp;&nbsp;&nbsp; 598575<br> <sup>(a)</sup><br>|
| *Total Automobiles* | *Total Automobiles* | *Total Automobiles* | *Total Automobiles* | &nbsp;&nbsp; *3453348* |
| *Broadline Retail — 0.3%* | *Broadline Retail — 0.3%* | *Broadline Retail — 0.3%* | *Broadline Retail — 0.3%* | *Broadline Retail — 0.3%* |
| &nbsp;&nbsp;&nbsp; Prosus NV, Senior Notes | &nbsp;&nbsp; 3.061% | &nbsp;&nbsp; 7/13/31 | &nbsp;&nbsp; 2400000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2179944*<br> <sup>(a)</sup><br>|
| *Hotels, Restaurants & Leisure — 3.7%* | *Hotels, Restaurants & Leisure — 3.7%* | *Hotels, Restaurants & Leisure — 3.7%* | *Hotels, Restaurants & Leisure — 3.7%* | *Hotels, Restaurants & Leisure — 3.7%* |
| &nbsp;&nbsp;&nbsp; Caesars Entertainment Inc., Senior Secured Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 2/15/32 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 102061<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 6/15/31 | &nbsp;&nbsp; 6570000<br>| &nbsp;&nbsp;&nbsp; 6736766<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Carnival Corp., Senior Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 2/15/33 | &nbsp;&nbsp; 1550000<br>| &nbsp;&nbsp;&nbsp; 1589782<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hilton Domestic Operating Co. Inc., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 3/15/33 | &nbsp;&nbsp; 1350000<br>| &nbsp;&nbsp;&nbsp; 1379040<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 6/15/28 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1022580<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/29 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10420<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 6/14/30 | &nbsp;&nbsp; 180000<br>| &nbsp;&nbsp;&nbsp; 187531<br>|
| &nbsp;&nbsp;&nbsp; Melco Resorts Finance Ltd., Senior Notes | &nbsp;&nbsp; 7.625% | &nbsp;&nbsp; 4/17/32 | &nbsp;&nbsp; 1070000<br>| &nbsp;&nbsp;&nbsp; 1122528<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Melco Resorts Finance Ltd., Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 9/24/33 | &nbsp;&nbsp; 1110000<br>| &nbsp;&nbsp;&nbsp; 1113652<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NCL Corp. Ltd., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 530000<br>| &nbsp;&nbsp;&nbsp; 530362<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; NCL Corp. Ltd., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 9/15/33 | &nbsp;&nbsp; 300000<br>| &nbsp;&nbsp;&nbsp; 301740<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 9/30/31 | &nbsp;&nbsp; 870000<br>| &nbsp;&nbsp;&nbsp; 887745<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 92943<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 2/1/33 | &nbsp;&nbsp; 2540000<br>| &nbsp;&nbsp;&nbsp; 2605737<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Viking Cruises Ltd., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 1600000<br>| &nbsp;&nbsp;&nbsp; 1609141<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Viking Cruises Ltd., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 10/15/33 | &nbsp;&nbsp; 1960000<br>| &nbsp;&nbsp;&nbsp; 1963825<br> <sup>(a)(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; VOC Escrow Ltd., Senior Secured Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/15/28 | &nbsp;&nbsp; 2640000<br>| &nbsp;&nbsp;&nbsp; 2634758<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes | &nbsp;&nbsp; 7.125% | &nbsp;&nbsp; 2/15/31 | &nbsp;&nbsp; 3080000<br>| &nbsp;&nbsp;&nbsp; 3317686<br> <sup>(a)</sup><br>|
| *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | &nbsp;&nbsp; *27208297* |
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **38618872** |
| **Consumer Staples — 1.8%** | **Consumer Staples — 1.8%** | **Consumer Staples — 1.8%** | **Consumer Staples — 1.8%** | **Consumer Staples — 1.8%** |
| *Consumer Staples Distribution & Retail — 0.0%††* | *Consumer Staples Distribution & Retail — 0.0%††* | *Consumer Staples Distribution & Retail — 0.0%††* | *Consumer Staples Distribution & Retail — 0.0%††* | *Consumer Staples Distribution & Retail — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Kroger Co., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 290000<br>| &nbsp;&nbsp;&nbsp; *292616*<br>|
| *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; 1600000<br>| &nbsp;&nbsp;&nbsp; 1637589<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/1/35 | &nbsp;&nbsp; 280000<br>| &nbsp;&nbsp;&nbsp; 286344<br> <sup>(a)</sup><br>|
| *Total Food Products* | *Total Food Products* | *Total Food Products* | *Total Food Products* | &nbsp;&nbsp; *1923933* |
| *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; 210000<br>| &nbsp;&nbsp;&nbsp; *213561*<br>|
| *Tobacco — 1.5%* | *Tobacco — 1.5%* | *Tobacco — 1.5%* | *Tobacco — 1.5%* | *Tobacco — 1.5%* |
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 2/14/39 | &nbsp;&nbsp; 2040000<br>| &nbsp;&nbsp;&nbsp; 2116633<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 5.950% | &nbsp;&nbsp; 2/14/49 | &nbsp;&nbsp; 3860000<br>| &nbsp;&nbsp;&nbsp; 3947305<br>|
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 6.200% | &nbsp;&nbsp; 2/14/59 | &nbsp;&nbsp; 372000<br>| &nbsp;&nbsp;&nbsp; 386672<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 3.734% | &nbsp;&nbsp; 9/25/40 | &nbsp;&nbsp; 2740000<br>| &nbsp;&nbsp;&nbsp; 2211877<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 7.081% | &nbsp;&nbsp; 8/2/53 | &nbsp;&nbsp; 1619000<br>| &nbsp;&nbsp;&nbsp; 1856901<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; 10354<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Tobacco — continued* | *Tobacco — continued* | *Tobacco — continued* | *Tobacco — continued* | *Tobacco — continued* |
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 2/13/34 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; $216928<br>|
| *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | &nbsp;&nbsp; *10746670* |
| **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | &nbsp;&nbsp; **13176780** |
| **Energy — 7.1%** | **Energy — 7.1%** | **Energy — 7.1%** | **Energy — 7.1%** | **Energy — 7.1%** |
| *Oil, Gas & Consumable Fuels — 7.1%* | *Oil, Gas & Consumable Fuels — 7.1%* | *Oil, Gas & Consumable Fuels — 7.1%* | *Oil, Gas & Consumable Fuels — 7.1%* | *Oil, Gas & Consumable Fuels — 7.1%* |
| &nbsp;&nbsp;&nbsp; Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 7/15/32 | &nbsp;&nbsp; 1330000<br>| &nbsp;&nbsp;&nbsp; 1399711<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cameron LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 3.302% | &nbsp;&nbsp; 1/15/35 | &nbsp;&nbsp; 2640000<br>| &nbsp;&nbsp;&nbsp; 2293591<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cheniere Energy Partners LP, Senior Notes | &nbsp;&nbsp; 3.250% | &nbsp;&nbsp; 1/31/32 | &nbsp;&nbsp; 1390000<br>| &nbsp;&nbsp;&nbsp; 1266828<br>|
| &nbsp;&nbsp;&nbsp; Chord Energy Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 10/1/30 | &nbsp;&nbsp; 1040000<br>| &nbsp;&nbsp;&nbsp; 1033409<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC, Senior Notes | &nbsp;&nbsp; 6.036% | &nbsp;&nbsp; 11/15/33 | &nbsp;&nbsp; 1240000<br>| &nbsp;&nbsp;&nbsp; 1323586<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC, Senior Notes | &nbsp;&nbsp; 6.544% | &nbsp;&nbsp; 11/15/53 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 107356<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Continental Resources Inc., Senior Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 1/15/28 | &nbsp;&nbsp; 2730000<br>| &nbsp;&nbsp;&nbsp; 2713168<br>|
| &nbsp;&nbsp;&nbsp; Crescent Energy Finance LLC, Senior Notes | &nbsp;&nbsp; 7.375% | &nbsp;&nbsp; 1/15/33 | &nbsp;&nbsp; 940000<br>| &nbsp;&nbsp;&nbsp; 915997<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Devon Energy Corp., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 6/15/45 | &nbsp;&nbsp; 540000<br>| &nbsp;&nbsp;&nbsp; 470598<br>|
| &nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 11/2/31 | &nbsp;&nbsp; 2420000<br>| &nbsp;&nbsp;&nbsp; 2172075<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 <br> then 5 year Treasury Constant Maturity Rate + 5.694%) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 11/15/26 | &nbsp;&nbsp; 3170000<br>| &nbsp;&nbsp;&nbsp; 3193173<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then <br> 5 year Treasury Constant Maturity Rate + 5.306%) | &nbsp;&nbsp; 7.125% | &nbsp;&nbsp; 5/15/30 | &nbsp;&nbsp; 6140000<br>| &nbsp;&nbsp;&nbsp; 6356202<br> <sup>(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 6.650% | &nbsp;&nbsp; 10/15/34 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 11367<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 2/16/55 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1186992<br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 10/1/27 | &nbsp;&nbsp; 232000<br>| &nbsp;&nbsp;&nbsp; 230555<br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 1/15/29 | &nbsp;&nbsp; 180000<br>| &nbsp;&nbsp;&nbsp; 182616<br>|
| &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 3/15/30 | &nbsp;&nbsp; 220000<br>| &nbsp;&nbsp;&nbsp; 223729<br>|
| &nbsp;&nbsp;&nbsp; Expand Energy Corp., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 2710000<br>| &nbsp;&nbsp;&nbsp; 2664478<br>|
| &nbsp;&nbsp;&nbsp; Gulfstream Natural Gas System LLC, Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 7/23/35 | &nbsp;&nbsp; 840000<br>| &nbsp;&nbsp;&nbsp; 861139<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; KazMunayGas National Co. JSC, Senior Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 10/24/48 | &nbsp;&nbsp; 960000<br>| &nbsp;&nbsp;&nbsp; 956495<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Kinder Morgan Inc., Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 6/1/45 | &nbsp;&nbsp; 700000<br>| &nbsp;&nbsp;&nbsp; 680457<br>|
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp., Senior Notes | &nbsp;&nbsp; 6.200% | &nbsp;&nbsp; 3/15/40 | &nbsp;&nbsp; 4209000<br>| &nbsp;&nbsp;&nbsp; 4280894<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 11/1/26 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10130<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.650% | &nbsp;&nbsp; 11/1/28 | &nbsp;&nbsp; 1340000<br>| &nbsp;&nbsp;&nbsp; 1390026<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 11/1/30 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10541<br>|
| &nbsp;&nbsp;&nbsp; Permian Resources Operating LLC, Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 2/1/33 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 61162<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Petrobras Global Finance BV, Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 6/10/51 | &nbsp;&nbsp; 1440000<br>| &nbsp;&nbsp;&nbsp; 1186937<br>|
| &nbsp;&nbsp;&nbsp; Range Resources Corp., Senior Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 1/15/29 | &nbsp;&nbsp; 1780000<br>| &nbsp;&nbsp;&nbsp; 1823113<br>|
| &nbsp;&nbsp;&nbsp; Range Resources Corp., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/15/30 | &nbsp;&nbsp; 1910000<br>| &nbsp;&nbsp;&nbsp; 1869702<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp., <br> Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 2/1/31 | &nbsp;&nbsp; 1410000<br>| &nbsp;&nbsp;&nbsp; 1414469<br>|
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP/Targa Resources Partners Finance Corp., <br> Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 1/15/32 | &nbsp;&nbsp; 440000<br>| &nbsp;&nbsp;&nbsp; 417442<br>|
| &nbsp;&nbsp;&nbsp; Venture Global Calcasieu Pass LLC, Senior Secured Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 11/1/33 | &nbsp;&nbsp; 4040000<br>| &nbsp;&nbsp;&nbsp; 3643029<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Venture Global Plaquemines LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/1/33 | &nbsp;&nbsp; 230000<br>| &nbsp;&nbsp;&nbsp; 254296<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Venture Global Plaquemines LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 7.750% | &nbsp;&nbsp; 5/1/35 | &nbsp;&nbsp; 230000<br>| &nbsp;&nbsp;&nbsp; 259747<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Venture Global Plaquemines LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 1/15/36 | &nbsp;&nbsp; 1630000<br>| &nbsp;&nbsp;&nbsp; 1732367<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Viper Energy Partners LLC, Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 8/1/35 | &nbsp;&nbsp; 640000<br>| &nbsp;&nbsp;&nbsp; 651101<br>|
| &nbsp;&nbsp;&nbsp; Western Midstream Operating LP, Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 3/1/48 | &nbsp;&nbsp; 640000<br>| &nbsp;&nbsp;&nbsp; 557388<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* | *Oil, Gas & Consumable Fuels — continued* |
| &nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 2000<br>| &nbsp;&nbsp;&nbsp; $2268<br>|
| &nbsp;&nbsp;&nbsp; Williams Cos. Inc., Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 6/24/44 | &nbsp;&nbsp; 1650000<br>| &nbsp;&nbsp;&nbsp; 1670729<br>|
| **Total Energy** | **Total Energy** | **Total Energy** | **Total Energy** | &nbsp;&nbsp; **51478863** |
| **Financials — 2.1%** | **Financials — 2.1%** | **Financials — 2.1%** | **Financials — 2.1%** | **Financials — 2.1%** |
| *Banks — 1.0%* | *Banks — 1.0%* | *Banks — 1.0%* | *Banks — 1.0%* | *Banks — 1.0%* |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 <br> year Treasury Constant Maturity Rate + 2.050%) | &nbsp;&nbsp; 4.588% | &nbsp;&nbsp; 5/4/37 | &nbsp;&nbsp; 1920000<br>| &nbsp;&nbsp;&nbsp; 1858884<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.894% to 12/5/33 then SOFR + <br> 1.866%) | &nbsp;&nbsp; 5.894% | &nbsp;&nbsp; 12/5/34 | &nbsp;&nbsp; 1740000<br>| &nbsp;&nbsp;&nbsp; 1858120<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Credit Agricole SA, Senior Notes (4.818% to 9/25/32 then SOFR + <br> 1.360%) | &nbsp;&nbsp; 4.818% | &nbsp;&nbsp; 9/25/33 | &nbsp;&nbsp; 580000<br>| &nbsp;&nbsp;&nbsp; 576625<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Chase & Co., Subordinated Notes (5.576% to 7/23/35 then <br> SOFR + 1.635%) | &nbsp;&nbsp; 5.576% | &nbsp;&nbsp; 7/23/36 | &nbsp;&nbsp; 750000<br>| &nbsp;&nbsp;&nbsp; 778055<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; PNC Financial Services Group Inc., Senior Notes (5.582% to 6/12/28 <br> then SOFR + 1.841%) | &nbsp;&nbsp; 5.582% | &nbsp;&nbsp; 6/12/29 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 103641<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Truist Bank, Subordinated Notes (4.632% to 9/17/29 then 5 year <br> Treasury Constant Maturity Rate + 1.150%) | &nbsp;&nbsp; 4.632% | &nbsp;&nbsp; 9/17/29 | &nbsp;&nbsp; 510000<br>| &nbsp;&nbsp;&nbsp; 514161<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + <br> 2.050%) | &nbsp;&nbsp; 6.047% | &nbsp;&nbsp; 6/8/27 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10117<br> <sup>(d)</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; 10000<br>| &nbsp;&nbsp;&nbsp; 10409<br> <sup>(d)</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; 90000<br>| &nbsp;&nbsp;&nbsp; 95933<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term <br> SOFR + 4.502%) | &nbsp;&nbsp; 5.013% | &nbsp;&nbsp; 4/4/51 | &nbsp;&nbsp; 780000<br>| &nbsp;&nbsp;&nbsp; 728903<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co., Subordinated Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 12/7/46 | &nbsp;&nbsp; 960000<br>| &nbsp;&nbsp;&nbsp; 852520<br>|
| *Total Banks* | *Total Banks* | *Total Banks* | *Total Banks* | &nbsp;&nbsp; *7387368* |
| *Capital Markets — 0.4%* | *Capital Markets — 0.4%* | *Capital Markets — 0.4%* | *Capital Markets — 0.4%* | *Capital Markets — 0.4%* |
| &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; 10000<br>| &nbsp;&nbsp;&nbsp; 10898<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CI Financial Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/30/29 | &nbsp;&nbsp; 900000<br>| &nbsp;&nbsp;&nbsp; 959546<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS AG, Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 2/15/28 | &nbsp;&nbsp; 280000<br>| &nbsp;&nbsp;&nbsp; 301519<br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Junior Subordinated Notes (7.750% to 4/12/31 then <br> USD 5 year SOFR ICE Swap Rate + 4.160%) | &nbsp;&nbsp; 7.750% | &nbsp;&nbsp; 4/12/31 | &nbsp;&nbsp; 730000<br>| &nbsp;&nbsp;&nbsp; 789071<br> <sup>(a)(c)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + <br> 5.020%) | &nbsp;&nbsp; 9.016% | &nbsp;&nbsp; 11/15/33 | &nbsp;&nbsp; 390000<br>| &nbsp;&nbsp;&nbsp; 488795<br> <sup>(a)(d)</sup><br>|
| *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | &nbsp;&nbsp; *2549829* |
| *Financial Services — 0.6%* | *Financial Services — 0.6%* | *Financial Services — 0.6%* | *Financial Services — 0.6%* | *Financial Services — 0.6%* |
| &nbsp;&nbsp;&nbsp; Block Inc., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/33 | &nbsp;&nbsp; 1270000<br>| &nbsp;&nbsp;&nbsp; 1301394<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jane Street Group/JSG Finance Inc., Senior Secured Notes | &nbsp;&nbsp; 7.125% | &nbsp;&nbsp; 4/30/31 | &nbsp;&nbsp; 2110000<br>| &nbsp;&nbsp;&nbsp; 2214819<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jane Street Group/JSG Finance Inc., Senior Secured Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 5/1/33 | &nbsp;&nbsp; 910000<br>| &nbsp;&nbsp;&nbsp; 945867<br> <sup>(a)</sup><br>|
| *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | &nbsp;&nbsp; *4462080* |
| *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; 770000<br>| &nbsp;&nbsp;&nbsp; *802437*<br>|
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **15201714** |
| **Health Care — 4.7%** | **Health Care — 4.7%** | **Health Care — 4.7%** | **Health Care — 4.7%** | **Health Care — 4.7%** |
| *Biotechnology — 0.1%* | *Biotechnology — 0.1%* | *Biotechnology — 0.1%* | *Biotechnology — 0.1%* | *Biotechnology — 0.1%* |
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 520000<br>| &nbsp;&nbsp;&nbsp; 537610<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Biotechnology — continued* | *Biotechnology — continued* | *Biotechnology — continued* | *Biotechnology — continued* | *Biotechnology — continued* |
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 5.050% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; $20587<br>|
| *Total Biotechnology* | *Total Biotechnology* | *Total Biotechnology* | *Total Biotechnology* | &nbsp;&nbsp; *558197* |
| *Health Care Equipment & Supplies — 0.8%* | *Health Care Equipment & Supplies — 0.8%* | *Health Care Equipment & Supplies — 0.8%* | *Health Care Equipment & Supplies — 0.8%* | *Health Care Equipment & Supplies — 0.8%* |
| &nbsp;&nbsp;&nbsp; Medline Borrower LP/Medline Co-Issuer Inc., Senior Secured Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 4/1/29 | &nbsp;&nbsp; 2110000<br>| &nbsp;&nbsp;&nbsp; 2166241<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 3/1/29 | &nbsp;&nbsp; 400000<br>| &nbsp;&nbsp;&nbsp; 412880<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/13/31 | &nbsp;&nbsp; 1270000<br>| &nbsp;&nbsp;&nbsp; 1324937<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 3/23/34 | &nbsp;&nbsp; 680000<br>| &nbsp;&nbsp;&nbsp; 708329<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 1023000<br>| &nbsp;&nbsp;&nbsp; 1051646<br>|
| *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | &nbsp;&nbsp; *5664033* |
| *Health Care Providers & Services — 0.4%* | *Health Care Providers & Services — 0.4%* | *Health Care Providers & Services — 0.4%* | *Health Care Providers & Services — 0.4%* | *Health Care Providers & Services — 0.4%* |
| &nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 9/1/30 | &nbsp;&nbsp; 1700000<br>| &nbsp;&nbsp;&nbsp; 1624288<br>|
| &nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 6/15/47 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 19091<br>|
| &nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 11/15/95 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 11142<br>|
| &nbsp;&nbsp;&nbsp; LifePoint Health Inc., Senior Secured Notes | &nbsp;&nbsp; 9.875% | &nbsp;&nbsp; 8/15/30 | &nbsp;&nbsp; 430000<br>| &nbsp;&nbsp;&nbsp; 466201<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; LifePoint Health Inc., Senior Secured Notes | &nbsp;&nbsp; 11.000% | &nbsp;&nbsp; 10/15/30 | &nbsp;&nbsp; 840000<br>| &nbsp;&nbsp;&nbsp; 926862<br> <sup>(a)</sup><br>|
| *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | &nbsp;&nbsp; *3047584* |
| *Pharmaceuticals — 3.4%* | *Pharmaceuticals — 3.4%* | *Pharmaceuticals — 3.4%* | *Pharmaceuticals — 3.4%* | *Pharmaceuticals — 3.4%* |
| &nbsp;&nbsp;&nbsp; 1261229 BC Ltd., Senior Secured Notes | &nbsp;&nbsp; 10.000% | &nbsp;&nbsp; 4/15/32 | &nbsp;&nbsp; 930000<br>| &nbsp;&nbsp;&nbsp; 954033<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bausch Health Americas Inc., Senior Notes | &nbsp;&nbsp; 8.500% | &nbsp;&nbsp; 1/31/27 | &nbsp;&nbsp; 830000<br>| &nbsp;&nbsp;&nbsp; 822489<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bausch Health Cos. Inc., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 3960000<br>| &nbsp;&nbsp;&nbsp; 3095632<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bausch Health Cos. Inc., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 5/30/29 | &nbsp;&nbsp; 280000<br>| &nbsp;&nbsp;&nbsp; 221604<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bausch Health Cos. Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 1/30/30 | &nbsp;&nbsp; 2160000<br>| &nbsp;&nbsp;&nbsp; 1524787<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.100% | &nbsp;&nbsp; 2/22/31 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10402<br>|
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 2/22/34 | &nbsp;&nbsp; 900000<br>| &nbsp;&nbsp;&nbsp; 933640<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 2/9/34 | &nbsp;&nbsp; 310000<br>| &nbsp;&nbsp;&nbsp; 313576<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 4.600% | &nbsp;&nbsp; 8/14/34 | &nbsp;&nbsp; 680000<br>| &nbsp;&nbsp;&nbsp; 682979<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/9/54 | &nbsp;&nbsp; 240000<br>| &nbsp;&nbsp;&nbsp; 227245<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 5.100% | &nbsp;&nbsp; 2/9/64 | &nbsp;&nbsp; 1100000<br>| &nbsp;&nbsp;&nbsp; 1041106<br>|
| &nbsp;&nbsp;&nbsp; Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 5/9/27 | &nbsp;&nbsp; 15311000<br>| &nbsp;&nbsp;&nbsp; 15308754<br>|
| *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | &nbsp;&nbsp; *25136247* |
| **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | &nbsp;&nbsp; **34406061** |
| **Industrials — 5.5%** | **Industrials — 5.5%** | **Industrials — 5.5%** | **Industrials — 5.5%** | **Industrials — 5.5%** |
| *Aerospace & Defense — 1.2%* | *Aerospace & Defense — 1.2%* | *Aerospace & Defense — 1.2%* | *Aerospace & Defense — 1.2%* | *Aerospace & Defense — 1.2%* |
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 5/1/30 | &nbsp;&nbsp; 110000<br>| &nbsp;&nbsp;&nbsp; 112915<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 5.705% | &nbsp;&nbsp; 5/1/40 | &nbsp;&nbsp; 500000<br>| &nbsp;&nbsp;&nbsp; 510491<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 6.858% | &nbsp;&nbsp; 5/1/54 | &nbsp;&nbsp; 490000<br>| &nbsp;&nbsp;&nbsp; 559317<br>|
| &nbsp;&nbsp;&nbsp; Bombardier Inc., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 7/1/31 | &nbsp;&nbsp; 350000<br>| &nbsp;&nbsp;&nbsp; 371449<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bombardier Inc., Senior Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 6/15/33 | &nbsp;&nbsp; 830000<br>| &nbsp;&nbsp;&nbsp; 867191<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 2/15/64 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; 198389<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 910000<br>| &nbsp;&nbsp;&nbsp; 982831<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/1/42 | &nbsp;&nbsp; 1220000<br>| &nbsp;&nbsp;&nbsp; 1103858<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 3.030% | &nbsp;&nbsp; 3/15/52 | &nbsp;&nbsp; 1010000<br>| &nbsp;&nbsp;&nbsp; 666458<br>|
| &nbsp;&nbsp;&nbsp; TransDigm Inc., Senior Secured Notes | &nbsp;&nbsp; 7.125% | &nbsp;&nbsp; 12/1/31 | &nbsp;&nbsp; 3380000<br>| &nbsp;&nbsp;&nbsp; 3529868<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; TransDigm Inc., Senior Secured Notes | &nbsp;&nbsp; 6.625% | &nbsp;&nbsp; 3/1/32 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10308<br> <sup>(a)</sup><br>|
| *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | &nbsp;&nbsp; *8913075* |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Building Products — 0.3%* | *Building Products — 0.3%* | *Building Products — 0.3%* | *Building Products — 0.3%* | *Building Products — 0.3%* |
| &nbsp;&nbsp;&nbsp; Builders FirstSource Inc., Senior Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; $65889<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Builders FirstSource Inc., Senior Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 5/15/35 | &nbsp;&nbsp; 1430000<br>| &nbsp;&nbsp;&nbsp; 1494897<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Quikrete Holdings Inc., Senior Secured Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 3/1/32 | &nbsp;&nbsp; 450000<br>| &nbsp;&nbsp;&nbsp; 466481<br> <sup>(a)</sup><br>|
| *Total Building Products* | *Total Building Products* | *Total Building Products* | *Total Building Products* | &nbsp;&nbsp; *2027267* |
| *Commercial Services & Supplies — 0.5%* | *Commercial Services & Supplies — 0.5%* | *Commercial Services & Supplies — 0.5%* | *Commercial Services & Supplies — 0.5%* | *Commercial Services & Supplies — 0.5%* |
| &nbsp;&nbsp;&nbsp; GFL Environmental Inc., Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 8/1/28 | &nbsp;&nbsp; 470000<br>| &nbsp;&nbsp;&nbsp; 459305<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; GFL Environmental Inc., Senior Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 1200000<br>| &nbsp;&nbsp;&nbsp; 1257205<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; RR Donnelley & Sons Co., Senior Secured Notes | &nbsp;&nbsp; 9.500% | &nbsp;&nbsp; 8/1/29 | &nbsp;&nbsp; 1090000<br>| &nbsp;&nbsp;&nbsp; 1118111<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Waste Connections Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/34 | &nbsp;&nbsp; 380000<br>| &nbsp;&nbsp;&nbsp; 388205<br>|
| *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | &nbsp;&nbsp; *3222826* |
| *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; 980000<br>| &nbsp;&nbsp;&nbsp; *996801*<br>|
| *Passenger Airlines — 1.5%* | *Passenger Airlines — 1.5%* | *Passenger Airlines — 1.5%* | *Passenger Airlines — 1.5%* | *Passenger Airlines — 1.5%* |
| &nbsp;&nbsp;&nbsp; American Airlines Inc., Senior Secured Notes | &nbsp;&nbsp; 8.500% | &nbsp;&nbsp; 5/15/29 | &nbsp;&nbsp; 810000<br>| &nbsp;&nbsp;&nbsp; 845460<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/20/25 | &nbsp;&nbsp; 116750<br>| &nbsp;&nbsp;&nbsp; 116609<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 10/20/28 | &nbsp;&nbsp; 1170000<br>| &nbsp;&nbsp;&nbsp; 1177066<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | &nbsp;&nbsp; 11.000% | &nbsp;&nbsp; 3/12/30 | &nbsp;&nbsp; 3139498<br>| &nbsp;&nbsp;&nbsp; 1,336,233<br> \*<sup>(a)(e)</sup><br>|
| &nbsp;&nbsp;&nbsp; United Airlines Inc., Senior Secured Notes | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 4/15/26 | &nbsp;&nbsp; 3370000<br>| &nbsp;&nbsp;&nbsp; 3367722<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; United Airlines Inc., Senior Secured Notes | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 4/15/29 | &nbsp;&nbsp; 4046000<br>| &nbsp;&nbsp;&nbsp; 3987106<br> <sup>(a)</sup><br>|
| *Total Passenger Airlines* | *Total Passenger Airlines* | *Total Passenger Airlines* | *Total Passenger Airlines* | &nbsp;&nbsp; *10830196* |
| *Trading Companies & Distributors — 1.9%* | *Trading Companies & Distributors — 1.9%* | *Trading Companies & Distributors — 1.9%* | *Trading Companies & Distributors — 1.9%* | *Trading Companies & Distributors — 1.9%* |
| &nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/1/28 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10184<br>|
| &nbsp;&nbsp;&nbsp; Herc Holdings Inc., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 6/15/30 | &nbsp;&nbsp; 600000<br>| &nbsp;&nbsp;&nbsp; 623725<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Herc Holdings Inc., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 6/15/33 | &nbsp;&nbsp; 600000<br>| &nbsp;&nbsp;&nbsp; 626818<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; QXO Building Products Inc., Senior Secured Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 4/30/32 | &nbsp;&nbsp; 1630000<br>| &nbsp;&nbsp;&nbsp; 1691771<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; United Rentals North America Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 1/15/28 | &nbsp;&nbsp; 6940000<br>| &nbsp;&nbsp;&nbsp; 6924818<br>|
| &nbsp;&nbsp;&nbsp; United Rentals North America Inc., Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 1/15/32 | &nbsp;&nbsp; 4220000<br>| &nbsp;&nbsp;&nbsp; 3912451<br>|
| &nbsp;&nbsp;&nbsp; United Rentals North America Inc., Senior Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 104107<br> <sup>(a)</sup><br>|
| *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | &nbsp;&nbsp; *13893874* |
| **Total Industrials** | **Total Industrials** | **Total Industrials** | **Total Industrials** | &nbsp;&nbsp; **39884039** |
| **Information Technology — 1.3%** | **Information Technology — 1.3%** | **Information Technology — 1.3%** | **Information Technology — 1.3%** | **Information Technology — 1.3%** |
| *Communications Equipment — 0.5%* | *Communications Equipment — 0.5%* | *Communications Equipment — 0.5%* | *Communications Equipment — 0.5%* | *Communications Equipment — 0.5%* |
| &nbsp;&nbsp;&nbsp; CommScope LLC, Senior Secured Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 9/1/29 | &nbsp;&nbsp; 1508000<br>| &nbsp;&nbsp;&nbsp; 1500204<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; CommScope Technologies LLC, Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/15/27 | &nbsp;&nbsp; 2000000<br>| &nbsp;&nbsp;&nbsp; 1986003<br> <sup>(a)</sup><br>|
| *Total Communications Equipment* | *Total Communications Equipment* | *Total Communications Equipment* | *Total Communications Equipment* | &nbsp;&nbsp; *3486207* |
| *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* | *Electronic Equipment, Instruments & Components — 0.0%††* |
| &nbsp;&nbsp;&nbsp; EquipmentShare.com Inc., Senior Secured Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 3/15/33 | &nbsp;&nbsp; 220000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *235322*<br> <sup>(a)</sup><br>|
| *Semiconductors & Semiconductor Equipment — 0.5%* | *Semiconductors & Semiconductor Equipment — 0.5%* | *Semiconductors & Semiconductor Equipment — 0.5%* | *Semiconductors & Semiconductor Equipment — 0.5%* | *Semiconductors & Semiconductor Equipment — 0.5%* |
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 7/15/35 | &nbsp;&nbsp; 1070000<br>| &nbsp;&nbsp;&nbsp; 1103157<br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 2/15/36 | &nbsp;&nbsp; 310000<br>| &nbsp;&nbsp;&nbsp; 309179<br>|
| &nbsp;&nbsp;&nbsp; Foundry JV Holdco LLC, Senior Secured Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 1/25/34 | &nbsp;&nbsp; 1090000<br>| &nbsp;&nbsp;&nbsp; 1136618<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 2/10/53 | &nbsp;&nbsp; 320000<br>| &nbsp;&nbsp;&nbsp; 309673<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 6.050% | &nbsp;&nbsp; 11/1/35 | &nbsp;&nbsp; 750000<br>| &nbsp;&nbsp;&nbsp; 801773<br>|
| *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | &nbsp;&nbsp; *3660400* |
| *Software — 0.3%* | *Software — 0.3%* | *Software — 0.3%* | *Software — 0.3%* | *Software — 0.3%* |
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 4/1/50 | &nbsp;&nbsp; 1090000<br>| &nbsp;&nbsp;&nbsp; 767866<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Software — continued* | *Software — continued* | *Software — continued* | *Software — continued* | *Software — continued* |
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 4.850% | &nbsp;&nbsp; 4/1/30 | &nbsp;&nbsp; 270000<br>| &nbsp;&nbsp;&nbsp; $275100<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/1/32 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; 214668<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 180000<br>| &nbsp;&nbsp;&nbsp; 183177<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 360000<br>| &nbsp;&nbsp;&nbsp; 363581<br>|
| *Total Software* | *Total Software* | *Total Software* | *Total Software* | &nbsp;&nbsp; *1804392* |
| **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | &nbsp;&nbsp; **9186321** |
| **Materials — 2.5%** | **Materials — 2.5%** | **Materials — 2.5%** | **Materials — 2.5%** | **Materials — 2.5%** |
| *Chemicals — 0.4%* | *Chemicals — 0.4%* | *Chemicals — 0.4%* | *Chemicals — 0.4%* | *Chemicals — 0.4%* |
| &nbsp;&nbsp;&nbsp; OCP SA, Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 6/23/51 | &nbsp;&nbsp; 3630000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *3037856*<br> <sup>(a)</sup><br>|
| *Construction Materials — 0.0%††* | *Construction Materials — 0.0%††* | *Construction Materials — 0.0%††* | *Construction Materials — 0.0%††* | *Construction Materials — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Amrize Finance US LLC, Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 4/7/30 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 102255<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Amrize Finance US LLC, Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 4/7/35 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; 216457<br> <sup>(a)</sup><br>|
| *Total Construction Materials* | *Total Construction Materials* | *Total Construction Materials* | *Total Construction Materials* | &nbsp;&nbsp; *318712* |
| *Metals & Mining — 1.8%* | *Metals & Mining — 1.8%* | *Metals & Mining — 1.8%* | *Metals & Mining — 1.8%* | *Metals & Mining — 1.8%* |
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Secured Notes | &nbsp;&nbsp; 9.375% | &nbsp;&nbsp; 3/1/29 | &nbsp;&nbsp; 1310000<br>| &nbsp;&nbsp;&nbsp; 1390008<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 3/1/33 | &nbsp;&nbsp; 2230000<br>| &nbsp;&nbsp;&nbsp; 2357348<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; 1540000<br>| &nbsp;&nbsp;&nbsp; 1593312<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 8/1/30 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp; 1595219<br>|
| &nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/15/43 | &nbsp;&nbsp; 3930000<br>| &nbsp;&nbsp;&nbsp; 3787618<br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 5.673% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 790000<br>| &nbsp;&nbsp;&nbsp; 821509<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 6.141% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 340000<br>| &nbsp;&nbsp;&nbsp; 355761<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Teck Resources Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/40 | &nbsp;&nbsp; 240000<br>| &nbsp;&nbsp;&nbsp; 247111<br>|
| &nbsp;&nbsp;&nbsp; Vale Canada Ltd., Senior Notes | &nbsp;&nbsp; 7.200% | &nbsp;&nbsp; 9/15/32 | &nbsp;&nbsp; 614000<br>| &nbsp;&nbsp;&nbsp; 682756<br>|
| *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | &nbsp;&nbsp; *12830642* |
| *Paper & Forest Products — 0.3%* | *Paper & Forest Products — 0.3%* | *Paper & Forest Products — 0.3%* | *Paper & Forest Products — 0.3%* | *Paper & Forest Products — 0.3%* |
| &nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 2390000<br>| &nbsp;&nbsp;&nbsp; *2264054*<br>|
| **Total Materials** | **Total Materials** | **Total Materials** | **Total Materials** | &nbsp;&nbsp; **18451264** |
| **Real Estate — 0.2%** | **Real Estate — 0.2%** | **Real Estate — 0.2%** | **Real Estate — 0.2%** | **Real Estate — 0.2%** |
| *Diversified REITs — 0.0%††* | *Diversified REITs — 0.0%††* | *Diversified REITs — 0.0%††* | *Diversified REITs — 0.0%††* | *Diversified REITs — 0.0%††* |
| &nbsp;&nbsp;&nbsp; VICI Properties LP/VICI Note Co. Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 1/15/28 | &nbsp;&nbsp; 5000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *4995*<br> <sup>(a)</sup><br>|
| *Specialized REITs — 0.2%* | *Specialized REITs — 0.2%* | *Specialized REITs — 0.2%* | *Specialized REITs — 0.2%* | *Specialized REITs — 0.2%* |
| &nbsp;&nbsp;&nbsp; Millrose Properties Inc., Senior Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 8/1/30 | &nbsp;&nbsp; 1130000<br>| &nbsp;&nbsp;&nbsp; 1150069<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Millrose Properties Inc., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 9/15/32 | &nbsp;&nbsp; 330000<br>| &nbsp;&nbsp;&nbsp; 331069<br> <sup>(a)</sup><br>|
| *Total Specialized REITs* | *Total Specialized REITs* | *Total Specialized REITs* | *Total Specialized REITs* | &nbsp;&nbsp; *1481138* |
| **Total Real Estate** | **Total Real Estate** | **Total Real Estate** | **Total Real Estate** | &nbsp;&nbsp; **1486133** |
| **Utilities — 0.9%** | **Utilities — 0.9%** | **Utilities — 0.9%** | **Utilities — 0.9%** | **Utilities — 0.9%** |
| *Electric Utilities — 0.9%* | *Electric Utilities — 0.9%* | *Electric Utilities — 0.9%* | *Electric Utilities — 0.9%* | *Electric Utilities — 0.9%* |
| &nbsp;&nbsp;&nbsp; Florida Power & Light Co., First Mortgage Bonds | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 3/15/55 | &nbsp;&nbsp; 360000<br>| &nbsp;&nbsp;&nbsp; 373622<br>|
| &nbsp;&nbsp;&nbsp; Georgia Power Co., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 370000<br>| &nbsp;&nbsp;&nbsp; 379417<br>|
| &nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 1/15/34 | &nbsp;&nbsp; 740000<br>| &nbsp;&nbsp;&nbsp; 739707<br> <sup>(a)(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 1/15/36 | &nbsp;&nbsp; 3640000<br>| &nbsp;&nbsp;&nbsp; 3642798<br> <sup>(a)(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRG Energy Inc., Senior Secured Notes | &nbsp;&nbsp; 5.407% | &nbsp;&nbsp; 10/15/35 | &nbsp;&nbsp; 290000<br>| &nbsp;&nbsp;&nbsp; 291168<br> <sup>(a)(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oglethorpe Power Corp., First Mortgage Bonds | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 2/1/55 | &nbsp;&nbsp; 390000<br>| &nbsp;&nbsp;&nbsp; 395057<br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Secured Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 160000<br>| &nbsp;&nbsp;&nbsp; 164976<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Senior Secured Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 200000<br>| &nbsp;&nbsp;&nbsp; 206986<br> <sup>(a)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Electric Utilities — continued* | *Electric Utilities — continued* | *Electric Utilities — continued* | *Electric Utilities — continued* | *Electric Utilities — continued* |
| &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC, Senior Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 4/15/32 | &nbsp;&nbsp; 140000<br>| &nbsp;&nbsp;&nbsp; $146525<br> <sup>(a)</sup><br>|
| *Total Electric Utilities* | *Total Electric Utilities* | *Total Electric Utilities* | *Total Electric Utilities* | &nbsp;&nbsp; *6340256* |
| *Independent Power and Renewable Electricity Producers — 0.0%††* | *Independent Power and Renewable Electricity Producers — 0.0%††* | *Independent Power and Renewable Electricity Producers — 0.0%††* | *Independent Power and Renewable Electricity Producers — 0.0%††* | *Independent Power and Renewable Electricity Producers — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Lightning Power LLC, Senior Secured Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 8/15/32 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *222483*<br> <sup>(a)</sup><br>|
| **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | &nbsp;&nbsp; **6562739** |
| **Total Corporate Bonds & Notes (Cost — $279,526,463)** | **Total Corporate Bonds & Notes (Cost — $279,526,463)** | **Total Corporate Bonds & Notes (Cost — $279,526,463)** | **Total Corporate Bonds & Notes (Cost — $279,526,463)** | &nbsp;&nbsp; **271255329** |
| **Mortgage-Backed Securities — 30.3%** | **Mortgage-Backed Securities — 30.3%** | **Mortgage-Backed Securities — 30.3%** | **Mortgage-Backed Securities — 30.3%** | **Mortgage-Backed Securities — 30.3%** |
| *FNMA — 26.0%* | *FNMA — 26.0%* | *FNMA — 26.0%* | *FNMA — 26.0%* | *FNMA — 26.0%* |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 10/1/40 | &nbsp;&nbsp; 22000000<br>| &nbsp;&nbsp;&nbsp; 22230032<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 97500000 | &nbsp;&nbsp;&nbsp; 78607728<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 40500000 | &nbsp;&nbsp;&nbsp; 34127410<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 13400000 | &nbsp;&nbsp;&nbsp; 11772083<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 6700000 | &nbsp;&nbsp;&nbsp; 6315399<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 8900000<br>| &nbsp;&nbsp;&nbsp; 8633821<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 10/1/55 | &nbsp;&nbsp; 26900000<br>| &nbsp;&nbsp;&nbsp; 27125805<br> <sup>(f)</sup><br>|
| *Total FNMA* | *Total FNMA* | *Total FNMA* | *Total FNMA* | &nbsp;&nbsp; *188812278* |
| *GNMA — 4.3%* | *GNMA — 4.3%* | *GNMA — 4.3%* | *GNMA — 4.3%* | *GNMA — 4.3%* |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 10/20/55 | &nbsp;&nbsp; 16600000<br>| &nbsp;&nbsp;&nbsp; 16100575<br> <sup>(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 10/20/55 | &nbsp;&nbsp; 15200000 | &nbsp;&nbsp;&nbsp; 15121774<br> <sup>(f)</sup><br>|
| *Total GNMA* | *Total GNMA* | *Total GNMA* | *Total GNMA* | &nbsp;&nbsp; *31222349* |
| **Total Mortgage-Backed Securities (Cost — $220,076,294)** | **Total Mortgage-Backed Securities (Cost — $220,076,294)** | **Total Mortgage-Backed Securities (Cost — $220,076,294)** | **Total Mortgage-Backed Securities (Cost — $220,076,294)** | &nbsp;&nbsp; **220034627** |
| **Collateralized Mortgage Obligations**<sup>(g)</sup> **— 21.9%** | **Collateralized Mortgage Obligations**<sup>(g)</sup> **— 21.9%** | **Collateralized Mortgage Obligations**<sup>(g)</sup> **— 21.9%** | **Collateralized Mortgage Obligations**<sup>(g)</sup> **— 21.9%** | **Collateralized Mortgage Obligations**<sup>(g)</sup> **— 21.9%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2007-OA8 1A1 (1 mo. Term SOFR + 0.474%) | &nbsp;&nbsp; 4.632% | &nbsp;&nbsp; 6/25/47 | &nbsp;&nbsp; 2316384<br>| &nbsp;&nbsp;&nbsp; 2029393<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Corp., 2015-R3 1A2 | &nbsp;&nbsp; 3.449% | &nbsp;&nbsp; 3/27/36 | &nbsp;&nbsp; 11687273<br>| &nbsp;&nbsp;&nbsp; 10037721<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2014-R2 2A2 (1 mo. Term SOFR + <br> 0.324%) | &nbsp;&nbsp; 4.483% | &nbsp;&nbsp; 5/26/37 | &nbsp;&nbsp; 6850433<br>| &nbsp;&nbsp;&nbsp; 6117473<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Barclays Commercial Mortgage Trust, 2019-C5 A4 | &nbsp;&nbsp; 3.063% | &nbsp;&nbsp; 11/15/52 | &nbsp;&nbsp; 20110000<br>| &nbsp;&nbsp;&nbsp; 19128352<br>|
| &nbsp;&nbsp;&nbsp; BCAP LLC Trust, 2013-RR3 4A2 (1 mo. Term SOFR + 0.274%) | &nbsp;&nbsp; 3.613% | &nbsp;&nbsp; 11/26/36 | &nbsp;&nbsp; 322592<br>| &nbsp;&nbsp;&nbsp; 332598<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BCAP LLC Trust, 2014-RR5 1A2 (1 mo. Term SOFR + 0.339%) | &nbsp;&nbsp; 4.425% | &nbsp;&nbsp; 1/26/36 | &nbsp;&nbsp; 7782157<br>| &nbsp;&nbsp;&nbsp; 7215677<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2020-VIVA E | &nbsp;&nbsp; 3.667% | &nbsp;&nbsp; 3/11/44 | &nbsp;&nbsp; 6847863<br>| &nbsp;&nbsp;&nbsp; 6173941<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2021-21M A (1 mo. Term SOFR + <br> 0.844%) | &nbsp;&nbsp; 4.994% | &nbsp;&nbsp; 10/15/36 | &nbsp;&nbsp; 806273<br>| &nbsp;&nbsp;&nbsp; 805710<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2021-ACNT A (1 mo. Term SOFR + <br> 0.964%) | &nbsp;&nbsp; 5.114% | &nbsp;&nbsp; 11/15/38 | &nbsp;&nbsp; 6069653<br>| &nbsp;&nbsp;&nbsp; 6067547<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2021-XL2 J (1 mo. Term SOFR + <br> 4.004%) | &nbsp;&nbsp; 8.154% | &nbsp;&nbsp; 10/15/38 | &nbsp;&nbsp; 7000000<br>| &nbsp;&nbsp;&nbsp; 7024855<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Trust, 2021-BXMF A (1 mo. Term SOFR + 0.750%) | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 10/15/26 | &nbsp;&nbsp; 4799674<br>| &nbsp;&nbsp;&nbsp; 4794762<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Citigroup Commercial Mortgage Trust, 2019-C7 A4 | &nbsp;&nbsp; 3.102% | &nbsp;&nbsp; 12/15/72 | &nbsp;&nbsp; 11200000<br>| &nbsp;&nbsp;&nbsp; 10627376<br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc., 2006-PR1 5AS2, IO | &nbsp;&nbsp; 4.409% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 1684311<br>| &nbsp;&nbsp;&nbsp; 296748<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; ELP Commercial Mortgage Trust, 2021-ELP D (1 mo. Term SOFR + <br> 1.634%) | &nbsp;&nbsp; 5.785% | &nbsp;&nbsp; 11/15/38 | &nbsp;&nbsp; 7438024<br>| &nbsp;&nbsp;&nbsp; 7432236<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured <br> Agency Credit Risk Trust, 2021-DNA3 B1 (30 Day Average SOFR + <br> 3.500%) | &nbsp;&nbsp; 7.856% | &nbsp;&nbsp; 10/25/33 | &nbsp;&nbsp; 3980000<br>| &nbsp;&nbsp;&nbsp; 4437135<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit <br> Risk Trust, 2018-HRP1 B2 (30 Day Average SOFR + 11.864%) | &nbsp;&nbsp; 16.221% | &nbsp;&nbsp; 5/25/43 | &nbsp;&nbsp; 8431281<br>| &nbsp;&nbsp;&nbsp; 10110227<br> <sup>(a)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(g)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(g)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(g)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(g)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(g)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B1 <br> (30 Day Average SOFR + 3.100%) | &nbsp;&nbsp; 7.456% | &nbsp;&nbsp; 10/25/41 | &nbsp;&nbsp; 8870000<br>| &nbsp;&nbsp;&nbsp; $9042009<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2022-R01 1B1 <br> (30 Day Average SOFR + 3.150%) | &nbsp;&nbsp; 7.506% | &nbsp;&nbsp; 12/25/41 | &nbsp;&nbsp; 2700000<br>| &nbsp;&nbsp;&nbsp; 2766458<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2023-R05 <br> 1M2 (30 Day Average SOFR + 3.100%) | &nbsp;&nbsp; 7.456% | &nbsp;&nbsp; 6/25/43 | &nbsp;&nbsp; 4140000<br>| &nbsp;&nbsp;&nbsp; 4305609<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-157 IO, IO | &nbsp;&nbsp; 0.185% | &nbsp;&nbsp; 5/16/55 | &nbsp;&nbsp; 2079219<br>| &nbsp;&nbsp;&nbsp; 12566<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hilton USA Trust, 2016-HHV D | &nbsp;&nbsp; 4.333% | &nbsp;&nbsp; 11/5/38 | &nbsp;&nbsp; 2800000<br>| &nbsp;&nbsp;&nbsp; 2764711<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. Term SOFR + 0.654%) | &nbsp;&nbsp; 4.812% | &nbsp;&nbsp; 11/25/36 | &nbsp;&nbsp; 5499478<br>| &nbsp;&nbsp;&nbsp; 4835852<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust, 2014-C25 C | &nbsp;&nbsp; 4.561% | &nbsp;&nbsp; 11/15/47 | &nbsp;&nbsp; 3940000<br>| &nbsp;&nbsp;&nbsp; 3004250<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; KIND Trust, 2021-KIND D (1 mo. Term SOFR + 2.414%) | &nbsp;&nbsp; 6.570% | &nbsp;&nbsp; 8/15/38 | &nbsp;&nbsp; 9918548<br>| &nbsp;&nbsp;&nbsp; 9826489<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; KIND Trust, 2021-KIND XCP, IO | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 8/15/38 | &nbsp;&nbsp; 78050000<br>| &nbsp;&nbsp;&nbsp; 82<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; KREF Ltd., 2021-FL2 D (1 mo. Term SOFR + 2.314%) | &nbsp;&nbsp; 6.457% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 3130000<br>| &nbsp;&nbsp;&nbsp; 3117971<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MAD Commercial Mortgage Trust, 2025-11MD A | &nbsp;&nbsp; 4.754% | &nbsp;&nbsp; 10/15/42 | &nbsp;&nbsp; 4250000<br>| &nbsp;&nbsp;&nbsp; 4243607<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MIC Trust, 2023-MIC A | &nbsp;&nbsp; 8.732% | &nbsp;&nbsp; 12/5/38 | &nbsp;&nbsp; 2740000<br>| &nbsp;&nbsp;&nbsp; 2971705<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MRCD Mortgage Trust, 2019-PARK A | &nbsp;&nbsp; 2.718% | &nbsp;&nbsp; 12/15/36 | &nbsp;&nbsp; 7980000<br>| &nbsp;&nbsp;&nbsp; 7108185<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Residential Accredit Loans Inc., 2007-QS7 1A7 (1 mo. Term SOFR + <br> 0.664%) | &nbsp;&nbsp; 4.822% | &nbsp;&nbsp; 5/25/37 | &nbsp;&nbsp; 3684107<br>| &nbsp;&nbsp;&nbsp; 2839272<br> <sup>(d)</sup><br>|
| **Total Collateralized Mortgage Obligations (Cost — $162,164,592)** | **Total Collateralized Mortgage Obligations (Cost — $162,164,592)** | **Total Collateralized Mortgage Obligations (Cost — $162,164,592)** | **Total Collateralized Mortgage Obligations (Cost — $162,164,592)** | &nbsp;&nbsp; **159470517** |
| **U.S. Government & Agency Obligations — 21.7%** | **U.S. Government & Agency Obligations — 21.7%** | **U.S. Government & Agency Obligations — 21.7%** | **U.S. Government & Agency Obligations — 21.7%** | **U.S. Government & Agency Obligations — 21.7%** |
| *U.S. Government Obligations — 21.7%* | *U.S. Government Obligations — 21.7%* | *U.S. Government Obligations — 21.7%* | *U.S. Government Obligations — 21.7%* | *U.S. Government Obligations — 21.7%* |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/15/41 | &nbsp;&nbsp; 40000000 | &nbsp;&nbsp;&nbsp; 41046875<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.375% | &nbsp;&nbsp; 8/15/43 | &nbsp;&nbsp; 9880000 | &nbsp;&nbsp;&nbsp; 9538252<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 11/15/43 | &nbsp;&nbsp; 31820000 | &nbsp;&nbsp;&nbsp; 32168031<br> <sup>(h)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 2/15/44 | &nbsp;&nbsp; 4360000 | &nbsp;&nbsp;&nbsp; 4265477<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 2/15/45 | &nbsp;&nbsp; 8950000 | &nbsp;&nbsp;&nbsp; 9008035<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 5/15/53 | &nbsp;&nbsp; 2500000 | &nbsp;&nbsp;&nbsp; 2065479<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 8/15/53 | &nbsp;&nbsp; 6003000 | &nbsp;&nbsp;&nbsp; 5427791<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 2/15/54 | &nbsp;&nbsp; 14500000 | &nbsp;&nbsp;&nbsp; 13388145<br> <sup>(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 5/15/54 | &nbsp;&nbsp; 1300000 | &nbsp;&nbsp;&nbsp; 1277606<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/15/54 | &nbsp;&nbsp; 22980000 | &nbsp;&nbsp;&nbsp; 21220594<br> <sup>(h)(j)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 2/15/55 | &nbsp;&nbsp; 730000 | &nbsp;&nbsp;&nbsp; 717795<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 2430000 | &nbsp;&nbsp;&nbsp; 2438353<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 7/31/27 | &nbsp;&nbsp; 720000 | &nbsp;&nbsp;&nbsp; 723023<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 7/15/28 | &nbsp;&nbsp; 1140000 | &nbsp;&nbsp;&nbsp; 1147526<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 4/30/30 | &nbsp;&nbsp; 410000 | &nbsp;&nbsp;&nbsp; 412667<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 2/28/31 | &nbsp;&nbsp; 10000000 | &nbsp;&nbsp;&nbsp; 10226953<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 9/30/31 | &nbsp;&nbsp; 2550000 | &nbsp;&nbsp;&nbsp; 2520565<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/15/35 | &nbsp;&nbsp; 140000 | &nbsp;&nbsp;&nbsp; 141148<br>|
| **Total U.S. Government & Agency Obligations (Cost — $156,914,901)** | **Total U.S. Government & Agency Obligations (Cost — $156,914,901)** | **Total U.S. Government & Agency Obligations (Cost — $156,914,901)** | **Total U.S. Government & Agency Obligations (Cost — $156,914,901)** | &nbsp;&nbsp; **157734315** |
| **Sovereign Bonds — 11.0%** | **Sovereign Bonds — 11.0%** | **Sovereign Bonds — 11.0%** | **Sovereign Bonds — 11.0%** | **Sovereign Bonds — 11.0%** |
| *Angola — 0.1%* | *Angola — 0.1%* | *Angola — 0.1%* | *Angola — 0.1%* | *Angola — 0.1%* |
| &nbsp;&nbsp;&nbsp; Angolan Government International Bond, Senior Notes | &nbsp;&nbsp; 9.125% | &nbsp;&nbsp; 11/26/49 | &nbsp;&nbsp; 1210000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1016478*<br> <sup>(k)</sup><br>|
| *Argentina — 0.3%* | *Argentina — 0.3%* | *Argentina — 0.3%* | *Argentina — 0.3%* | *Argentina — 0.3%* |
| &nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step <br> bond (0.750% to 7/9/27 then 1.750%) | &nbsp;&nbsp; 0.750% | &nbsp;&nbsp; 7/9/30 | &nbsp;&nbsp; 1117691<br>| &nbsp;&nbsp;&nbsp; 756118<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Argentina — continued* | *Argentina — continued* | *Argentina — continued* | *Argentina — continued* | *Argentina — continued* |
| &nbsp;&nbsp;&nbsp; Provincia de Buenos Aires, Senior Notes | &nbsp;&nbsp; 6.625% | &nbsp;&nbsp; 9/1/37 | &nbsp;&nbsp; 2989196<br>| &nbsp;&nbsp;&nbsp; $1752416<br> <sup>(a)</sup><br>|
| *Total Argentina* | *Total Argentina* | *Total Argentina* | *Total Argentina* | &nbsp;&nbsp; *2508534* |
| *Bahamas — 0.1%* | *Bahamas — 0.1%* | *Bahamas — 0.1%* | *Bahamas — 0.1%* | *Bahamas — 0.1%* |
| &nbsp;&nbsp;&nbsp; Bahamas Government International Bond, Senior Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 6/24/36 | &nbsp;&nbsp; 690000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *746276*<br> <sup>(a)</sup><br>|
| *Brazil — 4.2%* | *Brazil — 4.2%* | *Brazil — 4.2%* | *Brazil — 4.2%* | *Brazil — 4.2%* |
| &nbsp;&nbsp;&nbsp; Brazil Letras do Tesouro Nacional | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 1/1/26 | &nbsp;&nbsp; 31461000 <br><sup>BRL</sup><br>| &nbsp;&nbsp;&nbsp; 5707771<br>|
| &nbsp;&nbsp;&nbsp; Brazil Notas do Tesouro Nacional Serie F, Notes | &nbsp;&nbsp; 10.000% | &nbsp;&nbsp; 1/1/27 | &nbsp;&nbsp; 35000000 <br><sup>BRL</sup><br>| &nbsp;&nbsp;&nbsp; 6296885<br>|
| &nbsp;&nbsp;&nbsp; Brazil Notas do Tesouro Nacional Serie F, Notes | &nbsp;&nbsp; 10.000% | &nbsp;&nbsp; 1/1/33 | &nbsp;&nbsp; 116857000 <br><sup>BRL</sup><br>| &nbsp;&nbsp;&nbsp; 18511232<br>|
| *Total Brazil* | *Total Brazil* | *Total Brazil* | *Total Brazil* | &nbsp;&nbsp; *30515888* |
| *Egypt — 0.3%* | *Egypt — 0.3%* | *Egypt — 0.3%* | *Egypt — 0.3%* | *Egypt — 0.3%* |
| &nbsp;&nbsp;&nbsp; Egypt Government International Bond, Senior Notes | &nbsp;&nbsp; 7.053% | &nbsp;&nbsp; 1/15/32 | &nbsp;&nbsp; 1880000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1816568*<br> <sup>(k)</sup><br>|
| *Ghana — 0.1%* | *Ghana — 0.1%* | *Ghana — 0.1%* | *Ghana — 0.1%* | *Ghana — 0.1%* |
| &nbsp;&nbsp;&nbsp; Ghana Government International Bond, Senior Notes | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 7/3/26 | &nbsp;&nbsp; 36320<br>| &nbsp;&nbsp;&nbsp; 35140<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ghana Government International Bond, Senior Notes, Step bond <br> (5.000% to 7/3/28 then 6.000%) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 7/3/29 | &nbsp;&nbsp; 129340<br>| &nbsp;&nbsp;&nbsp; 126244<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ghana Government International Bond, Senior Notes, Step bond <br> (5.000% to 7/3/28 then 6.000%) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 7/3/35 | &nbsp;&nbsp; 789960<br>| &nbsp;&nbsp;&nbsp; 667779<br> <sup>(a)</sup><br>|
| *Total Ghana* | *Total Ghana* | *Total Ghana* | *Total Ghana* | &nbsp;&nbsp; *829163* |
| *Ivory Coast — 0.1%* | *Ivory Coast — 0.1%* | *Ivory Coast — 0.1%* | *Ivory Coast — 0.1%* | *Ivory Coast — 0.1%* |
| &nbsp;&nbsp;&nbsp; Ivory Coast Government International Bond, Senior Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 6/15/33 | &nbsp;&nbsp; 1070000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1029856*<br> <sup>(k)</sup><br>|
| *Jamaica — 0.8%* | *Jamaica — 0.8%* | *Jamaica — 0.8%* | *Jamaica — 0.8%* | *Jamaica — 0.8%* |
| &nbsp;&nbsp;&nbsp; Jamaica Government International Bond, Senior Notes | &nbsp;&nbsp; 9.625% | &nbsp;&nbsp; 11/3/30 | &nbsp;&nbsp; 843000000 <br><sup>JMD</sup><br>| &nbsp;&nbsp;&nbsp; *5527648*<br>|
| *Kenya — 0.3%* | *Kenya — 0.3%* | *Kenya — 0.3%* | *Kenya — 0.3%* | *Kenya — 0.3%* |
| &nbsp;&nbsp;&nbsp; Republic of Kenya Government International Bond, Senior Notes | &nbsp;&nbsp; 6.300% | &nbsp;&nbsp; 1/23/34 | &nbsp;&nbsp; 2470000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2181833*<br> <sup>(a)</sup><br>|
| *Mexico — 0.7%* | *Mexico — 0.7%* | *Mexico — 0.7%* | *Mexico — 0.7%* | *Mexico — 0.7%* |
| &nbsp;&nbsp;&nbsp; Eagle Funding Luxco Sarl, Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 8/17/30 | &nbsp;&nbsp; 5140000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *5221263*<br> <sup>(a)</sup><br>|
| *Nigeria — 0.2%* | *Nigeria — 0.2%* | *Nigeria — 0.2%* | *Nigeria — 0.2%* | *Nigeria — 0.2%* |
| &nbsp;&nbsp;&nbsp; Nigeria Government International Bond, Senior Notes | &nbsp;&nbsp; 7.143% | &nbsp;&nbsp; 2/23/30 | &nbsp;&nbsp; 1250000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1237421*<br> <sup>(a)</sup><br>|
| *Paraguay — 0.1%* | *Paraguay — 0.1%* | *Paraguay — 0.1%* | *Paraguay — 0.1%* | *Paraguay — 0.1%* |
| &nbsp;&nbsp;&nbsp; Paraguay Government International Bond, Senior Notes | &nbsp;&nbsp; 3.849% | &nbsp;&nbsp; 6/28/33 | &nbsp;&nbsp; 1120000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1050112*<br> <sup>(a)</sup><br>|
| *Sri Lanka — 0.2%* | *Sri Lanka — 0.2%* | *Sri Lanka — 0.2%* | *Sri Lanka — 0.2%* | *Sri Lanka — 0.2%* |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 4/15/28 | &nbsp;&nbsp; 195753<br>| &nbsp;&nbsp;&nbsp; 187776<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, Senior Notes, Step bond <br> (3.100% to 7/15/27 then 3.350%) | &nbsp;&nbsp; 3.100% | &nbsp;&nbsp; 1/15/30 | &nbsp;&nbsp; 209252<br>| &nbsp;&nbsp;&nbsp; 196435<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, Senior Notes, Step bond <br> (3.350% to 9/15/27 then 3.600%) | &nbsp;&nbsp; 3.350% | &nbsp;&nbsp; 3/15/33 | &nbsp;&nbsp; 410444<br>| &nbsp;&nbsp;&nbsp; 352795<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, Senior Notes, Step bond <br> (3.600% to 12/15/27 then 5.100%) | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 6/15/35 | &nbsp;&nbsp; 277144<br>| &nbsp;&nbsp;&nbsp; 203180<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, Senior Notes, Step bond <br> (3.600% to 11/15/27 then 3.850%) | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 5/15/36 | &nbsp;&nbsp; 192344<br>| &nbsp;&nbsp;&nbsp; 170687<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, Senior Notes, Step bond <br> (3.600% to 8/15/27 then 3.850%) | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 2/15/38 | &nbsp;&nbsp; 384851<br>| &nbsp;&nbsp;&nbsp; 343883<br> <sup>(a)</sup><br>|
| *Total Sri Lanka* | *Total Sri Lanka* | *Total Sri Lanka* | *Total Sri Lanka* | &nbsp;&nbsp; *1454756* |
| *Supranational — 3.1%* | *Supranational — 3.1%* | *Supranational — 3.1%* | *Supranational — 3.1%* | *Supranational — 3.1%* |
| &nbsp;&nbsp;&nbsp; Inter-American Development Bank, Senior Notes | &nbsp;&nbsp; 7.350% | &nbsp;&nbsp; 10/6/30 | &nbsp;&nbsp; 1944000000 <br><sup>INR</sup><br>| &nbsp;&nbsp;&nbsp; *22472453*<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Ukraine — 0.4%* | *Ukraine — 0.4%* | *Ukraine — 0.4%* | *Ukraine — 0.4%* | *Ukraine — 0.4%* |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, Senior Notes, Step bond <br> (0.000% to 2/1/27 then 3.000%) | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 2/1/34 | &nbsp;&nbsp; 724538<br>| &nbsp;&nbsp;&nbsp; $303126<br> <sup>(k)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, Senior Notes, Step bond <br> (4.500% to 2/1/27 then 6.000%) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 2/1/34 | &nbsp;&nbsp; 532422<br>| &nbsp;&nbsp;&nbsp; 300375<br> <sup>(k)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, Senior Notes, Step bond <br> (0.000% to 2/1/27 then 3.000%) | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 2/1/35 | &nbsp;&nbsp; 612285<br>| &nbsp;&nbsp;&nbsp; 299498<br> <sup>(k)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, Senior Notes, Step bond <br> (4.500% to 2/1/27 then 6.000%) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 2/1/35 | &nbsp;&nbsp; 1242318<br>| &nbsp;&nbsp;&nbsp; 687892<br> <sup>(k)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, Senior Notes, Step bond <br> (4.500% to 2/1/27 then 6.000%) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 2/1/36 | &nbsp;&nbsp; 1774740<br>| &nbsp;&nbsp;&nbsp; 970653<br> <sup>(k)</sup><br>|
| *Total Ukraine* | *Total Ukraine* | *Total Ukraine* | *Total Ukraine* | &nbsp;&nbsp; *2561544* |
| **Total Sovereign Bonds (Cost — $80,265,768)** | **Total Sovereign Bonds (Cost — $80,265,768)** | **Total Sovereign Bonds (Cost — $80,265,768)** | **Total Sovereign Bonds (Cost — $80,265,768)** | &nbsp;&nbsp; **80169793** |
| **Asset-Backed Securities — 3.8%** | **Asset-Backed Securities — 3.8%** | **Asset-Backed Securities — 3.8%** | **Asset-Backed Securities — 3.8%** | **Asset-Backed Securities — 3.8%** |
| &nbsp;&nbsp;&nbsp; Antares CLO Ltd., 2018-1A A1R (3 mo. Term SOFR + 1.370%) | &nbsp;&nbsp; 5.695% | &nbsp;&nbsp; 4/20/38 | &nbsp;&nbsp; 560000<br>| &nbsp;&nbsp;&nbsp; 561385<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Apidos Loan Fund Ltd., 2024-1A A1R (3 mo. Term SOFR + 1.250%) | &nbsp;&nbsp; 5.377% | &nbsp;&nbsp; 10/25/38 | &nbsp;&nbsp; 7840000<br>| &nbsp;&nbsp;&nbsp; 7875563<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CIT Mortgage Loan Trust, 2007-1 1M1 (1 mo. Term SOFR + 1.614%) | &nbsp;&nbsp; 6.522% | &nbsp;&nbsp; 10/25/37 | &nbsp;&nbsp; 5685392<br>| &nbsp;&nbsp;&nbsp; 5757154<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fremont Home Loan Trust, 2006-B 1A (1 mo. Term SOFR + 0.414%) | &nbsp;&nbsp; 4.572% | &nbsp;&nbsp; 8/25/36 | &nbsp;&nbsp; 13752221<br>| &nbsp;&nbsp;&nbsp; 5624263<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; GSAMP Trust, 2005-SEA1 M2 (1 mo. Term SOFR + 1.464%) | &nbsp;&nbsp; 5.622% | &nbsp;&nbsp; 1/25/35 | &nbsp;&nbsp; 444141<br>| &nbsp;&nbsp;&nbsp; 579023<br> <sup>(a)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Home Equity Asset Trust, 2005-6 M5 (1 mo. Term SOFR + 1.059%) | &nbsp;&nbsp; 5.217% | &nbsp;&nbsp; 12/25/35 | &nbsp;&nbsp; 2980000<br>| &nbsp;&nbsp;&nbsp; 2895805<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Warwick Capital CLO Ltd., 2025-7A A1 (3 mo. Term SOFR + 1.300%) | &nbsp;&nbsp; 5.252% | &nbsp;&nbsp; 10/21/38 | &nbsp;&nbsp; 4050000<br>| &nbsp;&nbsp;&nbsp; 4058833<br> <sup>(a)(d)</sup><br>|
| **Total Asset-Backed Securities (Cost — $31,928,739)** | **Total Asset-Backed Securities (Cost — $31,928,739)** | **Total Asset-Backed Securities (Cost — $31,928,739)** | **Total Asset-Backed Securities (Cost — $31,928,739)** | &nbsp;&nbsp; **27352026** |
| **Senior Loans — 2.3%** | **Senior Loans — 2.3%** | **Senior Loans — 2.3%** | **Senior Loans — 2.3%** | **Senior Loans — 2.3%** |
| **Communication Services — 0.5%** | **Communication Services — 0.5%** | **Communication Services — 0.5%** | **Communication Services — 0.5%** | **Communication Services — 0.5%** |
| *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* |
| &nbsp;&nbsp;&nbsp; UFC Holdings LLC, Term Loan B5 (2 mo. Term SOFR + 2.000%)  | 6.038% | &nbsp;&nbsp; 11/21/31 | &nbsp;&nbsp; 606950<br>| &nbsp;&nbsp;&nbsp;&nbsp; *608552*<br> <sup>(d)(l)(m)</sup><br>|
| *Media — 0.4%* | *Media — 0.4%* | *Media — 0.4%* | *Media — 0.4%* | *Media — 0.4%* |
| &nbsp;&nbsp;&nbsp; Nexstar Media Inc., Term Loan B5 (1 mo. Term SOFR + 2.500%)  | 6.663% | &nbsp;&nbsp; 6/28/32 | &nbsp;&nbsp; 2912700<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2912438*<br> <sup>(d)(l)(m)</sup><br>|
| **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | &nbsp;&nbsp; **3520990** |
| **Consumer Discretionary — 0.5%** | **Consumer Discretionary — 0.5%** | **Consumer Discretionary — 0.5%** | **Consumer Discretionary — 0.5%** | **Consumer Discretionary — 0.5%** |
| *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* | *Automobile Components — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Clarios Global LP, 2024 Term Loan B (1 mo. Term SOFR + 2.500%)  | 6.663% | &nbsp;&nbsp; 5/6/30 | &nbsp;&nbsp; 203538<br>| &nbsp;&nbsp;&nbsp;&nbsp; *203888*<br> <sup>(d)(l)(m)</sup><br>|
| *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* |
| &nbsp;&nbsp;&nbsp; Belron Finance LLC, 2031 Dollar Term Loan (3 mo. Term SOFR + 2.500%)  | 6.742% | &nbsp;&nbsp; 10/16/31 | &nbsp;&nbsp; 606946<br>| &nbsp;&nbsp;&nbsp;&nbsp; *610743*<br> <sup>(d)(l)(m)</sup><br>|
| *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* | *Broadline Retail — 0.1%* |
| &nbsp;&nbsp;&nbsp; Peer Holding III BV, Term Loan B5 (3 mo. Term SOFR + 2.500%)  | 6.502% | &nbsp;&nbsp; 7/1/31 | &nbsp;&nbsp; 407945<br>| &nbsp;&nbsp;&nbsp;&nbsp; *408881*<br> <sup>(d)(l)(m)</sup><br>|
| *Hotels, Restaurants & Leisure — 0.3%* | *Hotels, Restaurants & Leisure — 0.3%* | *Hotels, Restaurants & Leisure — 0.3%* | *Hotels, Restaurants & Leisure — 0.3%* | *Hotels, Restaurants & Leisure — 0.3%* |
| &nbsp;&nbsp;&nbsp; Caesars Entertainment Inc., Term Loan B (1 mo. Term SOFR + 2.250%) | 6.413% | &nbsp;&nbsp; 2/6/30 | &nbsp;&nbsp; 627550<br>| &nbsp;&nbsp;&nbsp; 627383<br> <sup>(d)(l)(m)</sup><br>|
| &nbsp;&nbsp;&nbsp; Light and Wonder International Inc., Term Loan B2 (1 mo. Term SOFR + <br> 2.250%) | 6.393% | &nbsp;&nbsp; 4/14/29 | &nbsp;&nbsp; 407071<br>| &nbsp;&nbsp;&nbsp; 408726<br> <sup>(d)(l)(m)</sup><br>|
| &nbsp;&nbsp;&nbsp; PCI Gaming Authority, 2024 Term Loan B (1 mo. Term SOFR + 2.000%) | 6.163% | &nbsp;&nbsp; 7/18/31 | &nbsp;&nbsp; 1089150<br>| &nbsp;&nbsp;&nbsp; 1088301<br> <sup>(d)(l)(m)</sup><br>|
| *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | &nbsp;&nbsp; *2124410* |
| *Specialty Retail — 0.0%††* | *Specialty Retail — 0.0%††* | *Specialty Retail — 0.0%††* | *Specialty Retail — 0.0%††* | *Specialty Retail — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Harbor Freight Tools USA Inc., Initial Term Loan  | 6.413% | &nbsp;&nbsp; 6/11/31 | &nbsp;&nbsp; 203536<br>| &nbsp;&nbsp;&nbsp;&nbsp; *200218*<br> <sup>(d)(l)(m)</sup><br>|
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **3548140** |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| **Consumer Staples — 0.0%††** | **Consumer Staples — 0.0%††** | **Consumer Staples — 0.0%††** | **Consumer Staples — 0.0%††** | **Consumer Staples — 0.0%††** |
| *Beverages — 0.0%††* | *Beverages — 0.0%††* | *Beverages — 0.0%††* | *Beverages — 0.0%††* | *Beverages — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Triton Water Holdings Inc., 2025 Refinancing Term Loan (3 mo. Term <br> SOFR + 2.250%)  | 6.252% | &nbsp;&nbsp; 3/31/28 | &nbsp;&nbsp; 407076<br>| &nbsp;&nbsp;&nbsp;&nbsp; **$407467**<br> <sup>(d)(l)(m)</sup><br>|
| **Financials — 0.7%** | **Financials — 0.7%** | **Financials — 0.7%** | **Financials — 0.7%** | **Financials — 0.7%** |
| *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* |
| &nbsp;&nbsp;&nbsp; Focus Financial Partners LLC, Incremental Term Loan B (1 mo. Term <br> SOFR + 2.750%) | 6.913% | &nbsp;&nbsp; 9/15/31 | &nbsp;&nbsp; 815890<br>| &nbsp;&nbsp;&nbsp; 817008<br> <sup>(d)(l)(m)</sup><br>|
| &nbsp;&nbsp;&nbsp; GIP Pilot Acquisition Partners LP, Amendment No. 2 Refinancing Term <br> Loan (3 mo. Term SOFR + 2.000%) | 6.286% | &nbsp;&nbsp; 10/4/30 | &nbsp;&nbsp; 403074<br>| &nbsp;&nbsp;&nbsp; 403326<br> <sup>(d)(l)(m)</sup><br>|
| *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | &nbsp;&nbsp; *1220334* |
| *Financial Services — 0.3%* | *Financial Services — 0.3%* | *Financial Services — 0.3%* | *Financial Services — 0.3%* | *Financial Services — 0.3%* |
| &nbsp;&nbsp;&nbsp; Citadel Securities LP, 2024 Term Loan Facility (1 mo. Term SOFR + <br> 2.000%) | 6.163% | &nbsp;&nbsp; 10/31/31 | &nbsp;&nbsp; 814152<br>| &nbsp;&nbsp;&nbsp; 816599<br> <sup>(d)(l)(m)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jane Street Group LLC, Extended Term Loan (3 mo. Term SOFR + <br> 2.000%) | 6.199% | &nbsp;&nbsp; 12/15/31 | &nbsp;&nbsp; 815718<br>| &nbsp;&nbsp;&nbsp; 810877<br> <sup>(d)(l)(m)</sup><br>|
| &nbsp;&nbsp;&nbsp; TransUnion LLC, 2024 Refinancing Term Loan B8 (1 mo. Term SOFR + <br> 1.750%) | 5.913% | &nbsp;&nbsp; 6/24/31 | &nbsp;&nbsp; 610599<br>| &nbsp;&nbsp;&nbsp; 610791<br> <sup>(d)(l)(m)</sup><br>|
| *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | &nbsp;&nbsp; *2238267* |
| *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* |
| &nbsp;&nbsp;&nbsp; AmWINS Group Inc., Initial Term Loan (3 mo. Term SOFR + 2.250%) | 6.252% | &nbsp;&nbsp; 1/30/32 | &nbsp;&nbsp; 407945<br>| &nbsp;&nbsp;&nbsp; 408208<br> <sup>(d)(l)(m)</sup><br>|
| &nbsp;&nbsp;&nbsp; Asurion LLC, New Term Loan B11 (1 mo. Term SOFR + 4.350%) | 8.513% | &nbsp;&nbsp; 8/21/28 | &nbsp;&nbsp; 611383<br>| &nbsp;&nbsp;&nbsp; 614015<br> <sup>(d)(l)(m)</sup><br>|
| *Total Insurance* | *Total Insurance* | *Total Insurance* | *Total Insurance* | &nbsp;&nbsp; *1022223* |
| *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* | *Mortgage Real Estate Investment Trusts (REITs) — 0.1%* |
| &nbsp;&nbsp;&nbsp; Starwood Property Mortgage LLC, 2025 Repricing Term Loan (1 mo. <br> Term SOFR + 1.750%)  | 5.913% | &nbsp;&nbsp; 11/18/27 | &nbsp;&nbsp; 407948<br>| &nbsp;&nbsp;&nbsp;&nbsp; *407692*<br> <sup>(d)(l)(m)</sup><br>|
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **4888516** |
| **Health Care — 0.2%** | **Health Care — 0.2%** | **Health Care — 0.2%** | **Health Care — 0.2%** | **Health Care — 0.2%** |
| *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* | *Health Care Equipment & Supplies — 0.1%* |
| &nbsp;&nbsp;&nbsp; Medline Borrower LP, 2028 Refinancing Term Loan (1 mo. Term SOFR + <br> 2.000%)  | 6.163% | &nbsp;&nbsp; 10/23/28 | &nbsp;&nbsp; 591402<br>| &nbsp;&nbsp;&nbsp;&nbsp; *591990*<br> <sup>(d)(l)(m)</sup><br>|
| *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* | *Health Care Providers & Services — 0.1%* |
| &nbsp;&nbsp;&nbsp; Sotera Health Holdings LLC, 2025 Term Loan (1 mo. Term SOFR + <br> 2.500%)  | 6.663% | &nbsp;&nbsp; 5/30/31 | &nbsp;&nbsp; 581501<br>| &nbsp;&nbsp;&nbsp;&nbsp; *583077*<br> <sup>(d)(l)(m)</sup><br>|
| **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | &nbsp;&nbsp; **1175067** |
| **Industrials — 0.1%** | **Industrials — 0.1%** | **Industrials — 0.1%** | **Industrials — 0.1%** | **Industrials — 0.1%** |
| *Machinery — 0.1%* | *Machinery — 0.1%* | *Machinery — 0.1%* | *Machinery — 0.1%* | *Machinery — 0.1%* |
| &nbsp;&nbsp;&nbsp; Chart Industries Inc., 2024 Term Loan B (3 mo. Term SOFR + 2.500%)  | 6.792% | &nbsp;&nbsp; 3/15/30 | &nbsp;&nbsp; 581063<br>| &nbsp;&nbsp;&nbsp;&nbsp; **585057**<br> <sup>(d)(l)(m)</sup><br>|
| **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** | **Real Estate — 0.1%** |
| *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* | *Specialized REITs — 0.1%* |
| &nbsp;&nbsp;&nbsp; Iron Mountain Information Management LLC, Amendment No. 1 <br> Incremental Term Loan B (1 mo. Term SOFR + 2.000%)  | 6.163% | &nbsp;&nbsp; 1/31/31 | &nbsp;&nbsp; 606911<br>| &nbsp;&nbsp;&nbsp;&nbsp; **608049**<br> <sup>(d)(l)(m)</sup><br>|
| **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** |
| *Electric Utilities — 0.1%* | *Electric Utilities — 0.1%* | *Electric Utilities — 0.1%* | *Electric Utilities — 0.1%* | *Electric Utilities — 0.1%* |
| &nbsp;&nbsp;&nbsp; Alpha Generation LLC, Initial Term Loan B (1 mo. Term SOFR + 2.000%)  | 6.163% | &nbsp;&nbsp; 9/30/31 | &nbsp;&nbsp; 606934<br>| &nbsp;&nbsp;&nbsp;&nbsp; *606859*<br> <sup>(d)(l)(m)</sup><br>|
| *Independent Power and Renewable Electricity Producers — 0.1%* | *Independent Power and Renewable Electricity Producers — 0.1%* | *Independent Power and Renewable Electricity Producers — 0.1%* | *Independent Power and Renewable Electricity Producers — 0.1%* | *Independent Power and Renewable Electricity Producers — 0.1%* |
| &nbsp;&nbsp;&nbsp; Calpine Construction Finance Co. LP, Refinancing Term Loan (1 mo. <br> Term SOFR + 2.000%) | 6.163% | &nbsp;&nbsp; 7/31/30 | &nbsp;&nbsp; 820000<br>| &nbsp;&nbsp;&nbsp; 820927<br> <sup>(d)(l)(m)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security |  | Rate | &nbsp;&nbsp; Maturity<br> Date<br>| &nbsp;&nbsp; Face<br> Amount†<br>| Value |
| *Independent Power and Renewable Electricity Producers — continued* | *Independent Power and Renewable Electricity Producers — continued* | *Independent Power and Renewable Electricity Producers — continued* | *Independent Power and Renewable Electricity Producers — continued* | *Independent Power and Renewable Electricity Producers — continued* | *Independent Power and Renewable Electricity Producers — continued* |
| &nbsp;&nbsp;&nbsp; Lightning Power LLC, Initial Term Loan B (3 mo. Term SOFR + 2.250%) | &nbsp;&nbsp;&nbsp; Lightning Power LLC, Initial Term Loan B (3 mo. Term SOFR + 2.250%) | 6.252% | &nbsp;&nbsp; 8/18/31 | &nbsp;&nbsp; 407940<br>| &nbsp;&nbsp;&nbsp; $408119<br> <sup>(d)(l)(m)</sup><br>|
| *Total Independent Power and Renewable Electricity Producers* | *Total Independent Power and Renewable Electricity Producers* | *Total Independent Power and Renewable Electricity Producers* | *Total Independent Power and Renewable Electricity Producers* | *Total Independent Power and Renewable Electricity Producers* | &nbsp;&nbsp; *1229046* |
| **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | &nbsp;&nbsp; **1835905** |
| **Total Senior Loans (Cost — $16,397,488)** | **Total Senior Loans (Cost — $16,397,488)** | **Total Senior Loans (Cost — $16,397,488)** | **Total Senior Loans (Cost — $16,397,488)** | **Total Senior Loans (Cost — $16,397,488)** | &nbsp;&nbsp; **16569191** |
|  |  | Expiration <br>Date<br>| Contracts | &nbsp;&nbsp; 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 — 0.4%** | **Exchange-Traded Purchased Options — 0.4%** | **Exchange-Traded Purchased Options — 0.4%** | **Exchange-Traded Purchased Options — 0.4%** | **Exchange-Traded Purchased Options — 0.4%** | **Exchange-Traded Purchased Options — 0.4%** |
| &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; 1327 | &nbsp;&nbsp; 3317500 | &nbsp;&nbsp;&nbsp; 406394<br>|
| &nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $96.813 | &nbsp;&nbsp;&nbsp; SOFR 1-Year Mid-Curve Futures, Put @ $96.813 | 10/10/25 | &nbsp;&nbsp; 1051 | &nbsp;&nbsp; 2627500 | &nbsp;&nbsp;&nbsp; 59119<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; 1146 | &nbsp;&nbsp; 2865000 | &nbsp;&nbsp;&nbsp; 243525<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $109.500 | &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $109.500 | 10/24/25 | &nbsp;&nbsp; 1819 | &nbsp;&nbsp; 1819000 | &nbsp;&nbsp;&nbsp; 426328<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 | 10/24/25 | &nbsp;&nbsp; 765 | &nbsp;&nbsp; 765000 | &nbsp;&nbsp;&nbsp; 125508<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $110.250 | &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $110.250 | 10/24/25 | &nbsp;&nbsp; 766 | &nbsp;&nbsp; 766000 | &nbsp;&nbsp;&nbsp; 59844<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Put @ $108.500 | &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Put @ $108.500 | 10/24/25 | &nbsp;&nbsp; 1149 | &nbsp;&nbsp; 1149000 | &nbsp;&nbsp;&nbsp; 134648<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Put @ $108.750 | &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Put @ $108.750 | 10/24/25 | &nbsp;&nbsp; 960 | &nbsp;&nbsp; 960000 | &nbsp;&nbsp;&nbsp; 172500<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $113.000 | &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $113.000 | 10/24/25 | &nbsp;&nbsp; 336 | &nbsp;&nbsp; 336000 | &nbsp;&nbsp;&nbsp; 126000<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $113.250 | &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $113.250 | 10/24/25 | &nbsp;&nbsp; 892 | &nbsp;&nbsp; 892000 | &nbsp;&nbsp;&nbsp; 264813<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 | 10/24/25 | &nbsp;&nbsp; 446 | &nbsp;&nbsp; 446000 | &nbsp;&nbsp;&nbsp; 97563<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $112.000 | &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $112.000 | 10/24/25 | &nbsp;&nbsp; 1340 | &nbsp;&nbsp; 1340000 | &nbsp;&nbsp;&nbsp; 481563<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $113.000 | &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $113.000 | 10/24/25 | &nbsp;&nbsp; 335 | &nbsp;&nbsp; 335000 | &nbsp;&nbsp;&nbsp; 293125<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Put @ $115.000 | &nbsp;&nbsp;&nbsp; U.S. Treasury Long-Term Bonds Futures, Put @ $115.000 | 10/24/25 | &nbsp;&nbsp; 167 | &nbsp;&nbsp; 167000 | &nbsp;&nbsp;&nbsp; 91327<br>|
| **Total Exchange-Traded Purchased Options (Cost — $4,069,333)** | **Total Exchange-Traded Purchased Options (Cost — $4,069,333)** | **Total Exchange-Traded Purchased Options (Cost — $4,069,333)** | **Total Exchange-Traded Purchased Options (Cost — $4,069,333)** | **Total Exchange-Traded Purchased Options (Cost — $4,069,333)** | &nbsp;&nbsp; **2982257** |
|  | Counterparty |  |  |  |  |
| **OTC Purchased Options — 0.2%** | **OTC Purchased Options — 0.2%** | **OTC Purchased Options — 0.2%** | **OTC Purchased Options — 0.2%** | **OTC Purchased Options — 0.2%** | **OTC Purchased Options — 0.2%** |
| &nbsp;&nbsp;&nbsp; Interest rate swaption, Call @ 290.000 bps, <br> payments received by the Fund on Daily SOFR <br> Compound annually, 290.000 bps payments made <br> by the Fund annually, maturing on 9/29/28 <br> 2.900<sup>bps</sup> <br>| Goldman Sachs <br> Group Inc.<br>| 9/25/26 | &nbsp;&nbsp; 442530000 | &nbsp;&nbsp; 442530000 | &nbsp;&nbsp;&nbsp; 1793145<br>|
| &nbsp;&nbsp;&nbsp; U.S. Dollar/Chinese Yuan Renminbi, Call @ <br> 7.223<sup>CNY</sup> <br>| BNP Paribas SA | 10/27/25 | &nbsp;&nbsp; 14830000 | &nbsp;&nbsp; 14830000 | &nbsp;&nbsp;&nbsp; 569<br>|
| **Total OTC Purchased Options (Cost — $1,865,301)** | **Total OTC Purchased Options (Cost — $1,865,301)** | **Total OTC Purchased Options (Cost — $1,865,301)** | **Total OTC Purchased Options (Cost — $1,865,301)** | **Total OTC Purchased Options (Cost — $1,865,301)** | &nbsp;&nbsp; **1793714** |
| **Total Purchased Options (Cost — $5,934,634)** | **Total Purchased Options (Cost — $5,934,634)** | **Total Purchased Options (Cost — $5,934,634)** | **Total Purchased Options (Cost — $5,934,634)** | **Total Purchased Options (Cost — $5,934,634)** | &nbsp;&nbsp; **4775971** |
|  |  | Rate | &nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp; Face <br>Amount†<br>|  |
| **U.S. Treasury Inflation Protected Securities — 0.2%** | **U.S. Treasury Inflation Protected Securities — 0.2%** | **U.S. Treasury Inflation Protected Securities — 0.2%** | **U.S. Treasury Inflation Protected Securities — 0.2%** | **U.S. Treasury Inflation Protected Securities — 0.2%** | **U.S. Treasury Inflation Protected Securities — 0.2%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes, Inflation Indexed (Cost — $1,201,027) | &nbsp;&nbsp;&nbsp; U.S. Treasury Notes, Inflation Indexed (Cost — $1,201,027) | &nbsp;&nbsp; 1.875% | &nbsp;&nbsp; 7/15/34 | &nbsp;&nbsp; 1173664<br>| &nbsp;&nbsp;&nbsp; **1191200**<br>|
| Security |  |  |  | Shares |  |
| **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** | **Common Stocks — 0.0%††** |
| **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** |
| *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC | &nbsp;&nbsp;&nbsp; Spirit Airlines LLC | &nbsp;&nbsp;&nbsp; Spirit Airlines LLC |  | &nbsp;&nbsp; 705 | &nbsp;&nbsp;&nbsp; 268<br> \*<sup>(n)(o)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security |  |  | Shares | Value |
| *Passenger Airlines — continued* | *Passenger Airlines — continued* | *Passenger Airlines — continued* | *Passenger Airlines — continued* | *Passenger Airlines — continued* |
| &nbsp;&nbsp;&nbsp; Spirit Aviation Holdings Inc. | &nbsp;&nbsp;&nbsp; Spirit Aviation Holdings Inc. |  | &nbsp;&nbsp; 121435 | &nbsp;&nbsp;&nbsp; $46,145<br> \*<br>|
| **Total Common Stocks (Cost — $1,705,601)** | **Total Common Stocks (Cost — $1,705,601)** | **Total Common Stocks (Cost — $1,705,601)** | **Total Common Stocks (Cost — $1,705,601)** | &nbsp;&nbsp;&nbsp; **46413**<br>|
|  |  | &nbsp;&nbsp; Expiration <br>Date <br>| Warrants |  |
| **Warrants — 0.0%††** | **Warrants — 0.0%††** | **Warrants — 0.0%††** | **Warrants — 0.0%††** | **Warrants — 0.0%††** |
| **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** | **Industrials — 0.0%††** |
| *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* | *Passenger Airlines — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC (Cost — $1,050,305) |  | &nbsp;&nbsp; 3/12/30 | &nbsp;&nbsp; 86279<br>| &nbsp;&nbsp;&nbsp; **32,786**<br> \*<sup>(n)(o)</sup><br>|
|  | Rate | &nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp; Face <br>Amount†<br>|  |
| **Non-U.S. Treasury Inflation Protected Securities — 0.0%††** | **Non-U.S. Treasury Inflation Protected Securities — 0.0%††** | **Non-U.S. Treasury Inflation Protected Securities — 0.0%††** | **Non-U.S. Treasury Inflation Protected Securities — 0.0%††** | **Non-U.S. Treasury Inflation Protected Securities — 0.0%††** |
| *Uruguay — 0.0%††* | *Uruguay — 0.0%††* | *Uruguay — 0.0%††* | *Uruguay — 0.0%††* | *Uruguay — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Uruguay Government International Bond, Senior Notes <br> (Cost — $28,443) | &nbsp;&nbsp; 3.400% | &nbsp;&nbsp; 5/16/45 | &nbsp;&nbsp; 1100692 <br><sup>UYU</sup><br>| &nbsp;&nbsp;&nbsp; **28232**<br>|
| **Total Investments before Short-Term Investments (Cost — $957,194,255)** | **Total Investments before Short-Term Investments (Cost — $957,194,255)** | **Total Investments before Short-Term Investments (Cost — $957,194,255)** | **Total Investments before Short-Term Investments (Cost — $957,194,255)** | &nbsp;&nbsp; **938660400** |
|  |  |  | Shares |  |
| **Short-Term Investments — 0.3%** | **Short-Term Investments — 0.3%** | **Short-Term Investments — 0.3%** | **Short-Term Investments — 0.3%** | **Short-Term Investments — 0.3%** |
| &nbsp;&nbsp;&nbsp; BNY Mellon Cash Reserve Fund <br>(Cost — $2,469,403) | &nbsp;&nbsp; 0.800% |  | &nbsp;&nbsp; 2469403<br>| &nbsp;&nbsp;&nbsp;&nbsp; **2469403**<br> <sup>(p)</sup><br>|
| **Total Investments — 129.4% (Cost — $959,663,658)** | **Total Investments — 129.4% (Cost — $959,663,658)** | **Total Investments — 129.4% (Cost — $959,663,658)** | **Total Investments — 129.4% (Cost — $959,663,658)** | &nbsp;&nbsp; **941129803** |
| &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (29.4)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (29.4)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (29.4)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (29.4)% | &nbsp;&nbsp;&nbsp; (214040724)<br>|
| **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | &nbsp;&nbsp; **$727089079** |

---

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

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Plus Completion Fund**

---

| | |
|:---|:---|
| † | Face amount/notional amount denominated in U.S. dollars, unless otherwise noted. |
| †† | Represents less than 0.1%. |
| \* | Non-income producing security. |
| <sup>(a)</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>(b)</sup> | Securities traded on a when-issued or delayed delivery basis. |
| <sup>(c)</sup> | Security has no maturity date. The date shown represents the next call date. |
| <sup>(d)</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>(e)</sup> | The coupon payment on this security is currently in default as of September 30, 2025. |
| <sup>(f)</sup> | This security is traded on a to-be-announced ("TBA") basis. At September 30, 2025, the Fund held TBA securities with a total cost of $220,076,294. |
| <sup>(g)</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>|
| <sup>(h)</sup> | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
| <sup>(i)</sup> | All or a portion of this security is held at the broker as collateral for OTC derivatives. |
| <sup>(j)</sup> | All or a portion of this security is held at the broker as collateral for open futures contracts and exchange-traded options.  |
| <sup>(k)</sup> | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of <br> the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the <br> Board of Trustees.<br>|
| <sup>(l)</sup> | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| <sup>(m)</sup> | Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower <br> prior to the disposition of a senior loan. <br>|
| <sup>(n)</sup> | Security is fair valued in accordance with procedures approved by the Board of Trustees (Note 1). |
| <sup>(o)</sup> | Restricted security (Note 2). |
| <sup>(p)</sup> | Rate shown is one-day yield as of the end of the reporting period.  |

---

&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%)  |
| bps | basis points (100 basis points = 1.00%) |
| BRL | Brazilian Real |
| CAS | Connecticut Avenue Securities |
| CLO | Collateralized Loan Obligation |
| CNY | Chinese Yuan Renminbi |
| DAC | Designated Activity Company |
| ICE | Intercontinental Exchange |
| INR | Indian Rupee |
| IO | Interest Only |
| JMD | Jamaican Dollar |
| JSC | Joint Stock Company |
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| USD | United States Dollar |
| UYU | Uruguayan Peso |

---

At September 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 | 1162 | &nbsp;&nbsp;&nbsp;&nbsp; $2905000 | &nbsp;&nbsp;&nbsp;&nbsp; $(65362) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/12/25 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;96.750 | 1327 | &nbsp;&nbsp;&nbsp;&nbsp; 3317500 | &nbsp;&nbsp;&nbsp;&nbsp; (41469) |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| 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; 9/11/26 | &nbsp;&nbsp;&nbsp;&nbsp; $97.500 | &nbsp;&nbsp; 483 | &nbsp;&nbsp;&nbsp;&nbsp; $1207500 | &nbsp;&nbsp;&nbsp;&nbsp; $(132825) |
| 3-Month SOFR Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 12/12/25 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;95.375 | 1327 | &nbsp;&nbsp;&nbsp;&nbsp; 3317500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (8294) |
| 3-Month SOFR Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 12/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;96.500 | &nbsp;&nbsp; 573 | &nbsp;&nbsp;&nbsp;&nbsp; 1432500 | &nbsp;&nbsp;&nbsp;&nbsp; (247106) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;109.000 | &nbsp;&nbsp; 383 | &nbsp;&nbsp;&nbsp;&nbsp; 383000 | &nbsp;&nbsp;&nbsp;&nbsp; (251344) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;110.750 | 1340 | &nbsp;&nbsp;&nbsp;&nbsp; 1340000 | &nbsp;&nbsp;&nbsp;&nbsp; (177969) |
| U.S. Treasury 5-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;109.500 | &nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp; 480000 | &nbsp;&nbsp;&nbsp;&nbsp; (258750) |
| U.S. Treasury 5-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;109.000 | &nbsp;&nbsp; 383 | &nbsp;&nbsp;&nbsp;&nbsp; 383000 | &nbsp;&nbsp;&nbsp;&nbsp; (176539) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;113.000 | &nbsp;&nbsp; 447 | &nbsp;&nbsp;&nbsp;&nbsp; 447000 | &nbsp;&nbsp;&nbsp;&nbsp; (300328) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;114.500 | &nbsp;&nbsp; 670 | &nbsp;&nbsp;&nbsp;&nbsp; 670000 | &nbsp;&nbsp;&nbsp;&nbsp; (188437) |
| U.S. Treasury 10-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;111.000 | &nbsp;&nbsp; 670 | &nbsp;&nbsp;&nbsp;&nbsp; 670000 | &nbsp;&nbsp;&nbsp;&nbsp; (219844) |
| U.S. Treasury 10-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;113.000 | &nbsp;&nbsp; 447 | &nbsp;&nbsp;&nbsp;&nbsp; 447000 | &nbsp;&nbsp;&nbsp;&nbsp; (523828) |
| U.S. Treasury Long-Term Bonds Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 10/24/25 | &nbsp;&nbsp;&nbsp;&nbsp;119.000 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;(375) |
| U.S. Treasury Long-Term Bonds Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 11/21/25 | &nbsp;&nbsp;&nbsp;&nbsp;111.000 | &nbsp;&nbsp; 334 | &nbsp;&nbsp;&nbsp;&nbsp; 334000 | &nbsp;&nbsp;&nbsp;&nbsp; (104375) |
| **Total Exchange-Traded Written Options (Premiums received — $4,187,036)** | **Total Exchange-Traded Written Options (Premiums received — $4,187,036)** | **Total Exchange-Traded Written Options (Premiums received — $4,187,036)** | **Total Exchange-Traded Written Options (Premiums received — $4,187,036)** | **Total Exchange-Traded Written Options (Premiums received — $4,187,036)** | &nbsp;&nbsp;&nbsp; **(2696845)** |

---

&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 received by the Fund <br> annually, payments made by the Fund <br> on Daily SOFR Compound annually, <br> maturing on 9/29/36 <br>(Premiums received — $1,756,393)<br>| Goldman Sachs Group Inc. | &nbsp;&nbsp; 9/25/26<br> 3.450 <br><sup>bps</sup><br>| &nbsp;&nbsp;&nbsp; 103560000 | &nbsp;&nbsp; **$(1750174)**<br>|
| **Total Written Options (Premiums received — $5,943,429)** | **Total Written Options (Premiums received — $5,943,429)** | **Total Written Options (Premiums received — $5,943,429)** | **Total Written Options (Premiums received — $5,943,429)** | &nbsp;&nbsp; **$(4447019)**<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 |

---

At September 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:** |  |  |  |  |  |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 2192 | &nbsp;&nbsp;&nbsp;&nbsp; 3/26 | &nbsp;&nbsp;&nbsp;&nbsp; $528041591 | &nbsp;&nbsp;&nbsp;&nbsp; $527806200 | &nbsp;&nbsp;&nbsp;&nbsp; $(235391) |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp; 3/27 | &nbsp;&nbsp;&nbsp;&nbsp; 132373536 | &nbsp;&nbsp;&nbsp;&nbsp; 133244375 | &nbsp;&nbsp;&nbsp;&nbsp; 870839 |
| U.S. Treasury 5-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 8057 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 880693297 | &nbsp;&nbsp;&nbsp;&nbsp; 879786613 | &nbsp;&nbsp;&nbsp;&nbsp; (906684) |
| United Kingdom Long Gilt Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 325 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 39513765 | &nbsp;&nbsp;&nbsp;&nbsp; 39705483 | &nbsp;&nbsp;&nbsp;&nbsp; 191718 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (79518) |
| **Contracts to Sell:** |  |  |  |  |  |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 99333256 | &nbsp;&nbsp;&nbsp;&nbsp; 99316013 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17243 |
| Japanese 10-Year Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 45388584 | &nbsp;&nbsp;&nbsp;&nbsp; 44992460 | &nbsp;&nbsp;&nbsp;&nbsp; 396124 |
| U.S. Treasury 2-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 2943 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 612994566 | &nbsp;&nbsp;&nbsp;&nbsp; 613316603 | &nbsp;&nbsp;&nbsp;&nbsp; (322037) |
| U.S. Treasury 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 666 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 74896552 | &nbsp;&nbsp;&nbsp;&nbsp; 74925000 | &nbsp;&nbsp;&nbsp;&nbsp; (28448) |
| U.S. Treasury Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 13820546 | &nbsp;&nbsp;&nbsp;&nbsp; 13758063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62483 |
| U.S. Treasury Ultra 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 379 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 43142950 | &nbsp;&nbsp;&nbsp;&nbsp; 43614611 | &nbsp;&nbsp;&nbsp;&nbsp; (471661) |
| U.S. Treasury Ultra Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 1699 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 198518005 | &nbsp;&nbsp;&nbsp;&nbsp; 203986187 | &nbsp;&nbsp;&nbsp;&nbsp; (5468182) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (5814478) |
| **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | **Net unrealized depreciation on open futures contracts** | &nbsp;&nbsp;&nbsp; **$(5893996)** |

---

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

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Plus Completion Fund**

---

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

---

At September 30, 2025, the Fund had the following open forward foreign currency contracts:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Currency <br>Purchased | Currency <br>Purchased | Currency <br>Sold | Currency <br>Sold | Counterparty | Settlement <br>Date<br>| Unrealized <br>Appreciation <br>(Depreciation)<br>|
| BRL | &nbsp;&nbsp;&nbsp;&nbsp; 4766954 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 896280 | Goldman Sachs Group Inc. | 10/2/25 | $(1054) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 896860 | &nbsp;&nbsp; BRL | &nbsp;&nbsp;&nbsp;&nbsp; 4766954 | Goldman Sachs Group Inc. | 10/2/25 | &nbsp;&nbsp;&nbsp;&nbsp; 1635 |
| BRL | &nbsp;&nbsp;&nbsp;&nbsp; 93592648 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 17597234 | JPMorgan Chase & Co. | 10/2/25 | &nbsp;&nbsp;&nbsp; (20702) |
| BRL | &nbsp;&nbsp;&nbsp;&nbsp; 98359602 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 18488647 | JPMorgan Chase & Co. | 10/2/25 | &nbsp;&nbsp;&nbsp; (16889) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 17102669 | &nbsp;&nbsp; BRL | &nbsp;&nbsp;&nbsp;&nbsp; 93592648 | JPMorgan Chase & Co. | 10/2/25 | (473863) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 18493514 | &nbsp;&nbsp; BRL | &nbsp;&nbsp;&nbsp;&nbsp; 98359602 | JPMorgan Chase & Co. | 10/2/25 | &nbsp;&nbsp;&nbsp;&nbsp; 21756 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 12890880 | CNH | &nbsp;&nbsp;&nbsp;&nbsp; 91792089 | Bank of America N.A. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (1743) |
| CNH | &nbsp;&nbsp;&nbsp;&nbsp; 18009000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2535737 | BNP Paribas SA | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (6290) |
| CNH | &nbsp;&nbsp;&nbsp;&nbsp; 28450000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3980283 | BNP Paribas SA | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 15651 |
| CNH | &nbsp;&nbsp;&nbsp;&nbsp; 29830000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 4160550 | BNP Paribas SA | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 29211 |
| CNH | &nbsp;&nbsp;&nbsp;&nbsp; 32540000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 4538680 | BNP Paribas SA | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 31714 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650002 | CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 881978 | Citibank N.A. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 15750 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 23465925 | &nbsp;&nbsp; INR | 2021460374 | Citibank N.A. | 10/16/25 | &nbsp;&nbsp; 719662 |
| GBP | &nbsp;&nbsp;&nbsp;&nbsp; 2600000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3467732 | Goldman Sachs Group Inc. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 29332 |
| GBP | &nbsp;&nbsp;&nbsp;&nbsp; 3940000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 5249211 | Goldman Sachs Group Inc. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 50186 |
| JPY | 3248809330 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 22382967 | Goldman Sachs Group Inc. | 10/16/25 | (375677) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 6287801 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 5340000 | Goldman Sachs Group Inc. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 12116 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 11353948 | GBP | &nbsp;&nbsp;&nbsp;&nbsp; 8314439 | Goldman Sachs Group Inc. | 10/16/25 | &nbsp;&nbsp; 170824 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 2113105 | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 309121273 | Goldman Sachs Group Inc. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 19131 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 2557231 | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 375271384 | Goldman Sachs Group Inc. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 15160 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 2689161 | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 393123015 | Goldman Sachs Group Inc. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 26163 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 3419079 | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 501210000 | Goldman Sachs Group Inc. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 23905 |
| AUD | &nbsp;&nbsp;&nbsp;&nbsp; 36015231 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 23501739 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp; 335256 |
| EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 900000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1042201 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 15499 |
| EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2390000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2744233 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 64547 |
| EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2590000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2987354 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 56470 |
| EUR | &nbsp;&nbsp;&nbsp;&nbsp; 4000000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 4638660 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 62227 |
| EUR | &nbsp;&nbsp;&nbsp;&nbsp; 20736973 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 24507556 | JPMorgan Chase & Co. | 10/16/25 | (137012) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 2700546 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 4045867 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 22753 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 2852272 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 4323138 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (9035) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 3045170 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 4570000 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 20476 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 6068076 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 9269285 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp; (66881) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 2641286 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2230000 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 20542 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 2838299 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2411048 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 4782 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 2863115 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2414940 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; 25025 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 3083784 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2650000 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp; (30554) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 6023865 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 5133846 | JPMorgan Chase & Co. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp; (9543) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97343 | MXN | &nbsp;&nbsp;&nbsp;&nbsp; 1788000 | Morgan Stanley & Co. Inc. | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (121) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 18346222 | &nbsp;&nbsp; BRL | &nbsp;&nbsp;&nbsp;&nbsp; 98359602 | JPMorgan Chase & Co. | 11/4/25 | &nbsp;&nbsp;&nbsp;&nbsp; 25413 |
| **Net unrealized appreciation on open forward foreign currency contracts** | **Net unrealized appreciation on open forward foreign currency contracts** | **Net unrealized appreciation on open forward foreign currency contracts** | **Net unrealized appreciation on open forward foreign currency contracts** | **Net unrealized appreciation on open forward foreign currency contracts** | **Net unrealized appreciation on open forward foreign currency contracts** | **$685822** |

---

&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:** |
| AUD |  | Australian Dollar |
| BRL |  | Brazilian Real |
| CAD |  | Canadian Dollar |
| CNH |  | Chinese Offshore Yuan |
| EUR |  | Euro |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

---

| | |
|:---|:---|
| GBP | British Pound |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| MXN | Mexican Peso |
| USD | United States Dollar |

---

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  | <br> **OTC INTEREST RATE SWAPS**  |
| Swap Counterparty | Notional <br>Amount\*<br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp; Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &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>|
| Citibank N.A. | 785610000<sup>BRL</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1/2/29 | &nbsp;&nbsp;&nbsp;&nbsp; BRL-CDI\*\* | &nbsp;&nbsp;&nbsp;&nbsp; 10.269%\*\* | &nbsp;&nbsp;&nbsp; **$(13202555)** | &nbsp;&nbsp;&nbsp; **—** | &nbsp;&nbsp;&nbsp; **$(13202555)** |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <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; $250617000 | &nbsp;&nbsp;&nbsp;&nbsp; 5/31/32 | &nbsp;&nbsp;&nbsp;&nbsp; 3.490% <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp; **$(355158)** | &nbsp;&nbsp;&nbsp; **$456461** | &nbsp;&nbsp;&nbsp; **$(811619)** |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL 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>Received 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 | $854883000 | &nbsp;&nbsp;&nbsp;&nbsp; 12/20/30 | 1.000% quarterly | &nbsp;&nbsp;&nbsp; **$19434065** | &nbsp;&nbsp;&nbsp; **$19608668** | &nbsp;&nbsp;&nbsp; **$(174603)** |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>4</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.HY.45 Index | $61183200 | &nbsp;&nbsp;&nbsp;&nbsp; 12/20/30 | 5.000% quarterly | &nbsp;&nbsp;&nbsp; **$(4725272)** | &nbsp;&nbsp;&nbsp; **$(4669758)** | &nbsp;&nbsp;&nbsp; **$(55514)** |

---

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  | <br> **OTC TOTAL RETURN SWAPS**  |
| Swap <br>Counterparty<br>| Notional <br>Amount<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;&nbsp; Periodic <br>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>Appreciation<br>|
| JPMorgan Chase & Co. | $19662000 | &nbsp;&nbsp;&nbsp;&nbsp; 10/3/25 | &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound + <br>1.100%\*\*<br>| JPEIFNTR^\*\* | &nbsp;&nbsp;&nbsp; **$827589** | &nbsp;&nbsp;&nbsp; **—** | &nbsp;&nbsp;&nbsp; **$827589** |

---

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

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Plus Completion Fund**

---

| | |
|:---|:---|
| <sup>1</sup> | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to <br> the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities <br> comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the <br> recovery value of the referenced obligation or 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>|
| <sup>4</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>|
| † | Percentage shown is an annual percentage rate. |
| ‡ | Periodic payments made/received by the Fund are based on the total return of the referenced entity. |
| ^ | Custom emerging markets debt basket is comprised of 41 bonds in the Sovereign Frontier sector. |
| \* | Notional amount denominated in U.S. dollars, unless otherwise noted. |
| \*\* | One time payment made at termination date. |

---

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

---

| | |
|:---|:---|
| Reference Index | Reference <br>Rate<br>|
| &nbsp;&nbsp;&nbsp; BRL-CDI | 14.900% |
| &nbsp;&nbsp;&nbsp; Daily SOFR Compound | 4.240% |

---

&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:** |
| BRL |  | Brazilian Real |
| BRL-CDI |  | Brazilian Cetip InterBank Deposit Rate |
| CDI |  | Clearing House Electronic Subregister System Depositary Interest |
| JPEIFNTR |  | Western Asset Management Emerging Markets Frontier Custom Basket |
| SOFR |  | Secured Overnight Financing Rate |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

September 30, 2025

 **Western Asset SMASh Series Core Plus Completion Fund**

The following table provides information about the underlying components of the JPEIFNTR total return swap, as of period end.

---

| | | | |
|:---|:---|:---|:---|
| Security | &nbsp;&nbsp;&nbsp; Face <br>Amount<br>| Value | Weight |
| &nbsp;&nbsp;&nbsp; Angolan Government International Bond, 9.125% due <br> 11/26/49<br>| &nbsp;&nbsp;&nbsp;&nbsp; $12070000 | &nbsp;&nbsp;&nbsp;&nbsp; $10102590 | &nbsp;&nbsp;&nbsp;&nbsp; 5.72% |
| &nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, <br> 3.500% due 7/9/41<br>| &nbsp;&nbsp;&nbsp;&nbsp; 8080000 | &nbsp;&nbsp;&nbsp;&nbsp; 3910720 | &nbsp;&nbsp;&nbsp;&nbsp; 2.21% |
| &nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, <br> 5.000% due 1/9/38<br>| &nbsp;&nbsp;&nbsp;&nbsp; 8650000 | &nbsp;&nbsp;&nbsp;&nbsp; 4856975 | &nbsp;&nbsp;&nbsp;&nbsp; 2.75% |
| &nbsp;&nbsp;&nbsp; Bahamas Government International Bond, 8.250% due <br> 6/24/36<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6200000 | &nbsp;&nbsp;&nbsp;&nbsp; 6683600 | &nbsp;&nbsp;&nbsp;&nbsp; 3.78% |
| &nbsp;&nbsp;&nbsp; Benin Government International Bond, 7.960% due 2/13/38 | &nbsp;&nbsp;&nbsp;&nbsp; 4860000 | &nbsp;&nbsp;&nbsp;&nbsp; 4964053 | &nbsp;&nbsp;&nbsp;&nbsp; 2.81% |
| &nbsp;&nbsp;&nbsp; Costa Rica Government International Bond, 6.550% due <br> 4/3/34<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5810000 | &nbsp;&nbsp;&nbsp;&nbsp; 6251560 | &nbsp;&nbsp;&nbsp;&nbsp; 3.54% |
| &nbsp;&nbsp;&nbsp; Dominican Republic International Bond, 4.500% due <br> 1/30/30<br>| &nbsp;&nbsp;&nbsp;&nbsp; 9540000 | &nbsp;&nbsp;&nbsp;&nbsp; 9339660 | &nbsp;&nbsp;&nbsp;&nbsp; 5.28% |
| &nbsp;&nbsp;&nbsp; Ecuador Government International Bond, 6.900% due <br> 7/31/35<br>| &nbsp;&nbsp;&nbsp;&nbsp; 9150000 | &nbsp;&nbsp;&nbsp;&nbsp; 6819045 | &nbsp;&nbsp;&nbsp;&nbsp; 3.86% |
| &nbsp;&nbsp;&nbsp; Egypt Government International Bond, 5.800% due 9/30/27 | &nbsp;&nbsp;&nbsp;&nbsp; 5270000 | &nbsp;&nbsp;&nbsp;&nbsp; 5242596 | &nbsp;&nbsp;&nbsp;&nbsp; 2.97% |
| &nbsp;&nbsp;&nbsp; Egypt Government International Bond, 7.903% due 2/21/48 | &nbsp;&nbsp;&nbsp;&nbsp; 4170000 | &nbsp;&nbsp;&nbsp;&nbsp; 3455888 | &nbsp;&nbsp;&nbsp;&nbsp; 1.95% |
| &nbsp;&nbsp;&nbsp; El Salvador Government International Bond, 7.125% due <br> 1/20/50<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7580000 | &nbsp;&nbsp;&nbsp;&nbsp; 6533960 | &nbsp;&nbsp;&nbsp;&nbsp; 3.70% |
| &nbsp;&nbsp;&nbsp; Ethiopia International Bond, 6.625% due 12/11/26<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 10970000 | &nbsp;&nbsp;&nbsp;&nbsp; 10279690 | &nbsp;&nbsp;&nbsp;&nbsp; 5.82% |
| &nbsp;&nbsp;&nbsp; Ghana Government International Bond, 5.000% due 7/3/29 | &nbsp;&nbsp;&nbsp;&nbsp; 2716043 | &nbsp;&nbsp;&nbsp;&nbsp; 2641352 | &nbsp;&nbsp;&nbsp;&nbsp; 1.49% |
| &nbsp;&nbsp;&nbsp; Ghana Government International Bond, 5.000% due 7/3/35 | &nbsp;&nbsp;&nbsp;&nbsp; 3905715 | &nbsp;&nbsp;&nbsp;&nbsp; 3271036 | &nbsp;&nbsp;&nbsp;&nbsp; 1.85% |
| &nbsp;&nbsp;&nbsp; Guatemala Government Bond, 5.375% due 4/24/32 | &nbsp;&nbsp;&nbsp;&nbsp; 4940000 | &nbsp;&nbsp;&nbsp;&nbsp; 4969640 | &nbsp;&nbsp;&nbsp;&nbsp; 2.81% |
| &nbsp;&nbsp;&nbsp; Ivory Coast Government International Bond, 7.625% due <br> 1/30/33<br>| &nbsp;&nbsp;&nbsp;&nbsp; 10570000 | &nbsp;&nbsp;&nbsp;&nbsp; 10992800 | &nbsp;&nbsp;&nbsp;&nbsp; 6.22% |
| &nbsp;&nbsp;&nbsp; Jordan Government International Bond, 7.500% due <br> 1/13/29<br>| &nbsp;&nbsp;&nbsp;&nbsp; 4710000 | &nbsp;&nbsp;&nbsp;&nbsp; 4904099 | &nbsp;&nbsp;&nbsp;&nbsp; 2.78% |
| &nbsp;&nbsp;&nbsp; Mozambique International Bond, 9.000% due 9/15/31 | &nbsp;&nbsp;&nbsp;&nbsp; 5550000 | &nbsp;&nbsp;&nbsp;&nbsp; 4933784 | &nbsp;&nbsp;&nbsp;&nbsp; 2.79% |
| &nbsp;&nbsp;&nbsp; Nigeria Government International Bond, 7.375% due <br> 9/28/33<br>| &nbsp;&nbsp;&nbsp;&nbsp; 13830000 | &nbsp;&nbsp;&nbsp;&nbsp; 13081520 | &nbsp;&nbsp;&nbsp;&nbsp; 7.40% |
| &nbsp;&nbsp;&nbsp; Paraguay Government International Bond, 6.100% due <br> 8/11/44<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5750000 | &nbsp;&nbsp;&nbsp;&nbsp; 5877938 | &nbsp;&nbsp;&nbsp;&nbsp; 3.33% |
| &nbsp;&nbsp;&nbsp; Petroleos de Venezuela SA, 0.000% due 4/12/27<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 34000000 | &nbsp;&nbsp;&nbsp;&nbsp; 5439998 | &nbsp;&nbsp;&nbsp;&nbsp; 3.08% |
| &nbsp;&nbsp;&nbsp; Provincia de Buenos Aires/Government Bonds, 6.625% due <br> 9/1/37<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5319673 | &nbsp;&nbsp;&nbsp;&nbsp; 2821393 | &nbsp;&nbsp;&nbsp;&nbsp; 1.60% |
| &nbsp;&nbsp;&nbsp; Republic of Kenya Government International Bond, 6.300% <br> due 1/23/34<br>| &nbsp;&nbsp;&nbsp;&nbsp; 12750000 | &nbsp;&nbsp;&nbsp;&nbsp; 11204063 | &nbsp;&nbsp;&nbsp;&nbsp; 6.34% |
| &nbsp;&nbsp;&nbsp; Republic of Uzbekistan International Bond, 3.900% due <br> 10/19/31<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3810000 | &nbsp;&nbsp;&nbsp;&nbsp; 3495675 | &nbsp;&nbsp;&nbsp;&nbsp; 1.98% |
| &nbsp;&nbsp;&nbsp; Senegal Government International Bond, 6.250% due <br> 5/23/33<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3780000 | &nbsp;&nbsp;&nbsp;&nbsp; 2728706 | &nbsp;&nbsp;&nbsp;&nbsp; 1.54% |
| &nbsp;&nbsp;&nbsp; Senegal Government International Bond, 6.750% due <br> 3/13/48<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3230000 | &nbsp;&nbsp;&nbsp;&nbsp; 2003892 | &nbsp;&nbsp;&nbsp;&nbsp; 1.13% |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 3.100% due <br> 1/15/30<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2330000 | &nbsp;&nbsp;&nbsp;&nbsp; 2185540 | &nbsp;&nbsp;&nbsp;&nbsp; 1.24% |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 3.350% due <br> 3/15/33<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1693000 | &nbsp;&nbsp;&nbsp;&nbsp; 1452594 | &nbsp;&nbsp;&nbsp;&nbsp; 0.82% |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 3.600% due <br> 6/15/35<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3080000 | &nbsp;&nbsp;&nbsp;&nbsp; 2246860 | &nbsp;&nbsp;&nbsp;&nbsp; 1.27% |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Plus Completion Fund**

---

| | | | |
|:---|:---|:---|:---|
| Security | &nbsp;&nbsp;&nbsp; Face<br> Amount<br>| Value | Weight |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 3.600% due <br> 5/15/36<br>| &nbsp;&nbsp;&nbsp;&nbsp; $793000 | &nbsp;&nbsp;&nbsp;&nbsp; $700616 | &nbsp;&nbsp;&nbsp;&nbsp; 0.40% |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 3.600% due <br> 2/15/38<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1587000 | &nbsp;&nbsp;&nbsp;&nbsp; 1410050 | &nbsp;&nbsp;&nbsp;&nbsp; 0.80% |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 4.000% due <br> 4/15/28<br>| &nbsp;&nbsp;&nbsp;&nbsp; 890914 | &nbsp;&nbsp;&nbsp;&nbsp; 618588 | &nbsp;&nbsp;&nbsp;&nbsp; 0.35% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 0.000% due <br> 2/1/30<br>| &nbsp;&nbsp;&nbsp;&nbsp; 537010 | &nbsp;&nbsp;&nbsp;&nbsp; 281125 | &nbsp;&nbsp;&nbsp;&nbsp; 0.16% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 0.000% due <br> 2/1/34<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2006721 | &nbsp;&nbsp;&nbsp;&nbsp; 827772 | &nbsp;&nbsp;&nbsp;&nbsp; 0.47% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 0.000% due <br> 2/1/35<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1695820 | &nbsp;&nbsp;&nbsp;&nbsp; 818233 | &nbsp;&nbsp;&nbsp;&nbsp; 0.46% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 0.000% due <br> 2/1/36<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1413184 | &nbsp;&nbsp;&nbsp;&nbsp; 680448 | &nbsp;&nbsp;&nbsp;&nbsp; 0.38% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 4.500% due <br> 2/1/34<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3870000 | &nbsp;&nbsp;&nbsp;&nbsp; 2157525 | &nbsp;&nbsp;&nbsp;&nbsp; 1.22% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 4.500% due <br> 2/1/35<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2380000 | &nbsp;&nbsp;&nbsp;&nbsp; 1305430 | &nbsp;&nbsp;&nbsp;&nbsp; 0.74% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 4.500% due <br> 2/1/36<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1966168 | &nbsp;&nbsp;&nbsp;&nbsp; 1063697 | &nbsp;&nbsp;&nbsp;&nbsp; 0.60% |
| &nbsp;&nbsp;&nbsp; Zambia Government International Bond, 0.500% due <br> 12/31/53<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3525852 | &nbsp;&nbsp;&nbsp;&nbsp; 2383899 | &nbsp;&nbsp;&nbsp;&nbsp; 1.35% |
| &nbsp;&nbsp;&nbsp; Zambia Government International Bond, 5.750% due <br> 6/30/33<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2655488<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1780578 | &nbsp;&nbsp;&nbsp;&nbsp; 1.01% |
| **Total** |  | &nbsp;&nbsp;&nbsp; **$176719186**  | &nbsp;&nbsp;&nbsp; **100.00%** |

---

<sup>(a)</sup>

The coupon payment on this security is currently in default as of September 30, 2025.

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

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 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 Plus Completion Fund (the "Fund") is a separate 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 Plus Completion Fund 2025 Quarterly Report

------

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; Corporate Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; $271255329 | &nbsp;&nbsp; — | &nbsp;&nbsp; $271255329 |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 220034627 | &nbsp;&nbsp; — | &nbsp;&nbsp; 220034627 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 159470517 | &nbsp;&nbsp; — | &nbsp;&nbsp; 159470517 |
| &nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 157734315 | &nbsp;&nbsp; — | &nbsp;&nbsp; 157734315 |
| &nbsp;&nbsp;&nbsp; Sovereign Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp; 80169793 | &nbsp;&nbsp; — | &nbsp;&nbsp; 80169793 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 27352026 | &nbsp;&nbsp; — | &nbsp;&nbsp; 27352026 |
| &nbsp;&nbsp;&nbsp; Senior Loans | &nbsp;&nbsp; — | &nbsp;&nbsp; 16569191 | &nbsp;&nbsp; — | &nbsp;&nbsp; 16569191 |
| &nbsp;&nbsp;&nbsp; Purchased Options: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exchange-Traded Purchased Options | &nbsp;&nbsp; $2982257 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 2982257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Purchased Options | &nbsp;&nbsp; — | &nbsp;&nbsp; 1793714 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1793714 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Inflation Protected Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 1191200 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1191200 |
| &nbsp;&nbsp;&nbsp; Common Stocks: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrials | &nbsp;&nbsp; 46145 | &nbsp;&nbsp; 268 | &nbsp;&nbsp; — | &nbsp;&nbsp; 46413 |
| &nbsp;&nbsp;&nbsp; Warrants | &nbsp;&nbsp; — | &nbsp;&nbsp; 32786 | &nbsp;&nbsp; — | &nbsp;&nbsp; 32786 |
| &nbsp;&nbsp;&nbsp; Non-U.S. Treasury Inflation Protected Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 28232 | &nbsp;&nbsp; — | &nbsp;&nbsp; 28232 |
| Total Long-Term Investments | &nbsp;&nbsp; 3028402 | &nbsp;&nbsp; 935631998 | &nbsp;&nbsp; — | &nbsp;&nbsp; 938660400 |
| Short-Term Investments† | &nbsp;&nbsp; — | &nbsp;&nbsp; 2469403 | &nbsp;&nbsp; — | &nbsp;&nbsp; 2469403 |
| **Total Investments** | &nbsp;&nbsp; **$3028402** | &nbsp;&nbsp; **$938101401** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$941129803** |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $1538407 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $1538407 |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† | &nbsp;&nbsp; — | &nbsp;&nbsp; $1835186 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1835186 |
| &nbsp;&nbsp;&nbsp; OTC Total Return Swaps | &nbsp;&nbsp; — | &nbsp;&nbsp; 827589 | &nbsp;&nbsp; — | &nbsp;&nbsp; 827589 |
| **Total Other Financial Instruments** | &nbsp;&nbsp; **$1538407** | &nbsp;&nbsp; **$2662775** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$4201182** |
| **Total** | &nbsp;&nbsp; **$4566809** | &nbsp;&nbsp; **$940764176** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$945330985** |

---

------

Western Asset SMASh Series Core Plus Completion Fund 2025 Quarterly Report

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **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; $2696845 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $2696845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OTC Written Options | &nbsp;&nbsp; — | &nbsp;&nbsp; $1750174 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1750174 |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; 7432403 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 7432403 |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† | &nbsp;&nbsp; — | &nbsp;&nbsp; 1149364 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1149364 |
| &nbsp;&nbsp;&nbsp; OTC Interest Rate Swaps | &nbsp;&nbsp; — | &nbsp;&nbsp; 13202555 | &nbsp;&nbsp; — | &nbsp;&nbsp; 13202555 |
| &nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† | &nbsp;&nbsp; — | &nbsp;&nbsp; 811619 | &nbsp;&nbsp; — | &nbsp;&nbsp; 811619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Sell <br> Protection††<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 174603 | &nbsp;&nbsp; — | &nbsp;&nbsp; 174603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Buy <br> Protection††<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 55514 | &nbsp;&nbsp; — | &nbsp;&nbsp; 55514 |
| **Total** | &nbsp;&nbsp; **$10129248** | &nbsp;&nbsp; **$17143829** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$27273077** |

---

&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.

**2. Restricted securities**

The following Fund investments are restricted as to resale and, in the absence of readily ascertainable market values, are fair valued in accordance with procedures approved by the Board. <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Security | &nbsp;&nbsp; Number of <br>Shares<br>| Acquisition <br>Date<br>| Cost | Fair Value <br>at 9/30/2025<br>| Value Per <br>Share/Warrants<br>|
| Spirit Airlines LLC, <br> Common Shares<br>| &nbsp;&nbsp; 705 | 3/25 | $8582 | $268 | &nbsp;&nbsp; $0.38<br> 0.00 %<sup>(a)</sup><br>|
| Spirit Airlines LLC, <br> Warrants<br>| &nbsp;&nbsp; 86279 | 3/25 | 1050305 | 32786  | 0.38<br> 0.00 <br><sup>(a)</sup><br>|
|  |  |  | **$1058887** | **$33054** | &nbsp;&nbsp; <br> **0.00%** <br><sup>(a)</sup><br>|

---

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

<sup>(a)</sup> Amount represents less than 0.005%.

------

Western Asset SMASh Series Core Plus 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 Plus Completion Fund

- **b. EDGAR series identifier (if any):** S000014683

- **c. LEI of Series:** 549300S54ZXI065Q3491

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-09-30

**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:** $1277402955.13

**Total Liabilities:** $549893403.39

**Net Assets:** $727509551.74

**Delayed Delivery Securities:** $4669997.10

**Stand-by Commitments:** $390028352.80

**Cash Not Reported:** $17634127.27

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 289.74000000 | **1-Year:** 67457.18000000 | **5-Year:** 520939.43000000 | **10-Year:** 84727.76000000 | **30-Year:** 4239.47000000

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

- **3-Month:** 367.57000000 | **1-Year:** 13101.51000000 | **5-Year:** 35170.96000000 | **10-Year:** 8201.60000000 | **30-Year:** 598.56000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000040181 | -0.36%               | 1.56%                | 0.55%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5744429.07              | $-15046030.07                              |
| Month 2  | $1267646.08              | $7765954.01                                |
| Month 3  | $5303772.93              | $4890120.92                                |

### 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. | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1117 | NC      | $8726.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0606A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $10217439.20  | 1.40%             | 2055-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     140000 | PA      | $141148.44    | 0.02%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0606A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -10000000 | PA      | $-10217439.20 | -1.40%            | 2055-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KFG9<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-MBS          | CORP              | US        |    3980000 | PA      | $4437134.84   | 0.61%             | 2033-10-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6140000 | PA      | $6356201.68   | 0.87%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     640000 | PA      | $649483.38    | 0.09%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     500000 | PA      | $510491.48    | 0.07%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LL                    | Viper Energy Partners LLC                                                       | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     640000 | PA      | $651100.80    | 0.09%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                          | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     724538 | PA      | $303125.73    | 0.04%             | 2034-02-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10402.11     | 0.00%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UFC Holdings LLC (Zuffa)/TKO Group          | UFC HOLDINGS LLC                                                                | CUSIP: 90266UAL7<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |     606950 | PA      | $608552.35    | 0.08%             | 2031-11-21      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                       | Sri Lanka Government International Bond                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     192344 | PA      | $170687.09    | 0.02%             | 2036-05-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.HY.45.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-4801751.10  | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                     | Honeywell International Inc                                                     | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     980000 | PA      | $996800.81    | 0.14%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                    | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    4040000 | PA      | $3643028.99   | 0.50%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     220000 | PA      | $220643.32    | 0.03%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                              | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     930000 | PA      | $954033.10    | 0.13%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                 | CAESARS ENTERTAIN INC                                                           | CUSIP: 12768EAG1<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |     627550 | PA      | $627383.70    | 0.09%             | 2030-02-06      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                    | Vistra Operations Co LLC                                                        | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     140000 | PA      | $146524.95    | 0.02%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                         | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |     591367 | PA      | $591955.69    | 0.08%             | 2028-10-23      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                    | Devon Energy Corp                                                               | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     540000 | PA      | $470597.93    | 0.06%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                    | USD/MXN FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-121.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Light and Wonder International Inc          | LIGHT & WONDER INTERNATIONAL INC                                                | CUSIP: 80875AAW1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |     407071 | PA      | $408725.72    | 0.06%             | 2029-04-14      | Floating      | 6.39%                 | 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        |       -447 | NC      | $-523828.13   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Bank USA                      | BRL/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1634.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2500000 | PA      | $2065478.53   | 0.28%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS                       | QXO Building Products Inc                                                       | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1691770.79   | 0.23%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                               | Carnival Corp                                                                   | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    6570000 | PA      | $6736766.31   | 0.93%             | 2031-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,               | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1            | CUSIP: 25157GBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1684311 | PA      | $296747.95    | 0.04%             | 2036-04-15      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| GIP Pilot Acquisition Partners LP           | GIP PILOT ACQUISITION PA                                                        | CUSIP: 31773HAE2<br>LEI: 254900NQOAOPPA12X060 | Long             | LON              | CORP              | US        |     403074 | PA      | $403326.17    | 0.06%             | 2030-10-04      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                      | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $79517.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1817634.80   | 0.25%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                         | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7980000 | PA      | $7108185.00   | 0.98%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                         | STACR Trust 2018-HRP1                                                           | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |    8431281 | PA      | $10110227.03  | 1.39%             | 2043-05-25      | Floating      | 16.22%                | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1140000 | PA      | $1147525.78   | 0.16%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R01                                    | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2700000 | PA      | $2766457.80   | 0.38%             | 2041-12-25      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                   | Prosus NV                                                                       | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    2400000 | PA      | $2179943.40   | 0.30%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     320000 | PA      | $309673.24    | 0.04%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                               | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2260000 | PA      | $2222561.52   | 0.31%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor              | Banc of America Funding 2014-R2 Trust                                           | CUSIP: 05968KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6850434 | PA      | $6117472.74   | 0.84%             | 2037-05-26      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                    | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    1390000 | PA      | $1266828.49   | 0.17%             | 2032-01-31      | Fixed         | 3.25%                 | 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        |       -379 | NC      | $-471661.17   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $10251.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                        | Lockheed Martin Corp                                                            | CUSIP: 539830CE7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     210000 | PA      | $198389.01    | 0.03%             | 2064-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                     | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     200000 | PA      | $206985.98    | 0.03%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                     | United Rentals North America Inc                                                | CUSIP: 911365BR4<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104107.30    | 0.01%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association       | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1743.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                       | Oglethorpe Power Corp                                                           | CUSIP: 677050AY2<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |     390000 | PA      | $395056.97    | 0.05%             | 2055-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1220000 | PA      | $1103857.83   | 0.15%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     830000 | PA      | $828505.70    | 0.11%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     780000 | PA      | $728903.47    | 0.10%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Belron Finance 2019 LLC                     | BELRON FINANCE 2019 LLC                                                         | CUSIP: 08078UAN3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     606946 | PA      | $610742.62    | 0.08%             | 2031-10-16      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                          | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     580000 | PA      | $576624.59    | 0.08%             | 2033-09-25      | Fixed         | 4.82%                 | 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        |       1149 | NC      | $269296.88    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BJ1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $1390026.51   | 0.19%             | 2028-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                   | Block Inc                                                                       | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1301394.40   | 0.18%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1324936.71   | 0.18%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     280000 | PA      | $286343.55    | 0.04%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    3960000 | PA      | $3095631.71   | 0.43%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                          | Viking Cruises Ltd                                                              | CUSIP: 92676XAF4<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    1600000 | PA      | $1609140.80   | 0.22%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -3100000 | PA      | $-3084046.04  | -0.42%            | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0504A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $22230031.78  | 3.06%             | 2040-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                      | Brazil Letras do Tesouro Nacional                                               | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   31461000 | PA      | $5707771.40   | 0.78%             | 2026-01-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                  | Impac Secured Assets Trust 2006-3                                               | CUSIP: 45255RAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5499478 | PA      | $4835851.78   | 0.66%             | 2036-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-21M                                           | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     806273 | PA      | $805709.65    | 0.11%             | 2036-10-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T              | Alternative Loan Trust 2007-OA8                                                 | CUSIP: 02148GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2316384 | PA      | $2029392.88   | 0.28%             | 2047-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                       | Amrize Finance US LLC                                                           | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     210000 | PA      | $216456.80    | 0.03%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT OF JAMAICA                       | Jamaica Government International Bond                                           | CUSIP: 470160CF7<br>LEI: 529900Y93KNSXZI8KK56 | Long             | DBT              | NUSS              | JM        |  843000000 | PA      | $5527648.17   | 0.76%             | 2030-11-03      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                          | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1774740 | PA      | $970653.50    | 0.13%             | 2036-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1090000 | PA      | $767865.81    | 0.11%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                 | Truist Bank                                                                     | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |     510000 | PA      | $514160.95    | 0.07%             | 2029-09-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA Inc                | HARBOR FREIGHT TOOLS USA INC                                                    | CUSIP: 41151PAR6<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |     203536 | PA      | $200217.87    | 0.03%             | 2031-06-11      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage               | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11200000 | PA      | $10627376.48  | 1.46%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                    | Virgin Media Secured Finance PLC                                                | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    1470000 | PA      | $1454446.99   | 0.20%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     310000 | PA      | $309179.27    | 0.04%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0526A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26900000 | PA      | $27125804.52  | 3.73%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     240000 | PA      | $227245.00    | 0.03%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | 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        |        167 | NC      | $91328.13     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ZF NA CAPITAL                               | ZF North America Capital Inc                                                    | CUSIP: 98877DAH8<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $1331714.00   | 0.18%             | 2031-03-24      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                        | Range Resources Corp                                                            | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |    1910000 | PA      | $1869701.67   | 0.26%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     720000 | PA      | $683501.85    | 0.09%             | 2029-02-15      | Fixed         | 2.62%                 | 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        |       8020 | NC      | $-901417.18   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $751857.50    | 0.10%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AmWINS Group Inc                            | AMWINS GROUP INC                                                                | CUSIP: 03234TBA5<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |     407945 | PA      | $408207.98    | 0.06%             | 2032-01-30      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                         | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    1920000 | PA      | $1858884.42   | 0.26%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                     | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     160000 | PA      | $164976.37    | 0.02%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                    | Builders FirstSource Inc                                                        | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      70000 | PA      | $65889.05     | 0.01%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8950000 | PA      | $9008035.20   | 1.24%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                      | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-375676.65   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                        | Flutter Treasury DAC                                                            | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    1820000 | PA      | $1848546.70   | 0.25%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                | Synopsys Inc                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     270000 | PA      | $275099.87    | 0.04%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| SPIRIT AVIA HOL RESTRICT                    | SPIRIT AVIA HOL RESTRICT                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        705 | NS      | $267.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     372000 | PA      | $386672.33    | 0.05%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                     | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1240000 | PA      | $1323586.28   | 0.18%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                    | Builders FirstSource Inc                                                        | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1494897.03   | 0.21%             | 2035-05-15      | Fixed         | 6.75%                 | 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        |       -383 | NC      | $-251343.75   | -0.03%            |  |  |  | No            |                  1 | 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        |      -1340 | NC      | $-177968.76   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ECOPETROL SA                                | Ecopetrol SA                                                                    | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    2420000 | PA      | $2172074.65   | 0.30%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                          | Expand Energy Corp                                                              | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $2664477.88   | 0.37%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     157000 | PA      | $144047.50    | 0.02%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                              | CUSIP: 30303M8U9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     400000 | PA      | $405382.25    | 0.06%             | 2034-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                       | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    2730000 | PA      | $2713167.91   | 0.37%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S              | Barclays Commercial Mortgage Trust 2019-C5                                      | CUSIP: 05492JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20110000 | PA      | $19128352.47  | 2.63%             | 2052-11-15      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2023-R05                                    | CUSIP: 207942AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4140000 | PA      | $4305609.11   | 0.59%             | 2043-06-25      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                    | Permian Resources Operating LLC                                                 | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      60000 | PA      | $61162.20     | 0.01%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $7024854.90   | 0.97%             | 2038-10-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                | ELP Commercial Mortgage Trust 2021-ELP                                          | CUSIP: 26863LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7438024 | PA      | $7432235.99   | 1.02%             | 2038-11-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Madison Avenue Trust                        | MAD Commercial Mortgage Trust 2025-11MD                                         | CUSIP: 55616AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4250000 | PA      | $4243607.15   | 0.58%             | 2042-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                   | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     290000 | PA      | $292616.63    | 0.04%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    1740000 | PA      | $1858119.74   | 0.26%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | 3 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -414 | NC      | $17243.10     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRST QUANTUM MINERALS L                    | First Quantum Minerals Ltd                                                      | CUSIP: 335934AX3<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    1540000 | PA      | $1593311.72   | 0.22%             | 2034-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                        | ALPHA GENERATION LLC                                                            | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |     606935 | PA      | $606858.81    | 0.08%             | 2031-09-30      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| RANGE RESOURCES CORP                        | Range Resources Corp                                                            | CUSIP: 75281ABJ7<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1823113.38   | 0.25%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                      | Egypt Government International Bond                                             | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    1880000 | PA      | $1816568.03   | 0.25%             | 2032-01-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -10000000 | PA      | $-9425968.40  | -1.30%            | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                           | KREF 2021-FL2 Ltd                                                               | CUSIP: 48275RAJ6<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |    3130000 | PA      | $3117971.10   | 0.43%             | 2039-02-15      | Floating      | 6.46%                 | 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        |        446 | NC      | $97562.50     | 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        |       -447 | NC      | $-300328.13   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40000000 | PA      | $41046875.20  | 5.64%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | 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        |      -2943 | NC      | $-322036.95   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Asurion LLC                                 | Asurion LLC                                                                     | CUSIP: 04649VBC3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     611383 | PA      | $614015.24    | 0.08%             | 2028-08-21      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                    | Provincia de Buenos Aires/Government Bonds                                      | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    2989195 | PA      | $1752415.84   | 0.24%             | 2037-09-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION              | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-13202555.48 | -1.81%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                          | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1242318 | PA      | $687891.61    | 0.09%             | 2035-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                     | Millrose Properties Inc                                                         | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1150068.80   | 0.16%             | 2030-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $666457.54    | 0.09%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Lightning Power, LLC                        | LIGHTNING POWER LLC                                                             | CUSIP: 53229LAB3<br>LEI: 254900BWCHJ03XRL8K59 | Long             | LON              | CORP              | US        |     407940 | PA      | $408119.19    | 0.06%             | 2031-08-18      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     310000 | PA      | $313576.25    | 0.04%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                         | NCL Corp Ltd                                                                    | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $301740.23    | 0.04%             | 2033-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                              | BCAP LLC 2013-RR3 Trust                                                         | CUSIP: 05542JAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     322592 | PA      | $332598.19    | 0.05%             | 2036-11-26      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        |  442530000 | NC      | $1793145.15   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PARAGUAY                        | Paraguay Government International Bond                                          | CUSIP: 699149AL4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    1120000 | PA      | $1050112.00   | 0.14%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      20000 | PA      | $19090.99     | 0.00%             | 2047-06-15      | 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        |       -670 | NC      | $-219843.75   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       1327 | NC      | $406393.75    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $10226953.10  | 1.41%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                 | Ivory Coast Government International Bond                                       | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    1070000 | PA      | $1029856.28   | 0.14%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 902613BK3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     730000 | PA      | $789071.61    | 0.11%             | N/A             | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                          | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     532422 | PA      | $300375.10    | 0.04%             | 2034-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                       | GFL Environmental Inc                                                           | CUSIP: 36168QAL8<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |     470000 | PA      | $459305.39    | 0.06%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   80500000 | PA      | $67833494.05  | 9.32%             | 2055-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                              | BCAP LLC 2014-RR5 Trust                                                         | CUSIP: 05544GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7782157 | PA      | $7215677.31   | 0.99%             | 2036-01-26      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| GULFSTREAM NATURAL GAS                      | Gulfstream Natural Gas System LLC                                               | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     840000 | PA      | $861139.10    | 0.12%             | 2035-07-23      | Fixed         | 5.60%                 | 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        |       -383 | NC      | $-176539.06   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10408.94     | 0.00%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                       | Amrize Finance US LLC                                                           | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102254.95    | 0.01%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CR7<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     680000 | PA      | $682979.28    | 0.09%             | 2034-08-14      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                         | Altice Financing SA                                                             | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    1720000 | PA      | $1295736.20   | 0.18%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                       | Sri Lanka Government International Bond                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     277144 | PA      | $203179.61    | 0.03%             | 2035-06-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                           | CI Financial Corp                                                               | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     900000 | PA      | $959545.65    | 0.13%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                | Synopsys Inc                                                                    | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     210000 | PA      | $214668.37    | 0.03%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                    | Florida Power & Light Co                                                        | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     360000 | PA      | $373622.38    | 0.05%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                    | Western Midstream Operating LP                                                  | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     640000 | PA      | $557387.95    | 0.08%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                    | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp                            | CUSIP: 983133AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3080000 | PA      | $3317685.85   | 0.46%             | 2031-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                       | Melco Resorts Finance Ltd                                                       | CUSIP: 58547DAH2<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |    1070000 | PA      | $1122527.79   | 0.15%             | 2032-04-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0306A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53400000 | PA      | $46912629.98  | 6.45%             | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                       | American Airlines Inc                                                           | CUSIP: 023771T40<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     810000 | PA      | $845460.18    | 0.12%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                              | Apidos Loan Fund 2024-1 Ltd                                                     | CUSIP: 037986AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7840000 | PA      | $7875563.02   | 1.08%             | 2038-10-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                            | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     730000 | PA      | $687566.05    | 0.09%             | 2031-07-15      | Fixed         | 4.75%                 | 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        |        670 | NC      | $157031.25    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10419.64     | 0.00%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     110000 | PA      | $112914.79    | 0.02%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     730000 | PA      | $717795.31    | 0.10%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER/MEDL CO                    | Medline Borrower LP/Medline Co-Issuer Inc                                       | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2166241.33   | 0.30%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     790000 | PA      | $821508.76    | 0.11%             | 2035-04-01      | Fixed         | 5.67%                 | 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        |       1149 | NC      | $134648.44    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                     | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $107356.08    | 0.01%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Chart Industries, Inc.                      | Chart Indus 03/18/30                                                            | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |     581063 | PA      | $585057.42    | 0.08%             | 2030-03-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                       | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1680000 | PA      | $1836496.82   | 0.25%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                               | TransDigm Inc                                                                   | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10307.95     | 0.00%             | 2032-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $61731.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE 2023-MIC Trust                          | 2023-MIC Trust/THE                                                              | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2740000 | PA      | $2971705.09   | 0.41%             | 2038-12-05      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $15750.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     400000 | PA      | $412880.04    | 0.06%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1022579.53   | 0.14%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0326A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2700000 | PA      | $2467140.01   | 0.34%             | 2055-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                               | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     420000 | PA      | $402985.80    | 0.06%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |       2000 | PA      | $2267.57      | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $76575.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -573 | NC      | $-247106.25   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-32686.42    | -0.00%            |  |  |  | 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        |        892 | NC      | $264812.50    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SRI LANKA                       | Sri Lanka Government International Bond                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     209252 | PA      | $196435.13    | 0.03%             | 2030-01-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                              | Bombardier Inc                                                                  | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     350000 | PA      | $371448.79    | 0.05%             | 2031-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1327 | NC      | $-8293.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JANE STREET GRP/JSG FIN                     | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2214819.00   | 0.30%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                       | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     230000 | PA      | $254296.05    | 0.03%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38378XUN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2079219 | PA      | $12566.17     | 0.00%             | 2055-05-16      | Variable      | 0.18%                 | 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        |       -480 | NC      | $-258750.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1414469.35   | 0.19%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     720000 | PA      | $723023.44    | 0.10%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10541.35     | 0.00%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                          | JAPAN 10Y BOND(OSE)                                                             | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |        -49 | NC      | $396124.01    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GSAMP Trust                                 | GSAMP Trust 2005-SEA1                                                           | CUSIP: 36242DL68<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     444141 | PA      | $579022.66    | 0.08%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2641004.48   | 0.36%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    2390000 | PA      | $2264053.69   | 0.31%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                        | LifePoint Health Inc                                                            | CUSIP: 53219LAV1<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     430000 | PA      | $466200.84    | 0.06%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                          | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     612285 | PA      | $299498.15    | 0.04%             | 2035-02-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                       | Sri Lanka Government International Bond                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     195753 | PA      | $187776.21    | 0.03%             | 2028-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                    | OCP SA                                                                          | CUSIP: 67091TAE5<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    3630000 | PA      | $3037856.25   | 0.42%             | 2051-06-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND CBT                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1699 | NC      | $-5468181.98  | -0.75%            |  |  |  | No            |                  1 | On Loan: No      |
| DISH DBS CORP                               | DISH DBS Corp                                                                   | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2620000 | PA      | $2242758.96   | 0.31%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1110000 | PA      | $1097185.27   | 0.15%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                           | Ghana Government International Bond                                             | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      36320 | PA      | $35139.47     | 0.00%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In              | RALI Series 2007-QS7 Trust                                                      | CUSIP: 74923WAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3684107 | PA      | $2839272.32   | 0.39%             | 2037-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor              | Banc of America Funding Corp                                                    | CUSIP: 05990QAB9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-MBS          | CORP              | US        |   11687273 | PA      | $10037720.55  | 1.38%             | 2036-03-27      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16600000 | PA      | $16100575.22  | 2.21%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1624288.56   | 0.22%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16700000 | PA      | $15741367.23  | 2.16%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                           | Kinder Morgan Inc                                                               | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     700000 | PA      | $680457.23    | 0.09%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1619000 | PA      | $1856901.12   | 0.26%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                     | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAS4<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     960000 | PA      | $956495.33    | 0.13%             | 2048-10-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                             | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    3370000 | PA      | $3367722.25   | 0.46%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                          | Viking Cruises Ltd                                                              | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | US        |    1960000 | PA      | $1963825.49   | 0.27%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    2740000 | PA      | $2211877.06   | 0.30%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-473862.69   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-216505.96   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0326A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -2700000 | PA      | $-2467140.01  | -0.34%            | 2055-10-15      | Fixed         | 3.50%                 | 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        |       -670 | NC      | $-188437.50   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     490000 | PA      | $559316.95    | 0.08%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     900000 | PA      | $933639.58    | 0.13%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                      | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $170824.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                    | Blue Racer Midstream LLC / Blue Racer Finance Corp                              | CUSIP: 095796AK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1330000 | PA      | $1399710.62   | 0.19%             | 2032-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                            | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   11770000 | PA      | $7663921.80   | 1.05%             | 2031-11-15      | Fixed         | 4.50%                 | 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        |        766 | NC      | $59843.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                      | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      90000 | PA      | $95932.70     | 0.01%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                           | CLARIOS GLOBAL LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |     203538 | PA      | $203888.16    | 0.03%             | 2030-05-06      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE LLC                               | CommScope LLC                                                                   | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |    1508000 | PA      | $1500203.64   | 0.21%             | 2029-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                               | ZF North America Capital Inc                                                    | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    4640000 | PA      | $4445569.15   | 0.61%             | 2032-04-23      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1327 | NC      | $-41468.75    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2020-VIVA                                          | CUSIP: 12433XAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6847863 | PA      | $6173940.83   | 0.85%             | 2044-03-11      | Variable      | 3.67%                 | 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        |        336 | NC      | $126000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     210000 | PA      | $216928.06    | 0.03%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Peer Holding III BV                         | PEER HOLDING III BV                                                             | CUSIP: 000000000<br>LEI: 7245002S0K5Q59JCVQ03 | Long             | LON              | CORP              | NL        |     408972 | PA      | $409911.02    | 0.06%             | 2031-07-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                          | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3170000 | PA      | $3193172.70   | 0.44%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                      | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       5000 | PA      | $4995.08      | 0.00%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31820000 | PA      | $32168031.25  | 4.42%             | 2043-11-15      | Fixed         | 4.75%                 | 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        |      -1802 | NC      | $-1802.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                     | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     910000 | PA      | $945867.02    | 0.13%             | 2033-05-01      | Fixed         | 6.75%                 | 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        |        960 | NC      | $172500.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18300000 | PA      | $18205820.15  | 2.50%             | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KNDR Trust 2021-KIND                        | KIND Trust 2021-KIND                                                            | CUSIP: 482606AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   78050000 | PA      | $81.95        | 0.00%             | 2038-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | USD CALL VERSUS CNY PUT                                                         | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |   14830000 | NC      | $569.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       1051 | NC      | $59118.75     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     232000 | PA      | $230555.51    | 0.03%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                       | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1732367.26   | 0.24%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                      | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103640.64    | 0.01%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                       | Sri Lanka Government International Bond                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     384850 | PA      | $343882.80    | 0.05%             | 2038-02-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                     | SWOP IRS USD                                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              | CORP              | US        | -103560000 | NC      | $-1750173.50  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                  | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10184.11     | 0.00%             | 2028-02-01      | Fixed         | 5.30%                 | 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        |       -550 | NC      | $31564.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SYNOPSYS INC                                | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     360000 | PA      | $363580.69    | 0.05%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                      | Williams Cos Inc/The                                                            | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1670728.88   | 0.23%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                          | LONG GILT                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        325 | NC      | $191717.51    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES PARTNERS                    | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     440000 | PA      | $417442.46    | 0.06%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0226A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -40000000 | PA      | $-33706084.00 | -4.63%            | 2055-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1173664 | PA      | $1191200.47   | 0.16%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                     | Fremont Home Loan Trust 2006-B                                                  | CUSIP: 35729QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13752221 | PA      | $5624263.64   | 0.77%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    4960000 | PA      | $4719337.87   | 0.65%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                           | Ghana Government International Bond                                             | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     129340 | PA      | $126244.10    | 0.02%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                     | Inter-American Development Bank                                                 | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | N/A       | 1944000000 | PA      | $22472452.80  | 3.09%             | 2030-10-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                       | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1117691 | PA      | $756118.10    | 0.10%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu              | JPMBB Commercial Mortgage Securities Trust 2014-C25                             | CUSIP: 46643PBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3940000 | PA      | $3004250.00   | 0.41%             | 2047-11-15      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| NCL CORPORATION LTD                         | NCL Corp Ltd                                                                    | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     530000 | PA      | $530361.74    | 0.07%             | 2031-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                       | Waste Connections Inc                                                           | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     380000 | PA      | $388204.83    | 0.05%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1595218.67   | 0.22%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    3930000 | PA      | $3787618.50   | 0.52%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                       | Foundry JV Holdco LLC                                                           | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    1090000 | PA      | $1136617.95   | 0.16%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION   | TRS JPEIFNTR INDEX                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $558711.43    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                            | Georgia Power Co                                                                | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     370000 | PA      | $379417.06    | 0.05%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -1162 | NC      | $-65362.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF KENYA                           | Republic of Kenya Government International Bond                                 | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    2470000 | PA      | $2181832.73   | 0.30%             | 2034-01-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Antares CLO                                 | Antares CLO 2018-1 Ltd                                                          | CUSIP: 03665MAJ0<br>LEI: 254900BLLG7F7B4DGG41 | Long             | ABS-CBDO         | CORP              | KY        |     560000 | PA      | $561384.66    | 0.08%             | 2038-04-20      | Floating      | 5.70%                 | 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        |        765 | NC      | $125507.81    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0626A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -3100000 | PA      | $-3203973.81  | -0.44%            | 2055-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      10000 | PA      | $11366.57     | 0.00%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                            | CSC Holdings LLC                                                                | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $4069810.03   | 0.56%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $335256.08    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                           | Chord Energy Corp                                                               | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $1033408.77   | 0.14%             | 2030-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -483 | NC      | $-132825.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MILLROSE PROPERTIES INC                     | Millrose Properties Inc                                                         | CUSIP: 601137AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     330000 | PA      | $331068.74    | 0.05%             | 2032-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                      | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $12116.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                    | Occidental Petroleum Corp                                                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    4209000 | PA      | $4280893.93   | 0.59%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                           | Herc Holdings Inc                                                               | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     600000 | PA      | $623724.60    | 0.09%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                     | HCA Inc                                                                         | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      10000 | PA      | $11142.18     | 0.00%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH OF BAHAMAS                     | Bahamas Government International Bond                                           | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |     690000 | PA      | $746276.40    | 0.10%             | 2036-06-24      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                         | Lightning Power LLC                                                             | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |     210000 | PA      | $222482.61    | 0.03%             | 2032-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES LLC                         | SPIRIT AIRLINES LLC                                                             | CUSIP: 84863V135<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      86279 | NS      | $32786.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2430000 | PA      | $2438353.13   | 0.34%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                    | Eagle Funding Luxco Sarl                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    5140000 | PA      | $5221263.40   | 0.72%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                               | TransDigm Inc                                                                   | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    3380000 | PA      | $3529868.19   | 0.49%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CN6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1041105.90   | 0.14%             | 2064-02-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                       | Sri Lanka Government International Bond                                         | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     410444 | PA      | $352795.07    | 0.05%             | 2033-03-15      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     180000 | PA      | $182615.72    | 0.03%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                    | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    3139498 | PA      | $1336232.93   | 0.18%             | 2030-03-12      | Variable      | 11.00%                | No            |                  2 | On Loan: No      |
| FOX CORP                                    | Fox Corp                                                                        | CUSIP: 35137LAN5<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $1134356.10   | 0.16%             | 2033-10-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     760000 | PA      | $777721.89    | 0.11%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                     | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      90000 | PA      | $92942.50     | 0.01%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AF4<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     280000 | PA      | $221604.03    | 0.03%             | 2029-05-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                           | IRON MOUNTAIN INC                                                               | CUSIP: 46284NAV1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | LON              | CORP              | US        |     606911 | PA      | $608049.36    | 0.08%             | 2031-01-31      | Floating      | 6.23%                 | No            |                  2 | 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        |        336 | NC      | $5250.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                    | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $208632.87    | 0.03%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                       | Wells Fargo & Co                                                                | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     960000 | PA      | $852520.42    | 0.12%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Citadel Securities LP                       | CITADEL SECURITIES LP                                                           | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |     814152 | PA      | $816598.80    | 0.11%             | 2031-10-31      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | 3 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       2192 | NC      | $-235391.02   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| LIFEPOINT HEALTH INC                        | LifePoint Health Inc                                                            | CUSIP: 53219LAW9<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     840000 | PA      | $926861.88    | 0.13%             | 2030-10-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10353.59     | 0.00%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Warwick Capital CLO Ltd                     | Warwick Capital CLO 7 Ltd                                                       | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4050000 | PA      | $4058833.05   | 0.56%             | 2038-10-21      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-16889.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                         | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    1930000 | PA      | $2351886.77   | 0.32%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                       | Caesars Entertainment Inc                                                       | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102061.30    | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                       | Melco Resorts Finance Ltd                                                       | CUSIP: 58547DAJ8<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |    1110000 | PA      | $1113651.90   | 0.15%             | 2033-09-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     180000 | PA      | $187531.30    | 0.03%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     910000 | PA      | $982831.38    | 0.14%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                          | UBS AG/Stamford CT                                                              | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |     280000 | PA      | $301518.81    | 0.04%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |     116750 | PA      | $116609.36    | 0.02%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                     | Home Equity Asset Trust 2005-6                                                  | CUSIP: 437084NG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2980000 | PA      | $2895805.17   | 0.40%             | 2035-12-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                           | Ghana Government International Bond                                             | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     789960 | PA      | $667778.96    | 0.09%             | 2035-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                       | Quikrete Holdings Inc                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     450000 | PA      | $466480.80    | 0.06%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS                    | FOCUS FINANCIAL PARTNERS LLC                                                    | CUSIP: 34416DBD9<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |     815890 | PA      | $817007.49    | 0.11%             | 2031-09-15      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| BNY MELLON CASH RESERVE EOD FUND            | BNY MELLON CASH RESERVE EOD FUND                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    2420809 | NS      | $2420808.51   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                    | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   35000000 | PA      | $6296884.54   | 0.87%             | 2027-01-01      | Fixed         | 10.00%                | 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        |       -118 | NC      | $62483.36     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     740000 | PA      | $739707.20    | 0.10%             | 2034-01-15      | Fixed         | 5.75%                 | 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        |        573 | NC      | $4476.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                       | GFL Environmental Inc                                                           | CUSIP: 36168QAQ7<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1257204.82   | 0.17%             | 2031-01-15      | Fixed         | 6.75%                 | 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      | $19647785.41  | 2.70%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-BXMF                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4799674 | PA      | $4794761.72   | 0.66%             | 2026-10-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1300000 | PA      | $1277605.47   | 0.18%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     240000 | PA      | $239004.27    | 0.03%             | 2065-05-15      | Fixed         | 5.30%                 | 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        |        335 | NC      | $293125.00    | 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        |         -1 | NC      | $-375.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Sotera Health Holdings LLC                  | SOTERA HEALTH HLDGS LLC                                                         | CUSIP: 83600VAH4<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |     581501 | PA      | $583076.60    | 0.08%             | 2031-05-30      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2550000 | PA      | $2520565.43   | 0.35%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VALE CANADA LTD                             | Vale Canada Ltd                                                                 | CUSIP: 453258AP0<br>LEI: PRAQ4VOSFIK7OQ8Z2512 | Long             | DBT              | CORP              | CA        |     614000 | PA      | $682755.72    | 0.09%             | 2032-09-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                  | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     210000 | PA      | $213561.00    | 0.03%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Starwood Property Mortgage LLC              | STARWOOD PROPERTY MORTGAGE LLC                                                  | CUSIP: 85570DAN2<br>LEI: 5493008SB15CNJRIOK13 | Long             | LON              | CORP              | US        |     408970 | PA      | $408714.24    | 0.06%             | 2027-11-18      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE                    | Petrobras Global Finance BV                                                     | CUSIP: 71647NBJ7<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    1440000 | PA      | $1186936.70   | 0.16%             | 2051-06-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3860000 | PA      | $3947305.29   | 0.54%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2021-R01                                    | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8870000 | PA      | $9042008.81   | 1.24%             | 2041-10-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0426A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8900000 | PA      | $8633820.76   | 1.19%             | 2055-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     290000 | PA      | $291167.54    | 0.04%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                       | Micron Technology Inc                                                           | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     750000 | PA      | $801773.41    | 0.11%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22980000 | PA      | $21220593.75  | 2.92%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20587.37     | 0.00%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association   | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $25412.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Spirit Aviation Holdings Inc                | Spirit Aviation Holdings Inc                                                    | CUSIP: 84863V101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     121435 | NS      | $46145.30     | 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        |       -902 | NC      | $-902.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                         | Nigeria Government International Bond                                           | CUSIP: 65412JAD5<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    1250000 | PA      | $1237421.05   | 0.17%             | 2030-02-23      | Fixed         | 7.14%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                    | First Quantum Minerals Ltd                                                      | CUSIP: 335934AV7<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    1310000 | PA      | $1390008.25   | 0.19%             | 2029-03-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE TECH LLC                          | CommScope Technologies LLC                                                      | CUSIP: 20338HAB9<br>LEI: M4TWC4QDOKW45N7T6Y12 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1986002.80   | 0.27%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                     | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     870000 | PA      | $887744.96    | 0.12%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10117.51     | 0.00%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC                      | EquipmentShare.com Inc                                                          | CUSIP: 29450YAC3<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |     220000 | PA      | $235322.34    | 0.03%             | 2033-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                               | Carnival Corp                                                                   | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    1550000 | PA      | $1589782.30   | 0.22%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                      | Teck Resources Ltd                                                              | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |     240000 | PA      | $247110.61    | 0.03%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PCI GAMING AUTHORITY                        | PCI GAMING AUTHORITY                                                            | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |    1089150 | PA      | $1088300.88   | 0.15%             | 2031-07-21      | Floating      | 6.13%                 | 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        |       -785 | NC      | $-6132.81     | -0.00%            |  |  |  | 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        |       1340 | NC      | $481562.50    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| AON NORTH AMERICA INC                       | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     770000 | PA      | $802436.72    | 0.11%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     340000 | PA      | $355761.20    | 0.05%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| PM GENERAL PURCHASER LLC                    | PM General Purchaser LLC                                                        | CUSIP: 69356MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     690000 | PA      | $598575.00    | 0.08%             | 2028-10-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     410000 | PA      | $412666.60    | 0.06%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                    | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    1170000 | PA      | $1177065.95   | 0.16%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                       | JANE STREET GROUP LLC                                                           | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |     815718 | PA      | $810876.73    | 0.11%             | 2031-12-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Nexstar Media Inc                           | NEXSTAR MEDIA INC                                                               | CUSIP: 65336RBB3<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |    2912700 | PA      | $2912437.86   | 0.40%             | 2032-06-28      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     520000 | PA      | $537610.09    | 0.07%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                              | NRG Energy Inc                                                                  | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    3640000 | PA      | $3642797.81   | 0.50%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-6290.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0306A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -40000000 | PA      | $-35140546.80 | -4.83%            | 2055-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                      | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1647597.90   | 0.23%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Calpine Construction Finance Company L P    | CALPINE CONSTRUCTION FIN                                                        | CUSIP: 13134NAH4<br>LEI: V0Q3DOB0FIB2XI1KWU77 | Long             | LON              | CORP              | US        |     820000 | PA      | $820926.60    | 0.11%             | 2030-07-31      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1186991.82   | 0.16%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICAL INDU                    | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   15311000 | PA      | $15308753.88  | 2.10%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                    | First Quantum Minerals Ltd                                                      | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    2230000 | PA      | $2357348.36   | 0.32%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                    | Uruguay Government International Bond                                           | CUSIP: 917288BP6<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    1100692 | PA      | $28231.73     | 0.00%             | 2045-05-16      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     390000 | PA      | $488794.86    | 0.07%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                     | Crescent Energy Finance LLC                                                     | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     940000 | PA      | $915996.65    | 0.13%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | 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        |       -334 | NC      | $-104375.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10129.82     | 0.00%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9880000 | PA      | $9538252.38   | 1.31%             | 2043-08-15      | Fixed         | 4.38%                 | 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        |        672 | NC      | $52500.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0206A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -45000000 | PA      | $-36280489.95 | -4.99%            | 2055-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                         | Charles Schwab Corp/The                                                         | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10897.73     | 0.00%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1637589.15   | 0.23%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                      | Bausch Health Americas Inc                                                      | CUSIP: 91911XAW4<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |     830000 | PA      | $822488.50    | 0.11%             | 2027-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                              | Bombardier Inc                                                                  | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     830000 | PA      | $867190.97    | 0.12%             | 2033-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | 3 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        550 | NC      | $870839.48    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIRLINES INC                         | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    4046000 | PA      | $3987105.41   | 0.55%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                          | Angolan Government International Bond                                           | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    1210000 | PA      | $1016477.88   | 0.14%             | 2049-11-26      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                     | United Rentals North America Inc                                                | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    6940000 | PA      | $6924817.92   | 0.95%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    2040000 | PA      | $2116632.42   | 0.29%             | 2039-02-14      | Fixed         | 5.80%                 | 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        |        898 | NC      | $898.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0206A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  142500000 | PA      | $114888218.18 | 15.79%            | 2055-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     160000 | PA      | $160209.18    | 0.02%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings Inc                   | PRIMO BRANDS CORP                                                               | CUSIP: 89678QAD8<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |     408102 | PA      | $408493.29    | 0.06%             | 2028-03-31      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                             | Cameron LNG LLC                                                                 | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    2640000 | PA      | $2293591.03   | 0.32%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                | Synopsys Inc                                                                    | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     180000 | PA      | $183177.42    | 0.03%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Trans Union LLC (f/k/a TransUnion Corp      | TRANS UNION LLC6/06/2031                                                        | CUSIP: 89334GBF0<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |     610599 | PA      | $610791.04    | 0.08%             | 2031-06-24      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                            | Hilton USA Trust 2016-HHV                                                       | CUSIP: 43300LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2764711.32   | 0.38%             | 2038-11-05      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                      | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $84358.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                         | JPMorgan Chase & Co                                                             | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     750000 | PA      | $778055.25    | 0.11%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATIN                    | Hilton Domestic Operating Co Inc                                                | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1379039.85   | 0.19%             | 2033-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                    | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     960000 | PA      | $964093.79    | 0.13%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                     | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    2540000 | PA      | $2605737.28   | 0.36%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                    | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  116857000 | PA      | $18511232.34  | 2.54%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                           | Herc Holdings Inc                                                               | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     600000 | PA      | $626818.20    | 0.09%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                     | CIT Mortgage Loan Trust 2007-1                                                  | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5685392 | PA      | $5757154.36   | 0.79%             | 2037-10-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                       | Bausch Health Cos Inc                                                           | CUSIP: 071734AJ6<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    2160000 | PA      | $1524787.20   | 0.21%             | 2030-01-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F0626A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3203973.81   | 0.44%             | 2055-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VOC ESCROW LTD                              | VOC Escrow Ltd                                                                  | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2640000 | PA      | $2634758.02   | 0.36%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association              | INR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $719662.18    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                          | Expand Energy Corp                                                              | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     220000 | PA      | $223729.39    | 0.03%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                | Broadcom Inc                                                                    | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $1103156.52   | 0.15%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14500000 | PA      | $13388144.50  | 1.84%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       1146 | NC      | $243525.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4360000 | PA      | $4265476.55   | 0.59%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                       | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     230000 | PA      | $259746.65    | 0.04%             | 2035-05-01      | Fixed         | 7.75%                 | 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        |     460000 | PA      | $490398.27    | 0.07%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                     | United Rentals North America Inc                                                | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    4220000 | PA      | $3912451.46   | 0.54%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6003000 | PA      | $5427790.68   | 0.75%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| RR DONNELLEY & SONS CO                      | RR Donnelley & Sons Co                                                          | CUSIP: 257867BJ9<br>LEI: SU4X0P4WWRGOQDTSV032 | Long             | DBT              | CORP              | US        |    1090000 | PA      | $1118111.10   | 0.15%             | 2029-08-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| KNDR Trust 2021-KIND                        | KIND Trust 2021-KIND                                                            | CUSIP: 482606AN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9918548 | PA      | $9826488.67   | 1.35%             | 2038-08-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     680000 | PA      | $708328.85    | 0.10%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    1023000 | PA      | $1051645.64   | 0.14%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2021-ACNT                                          | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6069654 | PA      | $6067546.81   | 0.83%             | 2038-11-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-25

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer