# EDGAR Filing Document

**Accession Number:** 0000889512
**File Stem:** 0000940400-26-021641
**Filing Date:** 2026-5
**Character Count:** 336024
**Document Hash:** ae2840278de758fb053f1da865f2b37a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-021641.hdr.sgml**: 20260528

**ACCESSION NUMBER**: 0000940400-26-021641

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260528

**DATE AS OF CHANGE**: 20260528

**PERIOD START**: 20261231

**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:** 261031904

**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)

March 31, 2026

***If you need assistance accessing this content, please reach out to your sales representative or send an email to*** <u>accessibility@franklintempleton.com.</u>

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | &nbsp;&nbsp; Maturity <br>Date<br>| &nbsp;&nbsp; Face <br>Amount†<br>| Value |
| **Mortgage-Backed Securities — 39.1%** | **Mortgage-Backed Securities — 39.1%** | **Mortgage-Backed Securities — 39.1%** | **Mortgage-Backed Securities — 39.1%** | **Mortgage-Backed Securities — 39.1%** |
| *FNMA — 21.6%* | *FNMA — 21.6%* | *FNMA — 21.6%* | *FNMA — 21.6%* | *FNMA — 21.6%* |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 31000000<br>| &nbsp;&nbsp;&nbsp; $24976797<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 3.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 5600000<br>| &nbsp;&nbsp;&nbsp; 5134519<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 12000000<br>| &nbsp;&nbsp;&nbsp; 11582880<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 25000000<br>| &nbsp;&nbsp;&nbsp; 25119054<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 57900000<br>| &nbsp;&nbsp;&nbsp; 59028138<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 16000000<br>| &nbsp;&nbsp;&nbsp; 16554561<br> <sup>(a)</sup><br>|
| *Total FNMA* | *Total FNMA* | *Total FNMA* | *Total FNMA* | &nbsp;&nbsp; *142395949* |
| *GNMA — 17.5%* | *GNMA — 17.5%* | *GNMA — 17.5%* | *GNMA — 17.5%* | *GNMA — 17.5%* |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 28000000<br>| &nbsp;&nbsp;&nbsp; 23137187<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 25600000<br>| &nbsp;&nbsp;&nbsp; 22028000<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 18700000<br>| &nbsp;&nbsp;&nbsp; 16697342<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 12100000<br>| &nbsp;&nbsp;&nbsp; 11691185<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 19000000<br>| &nbsp;&nbsp;&nbsp; 18820198<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 14000000<br>| &nbsp;&nbsp;&nbsp; 14091350<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/1/56 | &nbsp;&nbsp; 8900000<br>| &nbsp;&nbsp;&nbsp; 9050966<br> <sup>(a)</sup><br>|
| *Total GNMA* | *Total GNMA* | *Total GNMA* | *Total GNMA* | &nbsp;&nbsp; *115516228* |
| **Total Mortgage-Backed Securities (Cost — $258,817,825)** | **Total Mortgage-Backed Securities (Cost — $258,817,825)** | **Total Mortgage-Backed Securities (Cost — $258,817,825)** | **Total Mortgage-Backed Securities (Cost — $258,817,825)** | &nbsp;&nbsp; **257912177** |
| **Corporate Bonds & Notes — 34.5%** | **Corporate Bonds & Notes — 34.5%** | **Corporate Bonds & Notes — 34.5%** | **Corporate Bonds & Notes — 34.5%** | **Corporate Bonds & Notes — 34.5%** |
| **Communication Services — 5.8%** | **Communication Services — 5.8%** | **Communication Services — 5.8%** | **Communication Services — 5.8%** | **Communication Services — 5.8%** |
| *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;&nbsp; *1206083*<br> <sup>(b)</sup><br>|
| *Entertainment — 0.3%* | *Entertainment — 0.3%* | *Entertainment — 0.3%* | *Entertainment — 0.3%* | *Entertainment — 0.3%* |
| &nbsp;&nbsp;&nbsp; Discovery Global Holdings Inc., Senior Notes | &nbsp;&nbsp; 4.279% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 157000<br>| &nbsp;&nbsp;&nbsp; 139141<br>|
| &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; 1804530<br> <sup>(b)</sup><br>|
| *Total Entertainment* | *Total Entertainment* | *Total Entertainment* | *Total Entertainment* | &nbsp;&nbsp; *1943671* |
| *Interactive Media & Services — 0.5%* | *Interactive Media & Services — 0.5%* | *Interactive Media & Services — 0.5%* | *Interactive Media & Services — 0.5%* | *Interactive Media & Services — 0.5%* |
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 11/15/45 | &nbsp;&nbsp; 150000<br>| &nbsp;&nbsp;&nbsp; 146756<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 2/15/46 | &nbsp;&nbsp; 380000<br>| &nbsp;&nbsp;&nbsp; 377173<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 220000<br>| &nbsp;&nbsp;&nbsp; 207891<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 11/15/55 | &nbsp;&nbsp; 150000<br>| &nbsp;&nbsp;&nbsp; 145335<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.650% | &nbsp;&nbsp; 2/15/56 | &nbsp;&nbsp; 380000<br>| &nbsp;&nbsp;&nbsp; 379049<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 5/15/65 | &nbsp;&nbsp; 240000<br>| &nbsp;&nbsp;&nbsp; 222337<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; 395788<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 310000<br>| &nbsp;&nbsp;&nbsp; 304246<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 11/15/45 | &nbsp;&nbsp; 410000<br>| &nbsp;&nbsp;&nbsp; 388252<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 11/15/55 | &nbsp;&nbsp; 350000<br>| &nbsp;&nbsp;&nbsp; 328321<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 11/15/65 | &nbsp;&nbsp; 690000<br>| &nbsp;&nbsp;&nbsp; 641378<br>|
| *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | &nbsp;&nbsp; *3536526* |
| *Media — 2.8%* | *Media — 2.8%* | *Media — 2.8%* | *Media — 2.8%* | *Media — 2.8%* |
| &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; 1610832<br> <sup>(b)</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; 2593138<br>|
| &nbsp;&nbsp;&nbsp; CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | &nbsp;&nbsp; 7.375% | &nbsp;&nbsp; 2/1/36 | &nbsp;&nbsp; 1820000<br>| &nbsp;&nbsp;&nbsp; 1814070<br> <sup>(b)</sup><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; 477824<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **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 |
| *Media — continued* | *Media — continued* | *Media — continued* | *Media — continued* | *Media — continued* |
| &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; $1024360<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; 2344263<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; 2241916<br> <sup>(b)</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; 406475<br> <sup>(b)</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; 1105737<br>|
| &nbsp;&nbsp;&nbsp; Fox Corp., Senior Notes | &nbsp;&nbsp; 5.476% | &nbsp;&nbsp; 1/25/39 | &nbsp;&nbsp; 960000<br>| &nbsp;&nbsp;&nbsp; 929123<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; 1759140<br>|
| &nbsp;&nbsp;&nbsp; Versant Media Group Inc., Senior Secured Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 1/30/31 | &nbsp;&nbsp; 510000<br>| &nbsp;&nbsp;&nbsp; 522353<br> <sup>(b)</sup><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; 1410744<br> <sup>(b)</sup><br>|
| *Total Media* | *Total Media* | *Total Media* | *Total Media* | &nbsp;&nbsp; *18239975* |
| *Wireless Telecommunication Services — 2.0%* | *Wireless Telecommunication Services — 2.0%* | *Wireless Telecommunication Services — 2.0%* | *Wireless Telecommunication Services — 2.0%* | *Wireless Telecommunication Services — 2.0%* |
| &nbsp;&nbsp;&nbsp; CSC Holdings LLC, Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 2/1/29 | &nbsp;&nbsp; 5500000<br>| &nbsp;&nbsp;&nbsp; 3511833<br> <sup>(b)</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; 6996072<br> <sup>(b)</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; 637444<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; 765990<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; 731609<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; 628845<br> <sup>(b)</sup><br>|
| *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | &nbsp;&nbsp; *13271793* |
| **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | &nbsp;&nbsp; **38198048** |
| **Consumer Discretionary — 5.7%** | **Consumer Discretionary — 5.7%** | **Consumer Discretionary — 5.7%** | **Consumer Discretionary — 5.7%** | **Consumer Discretionary — 5.7%** |
| *Automobile Components — 1.0%* | *Automobile Components — 1.0%* | *Automobile Components — 1.0%* | *Automobile Components — 1.0%* | *Automobile Components — 1.0%* |
| &nbsp;&nbsp;&nbsp; Cyprium Corp./Cyprium Holdings Luxembourg SARL, Senior Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 860000<br>| &nbsp;&nbsp;&nbsp; 836902<br> <sup>(b)</sup><br>|
| &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; 1317341<br> <sup>(b)</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; 4412793<br> <sup>(b)</sup><br>|
| *Total Automobile Components* | *Total Automobile Components* | *Total Automobile Components* | *Total Automobile Components* | &nbsp;&nbsp; *6567036* |
| *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* |
| &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;&nbsp; *654368*<br> <sup>(b)</sup><br>|
| *Broadline Retail — 0.4%* | *Broadline Retail — 0.4%* | *Broadline Retail — 0.4%* | *Broadline Retail — 0.4%* | *Broadline Retail — 0.4%* |
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 5.650% | &nbsp;&nbsp; 3/13/46 | &nbsp;&nbsp; 240000<br>| &nbsp;&nbsp;&nbsp; 239312<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 3/13/56 | &nbsp;&nbsp; 190000<br>| &nbsp;&nbsp;&nbsp; 189981<br>|
| &nbsp;&nbsp;&nbsp; Amazon.com Inc., Senior Notes | &nbsp;&nbsp; 5.950% | &nbsp;&nbsp; 3/13/66 | &nbsp;&nbsp; 330000<br>| &nbsp;&nbsp;&nbsp; 331333<br>|
| &nbsp;&nbsp;&nbsp; Prosus NV, Senior Notes | &nbsp;&nbsp; 3.061% | &nbsp;&nbsp; 7/13/31 | &nbsp;&nbsp; 2400000<br>| &nbsp;&nbsp;&nbsp; 2151424<br> <sup>(b)</sup><br>|
| *Total Broadline Retail* | *Total Broadline Retail* | *Total Broadline Retail* | *Total Broadline Retail* | &nbsp;&nbsp; *2912050* |
| *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; Carnival Corp., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 6/15/31 | &nbsp;&nbsp; 6570000<br>| &nbsp;&nbsp;&nbsp; 6654891<br> <sup>(b)</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; 1566321<br> <sup>(b)</sup><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; 185228<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; 1086719<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Melco Resorts Finance Ltd., Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 9/24/33 | &nbsp;&nbsp; 1530000<br>| &nbsp;&nbsp;&nbsp; 1469841<br> <sup>(b)</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; 515248<br> <sup>(b)</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; 291310<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 2/1/33 | &nbsp;&nbsp; 2540000<br>| &nbsp;&nbsp;&nbsp; 2566002<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 5/15/33 | &nbsp;&nbsp; 290000<br>| &nbsp;&nbsp;&nbsp; 280096<br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 2/27/38 | &nbsp;&nbsp; 140000<br>| &nbsp;&nbsp;&nbsp; 133242<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; 1603750<br> <sup>(b)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 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 |
| *Hotels, Restaurants & Leisure — continued* | *Hotels, Restaurants & Leisure — continued* | *Hotels, Restaurants & Leisure — continued* | *Hotels, Restaurants & Leisure — continued* | *Hotels, Restaurants & Leisure — continued* |
| &nbsp;&nbsp;&nbsp; Viking Cruises Ltd., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 10/15/33 | &nbsp;&nbsp; 1960000<br>| &nbsp;&nbsp;&nbsp; $1936533<br> <sup>(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; 2630384<br> <sup>(b)</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; 3230289<br> <sup>(b)</sup><br>|
| *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | &nbsp;&nbsp; *24149854* |
| *Specialty Retail — 0.5%* | *Specialty Retail — 0.5%* | *Specialty Retail — 0.5%* | *Specialty Retail — 0.5%* | *Specialty Retail — 0.5%* |
| &nbsp;&nbsp;&nbsp; Michaels Cos. Inc., Senior Secured Notes | &nbsp;&nbsp; 8.500% | &nbsp;&nbsp; 3/15/33 | &nbsp;&nbsp; 2340000<br>| &nbsp;&nbsp;&nbsp; 2280445<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Petco Health & Wellness Co. Inc., Senior Secured Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 2/1/31 | &nbsp;&nbsp; 1260000<br>| &nbsp;&nbsp;&nbsp; 1259136<br> <sup>(b)</sup><br>|
| *Total Specialty Retail* | *Total Specialty Retail* | *Total Specialty Retail* | *Total Specialty Retail* | &nbsp;&nbsp; *3539581* |
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **37822889** |
| **Consumer Staples — 1.7%** | **Consumer Staples — 1.7%** | **Consumer Staples — 1.7%** | **Consumer Staples — 1.7%** | **Consumer Staples — 1.7%** |
| *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* | *Consumer Staples Distribution & Retail — 0.1%* |
| &nbsp;&nbsp;&nbsp; Kroger Co., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 9/15/34 | &nbsp;&nbsp; 290000<br>| &nbsp;&nbsp;&nbsp; *286433*<br>|
| *Food Products — 0.0%††* | *Food Products — 0.0%††* | *Food Products — 0.0%††* | *Food Products — 0.0%††* | *Food Products — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/1/35 | &nbsp;&nbsp; 280000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *282767*<br> <sup>(b)</sup><br>|
| *Tobacco — 1.6%* | *Tobacco — 1.6%* | *Tobacco — 1.6%* | *Tobacco — 1.6%* | *Tobacco — 1.6%* |
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 2/14/39 | &nbsp;&nbsp; 2040000<br>| &nbsp;&nbsp;&nbsp; 2049061<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; 3745128<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; 367060<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; 2186932<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; 1790716<br>|
| &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; 213935<br>|
| *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | &nbsp;&nbsp; *10352832* |
| **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | &nbsp;&nbsp; **10922032** |
| **Energy — 5.6%** | **Energy — 5.6%** | **Energy — 5.6%** | **Energy — 5.6%** | **Energy — 5.6%** |
| *Oil, Gas & Consumable Fuels — 5.6%* | *Oil, Gas & Consumable Fuels — 5.6%* | *Oil, Gas & Consumable Fuels — 5.6%* | *Oil, Gas & Consumable Fuels — 5.6%* | *Oil, Gas & Consumable Fuels — 5.6%* |
| &nbsp;&nbsp;&nbsp; Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 7/15/32 | &nbsp;&nbsp; 2230000<br>| &nbsp;&nbsp;&nbsp; 2317969<br> <sup>(b)</sup><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; 1054414<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC, Senior Notes | &nbsp;&nbsp; 6.544% | &nbsp;&nbsp; 11/15/53 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 105136<br> <sup>(b)</sup><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; 940465<br> <sup>(b)</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; 474603<br>|
| &nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | &nbsp;&nbsp; 4.625% | &nbsp;&nbsp; 11/2/31 | &nbsp;&nbsp; 2420000<br>| &nbsp;&nbsp;&nbsp; 2152239<br>|
| &nbsp;&nbsp;&nbsp; Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then <br> 5 year Treasury Constant Maturity Rate + 5.694%) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 11/15/26 | &nbsp;&nbsp; 3170000<br>| &nbsp;&nbsp;&nbsp; 3166270<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; 6265624<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; 11094<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; 1155175<br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 1/15/29 | &nbsp;&nbsp; 180000<br>| &nbsp;&nbsp;&nbsp; 181203<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; 851838<br> <sup>(b)</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; 955854<br> <sup>(b)</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; 668247<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; 4301846<br>|
| &nbsp;&nbsp;&nbsp; Permian Resources Operating LLC, Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 2/1/33 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30580<br> <sup>(b)</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; 1152401<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; 1863484<br> <sup>(b)</sup><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; 3582071<br> <sup>(b)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **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; Venture Global Plaquemines LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/1/33 | &nbsp;&nbsp; 230000<br>| &nbsp;&nbsp;&nbsp; $252951<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Venture Global Plaquemines LNG LLC, Senior Secured Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 6/15/34 | &nbsp;&nbsp; 750000<br>| &nbsp;&nbsp;&nbsp; 781186<br> <sup>(b)</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; 257923<br> <sup>(b)</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; 1727477<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Viper Energy Partners LLC, Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 8/1/35 | &nbsp;&nbsp; 320000<br>| &nbsp;&nbsp;&nbsp; 322690<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; 541464<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; 1605338<br>|
| **Total Energy** | **Total Energy** | **Total Energy** | **Total Energy** | &nbsp;&nbsp; **36719542** |
| **Financials — 1.7%** | **Financials — 1.7%** | **Financials — 1.7%** | **Financials — 1.7%** | **Financials — 1.7%** |
| *Banks — 0.6%* | *Banks — 0.6%* | *Banks — 0.6%* | *Banks — 0.6%* | *Banks — 0.6%* |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year <br> Treasury Constant Maturity Rate + 2.050%) | &nbsp;&nbsp; 4.588% | &nbsp;&nbsp; 5/4/37 | &nbsp;&nbsp; 1300000<br>| &nbsp;&nbsp;&nbsp; 1244016<br> <sup>(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; 568425<br> <sup>(b)(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; 759804<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; 687790<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; 806385<br>|
| *Total Banks* | *Total Banks* | *Total Banks* | *Total Banks* | &nbsp;&nbsp; *4066420* |
| *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* | *Capital Markets — 0.2%* |
| &nbsp;&nbsp;&nbsp; CI Financial Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/30/29 | &nbsp;&nbsp; 900000<br>| &nbsp;&nbsp;&nbsp; 944936<br> <sup>(b)</sup><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; 754350<br> <sup>(b)(c)(d)</sup><br>|
| *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | &nbsp;&nbsp; *1699286* |
| *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* | *Financial Services — 0.7%* |
| &nbsp;&nbsp;&nbsp; Block Inc., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/33 | &nbsp;&nbsp; 1270000<br>| &nbsp;&nbsp;&nbsp; 1250332<br> <sup>(b)</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; 2170274<br> <sup>(b)</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; 923903<br> <sup>(b)</sup><br>|
| *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | &nbsp;&nbsp; *4344509* |
| *Insurance — 0.2%* | *Insurance — 0.2%* | *Insurance — 0.2%* | *Insurance — 0.2%* | *Insurance — 0.2%* |
| &nbsp;&nbsp;&nbsp; Aon North America Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/1/34 | &nbsp;&nbsp; 330000<br>| &nbsp;&nbsp;&nbsp; 337145<br>|
| &nbsp;&nbsp;&nbsp; Asurion LLC/Asurion Co-Issuer Inc., Senior Secured Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 12/31/32 | &nbsp;&nbsp; 930000<br>| &nbsp;&nbsp;&nbsp; 965608<br> <sup>(b)</sup><br>|
| *Total Insurance* | *Total Insurance* | *Total Insurance* | *Total Insurance* | &nbsp;&nbsp; *1302753* |
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **11412968** |
| **Health Care — 3.9%** | **Health Care — 3.9%** | **Health Care — 3.9%** | **Health Care — 3.9%** | **Health Care — 3.9%** |
| *Health Care Equipment & Supplies — 0.2%* | *Health Care Equipment & Supplies — 0.2%* | *Health Care Equipment & Supplies — 0.2%* | *Health Care Equipment & Supplies — 0.2%* | *Health Care Equipment & Supplies — 0.2%* |
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 3/23/34 | &nbsp;&nbsp; 680000<br>| &nbsp;&nbsp;&nbsp; 695388<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 1023000<br>| &nbsp;&nbsp;&nbsp; 1000256<br>|
| *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | &nbsp;&nbsp; *1695644* |
| *Health Care Providers & Services — 0.2%* | *Health Care Providers & Services — 0.2%* | *Health Care Providers & Services — 0.2%* | *Health Care Providers & Services — 0.2%* | *Health Care Providers & Services — 0.2%* |
| &nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 6/15/47 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 18347<br>|
| &nbsp;&nbsp;&nbsp; HCA Inc., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 11/15/95 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10656<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; 455267<br> <sup>(b)</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; 904445<br> <sup>(b)</sup><br>|
| *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | &nbsp;&nbsp; *1388715* |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 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 |
| *Pharmaceuticals — 3.5%* | *Pharmaceuticals — 3.5%* | *Pharmaceuticals — 3.5%* | *Pharmaceuticals — 3.5%* | *Pharmaceuticals — 3.5%* |
| &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; $952961<br> <sup>(b)</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; 822912<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bausch Health Cos. Inc., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 5970000<br>| &nbsp;&nbsp;&nbsp; 4484963<br> <sup>(b)</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; 208624<br> <sup>(b)</sup><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; 218796<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; 990356<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; 15294914<br>|
| *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | &nbsp;&nbsp; *22973526* |
| **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | &nbsp;&nbsp; **26057885** |
| **Industrials — 2.8%** | **Industrials — 2.8%** | **Industrials — 2.8%** | **Industrials — 2.8%** | **Industrials — 2.8%** |
| *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; 5.705% | &nbsp;&nbsp; 5/1/40 | &nbsp;&nbsp; 500000<br>| &nbsp;&nbsp;&nbsp; 501021<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 6.858% | &nbsp;&nbsp; 5/1/54 | &nbsp;&nbsp; 490000<br>| &nbsp;&nbsp;&nbsp; 539723<br>|
| &nbsp;&nbsp;&nbsp; Bombardier Inc., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 7/1/31 | &nbsp;&nbsp; 350000<br>| &nbsp;&nbsp;&nbsp; 367209<br> <sup>(b)</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; 858185<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Huntington Ingalls Industries Inc., Senior Notes | &nbsp;&nbsp; 5.749% | &nbsp;&nbsp; 1/15/35 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; 217673<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; 190825<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/1/42 | &nbsp;&nbsp; 1220000<br>| &nbsp;&nbsp;&nbsp; 1083321<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 3.030% | &nbsp;&nbsp; 3/15/52 | &nbsp;&nbsp; 1010000<br>| &nbsp;&nbsp;&nbsp; 641749<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; 3492912<br> <sup>(b)</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; 10211<br> <sup>(b)</sup><br>|
| *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | &nbsp;&nbsp; *7902829* |
| *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; 64530<br> <sup>(b)</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; 1430417<br> <sup>(b)</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; 456639<br> <sup>(b)</sup><br>|
| *Total Building Products* | *Total Building Products* | *Total Building Products* | *Total Building Products* | &nbsp;&nbsp; *1951586* |
| *Commercial Services & Supplies — 0.7%* | *Commercial Services & Supplies — 0.7%* | *Commercial Services & Supplies — 0.7%* | *Commercial Services & Supplies — 0.7%* | *Commercial Services & Supplies — 0.7%* |
| &nbsp;&nbsp;&nbsp; GFL Environmental Holdings US Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 2/1/34 | &nbsp;&nbsp; 1430000<br>| &nbsp;&nbsp;&nbsp; 1404326<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; GFL Environmental Inc., Senior Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 8/1/28 | &nbsp;&nbsp; 470000<br>| &nbsp;&nbsp;&nbsp; 457235<br> <sup>(b)</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; 1243293<br> <sup>(b)</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; 1104185<br> <sup>(b)</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; 382651<br>|
| *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | *Total Commercial Services & Supplies* | &nbsp;&nbsp; *4591690* |
| *Electrical Equipment — 0.0%††* | *Electrical Equipment — 0.0%††* | *Electrical Equipment — 0.0%††* | *Electrical Equipment — 0.0%††* | *Electrical Equipment — 0.0%††* |
| &nbsp;&nbsp;&nbsp; GE Vernova Inc., Senior Notes | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 2/4/56 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; *57761*<br>|
| *Passenger Airlines — 0.1%* | *Passenger Airlines — 0.1%* | *Passenger Airlines — 0.1%* | *Passenger Airlines — 0.1%* | *Passenger Airlines — 0.1%* |
| &nbsp;&nbsp;&nbsp; United Airlines Holdings Inc., Senior Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 3/1/31 | &nbsp;&nbsp; 740000<br>| &nbsp;&nbsp;&nbsp; *725619*<br>|
| *Trading Companies & Distributors — 0.5%* | *Trading Companies & Distributors — 0.5%* | *Trading Companies & Distributors — 0.5%* | *Trading Companies & Distributors — 0.5%* | *Trading Companies & Distributors — 0.5%* |
| &nbsp;&nbsp;&nbsp; Herc Holdings Inc., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 6/15/30 | &nbsp;&nbsp; 600000<br>| &nbsp;&nbsp;&nbsp; 615650<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Herc Holdings Inc., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 6/15/33 | &nbsp;&nbsp; 940000<br>| &nbsp;&nbsp;&nbsp; 964057<br> <sup>(b)</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; 1664012<br> <sup>(b)</sup><br>|
| *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | *Total Trading Companies & Distributors* | &nbsp;&nbsp; *3243719* |
| **Total Industrials** | **Total Industrials** | **Total Industrials** | **Total Industrials** | &nbsp;&nbsp; **18473204** |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **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 |
| **Information Technology — 1.1%** | **Information Technology — 1.1%** | **Information Technology — 1.1%** | **Information Technology — 1.1%** | **Information Technology — 1.1%** |
| *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., Secured Notes | &nbsp;&nbsp; 8.000% | &nbsp;&nbsp; 3/15/33 | &nbsp;&nbsp; 220000<br>| &nbsp;&nbsp;&nbsp; $*227369*<br> <sup>(b)</sup><br>|
| *Semiconductors & Semiconductor Equipment — 0.6%* | *Semiconductors & Semiconductor Equipment — 0.6%* | *Semiconductors & Semiconductor Equipment — 0.6%* | *Semiconductors & Semiconductor Equipment — 0.6%* | *Semiconductors & Semiconductor Equipment — 0.6%* |
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 7/15/35 | &nbsp;&nbsp; 1070000<br>| &nbsp;&nbsp;&nbsp; 1078730<br>|
| &nbsp;&nbsp;&nbsp; Broadcom Inc., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 2/15/36 | &nbsp;&nbsp; 310000<br>| &nbsp;&nbsp;&nbsp; 302347<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; 1104626<br> <sup>(b)</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; 294889<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; 809610<br>|
| *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | &nbsp;&nbsp; *3590202* |
| *Software — 0.3%* | *Software — 0.3%* | *Software — 0.3%* | *Software — 0.3%* | *Software — 0.3%* |
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 2/4/31 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9788<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 5/4/33 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 97384<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 2/4/36 | &nbsp;&nbsp; 390000<br>| &nbsp;&nbsp;&nbsp; 375149<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 2/4/46 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 84024<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 4/1/50 | &nbsp;&nbsp; 1090000<br>| &nbsp;&nbsp;&nbsp; 658558<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 6.700% | &nbsp;&nbsp; 2/4/56 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 83594<br>|
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 6.850% | &nbsp;&nbsp; 2/4/66 | &nbsp;&nbsp; 220000<br>| &nbsp;&nbsp;&nbsp; 202450<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 180000<br>| &nbsp;&nbsp;&nbsp; 180409<br>|
| &nbsp;&nbsp;&nbsp; Synopsys Inc., Senior Notes | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 360000<br>| &nbsp;&nbsp;&nbsp; 344427<br>|
| *Total Software* | *Total Software* | *Total Software* | *Total Software* | &nbsp;&nbsp; *2035783* |
| *Technology Hardware, Storage & Peripherals — 0.2%* | *Technology Hardware, Storage & Peripherals — 0.2%* | *Technology Hardware, Storage & Peripherals — 0.2%* | *Technology Hardware, Storage & Peripherals — 0.2%* | *Technology Hardware, Storage & Peripherals — 0.2%* |
| &nbsp;&nbsp;&nbsp; Black Pearl Compute LLC, Senior Secured Notes | &nbsp;&nbsp; 6.125% | &nbsp;&nbsp; 2/15/31 | &nbsp;&nbsp; 1220000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1243237*<br> <sup>(b)</sup><br>|
| **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | &nbsp;&nbsp; **7096591** |
| **Materials — 3.9%** | **Materials — 3.9%** | **Materials — 3.9%** | **Materials — 3.9%** | **Materials — 3.9%** |
| *Chemicals — 0.4%* | *Chemicals — 0.4%* | *Chemicals — 0.4%* | *Chemicals — 0.4%* | *Chemicals — 0.4%* |
| &nbsp;&nbsp;&nbsp; OCP SA, Senior Notes | &nbsp;&nbsp; 6.750% | &nbsp;&nbsp; 5/2/34 | &nbsp;&nbsp; 2640000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *2749077*<br> <sup>(b)</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; 5.400% | &nbsp;&nbsp; 4/7/35 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; *213634*<br>|
| *Metals & Mining — 3.1%* | *Metals & Mining — 3.1%* | *Metals & Mining — 3.1%* | *Metals & Mining — 3.1%* | *Metals & Mining — 3.1%* |
| &nbsp;&nbsp;&nbsp; Anglo American Capital PLC, Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 3/19/36 | &nbsp;&nbsp; 360000<br>| &nbsp;&nbsp;&nbsp; 352159<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Corp. Nacional del Cobre de Chile, Senior Notes | &nbsp;&nbsp; 5.529% | &nbsp;&nbsp; 1/30/37 | &nbsp;&nbsp; 5170000<br>| &nbsp;&nbsp;&nbsp; 5081179<br> <sup>(b)</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; 2327235<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 7.250% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; 2520000<br>| &nbsp;&nbsp;&nbsp; 2567507<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; First Quantum Minerals Ltd., Senior Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 2/15/36 | &nbsp;&nbsp; 1800000<br>| &nbsp;&nbsp;&nbsp; 1733016<br> <sup>(b)</sup><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; 3721286<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; 807381<br> <sup>(b)</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; 342288<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Southern Copper Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 7/27/35 | &nbsp;&nbsp; 2280000<br>| &nbsp;&nbsp;&nbsp; 2608694<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; 241630<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; 668492<br>|
| *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | &nbsp;&nbsp; *20450867* |
| *Paper & Forest Products — 0.4%* | *Paper & Forest Products — 0.4%* | *Paper & Forest Products — 0.4%* | *Paper & Forest Products — 0.4%* | *Paper & Forest Products — 0.4%* |
| &nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | &nbsp;&nbsp; 3.750% | &nbsp;&nbsp; 1/15/31 | &nbsp;&nbsp; 2390000<br>| &nbsp;&nbsp;&nbsp; *2223035*<br>|
| **Total Materials** | **Total Materials** | **Total Materials** | **Total Materials** | &nbsp;&nbsp; **25636613** |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 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 |
| **Real Estate — 0.4%** | **Real Estate — 0.4%** | **Real Estate — 0.4%** | **Real Estate — 0.4%** | **Real Estate — 0.4%** |
| *Specialized REITs — 0.4%* | *Specialized REITs — 0.4%* | *Specialized REITs — 0.4%* | *Specialized REITs — 0.4%* | *Specialized REITs — 0.4%* |
| &nbsp;&nbsp;&nbsp; Millrose Properties Inc., Senior Notes | &nbsp;&nbsp; 6.375% | &nbsp;&nbsp; 8/1/30 | &nbsp;&nbsp; 1130000<br>| &nbsp;&nbsp;&nbsp; $1130411<br> <sup>(b)</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; 324368<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; SV RNO Property Owner 1 LLC, Senior Secured Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 3/1/31 | &nbsp;&nbsp; 1480000<br>| &nbsp;&nbsp;&nbsp; 1463850<br> <sup>(b)</sup><br>|
| **Total Real Estate** | **Total Real Estate** | **Total Real Estate** | **Total Real Estate** | &nbsp;&nbsp; **2918629** |
| **Utilities — 1.9%** | **Utilities — 1.9%** | **Utilities — 1.9%** | **Utilities — 1.9%** | **Utilities — 1.9%** |
| *Electric Utilities — 1.9%* | *Electric Utilities — 1.9%* | *Electric Utilities — 1.9%* | *Electric Utilities — 1.9%* | *Electric Utilities — 1.9%* |
| &nbsp;&nbsp;&nbsp; Comision Federal de Electricidad, Senior Notes | &nbsp;&nbsp; 6.045% | &nbsp;&nbsp; 1/28/34 | &nbsp;&nbsp; 6710000<br>| &nbsp;&nbsp;&nbsp; 6511049<br> <sup>(b)</sup><br>|
| &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; 358798<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; 375984<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; 730443<br> <sup>(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; 3609068<br> <sup>(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; 284647<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oglethorpe Power Corp., First Mortgage Bonds | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 2/1/55 | &nbsp;&nbsp; 390000<br>| &nbsp;&nbsp;&nbsp; 380369<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; 204471<br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Senior Secured Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 160000<br>| &nbsp;&nbsp;&nbsp; 158465<br>|
| **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | &nbsp;&nbsp; **12613294** |
| **Total Corporate Bonds & Notes (Cost — $239,967,673)** | **Total Corporate Bonds & Notes (Cost — $239,967,673)** | **Total Corporate Bonds & Notes (Cost — $239,967,673)** | **Total Corporate Bonds & Notes (Cost — $239,967,673)** | &nbsp;&nbsp; **227871695** |
| **Collateralized Mortgage Obligations**<sup>(e)</sup> **— 25.1%** | **Collateralized Mortgage Obligations**<sup>(e)</sup> **— 25.1%** | **Collateralized Mortgage Obligations**<sup>(e)</sup> **— 25.1%** | **Collateralized Mortgage Obligations**<sup>(e)</sup> **— 25.1%** | **Collateralized Mortgage Obligations**<sup>(e)</sup> **— 25.1%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust, 2007-OA8 1A1 (1 mo. Term SOFR + 0.474%) | &nbsp;&nbsp; 4.153% | &nbsp;&nbsp; 6/25/47 | &nbsp;&nbsp; 2210539<br>| &nbsp;&nbsp;&nbsp; 2023639<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Corp., 2015-R3 1A2 | &nbsp;&nbsp; 3.861% | &nbsp;&nbsp; 3/27/36 | &nbsp;&nbsp; 10966899<br>| &nbsp;&nbsp;&nbsp; 9340337<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust, 2014-R2 2A2 (1 mo. Term SOFR + <br> 0.324%) | &nbsp;&nbsp; 4.005% | &nbsp;&nbsp; 5/26/37 | &nbsp;&nbsp; 6581207<br>| &nbsp;&nbsp;&nbsp; 5905755<br> <sup>(b)(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; 19084702<br>|
| &nbsp;&nbsp;&nbsp; BCAP LLC Trust, 2013-RR3 4A2 (1 mo. Term SOFR + 0.274%) | &nbsp;&nbsp; 6.958% | &nbsp;&nbsp; 11/26/36 | &nbsp;&nbsp; 89905<br>| &nbsp;&nbsp;&nbsp; 91383<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BCAP LLC Trust, 2014-RR5 1A2 (1 mo. Term SOFR + 0.339%) | &nbsp;&nbsp; 4.238% | &nbsp;&nbsp; 1/26/36 | &nbsp;&nbsp; 7376305<br>| &nbsp;&nbsp;&nbsp; 6888118<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2021-21M A (1 mo. Term SOFR + <br> 0.844%) | &nbsp;&nbsp; 4.517% | &nbsp;&nbsp; 10/15/36 | &nbsp;&nbsp; 806273<br>| &nbsp;&nbsp;&nbsp; 805872<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2021-ACNT A (1 mo. Term SOFR + <br> 0.964%) | &nbsp;&nbsp; 4.637% | &nbsp;&nbsp; 11/15/38 | &nbsp;&nbsp; 5812074<br>| &nbsp;&nbsp;&nbsp; 5809390<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2025-COPT A (1 mo. Term SOFR + <br> 1.750%) | &nbsp;&nbsp; 5.423% | &nbsp;&nbsp; 8/15/42 | &nbsp;&nbsp; 5340000<br>| &nbsp;&nbsp;&nbsp; 5350664<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2026-CSMO C (1 mo. Term SOFR + <br> 2.000%) | &nbsp;&nbsp; 5.673% | &nbsp;&nbsp; 2/15/43 | &nbsp;&nbsp; 8260000<br>| &nbsp;&nbsp;&nbsp; 8285033<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2026-VLT9 A (1 mo. Term SOFR + <br> 1.700%) | &nbsp;&nbsp; 5.373% | &nbsp;&nbsp; 3/15/45 | &nbsp;&nbsp; 3320000<br>| &nbsp;&nbsp;&nbsp; 3310385<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Trust, 2021-BXMF A (1 mo. Term SOFR + 0.750%) | &nbsp;&nbsp; 4.423% | &nbsp;&nbsp; 10/15/26 | &nbsp;&nbsp; 4254381<br>| &nbsp;&nbsp;&nbsp; 4249620<br> <sup>(b)(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; 10608129<br>|
| &nbsp;&nbsp;&nbsp; Deutsche Mortgage Securities Inc., 2006-PR1 5AS2, IO | &nbsp;&nbsp; 5.381% | &nbsp;&nbsp; 4/15/36 | &nbsp;&nbsp; 1571610<br>| &nbsp;&nbsp;&nbsp; 250027<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency <br> Credit Risk Trust, 2021-DNA3 B1 (30 Day Average SOFR + 3.500%) | &nbsp;&nbsp; 7.162% | &nbsp;&nbsp; 10/25/33 | &nbsp;&nbsp; 3980000<br>| &nbsp;&nbsp;&nbsp; 4494337<br> <sup>(b)(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; 15.526% | &nbsp;&nbsp; 5/25/43 | &nbsp;&nbsp; 8403723<br>| &nbsp;&nbsp;&nbsp; 9860596<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B1 <br> (30 Day Average SOFR + 3.100%) | &nbsp;&nbsp; 6.762% | &nbsp;&nbsp; 10/25/41 | &nbsp;&nbsp; 8870000<br>| &nbsp;&nbsp;&nbsp; 8956748<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2022-R01 1B1 <br> (30 Day Average SOFR + 3.150%) | &nbsp;&nbsp; 6.812% | &nbsp;&nbsp; 12/25/41 | &nbsp;&nbsp; 2700000<br>| &nbsp;&nbsp;&nbsp; 2725783<br> <sup>(b)(d)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **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>(e)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(e)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(e)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(e)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(e)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2023-R05 1M2 <br> (30 Day Average SOFR + 3.100%) | &nbsp;&nbsp; 6.762% | &nbsp;&nbsp; 6/25/43 | &nbsp;&nbsp; 4140000<br>| &nbsp;&nbsp;&nbsp; $4296155<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2014-157 IO, IO | &nbsp;&nbsp; 0.179% | &nbsp;&nbsp; 5/16/55 | &nbsp;&nbsp; 1839697<br>| &nbsp;&nbsp;&nbsp; 10297<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Hilton USA Trust, 2016-HHV D | &nbsp;&nbsp; 4.194% | &nbsp;&nbsp; 11/5/38 | &nbsp;&nbsp; 2800000<br>| &nbsp;&nbsp;&nbsp; 2785397<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. Term SOFR + 0.654%) | &nbsp;&nbsp; 4.333% | &nbsp;&nbsp; 11/25/36 | &nbsp;&nbsp; 5311881<br>| &nbsp;&nbsp;&nbsp; 4760619<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust, 2014-C25 C | &nbsp;&nbsp; 4.330% | &nbsp;&nbsp; 11/15/47 | &nbsp;&nbsp; 3940000<br>| &nbsp;&nbsp;&nbsp; 3254919<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; KIND Trust, 2021-KIND D (1 mo. Term SOFR + 2.414%) | &nbsp;&nbsp; 6.090% | &nbsp;&nbsp; 8/15/38 | &nbsp;&nbsp; 9918548<br>| &nbsp;&nbsp;&nbsp; 9787403<br> <sup>(b)(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>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; KREF Ltd., 2021-FL2 D (1 mo. Term SOFR + 2.314%) | &nbsp;&nbsp; 5.993% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 3130000<br>| &nbsp;&nbsp;&nbsp; 3126077<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MIC Trust, 2023-MIC A | &nbsp;&nbsp; 8.437% | &nbsp;&nbsp; 12/5/38 | &nbsp;&nbsp; 2740000<br>| &nbsp;&nbsp;&nbsp; 2919455<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; MLTI Trust, 2026-SF75 A (1 mo. Term SOFR + 1.400%) | &nbsp;&nbsp; 5.073% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 5360000<br>| &nbsp;&nbsp;&nbsp; 5341978<br> <sup>(b)(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; 7146090<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; NYC Commercial Mortgage Trust, 2025-28L F | &nbsp;&nbsp; 8.130% | &nbsp;&nbsp; 11/5/38 | &nbsp;&nbsp; 2200000<br>| &nbsp;&nbsp;&nbsp; 2222179<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Residential Accredit Loans Inc., 2007-QS7 1A7 (1 mo. Term SOFR + <br> 0.664%) | &nbsp;&nbsp; 4.343% | &nbsp;&nbsp; 5/25/37 | &nbsp;&nbsp; 3460960<br>| &nbsp;&nbsp;&nbsp; 2662763<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; ROCK Trust, 2024-CNTR E | &nbsp;&nbsp; 8.819% | &nbsp;&nbsp; 11/13/41 | &nbsp;&nbsp; 5000000<br>| &nbsp;&nbsp;&nbsp; 5216120<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; SLG Office Trust, 2026-OMA A | &nbsp;&nbsp; 4.965% | &nbsp;&nbsp; 4/15/41 | &nbsp;&nbsp; 3900000<br>| &nbsp;&nbsp;&nbsp; 3915199<br> <sup>(b)(d)(f)</sup><br>|
| **Total Collateralized Mortgage Obligations (Cost — $167,939,223)** | **Total Collateralized Mortgage Obligations (Cost — $167,939,223)** | **Total Collateralized Mortgage Obligations (Cost — $167,939,223)** | **Total Collateralized Mortgage Obligations (Cost — $167,939,223)** | &nbsp;&nbsp; **165485251** |
| **Sovereign Bonds — 16.0%** | **Sovereign Bonds — 16.0%** | **Sovereign Bonds — 16.0%** | **Sovereign Bonds — 16.0%** | **Sovereign Bonds — 16.0%** |
| *Angola — 0.2%* | *Angola — 0.2%* | *Angola — 0.2%* | *Angola — 0.2%* | *Angola — 0.2%* |
| &nbsp;&nbsp;&nbsp; Angolan Government International Bond, Senior Notes | &nbsp;&nbsp; 9.375% | &nbsp;&nbsp; 3/31/33 | &nbsp;&nbsp; 1100000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1089583*<br> <sup>(b)</sup><br>|
| *Argentina — 1.0%* | *Argentina — 1.0%* | *Argentina — 1.0%* | *Argentina — 1.0%* | *Argentina — 1.0%* |
| &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; 1567522<br>| &nbsp;&nbsp;&nbsp; 1314367<br>|
| &nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, Senior Notes, Step <br> bond (4.125% to 7/9/27 then 4.750%) | &nbsp;&nbsp; 4.125% | &nbsp;&nbsp; 7/9/35 | &nbsp;&nbsp; 3500000<br>| &nbsp;&nbsp;&nbsp; 2528750<br>|
| &nbsp;&nbsp;&nbsp; Provincia de Buenos Aires, Senior Notes | &nbsp;&nbsp; 6.625% | &nbsp;&nbsp; 9/1/37 | &nbsp;&nbsp; 3375083<br>| &nbsp;&nbsp;&nbsp; 2552407<br> <sup>(b)</sup><br>|
| *Total Argentina* | *Total Argentina* | *Total Argentina* | *Total Argentina* | &nbsp;&nbsp; *6395524* |
| *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; *738355*<br> <sup>(b)</sup><br>|
| *Brazil — 2.9%* | *Brazil — 2.9%* | *Brazil — 2.9%* | *Brazil — 2.9%* | *Brazil — 2.9%* |
| &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; *18920018*<br>|
| *Chile — 0.5%* | *Chile — 0.5%* | *Chile — 0.5%* | *Chile — 0.5%* | *Chile — 0.5%* |
| &nbsp;&nbsp;&nbsp; Bonos de la Tesoreria de la Republica en pesos, Bonds | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 4/1/33 | &nbsp;&nbsp; 2825000000 <br><sup>CLP</sup><br>| &nbsp;&nbsp;&nbsp;&nbsp; *3138347*<br> <sup>(g)</sup><br>|
| *Costa Rica — 1.0%* | *Costa Rica — 1.0%* | *Costa Rica — 1.0%* | *Costa Rica — 1.0%* | *Costa Rica — 1.0%* |
| &nbsp;&nbsp;&nbsp; Costa Rica Government International Bond, Senior Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 4/3/34 | &nbsp;&nbsp; 6110000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *6457384*<br> <sup>(b)</sup><br>|
| *Ecuador — 0.5%* | *Ecuador — 0.5%* | *Ecuador — 0.5%* | *Ecuador — 0.5%* | *Ecuador — 0.5%* |
| &nbsp;&nbsp;&nbsp; Ecuador Government International Bond, Senior Notes | &nbsp;&nbsp; 8.750% | &nbsp;&nbsp; 1/29/34 | &nbsp;&nbsp; 3140000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *3085050*<br> <sup>(b)</sup><br>|
| *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; *1778211*<br> <sup>(g)</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; 18160<br>| &nbsp;&nbsp;&nbsp; 17853<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ghana Government International Bond, Senior Notes, Step bond (5.000% <br> to 7/3/28 then 6.000%) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 7/3/29 | &nbsp;&nbsp; 113172<br>| &nbsp;&nbsp;&nbsp; 108187<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ghana Government International Bond, Senior Notes, Step bond (5.000% <br> to 7/3/28 then 6.000%) | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 7/3/35 | &nbsp;&nbsp; 789960<br>| &nbsp;&nbsp;&nbsp; 675753<br> <sup>(b)</sup><br>|
| *Total Ghana* | *Total Ghana* | *Total Ghana* | *Total Ghana* | &nbsp;&nbsp; *801793* |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 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 |
| *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; $*1010659*<br> <sup>(g)</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; *5625021*<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; *2057693*<br> <sup>(b)</sup><br>|
| *Malaysia — 0.5%* | *Malaysia — 0.5%* | *Malaysia — 0.5%* | *Malaysia — 0.5%* | *Malaysia — 0.5%* |
| &nbsp;&nbsp;&nbsp; Malaysia Government Bond | &nbsp;&nbsp; 4.254% | &nbsp;&nbsp; 5/31/35 | &nbsp;&nbsp; 12820000 <br><sup>MYR</sup><br>| &nbsp;&nbsp;&nbsp; *3315673*<br>|
| *Mexico — 1.3%* | *Mexico — 1.3%* | *Mexico — 1.3%* | *Mexico — 1.3%* | *Mexico — 1.3%* |
| &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; 5173410<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mexican Bonos, Senior Notes | &nbsp;&nbsp; 7.750% | &nbsp;&nbsp; 11/13/42 | &nbsp;&nbsp; 66870000 <br><sup>MXN</sup><br>| &nbsp;&nbsp;&nbsp; 3100114<br>|
| *Total Mexico* | *Total Mexico* | *Total Mexico* | *Total Mexico* | &nbsp;&nbsp; *8273524* |
| *Panama — 0.3%* | *Panama — 0.3%* | *Panama — 0.3%* | *Panama — 0.3%* | *Panama — 0.3%* |
| &nbsp;&nbsp;&nbsp; Panama Government International Bond, Senior Notes | &nbsp;&nbsp; 2.252% | &nbsp;&nbsp; 9/29/32 | &nbsp;&nbsp; 2820000<br>| &nbsp;&nbsp;&nbsp; *2322834*<br>|
| *Paraguay — 0.6%* | *Paraguay — 0.6%* | *Paraguay — 0.6%* | *Paraguay — 0.6%* | *Paraguay — 0.6%* |
| &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; 1039640<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Paraguay Government International Bond, Senior Notes | &nbsp;&nbsp; 3.849% | &nbsp;&nbsp; 6/28/33 | &nbsp;&nbsp; 3100000<br>| &nbsp;&nbsp;&nbsp; 2877575<br> <sup>(g)</sup><br>|
| *Total Paraguay* | *Total Paraguay* | *Total Paraguay* | *Total Paraguay* | &nbsp;&nbsp; *3917215* |
| *Peru — 1.0%* | *Peru — 1.0%* | *Peru — 1.0%* | *Peru — 1.0%* | *Peru — 1.0%* |
| &nbsp;&nbsp;&nbsp; Peru Government Bond, Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 8/12/34 | &nbsp;&nbsp; 5410000 <br><sup>PEN</sup><br>| &nbsp;&nbsp;&nbsp; 1475843<br>|
| &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 3/14/37 | &nbsp;&nbsp; 4890000<br>| &nbsp;&nbsp;&nbsp; 5292203<br>|
| *Total Peru* | *Total Peru* | *Total Peru* | *Total Peru* | &nbsp;&nbsp; *6768046* |
| *Poland — 0.8%* | *Poland — 0.8%* | *Poland — 0.8%* | *Poland — 0.8%* | *Poland — 0.8%* |
| &nbsp;&nbsp;&nbsp; Republic of Poland Government International Bond, Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 9/18/34 | &nbsp;&nbsp; 5100000<br>| &nbsp;&nbsp;&nbsp; *5132204*<br>|
| *South Africa — 0.4%* | *South Africa — 0.4%* | *South Africa — 0.4%* | *South Africa — 0.4%* | *South Africa — 0.4%* |
| &nbsp;&nbsp;&nbsp; Republic of South Africa Government Bond | &nbsp;&nbsp; 8.750% | &nbsp;&nbsp; 1/31/44 | &nbsp;&nbsp; 55750000 <br><sup>ZAR</sup><br>| &nbsp;&nbsp;&nbsp; *2987632*<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; 187147<br> <sup>(b)</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; 192516<br> <sup>(b)</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; 343574<br> <sup>(b)</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; 209946<br> <sup>(b)</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; 171957<br> <sup>(b)</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; 340973<br> <sup>(b)</sup><br>|
| *Total Sri Lanka* | *Total Sri Lanka* | *Total Sri Lanka* | *Total Sri Lanka* | &nbsp;&nbsp; *1446113* |
| *Supranational — 2.5%* | *Supranational — 2.5%* | *Supranational — 2.5%* | *Supranational — 2.5%* | *Supranational — 2.5%* |
| &nbsp;&nbsp;&nbsp; Inter-American Development Bank, Senior Notes | &nbsp;&nbsp; 7.350% | &nbsp;&nbsp; 10/6/30 | &nbsp;&nbsp; 1576000000 <br><sup>INR</sup><br>| &nbsp;&nbsp;&nbsp; *16326234*<br>|
| *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; 311530<br> <sup>(g)</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; 285082<br> <sup>(g)</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; 285792<br> <sup>(g)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **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 — continued* | *Ukraine — continued* | *Ukraine — continued* | *Ukraine — continued* | *Ukraine — continued* |
| &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; $654445<br> <sup>(g)</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; 917472<br> <sup>(g)</sup><br>|
| *Total Ukraine* | *Total Ukraine* | *Total Ukraine* | *Total Ukraine* | &nbsp;&nbsp; *2454321* |
| *Uruguay — 0.2%* | *Uruguay — 0.2%* | *Uruguay — 0.2%* | *Uruguay — 0.2%* | *Uruguay — 0.2%* |
| &nbsp;&nbsp;&nbsp; Uruguay Government International Bond, Senior Notes | &nbsp;&nbsp; 8.250% | &nbsp;&nbsp; 5/21/31 | &nbsp;&nbsp; 58830000 <br><sup>UYU</sup><br>| &nbsp;&nbsp;&nbsp; *1502146*<br>|
| **Total Sovereign Bonds (Cost — $109,136,599)** | **Total Sovereign Bonds (Cost — $109,136,599)** | **Total Sovereign Bonds (Cost — $109,136,599)** | **Total Sovereign Bonds (Cost — $109,136,599)** | &nbsp;&nbsp; **105543580** |
| **Asset-Backed Securities — 10.2%** | **Asset-Backed Securities — 10.2%** | **Asset-Backed Securities — 10.2%** | **Asset-Backed Securities — 10.2%** | **Asset-Backed Securities — 10.2%** |
| &nbsp;&nbsp;&nbsp; Abry Liquid Credit CLO Ltd., 2025-2A A1 (3 mo. Term SOFR + 1.310%) | &nbsp;&nbsp; 4.995% | &nbsp;&nbsp; 1/15/38 | &nbsp;&nbsp; 4130000<br>| &nbsp;&nbsp;&nbsp; 4119267<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Antares CLO Ltd., 2018-1A A1R (3 mo. Term SOFR + 1.370%) | &nbsp;&nbsp; 5.038% | &nbsp;&nbsp; 4/20/38 | &nbsp;&nbsp; 560000<br>| &nbsp;&nbsp;&nbsp; 560677<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Apidos Loan Fund Ltd., 2024-1A A1R (3 mo. Term SOFR + 1.250%) | &nbsp;&nbsp; 4.918% | &nbsp;&nbsp; 10/25/38 | &nbsp;&nbsp; 7840000<br>| &nbsp;&nbsp;&nbsp; 7838040<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Balboa Bay Loan Funding Ltd., 2025-2A A1 (3 mo. Term SOFR + 1.250%) | &nbsp;&nbsp; 4.981% | &nbsp;&nbsp; 1/20/39 | &nbsp;&nbsp; 3640000<br>| &nbsp;&nbsp;&nbsp; 3636761<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Battery Park CLO Ltd., 2019-1A AR (3 mo. Term SOFR + 1.400%) | &nbsp;&nbsp; 5.072% | &nbsp;&nbsp; 7/15/36 | &nbsp;&nbsp; 5300000<br>| &nbsp;&nbsp;&nbsp; 5302335<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayfront Iabs Pte Ltd., 7A A (SOFR + 1.280%) | &nbsp;&nbsp; 4.960% | &nbsp;&nbsp; 4/11/48 | &nbsp;&nbsp; 4280000<br>| &nbsp;&nbsp;&nbsp; 4279589<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bayswater Park CLO Ltd., 2023-1A AR (3 mo. Term SOFR + 1.210%) | &nbsp;&nbsp; 4.878% | &nbsp;&nbsp; 1/20/39 | &nbsp;&nbsp; 4250000<br>| &nbsp;&nbsp;&nbsp; 4250722<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; CIT Mortgage Loan Trust, 2007-1 1M1 (1 mo. Term SOFR + 2.364%) | &nbsp;&nbsp; 5.293% | &nbsp;&nbsp; 10/25/37 | &nbsp;&nbsp; 5025296<br>| &nbsp;&nbsp;&nbsp; 5098181<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Elevation CLO Ltd., 2025-18A A1 (3 mo. Term SOFR + 1.240%) | &nbsp;&nbsp; 4.908% | &nbsp;&nbsp; 3/28/38 | &nbsp;&nbsp; 2690000<br>| &nbsp;&nbsp;&nbsp; 2689484<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Elmwood CLO Ltd., 2019-1A A1R3 (3 mo. Term SOFR + 1.120%) | &nbsp;&nbsp; 4.780% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 2000000<br>| &nbsp;&nbsp;&nbsp; 1990998<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Fremont Home Loan Trust, 2006-B 1A (1 mo. Term SOFR + 0.414%) | &nbsp;&nbsp; 3.943% | &nbsp;&nbsp; 8/25/36 | &nbsp;&nbsp; 13447952<br>| &nbsp;&nbsp;&nbsp; 5473200<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Galaxy CLO Ltd., 2024-33A A1R (3 mo. Term SOFR + 1.280%) | &nbsp;&nbsp; 4.962% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 2500000<br>| &nbsp;&nbsp;&nbsp; 2500625<br> <sup>(b)(d)(f)</sup><br>|
| &nbsp;&nbsp;&nbsp; Home Equity Asset Trust, 2005-6 M5 (1 mo. Term SOFR + 1.059%) | &nbsp;&nbsp; 4.738% | &nbsp;&nbsp; 12/25/35 | &nbsp;&nbsp; 2980000<br>| &nbsp;&nbsp;&nbsp; 2920915<br> <sup>(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Magnetite Ltd., 2021-31A A1R (3 mo. Term SOFR + 1.000%) | &nbsp;&nbsp; 4.672% | &nbsp;&nbsp; 7/15/34 | &nbsp;&nbsp; 4750000<br>| &nbsp;&nbsp;&nbsp; 4746886<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mountain View CLO Ltd., 2022-1A A1RR (3 mo. Term SOFR + 1.330%) | &nbsp;&nbsp; 5.002% | &nbsp;&nbsp; 3/15/38 | &nbsp;&nbsp; 4920000<br>| &nbsp;&nbsp;&nbsp; 4927203<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Point Au Roche Park CLO Ltd., 2021-1A AR (3 mo. Term SOFR + 1.170%) | &nbsp;&nbsp; 4.829% | &nbsp;&nbsp; 1/20/39 | &nbsp;&nbsp; 2000000<br>| &nbsp;&nbsp;&nbsp; 1993501<br> <sup>(b)(d)</sup><br>|
| &nbsp;&nbsp;&nbsp; Symphony CLO Ltd., 2025-52A AR (3 mo. Term SOFR + 1.150%) | &nbsp;&nbsp; 4.815% | &nbsp;&nbsp; 1/20/36 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 999924<br> <sup>(b)(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; 4043914<br> <sup>(b)(d)</sup><br>|
| **Total Asset-Backed Securities (Cost — $72,330,968)** | **Total Asset-Backed Securities (Cost — $72,330,968)** | **Total Asset-Backed Securities (Cost — $72,330,968)** | **Total Asset-Backed Securities (Cost — $72,330,968)** | &nbsp;&nbsp; **67372222** |
| **Senior Loans — 6.7%** | **Senior Loans — 6.7%** | **Senior Loans — 6.7%** | **Senior Loans — 6.7%** | **Senior Loans — 6.7%** |
| **Communication Services — 0.4%** | **Communication Services — 0.4%** | **Communication Services — 0.4%** | **Communication Services — 0.4%** | **Communication Services — 0.4%** |
| *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%)  | 6.168% | &nbsp;&nbsp; 6/28/32 | &nbsp;&nbsp; 2905400<br>| &nbsp;&nbsp;&nbsp;&nbsp; **2879193**<br> <sup>(d)(h)(i)</sup><br>|
| **Consumer Discretionary — 1.0%** | **Consumer Discretionary — 1.0%** | **Consumer Discretionary — 1.0%** | **Consumer Discretionary — 1.0%** | **Consumer Discretionary — 1.0%** |
| *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%)  | 6.168% | &nbsp;&nbsp; 5/6/30 | &nbsp;&nbsp; 202513<br>| &nbsp;&nbsp;&nbsp;&nbsp; *202133*<br> <sup>(d)(h)(i)</sup><br>|
| *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* | *Automobiles — 0.1%* |
| &nbsp;&nbsp;&nbsp; Belron Finance 2019 LLC, Term Loan (3 mo. Term SOFR + 2.000%)  | 5.660% | &nbsp;&nbsp; 10/16/31 | &nbsp;&nbsp; 603911<br>| &nbsp;&nbsp;&nbsp;&nbsp; *604440*<br> <sup>(d)(h)(i)</sup><br>|
| *Broadline Retail — 0.0%††* | *Broadline Retail — 0.0%††* | *Broadline Retail — 0.0%††* | *Broadline Retail — 0.0%††* | *Broadline Retail — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Peer Holding III BV, Term Loan B5 (3 mo. Term SOFR + 2.500%)  | 6.200% | &nbsp;&nbsp; 7/1/31 | &nbsp;&nbsp; 405890<br>| &nbsp;&nbsp;&nbsp;&nbsp; *405573*<br> <sup>(d)(h)(i)</sup><br>|
| *Hotels, Restaurants & Leisure — 0.2%* | *Hotels, Restaurants & Leisure — 0.2%* | *Hotels, Restaurants & Leisure — 0.2%* | *Hotels, Restaurants & Leisure — 0.2%* | *Hotels, Restaurants & Leisure — 0.2%* |
| &nbsp;&nbsp;&nbsp; PCI Gaming Authority, 2024 Term Loan B (1 mo. Term SOFR + 2.000%)  | 5.668% | &nbsp;&nbsp; 7/18/31 | &nbsp;&nbsp; 1083636<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1084795*<br> <sup>(d)(h)(i)</sup><br>|
| *Specialty Retail — 0.7%* | *Specialty Retail — 0.7%* | *Specialty Retail — 0.7%* | *Specialty Retail — 0.7%* | *Specialty Retail — 0.7%* |
| &nbsp;&nbsp;&nbsp; Harbor Freight Tools USA Inc., Initial Term Loan (1 mo. Term SOFR + <br> 2.250%) | 5.918% | &nbsp;&nbsp; 6/11/31 | &nbsp;&nbsp; 2032507<br>| &nbsp;&nbsp;&nbsp; 2014449<br> <sup>(d)(h)(i)(j)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 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 |
| *Specialty Retail — continued* | *Specialty Retail — continued* | *Specialty Retail — continued* | *Specialty Retail — continued* | *Specialty Retail — continued* |
| &nbsp;&nbsp;&nbsp; Petco Health & Wellness Co. Inc., 2026 Term Loan (3 mo. Term SOFR + <br> 4.250%) | 7.950% | &nbsp;&nbsp; 1/22/31 | &nbsp;&nbsp; 2440000<br>| &nbsp;&nbsp;&nbsp; $2390370<br> <sup>(d)(h)(i)</sup><br>|
| *Total Specialty Retail* | *Total Specialty Retail* | *Total Specialty Retail* | *Total Specialty Retail* | &nbsp;&nbsp; *4404819* |
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **6701760** |
| **Consumer Staples — 0.2%** | **Consumer Staples — 0.2%** | **Consumer Staples — 0.2%** | **Consumer Staples — 0.2%** | **Consumer Staples — 0.2%** |
| *Beverages — 0.2%* | *Beverages — 0.2%* | *Beverages — 0.2%* | *Beverages — 0.2%* | *Beverages — 0.2%* |
| &nbsp;&nbsp;&nbsp; Triton Water Holdings Inc., 2026 Refinancing Term Loan  |  | &nbsp;&nbsp; 3/19/31 | &nbsp;&nbsp; 1330000<br>| &nbsp;&nbsp;&nbsp;&nbsp; **1333737**<br> <sup>(j)</sup><br>|
| **Financials — 2.7%** | **Financials — 2.7%** | **Financials — 2.7%** | **Financials — 2.7%** | **Financials — 2.7%** |
| *Banks — 0.2%* | *Banks — 0.2%* | *Banks — 0.2%* | *Banks — 0.2%* | *Banks — 0.2%* |
| &nbsp;&nbsp;&nbsp; Ascensus Group Holdings Inc., 2024 Term Loan B (1 mo. Term SOFR + <br> 3.000%)  | 6.668% | &nbsp;&nbsp; 11/24/32 | &nbsp;&nbsp; 1340000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1320737*<br> <sup>(d)(h)(i)</sup><br>|
| *Capital Markets — 0.4%* | *Capital Markets — 0.4%* | *Capital Markets — 0.4%* | *Capital Markets — 0.4%* | *Capital Markets — 0.4%* |
| &nbsp;&nbsp;&nbsp; Focus Financial Partners LLC, Incremental Term Loan B (1 mo. Term SOFR <br> + 2.500%) | 6.168% | &nbsp;&nbsp; 9/15/31 | &nbsp;&nbsp; 1988843<br>| &nbsp;&nbsp;&nbsp; 1929068<br> <sup>(d)(h)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; GIP Pilot Acquisition Partners LP, Amendment No. 2 Refinancing Term <br> Loan (3 mo. Term SOFR + 2.000%) | 5.646% | &nbsp;&nbsp; 10/4/30 | &nbsp;&nbsp; 403074<br>| &nbsp;&nbsp;&nbsp; 404082<br> <sup>(d)(h)(i)</sup><br>|
| *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | &nbsp;&nbsp; *2333150* |
| *Financial Services — 0.5%* | *Financial Services — 0.5%* | *Financial Services — 0.5%* | *Financial Services — 0.5%* | *Financial Services — 0.5%* |
| &nbsp;&nbsp;&nbsp; Citadel Securities LP, 2024 Term Loan Facility (3 mo. Term SOFR + <br> 2.000%) | 5.700% | &nbsp;&nbsp; 10/31/31 | &nbsp;&nbsp; 810051<br>| &nbsp;&nbsp;&nbsp; 811910<br> <sup>(d)(h)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jane Street Group LLC, Extended Term Loan (3 mo. Term SOFR + 2.000%) | 5.673% | &nbsp;&nbsp; 12/15/31 | &nbsp;&nbsp; 2766278<br>| &nbsp;&nbsp;&nbsp; 2719127<br> <sup>(d)(h)(i)</sup><br>|
| *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | *Total Financial Services* | &nbsp;&nbsp; *3531037* |
| *Insurance — 1.5%* | *Insurance — 1.5%* | *Insurance — 1.5%* | *Insurance — 1.5%* | *Insurance — 1.5%* |
| &nbsp;&nbsp;&nbsp; AmWINS Group Inc., 2026 Refinancing Term Loan (1 mo. Term SOFR + <br> 2.000%) | 5.668% | &nbsp;&nbsp; 1/30/32 | &nbsp;&nbsp; 2560435<br>| &nbsp;&nbsp;&nbsp; 2546378<br> <sup>(d)(h)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Asurion LLC, New Term Loan B14 (1 mo. Term SOFR + 3.750%) | 7.418% | &nbsp;&nbsp; 3/11/33 | &nbsp;&nbsp; 2689816<br>| &nbsp;&nbsp;&nbsp; 2604091<br> <sup>(d)(h)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; HUB International Ltd., 2025 Incremental Term Loan (3 mo. Term SOFR + <br> 2.250%) | 5.920% | &nbsp;&nbsp; 6/20/30 | &nbsp;&nbsp; 1884418<br>| &nbsp;&nbsp;&nbsp; 1882336<br> <sup>(d)(h)(i)(j)</sup><br>|
| &nbsp;&nbsp;&nbsp; Sedgwick Claims Management Services Inc., 2024 Term Loan (1 mo. <br> Term SOFR + 2.500%) | 6.168% | &nbsp;&nbsp; 7/31/31 | &nbsp;&nbsp; 2034874<br>| &nbsp;&nbsp;&nbsp; 2000719<br> <sup>(d)(h)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Truist Insurance Holdings LLC, 2024 Term Loan B (3 mo. Term SOFR + <br> 2.750%) | 6.450% | &nbsp;&nbsp; 5/6/31 | &nbsp;&nbsp; 980000<br>| &nbsp;&nbsp;&nbsp; 968671<br> <sup>(d)(h)(i)</sup><br>|
| *Total Insurance* | *Total Insurance* | *Total Insurance* | *Total Insurance* | &nbsp;&nbsp; *10002195* |
| *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. Term <br> SOFR + 1.750%)  | 5.418% | &nbsp;&nbsp; 11/18/27 | &nbsp;&nbsp; 405902<br>| &nbsp;&nbsp;&nbsp;&nbsp; *405903*<br> <sup>(d)(h)(i)(k)</sup><br>|
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **17593022** |
| **Health Care — 0.5%** | **Health Care — 0.5%** | **Health Care — 0.5%** | **Health Care — 0.5%** | **Health Care — 0.5%** |
| *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> 1.750%)  | 5.418% | &nbsp;&nbsp; 10/23/28 | &nbsp;&nbsp; 1087917<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1090773*<br> <sup>(d)(h)(i)(j)</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%)  | 6.168% | &nbsp;&nbsp; 5/30/31 | &nbsp;&nbsp; 580047<br>| &nbsp;&nbsp;&nbsp;&nbsp; *581317*<br> <sup>(d)(h)(i)</sup><br>|
| *Health Care Technology — 0.3%* | *Health Care Technology — 0.3%* | *Health Care Technology — 0.3%* | *Health Care Technology — 0.3%* | *Health Care Technology — 0.3%* |
| &nbsp;&nbsp;&nbsp; AthenaHealth Group Inc., Initial Term Loan (1 mo. Term SOFR + 2.750%)  | 6.418% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 1845340<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1814200*<br> <sup>(d)(h)(i)</sup><br>|
| **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | &nbsp;&nbsp; **3486290** |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **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 |
| **Industrials — 0.7%** | **Industrials — 0.7%** | **Industrials — 0.7%** | **Industrials — 0.7%** | **Industrials — 0.7%** |
| *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%)  | 6.161% | &nbsp;&nbsp; 3/15/30 | &nbsp;&nbsp; 542479<br>| &nbsp;&nbsp;&nbsp; $*542819*<br> <sup>(d)(h)(i)</sup><br>|
| *Passenger Airlines — 0.3%* | *Passenger Airlines — 0.3%* | *Passenger Airlines — 0.3%* | *Passenger Airlines — 0.3%* | *Passenger Airlines — 0.3%* |
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC, Contingent DIP Facility |  | &nbsp;&nbsp; 7/14/26 | &nbsp;&nbsp; 877384<br>| &nbsp;&nbsp;&nbsp; 109,673<br> \*<sup>(k)(l)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC, New Money Term Loan (1 mo. Term SOFR + 8.000%) | 11.678% | &nbsp;&nbsp; 1/2/40 | &nbsp;&nbsp; 370766<br>| &nbsp;&nbsp;&nbsp; 367059<br> <sup>(d)(h)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC, Roll Up Term Loan |  | &nbsp;&nbsp; 10/14/26 | &nbsp;&nbsp; 2302927<br>| &nbsp;&nbsp;&nbsp; 1612049<br> <sup>(j)(k)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC, Second New Money Term Loan (1 mo. Term SOFR + <br> 8.000%) | 11.678% | &nbsp;&nbsp; 7/14/26 | &nbsp;&nbsp; 91953<br>| &nbsp;&nbsp;&nbsp; 91033<br> <sup>(d)(h)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Airlines LLC, Third DIP New Money Term Loan (1 mo. Term SOFR + <br> 8.000%) | 11.678% | &nbsp;&nbsp; 7/14/26 | &nbsp;&nbsp; 181610<br>| &nbsp;&nbsp;&nbsp; 179793<br> <sup>(d)(h)(i)</sup><br>|
| *Total Passenger Airlines* | *Total Passenger Airlines* | *Total Passenger Airlines* | *Total Passenger Airlines* | &nbsp;&nbsp; *2359607* |
| *Professional Services — 0.3%* | *Professional Services — 0.3%* | *Professional Services — 0.3%* | *Professional Services — 0.3%* | *Professional Services — 0.3%* |
| &nbsp;&nbsp;&nbsp; CoreLogic Inc., First Lien Initial Term Loan (1 mo. Term SOFR + 3.614%)  | 7.282% | &nbsp;&nbsp; 6/2/28 | &nbsp;&nbsp; 1905013<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1826441*<br> <sup>(d)(h)(i)</sup><br>|
| **Total Industrials** | **Total Industrials** | **Total Industrials** | **Total Industrials** | &nbsp;&nbsp; **4728867** |
| **Information Technology — 0.9%** | **Information Technology — 0.9%** | **Information Technology — 0.9%** | **Information Technology — 0.9%** | **Information Technology — 0.9%** |
| *Software — 0.9%* | *Software — 0.9%* | *Software — 0.9%* | *Software — 0.9%* | *Software — 0.9%* |
| &nbsp;&nbsp;&nbsp; Cloud Software Group Inc., Tenth Amendment Term Loan B2 (3 mo. Term <br> SOFR + 3.250%) | 6.950% | &nbsp;&nbsp; 3/21/31 | &nbsp;&nbsp; 2074787<br>| &nbsp;&nbsp;&nbsp; 1906729<br> <sup>(d)(h)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cloudera Inc., Term Loan (1 mo. Term SOFR + 3.850%) | 7.518% | &nbsp;&nbsp; 10/8/28 | &nbsp;&nbsp; 1840000<br>| &nbsp;&nbsp;&nbsp; 1647950<br> <sup>(d)(h)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; UKG Inc., Term Loan B |  | &nbsp;&nbsp; 2/10/31 | &nbsp;&nbsp; 2064812<br>| &nbsp;&nbsp;&nbsp; 1975902<br> <sup>(j)</sup><br>|
| **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | &nbsp;&nbsp; **5530581** |
| **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%)  | 5.668% | &nbsp;&nbsp; 1/31/31 | &nbsp;&nbsp; 603823<br>| &nbsp;&nbsp;&nbsp;&nbsp; **601371**<br> <sup>(d)(h)(i)</sup><br>|
| **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** |
| *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* | *Independent Power and Renewable Electricity Producers — 0.2%* |
| &nbsp;&nbsp;&nbsp; Calpine Construction Finance Co. LP, 2025 Refinancing Term Loan (1 mo. <br> Term SOFR + 1.750%) | 5.418% | &nbsp;&nbsp; 7/31/30 | &nbsp;&nbsp; 820000<br>| &nbsp;&nbsp;&nbsp; 821280<br> <sup>(d)(h)(i)</sup><br>|
| &nbsp;&nbsp;&nbsp; Lightning Power LLC, Initial Term Loan B (1 mo. Term SOFR + 2.250%) | 5.918% | &nbsp;&nbsp; 8/18/31 | &nbsp;&nbsp; 405880<br>| &nbsp;&nbsp;&nbsp; 407243<br> <sup>(d)(h)(i)</sup><br>|
| **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | &nbsp;&nbsp; **1228523** |
| **Total Senior Loans (Cost — $44,517,455)** | **Total Senior Loans (Cost — $44,517,455)** | **Total Senior Loans (Cost — $44,517,455)** | **Total Senior Loans (Cost — $44,517,455)** | &nbsp;&nbsp; **44083344** |
| **U.S. Government & Agency Obligations — 4.4%** | **U.S. Government & Agency Obligations — 4.4%** | **U.S. Government & Agency Obligations — 4.4%** | **U.S. Government & Agency Obligations — 4.4%** | **U.S. Government & Agency Obligations — 4.4%** |
| *U.S. Government Obligations — 4.4%* | *U.S. Government Obligations — 4.4%* | *U.S. Government Obligations — 4.4%* | *U.S. Government Obligations — 4.4%* | *U.S. Government Obligations — 4.4%* |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 11/15/43 | &nbsp;&nbsp; 17040000 | &nbsp;&nbsp;&nbsp; 16840312<br> <sup>(m)(n)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/15/54 | &nbsp;&nbsp; 13080000 | &nbsp;&nbsp;&nbsp; 11717841<br> <sup>(m)(n)</sup><br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 11/15/35 | &nbsp;&nbsp; 160000 | &nbsp;&nbsp;&nbsp; 156088<br> <sup>(m)</sup><br>|
| **Total U.S. Government & Agency Obligations (Cost — $29,844,888)** | **Total U.S. Government & Agency Obligations (Cost — $29,844,888)** | **Total U.S. Government & Agency Obligations (Cost — $29,844,888)** | **Total U.S. Government & Agency Obligations (Cost — $29,844,888)** | &nbsp;&nbsp; **28714241** |
| **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 — $1,207,578) | &nbsp;&nbsp; 1.875% | &nbsp;&nbsp; 7/15/34 | &nbsp;&nbsp; 1181667<br>| &nbsp;&nbsp;&nbsp;&nbsp; **1187925**<br> <sup>(m)</sup><br>|
|  | Expiration <br>Date<br>| Contracts | &nbsp;&nbsp; Notional <br>Amount†<br>|  |
| **Purchased Options — 0.1%** | **Purchased Options — 0.1%** | **Purchased Options — 0.1%** | **Purchased Options — 0.1%** | **Purchased Options — 0.1%** |
| **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** | **Exchange-Traded Purchased Options — 0.1%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury 2-Year Notes Futures, Call @ $103.750 | 5/22/26 | &nbsp;&nbsp; 1423 | &nbsp;&nbsp; 2846000 | &nbsp;&nbsp;&nbsp; 867141<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

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

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Expiration<br> Date<br>| Contracts | &nbsp;&nbsp; Notional<br> Amount†<br>| Value |
| **Exchange-Traded Purchased Options — continued** | **Exchange-Traded Purchased Options — continued** | **Exchange-Traded Purchased Options — continued** | **Exchange-Traded Purchased Options — continued** | **Exchange-Traded Purchased Options — continued** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $109.250 | 4/10/26 | &nbsp;&nbsp; 696 | &nbsp;&nbsp; 696000 | &nbsp;&nbsp;&nbsp; $43500<br>|
| **Total Purchased Options (Cost — $960,822)** | **Total Purchased Options (Cost — $960,822)** | **Total Purchased Options (Cost — $960,822)** | **Total Purchased Options (Cost — $960,822)** | &nbsp;&nbsp; **910641** |
|  |  |  | Shares |  |
| **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%††** |
| *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; 705 | &nbsp;&nbsp;&nbsp; 176<br> \*<sup>(o)(p)</sup><br>|
| &nbsp;&nbsp;&nbsp; Spirit Aviation Holdings Inc. | &nbsp;&nbsp;&nbsp; Spirit Aviation Holdings Inc. |  | &nbsp;&nbsp; 121435 | &nbsp;&nbsp;&nbsp; 30,359<br> \*<br>|
| **Total Common Stocks (Cost — $1,705,602)** | **Total Common Stocks (Cost — $1,705,602)** | **Total Common Stocks (Cost — $1,705,602)** | **Total Common Stocks (Cost — $1,705,602)** | &nbsp;&nbsp;&nbsp; **30535**<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 (Cost — $29,034) | &nbsp;&nbsp; 3.400% | &nbsp;&nbsp; 5/16/45 | &nbsp;&nbsp; 1123886 <br><sup>UYU</sup><br>| &nbsp;&nbsp;&nbsp; **29600**<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; **21,570**<br> \*<sup>(b)(o)(p)</sup><br>|
| **Total Investments — 136.3% (Cost — $927,507,972)** | **Total Investments — 136.3% (Cost — $927,507,972)** | **Total Investments — 136.3% (Cost — $927,507,972)** | **Total Investments — 136.3% (Cost — $927,507,972)** | &nbsp;&nbsp; **899162781** |
| &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (36.3)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (36.3)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (36.3)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (36.3)% | &nbsp;&nbsp;&nbsp; (239678226)<br>|
| **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | &nbsp;&nbsp; **$659484555** |

---

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

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **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> | This security is traded on a to-be-announced ("TBA") basis. At March 31, 2026, the Fund held TBA securities with a total cost of $258,817,825. |
| <sup>(b)</sup> | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from <br> registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.<br>|
| <sup>(c)</sup> | 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> | 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>(f)</sup> | Securities traded on a when-issued or delayed delivery basis. |
| <sup>(g)</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>(h)</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>(i)</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>(j)</sup> | All or a portion of this loan has not settled as of March 31, 2026. Interest rates are not effective until settlement date. Interest rates shown, if any, are for <br> the settled portion of the loan.<br>|
| <sup>(k)</sup> | Security is valued using significant unobservable inputs (Note 1). |
| <sup>(l)</sup> | The coupon payment on this security is currently in default as of March 31, 2026. |
| <sup>(m)</sup> | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
| <sup>(n)</sup> | All or a portion of this security is held at the broker as collateral for open futures contracts and exchange-traded options.  |
| <sup>(o)</sup> | Security is fair valued in accordance with procedures approved by the Board of Trustees (Note 1). |
| <sup>(p)</sup> | Restricted security (Note 2). |

---

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

---

| | | |
|:---|:---|:---|
| **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** | **Abbreviation(s) used in this schedule:** |
| BRL |  | Brazilian Real |
| CAS |  | Connecticut Avenue Securities |
| CLO |  | Collateralized Loan Obligation |
| CLP |  | Chilean Peso |
| DAC |  | Designated Activity Company |
| DIP |  | Debtor-in-possession |
| ICE |  | Intercontinental Exchange |
| INR |  | Indian Rupee |
| IO |  | Interest Only |
| JMD |  | Jamaican Dollar |
| JSC |  | Joint Stock Company |
| MXN |  | Mexican Peso |
| MYR |  | Malaysian Ringgit |
| PEN |  | Peruvian Nuevo Sol |
| REMIC |  | Real Estate Mortgage Investment Conduit |
| SOFR |  | Secured Overnight Financing Rate |
| USD |  | United States Dollar |
| UYU |  | Uruguayan Peso |
| ZAR |  | South African Rand |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

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

At March 31, 2026, 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; 9/11/26 | &nbsp;&nbsp;&nbsp;&nbsp; $97.500 | &nbsp;&nbsp; 483 | &nbsp;&nbsp;&nbsp;&nbsp; $1207500 | &nbsp;&nbsp;&nbsp;&nbsp; $(54337) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.500 | &nbsp;&nbsp; 269 | &nbsp;&nbsp;&nbsp;&nbsp; 672500 | &nbsp;&nbsp;&nbsp;&nbsp; (48756) |
| 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; (544350) |
| U.S. Treasury 2-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 5/22/26 | &nbsp;&nbsp;&nbsp;&nbsp;103.000 | 1423 | &nbsp;&nbsp;&nbsp;&nbsp; 2846000 | &nbsp;&nbsp;&nbsp;&nbsp; (289047) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 4/10/26 | &nbsp;&nbsp;&nbsp;&nbsp;109.750 | 1392 | &nbsp;&nbsp;&nbsp;&nbsp; 1392000 | &nbsp;&nbsp;&nbsp;&nbsp; (43500) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;109.000 | &nbsp;&nbsp; 491 | &nbsp;&nbsp;&nbsp;&nbsp; 491000 | &nbsp;&nbsp;&nbsp;&nbsp; (88227) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;110.250 | 1394 | &nbsp;&nbsp;&nbsp;&nbsp; 1394000 | &nbsp;&nbsp;&nbsp;&nbsp; (65344) |
| U.S. Treasury 5-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 4/24/26 | &nbsp;&nbsp;&nbsp;&nbsp;107.000 | &nbsp;&nbsp; 491 | &nbsp;&nbsp;&nbsp;&nbsp; 491000 | &nbsp;&nbsp;&nbsp;&nbsp; (69047) |
| **Total Exchange-Traded Written Options (Premiums received — $1,820,801)** | **Total Exchange-Traded Written Options (Premiums received — $1,820,801)** | **Total Exchange-Traded Written Options (Premiums received — $1,820,801)** | **Total Exchange-Traded Written Options (Premiums received — $1,820,801)** | **Total Exchange-Traded Written Options (Premiums received — $1,820,801)** | &nbsp;&nbsp;&nbsp; **$(1202608)** |

---

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

---

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

---

At March 31, 2026, 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; 1126 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; $271678015 | &nbsp;&nbsp;&nbsp;&nbsp; $271154875 | &nbsp;&nbsp;&nbsp;&nbsp; $(523140) |
| Australian 10-Year Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 18367358 | &nbsp;&nbsp;&nbsp;&nbsp; 18214457 | &nbsp;&nbsp;&nbsp;&nbsp; (152901) |
| U.S. Treasury 2-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 41411413 | &nbsp;&nbsp;&nbsp;&nbsp; 41489062 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77649 |
| U.S. Treasury 5-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 9760 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 1069883022 | &nbsp;&nbsp;&nbsp;&nbsp; 1055833774 | &nbsp;&nbsp;&nbsp;&nbsp; (14049248) |
| U.S. Treasury Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 48588414 | &nbsp;&nbsp;&nbsp;&nbsp; 47144250 | &nbsp;&nbsp;&nbsp;&nbsp; (1444164) |
| United Kingdom Long Gilt Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 33644098 | &nbsp;&nbsp;&nbsp;&nbsp; 31954682 | &nbsp;&nbsp;&nbsp;&nbsp; (1689416) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (17781220) |
| **Contracts to Sell:** |  |  |  |  |  |
| U.S. Treasury 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 1337 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 150814203 | &nbsp;&nbsp;&nbsp;&nbsp; 148469679 | &nbsp;&nbsp;&nbsp;&nbsp; 2344524 |
| U.S. Treasury Ultra 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 331 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 38246809 | &nbsp;&nbsp;&nbsp;&nbsp; 37573673 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 673136 |
| U.S. Treasury Ultra Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 1418 | &nbsp;&nbsp;&nbsp;&nbsp; 6/26 | &nbsp;&nbsp;&nbsp;&nbsp; 169732398 | &nbsp;&nbsp;&nbsp;&nbsp; 165285625 | &nbsp;&nbsp;&nbsp;&nbsp; 4446773 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 7464433 |
| **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; **$(10316787)** |

---

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

---

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

---

At March 31, 2026, 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>|
| AUD | &nbsp;&nbsp;&nbsp; 1802680 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1238672 | Bank of America N.A. | 4/16/26 | $4833 |
| AUD | &nbsp;&nbsp;&nbsp; 1810000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1245515 | Bank of America N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3039 |
| AUD | &nbsp;&nbsp;&nbsp; 3610000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2467341 | Bank of America N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 22870 |
| EUR | 11654186 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 13820700 | Bank of America N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp; (339508) |
| INR | 127319153 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1379899 | Bank of America N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (39793) |
| INR | 255047685 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2767895 | Bank of America N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (83374) |
| JPY | 260200000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1632299 | Bank of America N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9727 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98560 | MXN | &nbsp;&nbsp;&nbsp;&nbsp; 1788000 | Bank of America N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1066) |
| AUD | &nbsp;&nbsp;&nbsp; 1750000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1236750 | BNP Paribas SA | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (29584) |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date<br>| Unrealized<br> Appreciation<br> (Depreciation)<br>|
| AUD | &nbsp;&nbsp;&nbsp; 3530000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2501964 | BNP Paribas SA | 4/16/26 | $(66938) |
| AUD | &nbsp;&nbsp;&nbsp; 5290000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3756830 | BNP Paribas SA | 4/16/26 | &nbsp;&nbsp;&nbsp; (107741) |
| EUR | &nbsp;&nbsp;&nbsp; 1650000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1963871 | BNP Paribas SA | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (55204) |
| EUR | &nbsp;&nbsp;&nbsp; 2460000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2913418 | BNP Paribas SA | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (67768) |
| EUR | &nbsp;&nbsp;&nbsp; 4697776 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 5518202 | BNP Paribas SA | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (83964) |
| USD | &nbsp;&nbsp;&nbsp; 3042207 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2580000 | BNP Paribas SA | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 57745 |
| USD | &nbsp;&nbsp;&nbsp; 3053528 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2590000 | BNP Paribas SA | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 57498 |
| USD | &nbsp;&nbsp;&nbsp; 4159089 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 3508521 | BNP Paribas SA | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 100544 |
| USD | &nbsp;&nbsp;&nbsp; 2389717 | GBP | &nbsp;&nbsp;&nbsp;&nbsp; 1774439 | BNP Paribas SA | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 41131 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 686912 | &nbsp;&nbsp; JPY | &nbsp;&nbsp; 106572730 | BNP Paribas SA | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 14371 |
| CNH | 23519469 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3398873 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 20212 |
| EUR | &nbsp;&nbsp;&nbsp; 1800000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2095667 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (13485) |
| EUR | &nbsp;&nbsp;&nbsp; 2280000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2654735 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (17304) |
| EUR | &nbsp;&nbsp;&nbsp; 3530054 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 4142338 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (58884) |
| JPY | 181240000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1152381 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (8643) |
| JPY | 181250000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1152462 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (8661) |
| JPY | 181250000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1152859 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (9058) |
| JPY | 217460000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1382248 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (9938) |
| JPY | 453110000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2889708 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (30299) |
| JPY | 453120000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2888590 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (29118) |
| JPY | 453120000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2889456 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (29984) |
| USD | &nbsp;&nbsp;&nbsp; 1783466 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 2590000 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3139) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 640586 | CAD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 881169 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6705 |
| USD | &nbsp;&nbsp;&nbsp; 2463973 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2090000 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 46328 |
| USD | &nbsp;&nbsp;&nbsp; 2754435 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2339528 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 48144 |
| USD | &nbsp;&nbsp;&nbsp; 3465534 | EUR | &nbsp;&nbsp;&nbsp;&nbsp; 2940000 | Citibank N.A. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 64635 |
| USD | 22303309 | &nbsp;&nbsp; INR | 2021460374 | Citibank N.A. | 4/16/26 | 1026300 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 345589 | MXN | &nbsp;&nbsp;&nbsp;&nbsp; 6195000 | Goldman Sachs Group Inc. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 |
| AUD | &nbsp;&nbsp;&nbsp;&nbsp; 774350 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 542199 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (8045) |
| AUD | &nbsp;&nbsp;&nbsp; 1410000 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 994113 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (21482) |
| AUD | &nbsp;&nbsp;&nbsp; 1420000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1002575 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (23046) |
| AUD | &nbsp;&nbsp;&nbsp; 2130000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1506357 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (37064) |
| AUD | &nbsp;&nbsp;&nbsp; 2130000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1491911 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (22617) |
| AUD | 14470295 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 9751720 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 230021 |
| CNH | 23440000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 3387185 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 20348 |
| EUR | &nbsp;&nbsp;&nbsp; 1290000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1496593 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (4362) |
| JPY | 262510000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 1648332 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8271 |
| JPY | 328140000 | USD | &nbsp;&nbsp;&nbsp;&nbsp; 2065822 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4948 |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 588094 | AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 860000 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (5142) |
| USD | &nbsp;&nbsp;&nbsp;&nbsp; 648846 | AUD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 948758 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (5616) |
| USD | &nbsp;&nbsp;&nbsp; 1179064 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 1730000 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (14306) |
| USD | &nbsp;&nbsp;&nbsp; 1764584 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 2590000 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (22022) |
| USD | &nbsp;&nbsp;&nbsp; 2874955 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 4280000 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (77428) |
| USD | &nbsp;&nbsp;&nbsp; 5015098 | AUD | &nbsp;&nbsp;&nbsp;&nbsp; 7253627 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; 11480 |
| USD | &nbsp;&nbsp;&nbsp; 6775902 | CNH | &nbsp;&nbsp;&nbsp;&nbsp; 46959469 | JPMorgan Chase & Co. | 4/16/26 | &nbsp;&nbsp;&nbsp;&nbsp; (50717) |
| USD | 11758822 | &nbsp;&nbsp; BRL | &nbsp;&nbsp;&nbsp;&nbsp; 62137145 | JPMorgan Chase & Co. | 6/2/26 | &nbsp;&nbsp;&nbsp;&nbsp; (74262) |
| **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** | **$339994** |

---

&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 |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

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

---

| | |
|:---|:---|
| CNH | Chinese Offshore Yuan |
| EUR | Euro |
| GBP | British Pound |
| INR | Indian Rupee |
| JPY | Japanese Yen |
| MXN | Mexican Peso |
| USD | United States Dollar |

---

At March 31, 2026, 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;&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>|
| JPMorgan Chase & Co. | 106521000<sup>BRL</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1/2/31 | BRL-CDI\*\* | 13.250%\*\* | &nbsp;&nbsp;&nbsp;&nbsp; $(264151) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; $(264151) |
| JPMorgan Chase & Co. | &nbsp;&nbsp; 95500000<sup>BRL</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; 1/2/31 | BRL-CDI\*\* | 13.300%\*\* | &nbsp;&nbsp;&nbsp;&nbsp; (213217) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (213217) |
| **Total** |  |  |  |  | &nbsp;&nbsp;&nbsp; **$(477368)** | &nbsp;&nbsp;&nbsp; **—** | &nbsp;&nbsp;&nbsp; **$(477368)** |

---

&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**  | <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>Appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)<br>|
|  | &nbsp;&nbsp;&nbsp; 449514000 | &nbsp;&nbsp;&nbsp; 12/15/27 | &nbsp;&nbsp;&nbsp; 3.320% <br>annually<br>| &nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp; $2468015 | &nbsp;&nbsp;&nbsp; $(36187) | &nbsp;&nbsp;&nbsp; $2504202 |
|  | &nbsp;&nbsp;&nbsp; 291290000<sup>MXN</sup> <br>| &nbsp;&nbsp;&nbsp; 3/14/28 | &nbsp;&nbsp;&nbsp; 28-Day MXN <br> TIIE - Banxico <br>every 28 days<br>| &nbsp;&nbsp;&nbsp; 7.225% <br>every 28 days<br>| &nbsp;&nbsp;&nbsp; (100603) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; (100603) |
|  | &nbsp;&nbsp;&nbsp; 118570000 | &nbsp;&nbsp;&nbsp; 11/21/30 | 2.452%\*\* | CPURNSA\*\* | &nbsp;&nbsp;&nbsp;&nbsp; 318957 | &nbsp;&nbsp;&nbsp; (57639) | &nbsp;&nbsp;&nbsp;&nbsp; 376596 |
|  | &nbsp;&nbsp;&nbsp; 230264000 | &nbsp;&nbsp;&nbsp; 1/31/33 | &nbsp;&nbsp;&nbsp; 3.520% <br>annually<br>| &nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp; 2425212 | &nbsp;&nbsp;&nbsp; 499321 | &nbsp;&nbsp;&nbsp; 1925891 |
| **Total** |  |  |  |  | &nbsp;&nbsp;&nbsp; **$5111581** | &nbsp;&nbsp;&nbsp; **$405495** | &nbsp;&nbsp;&nbsp; **$4706086** |

---

&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>Appreciation<br>|
| Markit CDX.NA.IG.46 Index | $854883000 | &nbsp;&nbsp;&nbsp;&nbsp; 6/20/31 | 1.000% quarterly | &nbsp;&nbsp;&nbsp; **$14756072** | &nbsp;&nbsp;&nbsp; **$14458766** | &nbsp;&nbsp;&nbsp; **$297306** |

---

&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.46 Index | $59143200 | &nbsp;&nbsp;&nbsp;&nbsp; 6/20/31 | 5.000% quarterly | &nbsp;&nbsp;&nbsp; **$(2833595)** | &nbsp;&nbsp;&nbsp; **$(2327617)** | &nbsp;&nbsp;&nbsp; **$(505978)** |

---

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

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

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

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <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>Depreciation<br>|
| JPMorgan Chase & Co. | $22793000 | &nbsp;&nbsp;&nbsp;&nbsp; 4/9/26 | &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound + <br>1.100%\*\*<br>| JPEIFNTR^\*\* | &nbsp;&nbsp;&nbsp; **$(763097)** | &nbsp;&nbsp;&nbsp; **—** | &nbsp;&nbsp;&nbsp; **$(763097)** |

---

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

---

| | |
|:---|:---|
| <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; 28-Day MXN TIIE - Banxico | 7.057% |
| &nbsp;&nbsp;&nbsp; BRL-CDI | 14.650% |
| &nbsp;&nbsp;&nbsp; CPURNSA | 3.302% |
| &nbsp;&nbsp;&nbsp; Daily SOFR Compound | 3.680% |

---

&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 |
| CPURNSA |  | U.S. CPI Urban Consumers NSA Index |
| JPEIFNTR |  | Western Asset Management Emerging Markets Frontier Custom Basket |
| MXN |  | Mexican Peso |
| SOFR |  | Secured Overnight Financing Rate |
| TIIE |  | Tasa de Intere's Interbancaria de Equilibrio (Equilibrium Interbanking Interest Rate) |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

 **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; $11227000<br>| &nbsp;&nbsp;&nbsp;&nbsp; $9724434 | &nbsp;&nbsp;&nbsp;&nbsp; 5.35% |
| &nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, <br> 3.500% due 7/9/41<br>| &nbsp;&nbsp;&nbsp;&nbsp; 8269000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5531961 | &nbsp;&nbsp;&nbsp;&nbsp; 3.05% |
| &nbsp;&nbsp;&nbsp; Argentine Republic Government International Bond, <br> 5.000% due 1/9/38<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7303000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5506462 | &nbsp;&nbsp;&nbsp;&nbsp; 3.03% |
| &nbsp;&nbsp;&nbsp; Bahamas Government International Bond, 8.250% due <br> 6/24/36<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6521000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6979289 | &nbsp;&nbsp;&nbsp;&nbsp; 3.84% |
| &nbsp;&nbsp;&nbsp; Benin Government International Bond, 7.960% due 2/13/38 | &nbsp;&nbsp;&nbsp;&nbsp; 5468000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5349485 | &nbsp;&nbsp;&nbsp;&nbsp; 2.94% |
| &nbsp;&nbsp;&nbsp; Costa Rica Government International Bond, 6.550% due <br> 4/3/34<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7054000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7440206 | &nbsp;&nbsp;&nbsp;&nbsp; 4.10% |
| &nbsp;&nbsp;&nbsp; Dominican Republic International Bond, 4.500% due <br> 1/30/30<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7847000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7454650 | &nbsp;&nbsp;&nbsp;&nbsp; 4.10% |
| &nbsp;&nbsp;&nbsp; Ecuador Government International Bond, 6.900% due <br> 7/31/35<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7778430<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6821683 | &nbsp;&nbsp;&nbsp;&nbsp; 3.75% |
| &nbsp;&nbsp;&nbsp; Ecuador Government International Bond, 8.750% due <br> 1/29/34<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2617500<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2569731 | &nbsp;&nbsp;&nbsp;&nbsp; 1.41% |
| &nbsp;&nbsp;&nbsp; Egypt Government International Bond, 5.800% due 9/30/27 | &nbsp;&nbsp;&nbsp;&nbsp; 3806000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3748187 | &nbsp;&nbsp;&nbsp;&nbsp; 2.06% |
| &nbsp;&nbsp;&nbsp; Egypt Government International Bond, 7.903% due 2/21/48 | &nbsp;&nbsp;&nbsp;&nbsp; 6124000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 4956988 | &nbsp;&nbsp;&nbsp;&nbsp; 2.73% |
| &nbsp;&nbsp;&nbsp; El Salvador Government International Bond, 7.125% due <br> 1/20/50<br>| &nbsp;&nbsp;&nbsp;&nbsp; 8197000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6967450 | &nbsp;&nbsp;&nbsp;&nbsp; 3.83% |
| &nbsp;&nbsp;&nbsp; Ethiopia International Bond, 6.625% due 12/11/26<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 7276000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7272893 | &nbsp;&nbsp;&nbsp;&nbsp; 4.00% |
| &nbsp;&nbsp;&nbsp; Ghana Government International Bond, 5.000% due 7/3/29 | &nbsp;&nbsp;&nbsp;&nbsp; 2981000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2476611 | &nbsp;&nbsp;&nbsp;&nbsp; 1.36% |
| &nbsp;&nbsp;&nbsp; Ghana Government International Bond, 5.000% due 7/3/35 | &nbsp;&nbsp;&nbsp;&nbsp; 4267000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3626950 | &nbsp;&nbsp;&nbsp;&nbsp; 2.00% |
| &nbsp;&nbsp;&nbsp; Guatemala Government Bond, 5.375% due 4/24/32 | &nbsp;&nbsp;&nbsp;&nbsp; 6704000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6631597 | &nbsp;&nbsp;&nbsp;&nbsp; 3.65% |
| &nbsp;&nbsp;&nbsp; Ivory Coast Government International Bond, 7.625% due <br> 1/30/33<br>| &nbsp;&nbsp;&nbsp;&nbsp; 10512000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 10688076 | &nbsp;&nbsp;&nbsp;&nbsp; 5.88% |
| &nbsp;&nbsp;&nbsp; Jordan Government International Bond, 7.500% due <br> 1/13/29<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5389000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5540889 | &nbsp;&nbsp;&nbsp;&nbsp; 3.05% |
| &nbsp;&nbsp;&nbsp; Mozambique International Bond, 9.000% due 9/15/31 | &nbsp;&nbsp;&nbsp;&nbsp; 4420000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3313276 | &nbsp;&nbsp;&nbsp;&nbsp; 1.82% |
| &nbsp;&nbsp;&nbsp; Nigeria Government International Bond, 7.375% due <br> 9/28/33<br>| &nbsp;&nbsp;&nbsp;&nbsp; 9415000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 9195819 | &nbsp;&nbsp;&nbsp;&nbsp; 5.06% |
| &nbsp;&nbsp;&nbsp; Paraguay Government International Bond, 6.100% due <br> 8/11/44<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7380000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7344576 | &nbsp;&nbsp;&nbsp;&nbsp; 4.04% |
| &nbsp;&nbsp;&nbsp; Petroleos de Venezuela SA, 5.375% due 4/12/27<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; 26747200<br>| &nbsp;&nbsp;&nbsp;&nbsp; 8186464 | &nbsp;&nbsp;&nbsp;&nbsp; 4.51% |
| &nbsp;&nbsp;&nbsp; Provincia de Buenos Aires/Government Bonds, 6.625% due <br> 9/1/37<br>| &nbsp;&nbsp;&nbsp;&nbsp; 4768517<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3203277 | &nbsp;&nbsp;&nbsp;&nbsp; 1.76% |
| &nbsp;&nbsp;&nbsp; Republic of Kenya Government International Bond, 6.300% <br> due 1/23/34<br>| &nbsp;&nbsp;&nbsp;&nbsp; 8263000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6850192 | &nbsp;&nbsp;&nbsp;&nbsp; 3.77% |
| &nbsp;&nbsp;&nbsp; Republic of South Africa Government International Bond, <br> 5.000% due 10/12/46<br>| &nbsp;&nbsp;&nbsp;&nbsp; 7367000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5285822 | &nbsp;&nbsp;&nbsp;&nbsp; 2.91% |
| &nbsp;&nbsp;&nbsp; Republic of Uzbekistan International Bond, 3.900% due <br> 10/19/31<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5239000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 4715781 | &nbsp;&nbsp;&nbsp;&nbsp; 2.60% |
| &nbsp;&nbsp;&nbsp; Senegal Government International Bond, 6.250% due <br> 5/23/33<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3222000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1702022 | &nbsp;&nbsp;&nbsp;&nbsp; 0.94% |
| &nbsp;&nbsp;&nbsp; Senegal Government International Bond, 6.750% due <br> 3/13/48<br>| &nbsp;&nbsp;&nbsp;&nbsp; 6888000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3469830 | &nbsp;&nbsp;&nbsp;&nbsp; 1.91% |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 3.100% due <br> 1/15/30<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2528000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2332080 | &nbsp;&nbsp;&nbsp;&nbsp; 1.28% |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

March 31, 2026

 **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, 3.350% due <br> 3/15/33<br>| &nbsp;&nbsp;&nbsp;&nbsp; $2245000<br>| &nbsp;&nbsp;&nbsp;&nbsp; $1867279 | &nbsp;&nbsp;&nbsp;&nbsp; 1.03% |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 3.600% due <br> 6/15/35<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3195000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2420213 | &nbsp;&nbsp;&nbsp;&nbsp; 1.33% |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 3.600% due <br> 5/15/36<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1067000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 942961 | &nbsp;&nbsp;&nbsp;&nbsp; 0.52% |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 3.600% due <br> 2/15/38<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1582000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1413912 | &nbsp;&nbsp;&nbsp;&nbsp; 0.78% |
| &nbsp;&nbsp;&nbsp; Sri Lanka Government International Bond, 4.000% due <br> 4/15/28<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1006000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 696844 | &nbsp;&nbsp;&nbsp;&nbsp; 0.38% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 0.000% due <br> 2/1/34<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2109000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 898434 | &nbsp;&nbsp;&nbsp;&nbsp; 0.50% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 0.000% due <br> 2/1/35<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1806000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 827148 | &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; 1815000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 829455 | &nbsp;&nbsp;&nbsp;&nbsp; 0.46% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 4.500% due <br> 2/1/34<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3163000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1679553 | &nbsp;&nbsp;&nbsp;&nbsp; 0.92% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 4.500% due <br> 2/1/35<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1614000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 840894 | &nbsp;&nbsp;&nbsp;&nbsp; 0.46% |
| &nbsp;&nbsp;&nbsp; Ukraine Government International Bond, 4.500% due <br> 2/1/36<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1641000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 838551 | &nbsp;&nbsp;&nbsp;&nbsp; 0.46% |
| &nbsp;&nbsp;&nbsp; Zambia Government International Bond, 0.500% due <br> 12/31/53<br>| &nbsp;&nbsp;&nbsp;&nbsp; 5495000<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3573412 | &nbsp;&nbsp;&nbsp;&nbsp; 1.97% |
| **Total** |  | &nbsp;&nbsp;&nbsp; **$181715337**  | &nbsp;&nbsp;&nbsp; **100.00%** |

---

<sup>(a)</sup>

The coupon payment on this security is currently in default as of March 31, 2026.

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 2026 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 2026 Quarterly Report

------

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

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

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

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

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

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

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** | **ASSETS** |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Long-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Mortgage-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; $257912177 | &nbsp;&nbsp; — | &nbsp;&nbsp; $257912177 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 227871695 | &nbsp;&nbsp; — | &nbsp;&nbsp; 227871695 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 165485251 | &nbsp;&nbsp; — | &nbsp;&nbsp; 165485251 |
| &nbsp;&nbsp;&nbsp; Sovereign Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp; 105543580 | &nbsp;&nbsp; — | &nbsp;&nbsp; 105543580 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 67372222 | &nbsp;&nbsp; — | &nbsp;&nbsp; 67372222 |
| &nbsp;&nbsp;&nbsp; Senior Loans: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Financials | &nbsp;&nbsp; — | &nbsp;&nbsp; 17187119 | &nbsp;&nbsp; $405903 | &nbsp;&nbsp; 17593022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrials | &nbsp;&nbsp; — | &nbsp;&nbsp; 3007145 | &nbsp;&nbsp; 1721722 | &nbsp;&nbsp; 4728867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Senior Loans | &nbsp;&nbsp; — | &nbsp;&nbsp; 21761455 | &nbsp;&nbsp; — | &nbsp;&nbsp; 21761455 |
| &nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 28714241 | &nbsp;&nbsp; — | &nbsp;&nbsp; 28714241 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Inflation Protected Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 1187925 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1187925 |
| &nbsp;&nbsp;&nbsp; Purchased Options | &nbsp;&nbsp; $910641 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 910641 |
| &nbsp;&nbsp;&nbsp; Common Stocks: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrials | &nbsp;&nbsp; 30359 | &nbsp;&nbsp; 176 | &nbsp;&nbsp; — | &nbsp;&nbsp; 30535 |
| &nbsp;&nbsp;&nbsp; Non-U.S. Treasury Inflation Protected Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 29600 | &nbsp;&nbsp; — | &nbsp;&nbsp; 29600 |
| &nbsp;&nbsp;&nbsp; Warrants | &nbsp;&nbsp; — | &nbsp;&nbsp; 21570 | &nbsp;&nbsp; — | &nbsp;&nbsp; 21570 |
| **Total Investments** | &nbsp;&nbsp; **$941000** | &nbsp;&nbsp; **$896094156** | &nbsp;&nbsp; **$2127625** | &nbsp;&nbsp; **$899162781** |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $7542082 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $7542082 |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† | &nbsp;&nbsp; — | &nbsp;&nbsp; $1799556 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1799556 |
| &nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† | &nbsp;&nbsp; — | &nbsp;&nbsp; 4806689 | &nbsp;&nbsp; — | &nbsp;&nbsp; 4806689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Sell <br> Protection††<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 297306 | &nbsp;&nbsp; — | &nbsp;&nbsp; 297306 |
| **Total Other Financial Instruments** | &nbsp;&nbsp; **$7542082** | &nbsp;&nbsp; **$6903551** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$14445633** |
| **Total** | &nbsp;&nbsp; **$8483082** | &nbsp;&nbsp; **$902997707** | &nbsp;&nbsp; **$2127625** | &nbsp;&nbsp; **$913608414** |

---

------

Western Asset SMASh Series Core Plus Completion Fund 2026 Quarterly Report

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Written Options | &nbsp;&nbsp; $1202608 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $1202608 |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; 17858869 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 17858869 |
| &nbsp;&nbsp;&nbsp; Forward Foreign Currency Contracts†† | &nbsp;&nbsp; — | &nbsp;&nbsp; $1459562 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1459562 |
| &nbsp;&nbsp;&nbsp; OTC Interest Rate Swaps | &nbsp;&nbsp; — | &nbsp;&nbsp; 477368 | &nbsp;&nbsp; — | &nbsp;&nbsp; 477368 |
| &nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† | &nbsp;&nbsp; — | &nbsp;&nbsp; 100603 | &nbsp;&nbsp; — | &nbsp;&nbsp; 100603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Buy <br> Protection††<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 505978 | &nbsp;&nbsp; — | &nbsp;&nbsp; 505978 |
| &nbsp;&nbsp;&nbsp; OTC Total Return Swaps | &nbsp;&nbsp; — | &nbsp;&nbsp; 763097 | &nbsp;&nbsp; — | &nbsp;&nbsp; 763097 |
| **Total** | &nbsp;&nbsp; **$19061477** | &nbsp;&nbsp; **$3306608** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$22368085** |

---

&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>Warrants<br>| Acquisition <br>Date<br>| Cost | Fair Value <br>at 3/31/2026<br>| Value Per <br>Share/Warrant<br>|
| Spirit Airlines LLC, Common Shares | &nbsp;&nbsp; 705 | 3/25 | $8582 | $176 | &nbsp;&nbsp; $0.25<br> 0.00 %<sup>(a)</sup><br>|
| Spirit Airlines LLC, Warrants | &nbsp;&nbsp; 86279 | 3/25 | 1050305 | 21570 <br><sup>(b)</sup><br>| 0.25<br> 0.00 <br><sup>(a)</sup><br>|
| **Total** |  |  | **$1058887** | **$21746** | &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%.

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

------

Western Asset SMASh Series Core Plus Completion Fund 2026 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:** 2026-12-31

- **b. Date as of which information is reported:** 2026-03-31

**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:** $1046163347.39

**Total Liabilities:** $386242816.91

**Net Assets:** $659920530.48

**Delayed Delivery Securities:** $6403227.45

**Stand-by Commitments:** $308084410.82

**Cash Not Reported:** $15442017.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1232.01000000 | **1-Year:** 82460.97000000 | **5-Year:** 522449.64000000 | **10-Year:** 73508.72000000 | **30-Year:** 4038.47000000

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

- **3-Month:** 472.59000000 | **1-Year:** 15618.16000000 | **5-Year:** 39353.10000000 | **10-Year:** 4477.93000000 | **30-Year:** 102.32000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000040181 | 0.90%                | 1.02%                | -3.10%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-730358.36              | $1861489.94                                |
| Month 2  | $-345633.48              | $9753844.05                                |
| Month 3  | $-865772.30              | $-19507418.70                              |

### 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 T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1394 | NC      | $-65343.76    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| WYNN RESORTS FINANCE LLC                                                             | WYNFIN 7.125 02/15/31 144A                                                  | CUSIP: 983133AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3080000 | PA      | $3230288.60   | 0.49%             | 2031-02-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                                                           | BA 6.858 05/01/54                                                           | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     490000 | PA      | $539722.96    | 0.08%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 6.65 10/15/34 H                                                         | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |      10000 | PA      | $11094.48     | 0.00%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Ecuador (Republic Of)                                                                | ECUA 8.75 01/29/34 144A                                                     | CUSIP: 27927WAQ5<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |    3140000 | PA      | $3085050.00   | 0.47%             | 2034-01-29      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| KNDR TRUST 2021-KIND                                                                 | KNDR 2021-KIND XCP                                                          | CUSIP: 482606AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   78050000 | PA      | $81.95        | 0.00%             | 2038-08-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                                   | BX 2021-ACNT A                                                              | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5812074 | PA      | $5809389.84   | 0.88%             | 2038-11-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                                                            | NEE 5.7 03/15/55                                                            | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     360000 | PA      | $358798.11    | 0.05%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UKG Inc                                                                              | UKG Term Loan B 350 2031-01-20                                              | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |    2064812 | PA      | $1975901.22   | 0.30%             | 2031-02-10      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 5.673 04/01/35 144A                                                  | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     790000 | PA      | $807380.70    | 0.12%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| KREF 2021-Fl2 Ltd.                                                                   | KREF 2021-FL2 D                                                             | CUSIP: 48275RAJ6<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |    3130000 | PA      | $3126077.17   | 0.47%             | 2039-02-17      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings Inc                                                                | QUIKHO 6.375 03/01/32 144A                                                  | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     450000 | PA      | $456638.85    | 0.07%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Vale Canada Limited                                                                  | VALEBZ 7.2 09/15/32                                                         | CUSIP: 453258AP0<br>LEI: PRAQ4VOSFIK7OQ8Z2512 | Long             | DBT              | CORP              | CA        |     614000 | PA      | $668492.50    | 0.10%             | 2032-09-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Belron Finance 2019 LLC                                                              | Belron Term Loan B 200 2031-10-01                                           | CUSIP: 08078UAQ6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     603911 | PA      | $604439.86    | 0.09%             | 2031-10-16      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| CoreLogic Inc                                                                        | CoreLogic Term Loan B 350 2028-03-28                                        | CUSIP: 21870FBA6<br>LEI: 54930086CD8K2UIL0516 | Long             | LON              | CORP              | US        |    1905013 | PA      | $1826440.79   | 0.28%             | 2028-06-02      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 5.75 01/15/34 144A                                                      | CUSIP: 629377DC3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     740000 | PA      | $730442.46    | 0.11%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 5.95 02/14/49                                                            | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3860000 | PA      | $3745127.71   | 0.57%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Bayfront Iabs VII Pte Ltd.                                                           | BAYFRT 7A A                                                                 | CUSIP: 000000000<br>LEI: 213800DAFLLBYWNXMG91 | Long             | ABS-O            | CORP              | SG        |    4280000 | PA      | $4279589.12   | 0.65%             | 2048-04-11      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                                       | ECOPET 4.625 11/02/31                                                       | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    2420000 | PA      | $2152238.62   | 0.33%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 6.85 02/04/66                                                          | CUSIP: 68389XEC5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     220000 | PA      | $202449.94    | 0.03%             | 2066-02-04      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                         | USD/EUR FORWARD                                                             | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $215786.73    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc.                                                                | FCX 5.45 03/15/43                                                           | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    3930000 | PA      | $3721285.72   | 0.56%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Futures, Jun-2026,ETH                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       9744 | NC      | $-14049345.46 | -2.13%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -491 | NC      | $-69046.88    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)                                         | SRILAN 3.1 01/15/30 144A                                                    | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     209252 | PA      | $192516.34    | 0.03%             | 2030-01-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Bayswater Park CLO Ltd. / Bayswater Park CLO LLC                                     | BAYPK 2023-1A AR                                                            | CUSIP: 072929AQ5<br>LEI: 254900BXH0PMWI87VS84 | Long             | ABS-CBDO         | CORP              | JE        |    4250000 | PA      | $4250721.65   | 0.64%             | 2039-01-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-COPT                                               | BX 2025-COPT A                                                              | CUSIP: 05618XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5340000 | PA      | $5350663.98   | 0.81%             | 2042-08-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.35 11/15/45                                                         | CUSIP: 02079KAZ0<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     150000 | PA      | $146756.37    | 0.02%             | 2045-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                      | TDG 6.625 03/01/32 144A                                                     | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10211.20     | 0.00%             | 2032-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 2-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1423 | NC      | $867140.63    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Bausch Health Companies Inc.                                                         | BHCCN 6.25 02/15/29 144A                                                    | CUSIP: 071734AK3<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    5970000 | PA      | $4484962.50   | 0.68%             | 2029-02-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chile (Republic Of)                                                                  | BTPCL 6 04/01/33                                                            | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        | 2825000000 | PA      | $3138346.68   | 0.48%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Panama (Republic of)                                                                 | PANAMA 2.252 09/29/32                                                       | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    2820000 | PA      | $2322834.00   | 0.35%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Virgin Media Secured Finance PLC                                                     | VMED 5.5 05/15/29 144A                                                      | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |    1470000 | PA      | $1410744.15   | 0.21%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H050649<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19000000 | PA      | $18820197.68  | 2.85%             | 2056-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corporation                                                          | LMT 5.2 02/15/64                                                            | CUSIP: 539830CE7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     210000 | PA      | $190825.35    | 0.03%             | 2064-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS INC                                                           | BHCCN 8.5 01/31/27 144A                                                     | CUSIP: 91911XAW4<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |     830000 | PA      | $822911.80    | 0.12%             | 2027-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET V7.125 PERP G                                                            | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6140000 | PA      | $6265624.40   | 0.95%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Bausch Health Companies Inc.                                                         | BHCCN 7.25 05/30/29 144A                                                    | CUSIP: 071734AF4<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |     280000 | PA      | $208623.80    | 0.03%             | 2029-05-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                                                | Jane Street Group Term Loan B 200 2031-12-01                                | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    2773577 | PA      | $2726301.41   | 0.41%             | 2031-12-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                         | GBP/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $41130.66     | 0.01%             |  |  |  | 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      | $-1014280.43  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Uruguay (Republic Of)                                                                | URUGUA 3.4 05/16/45                                                         | CUSIP: 917288BP6<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    1123886 | PA      | $29600.38     | 0.00%             | 2045-05-16      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                        | DISH 5.125 06/01/29                                                         | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2620000 | PA      | $2344262.79   | 0.36%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                                                                   | PERU 6.55 03/14/37                                                          | CUSIP: 715638AU6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    4890000 | PA      | $5292202.50   | 0.80%             | 2037-03-14      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        928 | NC      | $928.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 2023-MIC TRUST/THE                                                                   | THE 2023-MIC A                                                              | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2740000 | PA      | $2919455.20   | 0.44%             | 2038-12-05      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.5 02/15/46                                                          | CUSIP: 02079KBN6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     380000 | PA      | $377172.79    | 0.06%             | 2046-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chart Industries, Inc.                                                               | Chart Industries Term Loan B 250 2030-03-01                                 | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |     542479 | PA      | $542818.49    | 0.08%             | 2030-03-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                                                  | SUZANO 3.75 01/15/31                                                        | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    2390000 | PA      | $2223035.27   | 0.34%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 5.5 11/15/45                                                           | CUSIP: 30303M8X3<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     410000 | PA      | $388252.17    | 0.06%             | 2045-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                                      | LLY 5 02/09/54                                                              | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     240000 | PA      | $218796.28    | 0.03%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | JPY/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-125700.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Southern Copper Corporation                                                          | SCCO 7.5 07/27/35                                                           | CUSIP: 84265VAA3<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    2280000 | PA      | $2608693.92   | 0.40%             | 2035-07-27      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 5.95 03/13/66                                                          | CUSIP: 023135DJ2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     330000 | PA      | $331333.15    | 0.05%             | 2066-03-13      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Paraguay (Republic of)                                                               | PARGUY 3.849 06/28/33 REGS                                                  | CUSIP: 000000000<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    3100000 | PA      | $2877575.00   | 0.44%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fox Corporation                                                                      | FOXA 6.5 10/13/33                                                           | CUSIP: 35137LAN5<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $1105736.95   | 0.17%             | 2033-10-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines Lng LLC                                                   | VEGLPL 7.75 05/01/35 144A                                                   | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     230000 | PA      | $257922.69    | 0.04%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co.                                                                           | BA 5.705 05/01/40                                                           | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     500000 | PA      | $501020.76    | 0.08%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT                                                                   | BX 2026-CSMO C                                                              | CUSIP: 12433LAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8260000 | PA      | $8285032.76   | 1.26%             | 2031-02-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Georgia Power Company                                                                | SO 5.2 03/15/35                                                             | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     370000 | PA      | $375984.25    | 0.06%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC.                                                               | FABSJV 5.875 01/25/34                                                       | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    1090000 | PA      | $1104625.60   | 0.17%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -8900000 | PA      | $-9054795.65  | -1.37%            | 2056-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H022648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25600000 | PA      | $22028000.00  | 3.34%             | 2056-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Melco Resorts Finance Limited                                                        | MPEL 7.625 04/17/32 144A                                                    | CUSIP: 58547DAH2<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |    1070000 | PA      | $1086719.15   | 0.16%             | 2032-04-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities Inc Mortgage Loan Trust                                 | DMSI 2006-PR1 5AS2                                                          | CUSIP: 25157GBS0<br>LEI: 529900RSBMUF46QF5O69 | Long             | ABS-O            | CORP              | US        |    1571611 | PA      | $250026.89    | 0.04%             | 2036-04-15      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Ascensus Group Holdings Inc (f/k/a Mercury Borrower Inc)                             | Ascensus Term Loan B 300 2028-08-01                                         | CUSIP: 03836BAH2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1340000 | PA      | $1320737.50   | 0.20%             | 2032-11-24      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| AmWINS Group Inc                                                                     | AmWINS Group Term Loan B 200 2032-01-01                                     | CUSIP: 03234TBB3<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |    2566917 | PA      | $2552824.91   | 0.39%             | 2032-01-30      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Ghana (Republic of)                                                                  | GHANA 0 07/03/26 144A                                                       | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      18160 | PA      | $17852.74     | 0.00%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Herc Holdings Inc                                                                    | HRI 7.25 06/15/33 144A                                                      | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     940000 | PA      | $964056.48    | 0.15%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H030641<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18700000 | PA      | $16697342.39  | 2.53%             | 2056-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                           | CNH/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $20347.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ghana (Republic of)                                                                  | GHANA 5 07/03/29 144A                                                       | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     113172 | PA      | $108187.34    | 0.02%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 5.35 05/04/33                                                          | CUSIP: 68389XDY8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97383.56     | 0.01%             | 2033-05-04      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Cloudera Inc                                                                         | Cloudera First-lien Term Loan 375 2028-07-24                                | CUSIP: 74339VAB4<br>LEI: 549300PGONC4JOI0RG62 | Long             | LON              | CORP              | US        |    1840000 | PA      | $1647950.00   | 0.25%             | 2028-10-08      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H060648<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8900000 | PA      | $9050965.81   | 1.37%             | 2056-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                          | Asurion First-lien Term Loan B-14 375 2033-02-09                            | CUSIP: 04649VBF6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    2689816 | PA      | $2604091.17   | 0.39%             | 2033-03-11      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Melco Resorts Finance Limited                                                        | MPEL 6.5 09/24/33 144A                                                      | CUSIP: 58547DAJ8<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |    1530000 | PA      | $1469841.52   | 0.22%             | 2033-09-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hilton Usa Trust 2016-Hhv                                                            | HILT 2016-HHV D                                                             | CUSIP: 43300LAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2800000 | PA      | $2785397.44   | 0.42%             | 2038-11-05      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Ukraine (Republic of)                                                                | UKRAIN 0 02/01/34 REGS                                                      | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     724538 | PA      | $311529.60    | 0.05%             | 2034-02-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| R.R. Donnelley & Sons Co.                                                            | RRD 9.5 08/01/29 144A                                                       | CUSIP: 257867BJ9<br>LEI: SU4X0P4WWRGOQDTSV032 | Long             | DBT              | CORP              | US        |    1090000 | PA      | $1104185.26   | 0.17%             | 2029-08-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | EUR/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-89671.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Buenos Aires (Province Of)                                                           | BUENOS 6.625 09/01/37 144A                                                  | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    3375083 | PA      | $2552406.27   | 0.39%             | 2037-09-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 5.8 03/13/56                                                           | CUSIP: 023135DH6<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     190000 | PA      | $189981.47    | 0.03%             | 2056-03-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 5.75 11/15/65                                                          | CUSIP: 30303M8Y1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     690000 | PA      | $641377.83    | 0.10%             | 2065-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)                                         | SRILAN 3.6 05/15/36 144A                                                    | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     192344 | PA      | $171957.27    | 0.03%             | 2036-05-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC / JSG Finance Inc.                                             | JANEST 7.125 04/30/31 144A                                                  | CUSIP: 47077WAC2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2170274.26   | 0.33%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings Inc                                                            | Primo Brands (BlueTriton Brands/Nestl Waters NA) Term Loan B 275 2031-03-15 | CUSIP: 89678QAF3<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |    1330000 | PA      | $1333737.30   | 0.20%             | 2031-03-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                            | IRS MXN                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-98727.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                                                    | CSCHLD 4.5 11/15/31 144a                                                    | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   11770000 | PA      | $6996071.52   | 1.06%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                                  | BNS V4.588 05/04/37                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    1300000 | PA      | $1244015.75   | 0.19%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                                          | CRGYFN 7.375 01/15/33 144A                                                  | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     940000 | PA      | $940464.64    | 0.14%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fox Corporation                                                                      | FOXA 5.476 01/25/39                                                         | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     960000 | PA      | $929123.34    | 0.14%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| Apidos Loan Fund 2024-1 Ltd/Apidos Loan Fund 2024-1 LLC                              | APID 2024-1A A1R                                                            | CUSIP: 037986AN6<br>LEI: 549300092LX0NPUDVC76 | Long             | ABS-CBDO         | CORP              | JE        |    7840000 | PA      | $7838040.00   | 1.19%             | 2038-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                                   | ACAFP V4.818 09/25/33 144A                                                  | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     580000 | PA      | $568425.33    | 0.09%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                                                | WCNCN 5 03/01/34                                                            | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     380000 | PA      | $382651.36    | 0.06%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Petrobras Global Finance B.V.                                                        | PETBRA 5.5 06/10/51                                                         | CUSIP: 71647NBJ7<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |    1440000 | PA      | $1152401.18   | 0.17%             | 2051-06-10      | Fixed         | 5.50%                 | 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      | $176.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Permian Resources Operating, LLC                                                     | PR 6.25 02/01/33 144A                                                       | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30579.78     | 0.00%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III B.V.                                     | TEVA 4.75 05/09/27                                                          | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   15311000 | PA      | $15294914.26  | 2.32%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 6.2 02/14/59                                                             | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     372000 | PA      | $367060.41    | 0.06%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                                      | CDS CDX.NA.HY.46                                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-2932166.80  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                         | RCL 4.75 05/15/33                                                           | CUSIP: 78017TAC7<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     290000 | PA      | $280095.85    | 0.04%             | 2033-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.3 05/15/65                                                          | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     240000 | PA      | $222337.28    | 0.03%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                                    | VENTGL 3.875 11/01/33 144A                                                  | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    4040000 | PA      | $3582071.25   | 0.54%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                                         | CAS 2021-R01 1B1                                                            | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    8870000 | PA      | $8956747.71   | 1.36%             | 2041-10-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Mars Inc.                                                                            | MARS 5.2 03/01/35 144A                                                      | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     280000 | PA      | $282767.54    | 0.04%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $2425211.82   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                                 | Spirit Contingent TL                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     877384 | PA      | $109672.95    | 0.02%             | 2026-07-14      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.65 02/15/56                                                         | CUSIP: 02079KBP1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     380000 | PA      | $379049.22    | 0.06%             | 2056-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 5.625 11/15/55 .                                                       | CUSIP: 30303MAE2<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     350000 | PA      | $328320.97    | 0.05%             | 2055-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings Inc                                                            | Primo Brands (BlueTriton Brands/Nestl Waters NA) Term Loan B 225 2028-03-01 | CUSIP: 89678QAD8<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |     406051 | PA      | $406929.85    | 0.06%             | 2028-03-31      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 3.734 09/25/40                                                       | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    2740000 | PA      | $2186931.44   | 0.33%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines Lng LLC                                                   | VEGLPL 6.75 01/15/36 144A                                                   | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1727477.26   | 0.26%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC                                                                     | CHTR 4.75 02/01/32 144A                                                     | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1610832.36   | 0.24%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JSC National Company KazMunayGas                                                     | KZOKZ 6.375 10/24/48 144A                                                   | CUSIP: 48667QAS4<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |     960000 | PA      | $955854.42    | 0.14%             | 2048-10-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Viking Cruises, Ltd.                                                                 | VIKCRU 5.875 10/15/33 144A                                                  | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    1960000 | PA      | $1936532.61   | 0.29%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 6.55 02/04/46                                                          | CUSIP: 68389XEA9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      90000 | PA      | $84023.98     | 0.01%             | 2046-02-04      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Cyprium Corp./Cyprium Holdings Luxembourg S.a r.l.                                   | VGNT 6.375 04/15/34 144A                                                    | CUSIP: 23292NAB4<br>LEI: 254900V7LN9S9W17X250 | Long             | DBT              | CORP              | US        |     860000 | PA      | $836902.14    | 0.13%             | 2034-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA Inc                                                         | Harbor Freight Term Loan B 250 2031-05-27                                   | CUSIP: 41151PAR6<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |    2032508 | PA      | $2014448.71   | 0.31%             | 2031-06-11      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F052649<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25000000 | PA      | $25119054.00  | 3.81%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                            | IRS BRL                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-264150.78   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 5.7 02/10/53                                                           | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     320000 | PA      | $294888.58    | 0.04%             | 2053-02-10      | Fixed         | 5.70%                 | 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      | $-113033.21   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | IRS USD                                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $2591834.35   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust 2023-R05                                         | CAS 2023-R05 1M2                                                            | CUSIP: 207942AB9<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |    4140000 | PA      | $4296155.42   | 0.65%             | 2043-06-25      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 52 LTD                                                                  | SYMP 2025-52A AR                                                            | CUSIP: 87170MAC6<br>LEI: 213800MRCL5WD4V7W689 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $999924.40    | 0.15%             | 2036-01-22      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                                  | KMI 5.55 06/01/45                                                           | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     700000 | PA      | $668246.95    | 0.10%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Flutter Treasury Designated Activity Co.                                             | FLTR 5.875 06/04/31 144A                                                    | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    1820000 | PA      | $1804530.00   | 0.27%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                                  | Medline Industries Term Loan B 200 2028-10-01                               | CUSIP: 58503UAH6<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    1087917 | PA      | $1090773.02   | 0.17%             | 2028-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XVI LTD 2022                                                       | MVEW 2022-1A A1RR                                                           | CUSIP: 62432UBA8<br>LEI: 549300MWKXOHYV7Z8O91 | Long             | ABS-CBDO         | CORP              | KY        |    4920000 | PA      | $4927203.37   | 0.75%             | 2038-03-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd                                                                | Hub International Term Loan B 250 2030-06-01                                | CUSIP: 44332EAZ9<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |    1884418 | PA      | $1882335.48   | 0.29%             | 2030-06-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| NYC COMMERCIAL MORTGAGE TRUST 2025-28L                                               | NYC 2025-28L F                                                              | CUSIP: 67123JAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2200000 | PA      | $2222178.64   | 0.34%             | 2038-11-05      | Variable      | 8.13%                 | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corp.                                                               | OGLETH 5.9 02/01/55                                                         | CUSIP: 677050AY2<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |     390000 | PA      | $380369.38    | 0.06%             | 2055-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Western Midstream Operating LP                                                       | WES 5.3 03/01/48                                                            | CUSIP: 958254AJ3<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     640000 | PA      | $541463.82    | 0.08%             | 2048-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                                          | FMCN 7.25 02/15/34 144A                                                     | CUSIP: 335934AX3<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    2520000 | PA      | $2567507.04   | 0.39%             | 2034-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Truist Insurance Holdings, LLC                                                       | Truist Insurance Holdings Term Loan B 275 2031-05-01                        | CUSIP: 89788VAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     980000 | PA      | $968671.20    | 0.15%             | 2031-05-06      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Huntington Ingalls Industries, Inc.                                                  | HII 5.749 01/15/35                                                          | CUSIP: 446413BB1<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |     210000 | PA      | $217673.00    | 0.03%             | 2035-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                                  | ONCRTX 5.8 04/01/55                                                         | CUSIP: 68233JDD3<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     160000 | PA      | $158465.31    | 0.02%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                                    | CLARIOS GLOBAL LP                                                           | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | N/A       |     202513 | PA      | $202132.98    | 0.03%             | 2030-05-06      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Starwood Property Mortgage LLC                                                       | Starwood Property Mortgage Term Loan B 175 2027-11-01                       | CUSIP: 85570DAN2<br>LEI: 5493008SB15CNJRIOK13 | Long             | LON              | CORP              | US        |     406925 | PA      | $406925.01    | 0.06%             | 2027-11-18      | Floating      | 5.42%                 | No            |                  3 | On Loan: No      |
| Versant Media Group Inc.                                                             | VSNT 7.25 01/30/31 144A                                                     | CUSIP: 925283AA1<br>LEI: 254900D2Q5F5F229PU30 | Long             | DBT              | CORP              | US        |     510000 | PA      | $522352.71    | 0.08%             | 2031-01-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                                                              | ARGENT 4.125 07/09/35                                                       | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    3500000 | PA      | $2528750.00   | 0.38%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Petco Health and Wellness Company Inc                                                | WOOF 8.25 02/01/31 144A                                                     | CUSIP: 71601VAA3<br>LEI: 2549007TYGV6RVSE9M61 | Long             | DBT              | CORP              | US        |    1260000 | PA      | $1259136.04   | 0.19%             | 2031-02-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Michaels Companies Inc.                                                              | MIK 8.5 03/15/33 144A                                                       | CUSIP: 59408QAB2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    2340000 | PA      | $2280444.66   | 0.35%             | 2033-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Poland (Republic of)                                                                 | POLAND 5.125 09/18/34 10Y                                                   | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    5100000 | PA      | $5132204.00   | 0.78%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Argentina (Republic Of)                                                              | ARGENT 0.75 07/09/30                                                        | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1567522 | PA      | $1314367.26   | 0.20%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Trust 2014-Rr5                                                              | BCAP 2014-RR5 1A2                                                           | CUSIP: 05544GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7376305 | PA      | $6888118.16   | 1.04%             | 2036-01-28      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                         | SNPS 5.15 04/01/35                                                          | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     180000 | PA      | $180408.51    | 0.03%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F062648<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16000000 | PA      | $16554560.48  | 2.51%             | 2056-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                        | DISH 5.25 12/01/26 144A                                                     | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2260000 | PA      | $2241916.29   | 0.34%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| The Kroger Co.                                                                       | KR 5 09/15/34                                                               | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     290000 | PA      | $286432.77    | 0.04%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                         | RCL 5.25 02/27/38                                                           | CUSIP: 78017TAD5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     140000 | PA      | $133241.82    | 0.02%             | 2038-02-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                | USD/EUR FORWARD                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-339507.77   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| RALI SERIES 2006-QS17 TRUST                                                          | RALI 2007-QS7 1A7                                                           | CUSIP: 74923WAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3460960 | PA      | $2662762.79   | 0.40%             | 2037-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | TII 1.875 07/15/34                                                          | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1181667 | PA      | $1187925.27   | 0.18%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Ukraine (Republic of)                                                                | UKRAIN 0 02/01/35 REGS                                                      | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     612285 | PA      | $285791.83    | 0.04%             | 2035-02-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                                 | Spirit Airlines, LLC DIP New Money Term Loan 10/25                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     370766 | PA      | $367058.77    | 0.06%             | 2040-01-02      | None          | 11.68%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                                                           | CNH/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-50716.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Sedgwick Claims Management Services Inc                                              | Sedgwick CMS Term Loan B 250 2031-07-01                                     | CUSIP: 81527CAP2<br>LEI: 549300BIN4DWJG5VWF64 | Long             | LON              | CORP              | US        |    2034874 | PA      | $2000719.00   | 0.30%             | 2031-07-31      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -269 | NC      | $-48756.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Oncor Electric Delivery Company LLC                                                  | ONCRTX 5.35 04/01/35                                                        | CUSIP: 68233JDC5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     200000 | PA      | $204471.40    | 0.03%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Voc Escrow Ltd                                                                       | VIKCRU 5 02/15/28 144A                                                      | CUSIP: 91832VAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    2640000 | PA      | $2630384.06   | 0.40%             | 2028-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Altice Financing S.A.                                                                | ALTICE 5.75 08/15/29 144a                                                   | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    1720000 | PA      | $1206082.75   | 0.18%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                                   | ET V6.5 PERP H                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    3170000 | PA      | $3166270.02   | 0.48%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        697 | NC      | $5445.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Options                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -812 | NC      | $-812.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Three-Month SOFR Futures, Mar-2026,ETH                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       1126 | NC      | $-523139.60   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F020646<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31000000 | PA      | $24976796.72  | 3.78%             | 2056-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SV RNO Property Owner 1 LLC                                                          | TRACTC 5.875 03/01/31 144A                                                  | CUSIP: 78488XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1480000 | PA      | $1463849.59   | 0.22%             | 2031-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC                                                                     | CHTR 7.375 02/01/36 144A                                                    | CUSIP: 1248EPCV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1820000 | PA      | $1814069.84   | 0.27%             | 2036-02-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 2-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1423 | NC      | $-289046.88   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.25 08/15/54                                                             | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13080000 | PA      | $11717840.69  | 1.78%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bombardier Inc.                                                                      | BBDBCN 7.25 07/01/31 144A                                                   | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     350000 | PA      | $367208.45    | 0.06%             | 2031-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| United Airlines Holdings Inc                                                         | UAL 5.375 03/01/31                                                          | CUSIP: 910047AL3<br>LEI: 98450079DA0B78DD6764 | Long             | DBT              | CORP              | US        |     740000 | PA      | $725619.36    | 0.11%             | 2031-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | EUR/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $159106.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                                                    | CSCHLD 6.5 02/01/29 144A                                                    | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    5500000 | PA      | $3511832.50   | 0.53%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carnival Corporation                                                                 | CCL 6.125 02/15/33 144A                                                     | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    1550000 | PA      | $1566321.50   | 0.24%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Herc Holdings Inc                                                                    | HRI 7 06/15/30 144A                                                         | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     600000 | PA      | $615650.40    | 0.09%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Ivory Coast (Republic Of)                                                            | IVYCST 6.125 06/15/33 REGS                                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    1070000 | PA      | $1010658.63   | 0.15%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| KNDR TRUST 2021-KIND                                                                 | KNDR 2021-KIND D                                                            | CUSIP: 482606AN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9918548 | PA      | $9787402.65   | 1.48%             | 2038-08-16      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.25 05/15/55                                                         | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     220000 | PA      | $207891.01    | 0.03%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Williams Companies Inc. (The)                                                        | WMB 5.75 06/24/44                                                           | CUSIP: 969457BV1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1605337.78   | 0.24%             | 2044-06-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 5.15 04/15/34                                                          | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     760000 | PA      | $765990.30    | 0.12%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Bahamas (Commonwealth of)                                                            | BAHAMA 8.25 06/24/36 144A                                                   | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |     690000 | PA      | $738355.20    | 0.11%             | 2036-06-24      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc.                                                     | PM 5.25 02/13/34                                                            | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     210000 | PA      | $213935.26    | 0.03%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 4.75 08/15/34                                                          | CUSIP: 30303M8U9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     400000 | PA      | $395787.65    | 0.06%             | 2034-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NCL Corporation Ltd.                                                                 | NCLH 5.875 01/15/31 144A                                                    | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     530000 | PA      | $515247.89    | 0.08%             | 2031-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp Mortgage Pass Through Certificates Series 2006-3           | IMSA 2006-3 A7                                                              | CUSIP: 45255RAZ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5311881 | PA      | $4760619.14   | 0.72%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V5.576 07/23/36                                                         | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     750000 | PA      | $759803.57    | 0.12%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                                                | AON 5.45 03/01/34                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     330000 | PA      | $337144.73    | 0.05%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                                          | FMCN 8 03/01/33 144A                                                        | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    2230000 | PA      | $2327234.69   | 0.35%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Black Pearl Compute LLC                                                              | BLKPRL 6.125 02/15/31 144A                                                  | CUSIP: 09216NAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1220000 | PA      | $1243237.34   | 0.19%             | 2031-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| EQT Corporation                                                                      | EQT 5 01/15/29                                                              | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     180000 | PA      | $181202.65    | 0.03%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                                                            | PRXNA 3.061 07/13/31 144A                                                   | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    2400000 | PA      | $2151423.67   | 0.33%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| ABRY LIQUID CREDIT CLO 2025-2 LTD                                                    | ALC 2025-2A A1                                                              | CUSIP: 003943AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4130000 | PA      | $4119266.96   | 0.62%             | 2038-01-15      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| SPIRIT AVIATION HOLDINGS INC                                                         | Spirit Aviation Holdings Inc. COM                                           | CUSIP: 84863V101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     121435 | NS      | $30358.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA Inc.                                                                             | HCA 7.5 11/15/95                                                            | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10656.01     | 0.00%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SPECTRUM MANAGEMENT HOLDING COMPANY LLC                                              | CHTR 7.3 07/01/38                                                           | CUSIP: 88732JAN8<br>LEI: B1WXCWLJVJXMWJX6O298 | Long             | DBT              | CORP              | US        |    1680000 | PA      | $1759139.64   | 0.27%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corporation                                                             | DVN 5 06/15/45                                                              | CUSIP: 25179MAU7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     540000 | PA      | $474602.97    | 0.07%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Peru (Republic Of)                                                                   | PERUGB 5.4 08/12/34                                                         | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    5410000 | PA      | $1475843.43   | 0.22%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GFL Environmental Inc.                                                               | GFLCN 6.75 01/15/31 144A                                                    | CUSIP: 36168QAQ7<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1243292.82   | 0.19%             | 2031-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | USD/JPY FORWARD                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $13219.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 5.7 02/04/36                                                           | CUSIP: 68389XDZ5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     390000 | PA      | $375149.47    | 0.06%             | 2036-02-04      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4 11/15/35                                                                | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     160000 | PA      | $156087.50    | 0.02%             | 2035-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                                                   | Long Gilt Future - ICEU                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        275 | NC      | $-1689415.91  | -0.26%            |  |  |  | No            |                  1 | On Loan: No      |
| Alphabet Inc.                                                                        | GOOGL 5.45 11/15/55                                                         | CUSIP: 02079KBA4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     150000 | PA      | $145334.71    | 0.02%             | 2055-11-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)                                         | SRILAN 3.35 03/15/33 144A                                                   | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     410444 | PA      | $343574.30    | 0.05%             | 2033-03-15      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        696 | NC      | $5437.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Jane Street Group LLC / JSG Finance Inc.                                             | JANEST 6.75 05/01/33 144A                                                   | CUSIP: 47077WAE8<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |     910000 | PA      | $923902.98    | 0.14%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                                 | Spirit Airlines, LLC Third DIP New Money TL                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     181610 | PA      | $179793.41    | 0.03%             | 2026-07-14      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                                            | IRS BRL                                                                     | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-213217.64   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CI Financial Corp                                                                    | CIXCN 7.5 05/30/29 144A                                                     | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |     900000 | PA      | $944936.55    | 0.14%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H030633<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18700000 | PA      | $16708014.85  | 2.53%             | 2056-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO I LTD                                                                    | ELMW1 2019-1A A1R3                                                          | CUSIP: 290015BJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1990998.20   | 0.30%             | 2037-04-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Jamaica (Government of)                                                              | JAMAN 9.625 11/03/30                                                        | CUSIP: 470160CF7<br>LEI: 529900Y93KNSXZI8KK56 | Long             | DBT              | NUSS              | JM        |  843000000 | PA      | $5625021.35   | 0.85%             | 2030-11-03      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                                                            | IRS USD                                                                     | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |          1 | NC      | $318956.84    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | USD/AUD FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3139.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H020642<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28000000 | PA      | $23137187.36  | 3.51%             | 2056-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)                                         | SRILAN 4 04/15/28 144A                                                      | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     195753 | PA      | $187146.76    | 0.03%             | 2028-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Discovery Global Holdings Inc.                                                       | WBD 4.279 03/15/32 *                                                        | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     157000 | PA      | $139141.25    | 0.02%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF - SECRETARIA DO TESOURO NACIONAL                      | BNTNF 10 01/01/33 NTNF                                                      | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  116857000 | PA      | $18920017.65  | 2.87%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Solventum Corp.                                                                      | SOLV 5.9 04/30/54                                                           | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    1023000 | PA      | $1000255.90   | 0.15%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Teck Resources Limited                                                               | TCKBCN 6 08/15/40                                                           | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |     240000 | PA      | $241630.50    | 0.04%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QXO INC                                                                              | BECN 6.75 04/30/32 144A                                                     | CUSIP: 74825NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1664011.58   | 0.25%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                | USD/JPY FORWARD                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $9726.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Carnival Corporation                                                                 | CCL 5.875 06/15/31 144A                                                     | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    6570000 | PA      | $6654890.97   | 1.01%             | 2031-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC 4.75 12/07/46 MTN                                                       | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     960000 | PA      | $806385.26    | 0.12%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                                                      | CDS CDX.NA.IG.46.V1                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $15041032.50  | 2.28%             |  |  |  | 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      | $-74262.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Ukraine (Republic of)                                                                | UKRAIN 4.5 02/01/35 REGS                                                    | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1242318 | PA      | $654445.37    | 0.10%             | 2035-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GE Vernova Inc.                                                                      | GEV 5.5 02/04/56                                                            | CUSIP: 36828AAC5<br>LEI: 254900DP080RU6OK2553 | Long             | DBT              | CORP              | US        |      60000 | PA      | $57761.01     | 0.01%             | 2056-02-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust 2014-C25                                  | JPMBB 2014-C25 C                                                            | CUSIP: 46643PBL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3940000 | PA      | $3254918.71   | 0.49%             | 2047-11-18      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Nexstar Media Inc                                                                    | Nexstar Broadcasting Term Loan B 250 2032-06-14                             | CUSIP: 65336RBB3<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |    2905400 | PA      | $2879193.29   | 0.44%             | 2032-06-28      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 2-Year T-Note Futures, Jun-2026,ETH                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        200 | NC      | $77649.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Angola (Republic of)                                                                 | ANGOL 9.375 03/31/33 144A                                                   | CUSIP: 035198AK6<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    1100000 | PA      | $1089583.10   | 0.17%             | 2033-03-31      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                                                     | ASX 10 Year Treasury Bond Futures                                           | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DIR              | CORP              | AU        |        245 | NC      | $-152901.53   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Las Vegas Sands Corp                                                                 | LVS 6 06/14/30                                                              | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     180000 | PA      | $185227.71    | 0.03%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -483 | NC      | $-54337.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HCA Inc.                                                                             | HCA 5.5 06/15/47                                                            | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      20000 | PA      | $18346.73     | 0.00%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                                                          | Balboa Bay Loan Funding 2025-2 Ltd                                          | CUSIP: 057915AA8<br>LEI: 2549002Z9TKO9WGID477 | Long             | ABS-CBDO         | CORP              | KY        |    3640000 | PA      | $3636761.13   | 0.55%             | 2039-01-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-BXMF                                                                   | BX 2021-BXMF A                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4254381 | PA      | $4249619.83   | 0.64%             | 2026-10-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| ROCK TRUST 2024-CNTR                                                                 | ROCC 2024-CNTR E                                                            | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $5216120.00   | 0.79%             | 2041-11-15      | Fixed         | 8.82%                 | No            |                  2 | On Loan: No      |
| STACR TRUST 2018-HRP1                                                                | STACR 2018-HRP1 B2                                                          | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-O            | USGSE             | US        |    8421015 | PA      | $9880885.61   | 1.50%             | 2043-05-25      | Floating      | 15.53%                | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 5.407 10/15/35 144A                                                     | CUSIP: 629377DB5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     290000 | PA      | $284646.54    | 0.04%             | 2035-10-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                                                            | VNOM 5.7 08/01/35                                                           | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     320000 | PA      | $322689.60    | 0.05%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                                     | AMZN 5.65 03/13/46                                                          | CUSIP: 023135DG8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     240000 | PA      | $239311.57    | 0.04%             | 2046-03-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust 2006-3                                                       | FHLT 2006-B 1A                                                              | CUSIP: 35729QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13447952 | PA      | $5473199.55   | 0.83%             | 2036-08-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 4.75 11/15/43                                                             | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17040000 | PA      | $16840312.50  | 2.55%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Egypt (Arab Republic of)                                                             | EGYPT 7.0529 01/15/32 REGS                                                  | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    1880000 | PA      | $1778211.42   | 0.27%             | 2032-01-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| OCP SA                                                                               | OCPMR 6.75 05/02/34 144A                                                    | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    2640000 | PA      | $2749077.04   | 0.42%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                                      | LLY 5.1 02/09/64                                                            | CUSIP: 532457CN6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $990356.25    | 0.15%             | 2064-02-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CCO HOLDINGS LLC                                                                     | CHTR 4.5 05/01/32                                                           | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2593137.81   | 0.39%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines Contingent                                                           | SPIRIT FUNDED ROLL UP TL                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2302927 | PA      | $1612049.17   | 0.24%             | 2026-07-14      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Bank of America, National Association                                                | USD/INR FORWARD                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-123167.86   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| VMED O2 UK Financing I PLC                                                           | VMED 4.75 07/15/31 144A                                                     | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     730000 | PA      | $628844.83    | 0.10%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                                            | RTX 3.03 03/15/52                                                           | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $641748.80    | 0.10%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Ukraine (Republic of)                                                                | UKRAIN 4.5 02/01/36 REGS                                                    | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1774740 | PA      | $917472.43    | 0.14%             | 2036-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 3.6 04/01/50                                                           | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1090000 | PA      | $658558.42    | 0.10%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                                    | WFC V5.013 04/04/51 MTN                                                     | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     780000 | PA      | $687789.85    | 0.10%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | USD/CNH FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $20212.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 6.7 02/04/56                                                           | CUSIP: 68389XEB7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      90000 | PA      | $83594.44     | 0.01%             | 2056-02-04      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -491 | NC      | $-88226.57    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Range Resources Corp.                                                                | RRC 4.75 02/15/30 144A                                                      | CUSIP: 75281ABK4<br>LEI: H3Y3WLYCX0BTO1TRW162 | Long             | DBT              | CORP              | US        |    1910000 | PA      | $1863483.86   | 0.28%             | 2030-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Options                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        696 | NC      | $5437.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLTI TRUST 2026-SF75                                                                 | MLTI 2026-SF75 A                                                            | CUSIP: 55318JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5360000 | PA      | $5341977.54   | 0.81%             | 2031-03-17      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                                                         | SNPS 5.7 04/01/55                                                           | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     360000 | PA      | $344427.04    | 0.05%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust 2006-Hy12                                                     | CWALT 2007-OA8 1A1                                                          | CUSIP: 02148GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2210539 | PA      | $2023639.01   | 0.31%             | 2047-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Focus Financial Partners LLC                                                         | Focus Financial Term Loan B-8 (add-on) 275 2031-09-01                       | CUSIP: 34416DBD9<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |    1988843 | PA      | $1929067.94   | 0.29%             | 2031-09-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Inter-American Development Bank                                                      | IADB 7.35 10/06/30 GMTN                                                     | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | US        | 1576000000 | PA      | $16326234.27  | 2.47%             | 2030-10-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                           | OXY 6.2 03/15/40                                                            | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    4209000 | PA      | $4301846.33   | 0.65%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Calpine Construction Finance Company L P                                             | Calpine Construction Finance Corp Term Loan B 175 2030-07-01                | CUSIP: 13134NAK7<br>LEI: V0Q3DOB0FIB2XI1KWU77 | Long             | LON              | CORP              | US        |     820000 | PA      | $821279.20    | 0.12%             | 2030-07-31      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2018-BIOA                                               | BX 2026-VLT9 A                                                              | CUSIP: 05618UAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3320000 | PA      | $3310384.95   | 0.50%             | 2045-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 6.55 06/01/34                                                          | CUSIP: 161175CR3<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |     460000 | PA      | $477824.24    | 0.07%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Amrize Finance US LLC                                                                | AMRZ 5.4 04/07/35                                                           | CUSIP: 43475RAT3<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     210000 | PA      | $213633.35    | 0.03%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LifePoint Health, Inc                                                                | RGCARE 9.875 08/15/30 144A                                                  | CUSIP: 53219LAV1<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     430000 | PA      | $455267.66    | 0.07%             | 2030-08-15      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| NCL Corporation Ltd.                                                                 | NCLH 6.25 09/15/33 144A                                                     | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $291310.02    | 0.04%             | 2033-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PCI Gaming Authority                                                                 | PCI Gaming Term Loan B 200 2031-05-29                                       | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |    1083636 | PA      | $1084795.23   | 0.16%             | 2031-07-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Ukraine (Republic of)                                                                | UKRAIN 4.5 02/01/34 REGS                                                    | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     532422 | PA      | $285081.78    | 0.04%             | 2034-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H042646<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12100000 | PA      | $11691185.29  | 1.77%             | 2056-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 10-Year T-Note Futures, Jun-2026,ETH                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1337 | NC      | $2344524.50   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 6.484 10/23/45                                                         | CUSIP: 161175BA1<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |    1110000 | PA      | $1024359.97   | 0.16%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Corporacion Nacional del Cobre de Chile                                              | CDEL 5.529 01/30/37 144A                                                    | CUSIP: 21987BBQ0<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    5170000 | PA      | $5081179.40   | 0.77%             | 2037-01-30      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | USD/CAD FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $6704.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines Lng LLC                                                   | VEGLPL 7.5 05/01/33 144A                                                    | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     230000 | PA      | $252951.47    | 0.04%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Group                                                                | RCL 6 02/01/33 144A                                                         | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    2540000 | PA      | $2566002.31   | 0.39%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                                                       | USD/INR FORWARD                                                             | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1026299.86   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Equipmentshare Com Inc.                                                              | EQMSRM 8 03/15/33 144A                                                      | CUSIP: 29450YAC3<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |     220000 | PA      | $227369.00    | 0.03%             | 2033-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | GNR 2014-157 IO                                                             | CUSIP: 38378XUN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-O            | USGA              | US        |    1839697 | PA      | $10297.15     | 0.00%             | 2055-05-16      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                                           | RCICN 5.3 02/15/34                                                          | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     640000 | PA      | $637443.87    | 0.10%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MRCD 2019 - PARK MORTGAGE TRUST SERIES 2019 - PARK                                   | MRCD 2019-PARK A                                                            | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7980000 | PA      | $7146090.00   | 1.08%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F032641<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5600000 | PA      | $5134519.10   | 0.78%             | 2056-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines, LLC                                                                 | Spirit Airlines, LLC Second DIP New Money Delayed TL                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      91953 | PA      | $91033.12     | 0.01%             | 2026-07-14      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                                                                   | META 4.875 11/15/35                                                         | CUSIP: 30303MAD4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     310000 | PA      | $304246.23    | 0.05%             | 2035-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AthenaHealth Group Inc                                                               | athenahealth Term Loan B 300 2029-02-01                                     | CUSIP: 04686RAB9<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | LON              | CORP              | US        |    1845340 | PA      | $1814199.94   | 0.27%             | 2029-02-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Micron Technology Inc.                                                               | MU 6.05 11/01/35                                                            | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     750000 | PA      | $809610.14    | 0.12%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TRUST COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2021-OVA              | SLG 2026-OMA A                                                              | CUSIP: 78451FAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3900000 | PA      | $3915199.34   | 0.59%             | 2041-04-17      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2019-C5                                                         | BBCMS 2019-C5 A4                                                            | CUSIP: 05492JAW2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20110000 | PA      | $19084701.71  | 2.89%             | 2052-11-18      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Weekly Options - Week 2                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        696 | NC      | $43500.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Pm General Purchaser Llc                                                             | AMGENE 9.5 10/01/28 144A                                                    | CUSIP: 69356MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     690000 | PA      | $654368.40    | 0.10%             | 2028-10-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                         | JPY/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $14371.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H052645<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14000000 | PA      | $14091349.86  | 2.14%             | 2056-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                                               | USD/MXN FORWARD                                                             | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $406.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Gulfstream Natural Gas System LLC                                                    | GULFNG 5.6 07/23/35 144A                                                    | CUSIP: 402740AG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     840000 | PA      | $851837.51    | 0.13%             | 2035-07-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F042640<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33000000 | PA      | $31852921.32  | 4.83%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                     | NRG 6 01/15/36 144A                                                         | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    3640000 | PA      | $3609067.64   | 0.55%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                                            | RTX 4.5 06/01/42                                                            | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    1220000 | PA      | $1083321.17   | 0.16%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXXI LTD                                                                   | MAGNE 2021-31A A1R                                                          | CUSIP: 55952FAL2<br>LEI: 549300J3BCFSIZAJJW77 | Long             | ABS-CBDO         | CORP              | KY        |    4750000 | PA      | $4746885.90   | 0.72%             | 2034-07-17      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group Inc                                                             | Cloud Software Group (Citrix/TIBCO) Term Loan B 325 2031-03-01              | CUSIP: 88632NBK5<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | LON              | CORP              | US        |    2074787 | PA      | $1906729.22   | 0.29%             | 2031-03-21      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| Peer Holding III BV                                                                  | PEER HOLDING III BV                                                         | CUSIP: 000000000<br>LEI: 7245002S0K5Q59JCVQ03 | Long             | LON              | CORP              | NL        |     405890 | PA      | $405573.13    | 0.06%             | 2031-07-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Spirit Aviation Holdings Inc.                                                        | Spirit Aviation Holdings Inc. WT EXP                                        | CUSIP: 84863V135<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      86279 | NS      | $21569.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lightning Power, LLC                                                                 | Lightning Power Term Loan B 325 2031-07-28                                  | CUSIP: 53229LAB3<br>LEI: 254900BWCHJ03XRL8K59 | Long             | LON              | CORP              | US        |     406910 | PA      | $408276.77    | 0.06%             | 2031-08-18      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -12100000 | PA      | $-11698557.21 | -1.77%            | 2056-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)                                         | SRILAN 3.6 06/15/35 144A                                                    | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     277144 | PA      | $209945.73    | 0.03%             | 2035-06-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                                   | MO 5.8 02/14/39                                                             | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    2040000 | PA      | $2049061.01   | 0.31%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL HOLDINGS (US) INC                                                  | GFLCN 5.5 02/01/34 144A                                                     | CUSIP: 36273TAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1404325.64   | 0.21%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIT MORTGAGE LOAN TRUST 2007-1                                                       | CITM 2007-1 1M1                                                             | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5025296 | PA      | $5098181.13   | 0.77%             | 2037-10-26      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING 2015-R3 TRUST                                                | BAFC 2015-R3 1A2                                                            | CUSIP: 05990QAB9<br>LEI: 5493007QL4MZKX7JWH30 | Long             | ABS-O            | CORP              | US        |   10966899 | PA      | $9340337.20   | 1.42%             | 2036-03-27      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                                     | CFELEC 6.045 01/28/34 144A                                                  | CUSIP: 200447AQ3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    6710000 | PA      | $6511048.50   | 0.99%             | 2034-01-28      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                      | TDG 7.125 12/01/31 144A                                                     | CUSIP: 893647BT3<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    3380000 | PA      | $3492912.28   | 0.53%             | 2031-12-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                                                      | SOLV 5.6 03/23/34                                                           | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     680000 | PA      | $695387.79    | 0.11%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | U.S. Treasury Bond Futures, Jun-2026,ETH                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        414 | NC      | $-1444163.63  | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | 5-Year T-Note Weekly Options - Week 2                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1392 | NC      | $-43500.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Malaysia (Government Of)                                                             | MGS 4.254 05/31/35 0415                                                     | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |   12820000 | PA      | $3315673.42   | 0.50%             | 2035-05-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                                    | EPD 5.55 02/16/55                                                           | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1155174.73   | 0.18%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 3 02/15/41                                                             | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $731609.38    | 0.11%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Point Au Roche Park Clo Ltd.                                                         | PARPK 2021-1A AR                                                            | CUSIP: 73052VAN5<br>LEI: 5493000RMLD359CPH591 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $1993500.40   | 0.30%             | 2039-01-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F060642<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57900000 | PA      | $59028138.08  | 8.94%             | 2056-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Antares Clo 2018-1 Ltd/ Llc                                                          | ANTR 2018-1A A1R                                                            | CUSIP: 03665MAJ0<br>LEI: 254900BLLG7F7B4DGG41 | Long             | ABS-CBDO         | CORP              | KY        |     560000 | PA      | $560677.15    | 0.08%             | 2038-04-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA3                                              | STACR 2021-DNA3 B1                                                          | CUSIP: 35564KFG9<br>LEI: 5493000ISUYHCRLRBE46 | Long             | ABS-O            | USGSE             | US        |    3980000 | PA      | $4494336.99   | 0.68%             | 2033-10-25      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Uruguay (Republic Of)                                                                | URUGUA 8.25 05/21/31                                                        | CUSIP: 917288BM3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |   58830000 | PA      | $1502146.26   | 0.23%             | 2031-05-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | CAS 2022-R01 1B1                                                            | CUSIP: 20754LAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |    2700000 | PA      | $2725782.84   | 0.41%             | 2041-12-26      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                                                     | Options on Three-Month SOFR Futures                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -573 | NC      | $-544350.00   | -0.08%            |  |  |  | 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      | $117766.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 5.2 07/15/35                                                           | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $1078729.95   | 0.16%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BX Trust 2018-Bilt                                                                   | BX 2021-21M A                                                               | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     806273 | PA      | $805872.44    | 0.12%             | 2036-10-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Elevation Clo 2016-5 Ltd                                                             | AWPT 2025-18A A1                                                            | CUSIP: 28623JAA4<br>LEI: 549300IH854FT1JLRT08 | Long             | ABS-CBDO         | CORP              | KY        |    2690000 | PA      | $2689484.06   | 0.41%             | 2038-03-29      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Block Inc                                                                            | XYZ 6 08/15/33 144A                                                         | CUSIP: 852234AU7<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1250332.17   | 0.19%             | 2033-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eagle Funding Luxco S.a.r.l.                                                         | MEXPCP 5.5 08/17/30 144A                                                    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | CORP              | LU        |    5140000 | PA      | $5173410.00   | 0.78%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRAZIL, FEDERATIVE REPUBLIC OF - SECRETARIA DO TESOURO NACIONAL                      | BNTNF 10 01/01/27 NTNF                                                      | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   35000000 | PA      | $6584227.83   | 1.00%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines Lng LLC                                                   | VEGLPL 6.5 06/15/34 144A                                                    | CUSIP: 922966AF3<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     750000 | PA      | $781186.50    | 0.12%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WARWICK CAPITAL CLO 7 LTD                                                            | WWICK 2025-7A A1                                                            | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4050000 | PA      | $4043914.07   | 0.61%             | 2038-10-21      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| LifePoint Health, Inc                                                                | RGCARE 11 10/15/30 144A                                                     | CUSIP: 53219LAW9<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     840000 | PA      | $904444.80    | 0.14%             | 2030-10-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -346 | NC      | $699014.50    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Citadel Securities LP                                                                | Citadel Enterprise Term Loan B 200 2031-10-01                               | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |     810051 | PA      | $811909.82    | 0.12%             | 2031-10-31      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                                          | FMCN 6.375 02/15/36 144A                                                    | CUSIP: 335934AY1<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    1800000 | PA      | $1733016.24   | 0.26%             | 2036-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| South Africa (Republic of)                                                           | SAGB 8.75 01/31/44 2044                                                     | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   55750000 | PA      | $2987631.50   | 0.45%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Iron Mountain Information Management LLC                                             | Iron Mountain Term Loan B (Incremental) 225 2030-11-29                      | CUSIP: 46284NAV1<br>LEI: 5493009M0X1LQXGBWV02 | Long             | LON              | CORP              | US        |     603823 | PA      | $601371.28    | 0.09%             | 2031-01-31      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| B.A.T. Capital Corporation                                                           | BATSLN 7.081 08/02/53                                                       | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    1619000 | PA      | $1790715.72   | 0.27%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Asurion LLC / Asurion Co-Issuer Inc.                                                 | ASUCOR 8 12/31/32 144A                                                      | CUSIP: 045941AA9<br>LEI: 549300KNQVXGIOXWK278 | Long             | DBT              | CORP              | US        |     930000 | PA      | $965607.83    | 0.15%             | 2032-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                                   | CUSIP: 01F042640<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -21000000 | PA      | $-20270040.84 | -3.07%            | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Builders Firstsource, Inc.                                                           | BLDR 6.75 05/15/35 144A                                                     | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1430417.27   | 0.22%             | 2035-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                                          | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1418 | NC      | $4446772.68   | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H060630<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8900000 | PA      | $9054795.65   | 1.37%             | 2056-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                                              | MRP 6.375 08/01/30 144A                                                     | CUSIP: 601137AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1130411.21   | 0.17%             | 2030-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Sri Lanka (Democratic Socialist Republic of)                                         | SRILAN 3.6 02/15/38 144A                                                    | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |     384850 | PA      | $340973.07    | 0.05%             | 2038-02-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-8 M1                                                    | HEAT 2005-6 M5                                                              | CUSIP: 437084NG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2980000 | PA      | $2920915.24   | 0.44%             | 2035-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corp.                                                        | BAFC 2014-R2 2A2                                                            | CUSIP: 05968KAG9<br>LEI: 54930023UHZHF7UJ8596 | Long             | ABS-O            | CORP              | US        |    6581207 | PA      | $5905755.19   | 0.89%             | 2037-05-27      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Petco Health and Wellness Company Inc                                                | Petco Animal Supplies Term Loan B 425 2031-01-11                            | CUSIP: 71601HAG1<br>LEI: 2549007TYGV6RVSE9M61 | Long             | LON              | CORP              | US        |    2440000 | PA      | $2390370.40   | 0.36%             | 2031-01-22      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| ZF North America Capital, Inc.                                                       | ZFFNGR 7.5 03/24/31 144A                                                    | CUSIP: 98877DAH8<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $1317340.87   | 0.20%             | 2031-03-24      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MILLROSE PROPERTIES INC                                                              | MRP 6.25 09/15/32 144A                                                      | CUSIP: 601137AB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     330000 | PA      | $324367.82    | 0.05%             | 2032-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Bcap Llc Trust                                                                       | BCAP 2013-RR3 4A2                                                           | CUSIP: 05542JAH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      89905 | PA      | $91383.01     | 0.01%             | 2036-11-26      | Variable      | 6.96%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                         | USD/EUR FORWARD                                                             | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-206936.35   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ZF North America Capital, Inc.                                                       | ZFFNGR 6.875 04/23/32 144A                                                  | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    4640000 | PA      | $4412793.12   | 0.67%             | 2032-04-23      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Builders Firstsource, Inc.                                                           | BLDR 4.25 02/01/32 144A                                                     | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |      70000 | PA      | $64529.67     | 0.01%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Viking Cruises, Ltd.                                                                 | VIKCRU 7 02/15/29 144a                                                      | CUSIP: 92676XAF4<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    1600000 | PA      | $1603750.40   | 0.24%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                                 | GLENLN 6.141 04/01/55 144a                                                  | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     340000 | PA      | $342287.82    | 0.05%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MIDSTREAM LLC                                                             | BLURAC 7.25 07/15/32 144A                                                   | CUSIP: 095796AK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2317969.04   | 0.35%             | 2032-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V7.75 PERP 144A                                                         | CUSIP: 902613BK3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     730000 | PA      | $754349.88    | 0.11%             | N/A             | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Bombardier Inc.                                                                      | BBDBCN 6.75 06/15/33 144A                                                   | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     830000 | PA      | $858185.14    | 0.13%             | 2033-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                                            | USD/EUR FORWARD                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4361.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H030633<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -18700000 | PA      | $-16708014.85 | -2.53%            | 2056-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ghana (Republic of)                                                                  | GHANA 5 07/03/35 144A                                                       | CUSIP: 374422AP8<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |     789960 | PA      | $675753.11    | 0.10%             | 2035-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Kenya (Republic of)                                                                  | KENINT 6.3 01/23/34 144A                                                    | CUSIP: 491798AL8<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |    2470000 | PA      | $2057692.58   | 0.31%             | 2034-01-23      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| GFL Environmental Inc.                                                               | GFLCN 4 08/01/28 144A                                                       | CUSIP: 36168QAL8<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |     470000 | PA      | $457235.32    | 0.07%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Costa Rica (Republic Of)                                                             | COSTAR 6.55 04/03/34 144A                                                   | CUSIP: 221597CR6<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    6110000 | PA      | $6457384.05   | 0.98%             | 2034-04-03      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN PLC                                                                   | AALLN 5.25 03/19/36 144A                                                    | CUSIP: 034863BJ8<br>LEI: 549300S9XF92D1X8ME43 | Long             | DBT              | CORP              | GB        |     360000 | PA      | $352158.61    | 0.05%             | 2036-03-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GIP Pilot Acquisition Partners LP                                                    | GIP Pilot Acquisition Partners Term Loan B 200 2030-10-01                   | CUSIP: 31773HAE2<br>LEI: 254900NQOAOPPA12X060 | Long             | LON              | CORP              | US        |     403074 | PA      | $404081.94    | 0.06%             | 2030-10-04      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| 1261229 B.C. LTD                                                                     | BHCCN 10 04/15/32 144A                                                      | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     930000 | PA      | $952960.77    | 0.14%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Bank of America, National Association                                                | USD/MXN FORWARD                                                             | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1066.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Battery Park CLO Ltd.                                                                | BATPK 2019-1A AR                                                            | CUSIP: 07133YAL4<br>LEI: 549300HAR0K520KW1A03 | Long             | ABS-CBDO         | CORP              | KY        |    5300000 | PA      | $5302334.65   | 0.80%             | 2036-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Chord Energy Corp.                                                                   | CHRD 6 10/01/30 144A                                                        | CUSIP: 674215AQ1<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $1054414.40   | 0.16%             | 2030-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Paraguay (Republic of)                                                               | PARGUY 3.849 06/28/33 144A                                                  | CUSIP: 699149AL4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    1120000 | PA      | $1039640.00   | 0.16%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                                                         | AUD/USD FORWARD                                                             | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-204262.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                  | CPGX 6.544 11/15/53 144A                                                    | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $105136.18    | 0.02%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                          | CGCMT 2019-C7 A4                                                            | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11200000 | PA      | $10608129.28  | 1.61%             | 2072-12-16      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MBONO 7.75 11/13/42 M                                                       | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   66870000 | PA      | $3100114.09   | 0.47%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                         | ORCL 4.95 02/04/31                                                          | CUSIP: 68389XDX0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9787.80      | 0.00%             | 2031-02-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GALAXY CLO 33 LTD                                                                    | GALXY 2024-33A A1R                                                          | CUSIP: 36321EAS4<br>LEI: 3912004FNLYTWOWSZU31 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2500625.00   | 0.38%             | 2037-04-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Sotera Health Holdings LLC                                                           | Sotera Health (fka Sterigenics Nordin) Term Loan B 250 2031-05-01           | CUSIP: 83600VAH4<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |     580047 | PA      | $581317.28    | 0.09%             | 2031-05-30      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Broadcom Inc                                                                         | AVGO 4.8 02/15/36                                                           | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     310000 | PA      | $302347.22    | 0.05%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                                        | DISH 5.75 12/01/28 144A                                                     | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     420000 | PA      | $406474.97    | 0.06%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                                               | CUSIP: 21H042638<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12100000 | PA      | $11698557.21  | 1.77%             | 2056-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-27

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer