# EDGAR Filing Document

**Accession Number:** 0000889512
**File Stem:** 0001752724-25-182143
**Filing Date:** 2025-7
**Character Count:** 171909
**Document Hash:** 9f188e1a568967b74cb11b312d3e8d86
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-182143.hdr.sgml**: 20250729

**ACCESSION NUMBER**: 0001752724-25-182143

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250530

**FILED AS OF DATE**: 20250729

**DATE AS OF CHANGE**: 20250729

**PERIOD START**: 20260228

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06740
- **FILM NUMBER:** 251159856

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

Schedule of Investments (unaudited)

May 31, 2025

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity <br>Date<br>| Face <br>Amount<br>| Value |
| **Mortgage-Backed Securities — 66.5%** | **Mortgage-Backed Securities — 66.5%** | **Mortgage-Backed Securities — 66.5%** | **Mortgage-Backed Securities — 66.5%** | **Mortgage-Backed Securities — 66.5%** |
| *FNMA — 55.9%* | *FNMA — 55.9%* | *FNMA — 55.9%* | *FNMA — 55.9%* | *FNMA — 55.9%* |
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 6/1/55 | &nbsp;&nbsp; $33200000<br>| &nbsp;&nbsp;&nbsp; $25806037<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.000% | &nbsp;&nbsp; 6/1/55 | &nbsp;&nbsp; 8000000<br>| &nbsp;&nbsp;&nbsp; 7330427<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/1/55 | &nbsp;&nbsp; 5100000<br>| &nbsp;&nbsp;&nbsp; 4810762<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 5.500% | &nbsp;&nbsp; 6/1/55 | &nbsp;&nbsp; 9600000<br>| &nbsp;&nbsp;&nbsp; 9504650<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 6/1/55 | &nbsp;&nbsp; 13400000<br>| &nbsp;&nbsp;&nbsp; 13532897<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 6/1/55 | &nbsp;&nbsp; 6400000<br>| &nbsp;&nbsp;&nbsp; 6572302<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 9/1/61 | &nbsp;&nbsp; 229396<br>| &nbsp;&nbsp;&nbsp; 176770<br>|
| *Total FNMA* | *Total FNMA* | *Total FNMA* | *Total FNMA* | &nbsp;&nbsp; *67733845* |
| *GNMA — 10.6%* | *GNMA — 10.6%* | *GNMA — 10.6%* | *GNMA — 10.6%* | *GNMA — 10.6%* |
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 1/20/53 | &nbsp;&nbsp; 162003<br>| &nbsp;&nbsp;&nbsp; 158541<br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 2.500% | &nbsp;&nbsp; 6/20/55 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 83792<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 3.000% | &nbsp;&nbsp; 6/20/55 | &nbsp;&nbsp; 10800000<br>| &nbsp;&nbsp;&nbsp; 9410754<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/20/55 | &nbsp;&nbsp; 200000<br>| &nbsp;&nbsp;&nbsp; 188722<br> <sup>(a)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA) II | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 6/20/55 | &nbsp;&nbsp; 3100000<br>| &nbsp;&nbsp;&nbsp; 3007954<br> <sup>(a)</sup><br>|
| *Total GNMA* | *Total GNMA* | *Total GNMA* | *Total GNMA* | &nbsp;&nbsp; *12849763* |
| **Total Mortgage-Backed Securities (Cost — $80,903,482)** | **Total Mortgage-Backed Securities (Cost — $80,903,482)** | **Total Mortgage-Backed Securities (Cost — $80,903,482)** | **Total Mortgage-Backed Securities (Cost — $80,903,482)** | &nbsp;&nbsp; **80583608** |
| **Asset-Backed Securities — 29.5%** | **Asset-Backed Securities — 29.5%** | **Asset-Backed Securities — 29.5%** | **Asset-Backed Securities — 29.5%** | **Asset-Backed Securities — 29.5%** |
| &nbsp;&nbsp;&nbsp; AASET, 2024-1A A2 | &nbsp;&nbsp; 6.261% | &nbsp;&nbsp; 5/16/49 | &nbsp;&nbsp; 1899477<br>| &nbsp;&nbsp;&nbsp; 1918846<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; AIMCO CLO Ltd., 2024-22A A (3 mo. Term SOFR + 1.500%) | &nbsp;&nbsp; 5.769% | &nbsp;&nbsp; 4/19/37 | &nbsp;&nbsp; 2390000<br>| &nbsp;&nbsp;&nbsp; 2399534<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Barings CLO Ltd., 2024-1A A (3 mo. Term SOFR + 1.630%) | &nbsp;&nbsp; 5.899% | &nbsp;&nbsp; 1/20/37 | &nbsp;&nbsp; 1470000<br>| &nbsp;&nbsp;&nbsp; 1475630<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Birch Grove CLO Ltd., 2024-8A A1 (3 mo. Term SOFR + 1.630%) | &nbsp;&nbsp; 5.899% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1004250<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; CarVal CLO Ltd., 2024-3A A1 (3 mo. Term SOFR + 1.390%) | &nbsp;&nbsp; 5.659% | &nbsp;&nbsp; 10/20/37 | &nbsp;&nbsp; 620000<br>| &nbsp;&nbsp;&nbsp; 622124<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cayuga Park CLO Ltd., 2020-1A AR (3 mo. Term SOFR + 1.382%) | &nbsp;&nbsp; 5.661% | &nbsp;&nbsp; 7/17/34 | &nbsp;&nbsp; 2770000<br>| &nbsp;&nbsp;&nbsp; 2775483<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Cent CLO Ltd., 2024-33A A1 (3 mo. Term SOFR + 1.600%) | &nbsp;&nbsp; 5.869% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 2700000<br>| &nbsp;&nbsp;&nbsp; 2708741<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Elmwood CLO Ltd., 2019-1A A1RR (3 mo. Term SOFR + 1.520%) | &nbsp;&nbsp; 5.789% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 2280000<br>| &nbsp;&nbsp;&nbsp; 2289109<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Empower CLO Ltd., 2024-1A A1 (3 mo. Term SOFR + 1.600%) | &nbsp;&nbsp; 5.882% | &nbsp;&nbsp; 4/25/37 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1004593<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Golub Capital Partners CLO LP, 2021-54A A (3 mo. Term SOFR + 1.792%) | &nbsp;&nbsp; 6.051% | &nbsp;&nbsp; 8/5/33 | &nbsp;&nbsp; 3890000<br>| &nbsp;&nbsp;&nbsp; 3905699<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; HalseyPoint CLO Ltd., 2020-3A A1R (3 mo. Term SOFR + 1.480%) | &nbsp;&nbsp; 5.760% | &nbsp;&nbsp; 7/30/37 | &nbsp;&nbsp; 320000<br>| &nbsp;&nbsp;&nbsp; 321418<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; J.G. Wentworth LLC, 2017-2A B | &nbsp;&nbsp; 5.090% | &nbsp;&nbsp; 9/17/74 | &nbsp;&nbsp; 235185<br>| &nbsp;&nbsp;&nbsp; 210855<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Jack in the Box Funding LLC, 2022-1A A2I | &nbsp;&nbsp; 3.445% | &nbsp;&nbsp; 2/26/52 | &nbsp;&nbsp; 1870000<br>| &nbsp;&nbsp;&nbsp; 1800176<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Navient Student Loan Trust, 2014-8 A3 (30 Day Average SOFR + 0.714%) | &nbsp;&nbsp; 5.036% | &nbsp;&nbsp; 5/27/49 | &nbsp;&nbsp; 2270965<br>| &nbsp;&nbsp;&nbsp; 2226206<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Nelnet Student Loan Trust, 2025-AA A1A | &nbsp;&nbsp; 5.070% | &nbsp;&nbsp; 3/15/57 | &nbsp;&nbsp; 1957220<br>| &nbsp;&nbsp;&nbsp; 1954976<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oaktree CLO Ltd., 2024-25A A (3 mo. Term SOFR + 1.550%) | &nbsp;&nbsp; 5.819% | &nbsp;&nbsp; 4/20/37 | &nbsp;&nbsp; 2560000<br>| &nbsp;&nbsp;&nbsp; 2571637<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ocean Trails CLO Ltd., 2022-12A A1R (3 mo. Term SOFR + 1.330%) | &nbsp;&nbsp; 5.602% | &nbsp;&nbsp; 7/20/35 | &nbsp;&nbsp; 640000<br>| &nbsp;&nbsp;&nbsp; 641184<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; SMB Private Education Loan Trust, 2024-D B | &nbsp;&nbsp; 5.860% | &nbsp;&nbsp; 7/15/53 | &nbsp;&nbsp; 1350000<br>| &nbsp;&nbsp;&nbsp; 1360621<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Trinitas CLO Ltd., 2023-25A A1 (3 mo. Term SOFR + 1.850%) | &nbsp;&nbsp; 6.129% | &nbsp;&nbsp; 1/23/37 | &nbsp;&nbsp; 1560000<br>| &nbsp;&nbsp;&nbsp; 1567099<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; USQ Rail LLC, 2025-1A A | &nbsp;&nbsp; 5.480% | &nbsp;&nbsp; 3/29/55 | &nbsp;&nbsp; 1793534<br>| &nbsp;&nbsp;&nbsp; 1780582<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Vibrant CLO Ltd., 2021-15A A1AR (3 mo. Term SOFR + 1.200%) | &nbsp;&nbsp; 5.469% | &nbsp;&nbsp; 1/20/35 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 249058<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Whitebox CLO Ltd., 2019-1A A1RR (3 mo. Term SOFR + 1.320%) | &nbsp;&nbsp; 5.595% | &nbsp;&nbsp; 7/24/36 | &nbsp;&nbsp; 1000000<br>| &nbsp;&nbsp;&nbsp; 1002473<br> <sup>(b)(c)</sup><br>|
| **Total Asset-Backed Securities (Cost — $35,751,860)** | **Total Asset-Backed Securities (Cost — $35,751,860)** | **Total Asset-Backed Securities (Cost — $35,751,860)** | **Total Asset-Backed Securities (Cost — $35,751,860)** | &nbsp;&nbsp; **35790294** |
| **Collateralized Mortgage Obligations**<sup>(d)</sup> **— 24.6%** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— 24.6%** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— 24.6%** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— 24.6%** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— 24.6%** |
| &nbsp;&nbsp;&nbsp; BANK, 2018-BN10 A5 | &nbsp;&nbsp; 3.688% | &nbsp;&nbsp; 2/15/61 | &nbsp;&nbsp; 1045000<br>| &nbsp;&nbsp;&nbsp; 1021777<br>|
| &nbsp;&nbsp;&nbsp; BF Mortgage Trust, 2019-NYT B (1 mo. Term SOFR + 1.697%) | &nbsp;&nbsp; 6.026% | &nbsp;&nbsp; 12/15/35 | &nbsp;&nbsp; 1250000<br>| &nbsp;&nbsp;&nbsp; 1200125<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BHMS, 2018-ATLS D (1 mo. Term SOFR + 2.547%) | &nbsp;&nbsp; 6.876% | &nbsp;&nbsp; 7/15/35 | &nbsp;&nbsp; 280000<br>| &nbsp;&nbsp;&nbsp; 279639<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BOCA Commercial Mortgage Trust, 2024-BOCA E (1 mo. Term SOFR + 4.437%) | &nbsp;&nbsp; 8.766% | &nbsp;&nbsp; 8/15/41 | &nbsp;&nbsp; 750000<br>| &nbsp;&nbsp;&nbsp; 753596<br> <sup>(b)(c)</sup><br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

May 31, 2025

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| **Collateralized Mortgage Obligations**<sup>(d)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— continued** | **Collateralized Mortgage Obligations**<sup>(d)</sup> **— continued** |
| &nbsp;&nbsp;&nbsp; BRAVO Residential Funding Trust, 2022-NQM1 A1 | &nbsp;&nbsp; 3.626% | &nbsp;&nbsp; 9/25/61 | &nbsp;&nbsp; $1911497<br>| &nbsp;&nbsp;&nbsp; $1847359<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Commercial Mortgage Trust, 2022-LP2 A (1 mo. Term SOFR + 1.013%) | &nbsp;&nbsp; 5.342% | &nbsp;&nbsp; 2/15/39 | &nbsp;&nbsp; 2600948<br>| &nbsp;&nbsp;&nbsp; 2597852<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BX Trust, 2021-BXMF A (1 mo. Term SOFR + 0.750%) | &nbsp;&nbsp; 5.079% | &nbsp;&nbsp; 10/15/26 | &nbsp;&nbsp; 2351356<br>| &nbsp;&nbsp;&nbsp; 2343335<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2020-RPL4 A1 | &nbsp;&nbsp; 2.000% | &nbsp;&nbsp; 1/25/60 | &nbsp;&nbsp; 766200<br>| &nbsp;&nbsp;&nbsp; 687709<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; CSMC Trust, 2022-NQM1 A1 | &nbsp;&nbsp; 2.265% | &nbsp;&nbsp; 11/25/66 | &nbsp;&nbsp; 941006<br>| &nbsp;&nbsp;&nbsp; 846677<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Deephaven Residential Mortgage Trust, 2022-1 A1 | &nbsp;&nbsp; 2.205% | &nbsp;&nbsp; 1/25/67 | &nbsp;&nbsp; 1047904<br>| &nbsp;&nbsp;&nbsp; 957156<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Federal National Mortgage Association (FNMA) — CAS, 2022-R04 1M2 (30 Day <br> Average SOFR + 3.100%) | &nbsp;&nbsp; 7.422% | &nbsp;&nbsp; 3/25/42 | &nbsp;&nbsp; 340000<br>| &nbsp;&nbsp;&nbsp; 350978<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Government National Mortgage Association (GNMA), 2022-3 IO, IO | &nbsp;&nbsp; 0.640% | &nbsp;&nbsp; 2/16/61 | &nbsp;&nbsp; 4311365<br>| &nbsp;&nbsp;&nbsp; 205446<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust, 2018-MP A | &nbsp;&nbsp; 4.276% | &nbsp;&nbsp; 7/11/40 | &nbsp;&nbsp; 10500000<br>| &nbsp;&nbsp;&nbsp; 9861004<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; MTN Commercial Mortgage Trust, 2022-LPFL A (1 mo. Term SOFR + 1.397%) | &nbsp;&nbsp; 5.727% | &nbsp;&nbsp; 3/15/39 | &nbsp;&nbsp; 2100000<br>| &nbsp;&nbsp;&nbsp; 2099961<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; NRTH Mortgage Trust, 2024-PARK A (1 mo. Term SOFR + 1.641%) | &nbsp;&nbsp; 5.970% | &nbsp;&nbsp; 3/15/39 | &nbsp;&nbsp; 2500000<br>| &nbsp;&nbsp;&nbsp; 2508223<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; OBX Trust, 2022-NQM1 A1 | &nbsp;&nbsp; 2.305% | &nbsp;&nbsp; 11/25/61 | &nbsp;&nbsp; 2476264<br>| &nbsp;&nbsp;&nbsp; 2200662<br> <sup>(b)(c)</sup><br>|
| **Total Collateralized Mortgage Obligations (Cost — $31,391,095)** | **Total Collateralized Mortgage Obligations (Cost — $31,391,095)** | **Total Collateralized Mortgage Obligations (Cost — $31,391,095)** | **Total Collateralized Mortgage Obligations (Cost — $31,391,095)** | &nbsp;&nbsp; **29761499** |
| **Corporate Bonds & Notes — 14.6%** | **Corporate Bonds & Notes — 14.6%** | **Corporate Bonds & Notes — 14.6%** | **Corporate Bonds & Notes — 14.6%** | **Corporate Bonds & Notes — 14.6%** |
| **Communication Services — 2.4%** | **Communication Services — 2.4%** | **Communication Services — 2.4%** | **Communication Services — 2.4%** | **Communication Services — 2.4%** |
| *Diversified Telecommunication Services — 0.2%* | *Diversified Telecommunication Services — 0.2%* | *Diversified Telecommunication Services — 0.2%* | *Diversified Telecommunication Services — 0.2%* | *Diversified Telecommunication Services — 0.2%* |
| &nbsp;&nbsp;&nbsp; AT&T Inc., Senior Notes | &nbsp;&nbsp; 2.250% | &nbsp;&nbsp; 2/1/32 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 42439<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 2.355% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 130000<br>| &nbsp;&nbsp;&nbsp; 110919<br>|
| &nbsp;&nbsp;&nbsp; Verizon Communications Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 8/10/33 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 38350<br>|
| *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | *Total Diversified Telecommunication Services* | &nbsp;&nbsp; *191708* |
| *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* | *Entertainment — 0.1%* |
| &nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | &nbsp;&nbsp; 4.279% | &nbsp;&nbsp; 3/15/32 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 16978<br>|
| &nbsp;&nbsp;&nbsp; Warnermedia Holdings Inc., Senior Notes | &nbsp;&nbsp; 5.391% | &nbsp;&nbsp; 3/15/62 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; 45094<br>|
| *Total Entertainment* | *Total Entertainment* | *Total Entertainment* | *Total Entertainment* | &nbsp;&nbsp; *62072* |
| *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* | *Interactive Media & Services — 0.1%* |
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 5/15/35 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 29149<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 5/15/55 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 38710<br>|
| &nbsp;&nbsp;&nbsp; Alphabet Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 5/15/65 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 38331<br>|
| &nbsp;&nbsp;&nbsp; Meta Platforms Inc., Senior Notes | &nbsp;&nbsp; 4.750% | &nbsp;&nbsp; 8/15/34 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; 69248<br>|
| *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | *Total Interactive Media & Services* | &nbsp;&nbsp; *175438* |
| *Media — 1.1%* | *Media — 1.1%* | *Media — 1.1%* | *Media — 1.1%* | *Media — 1.1%* |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 6.550% | &nbsp;&nbsp; 6/1/34 | &nbsp;&nbsp; 630000<br>| &nbsp;&nbsp;&nbsp; 659310<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 5.375% | &nbsp;&nbsp; 5/1/47 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 8406<br>|
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC/Charter Communications Operating <br> Capital Corp., Senior Secured Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 7/1/49 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 8052<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 3.969% | &nbsp;&nbsp; 11/1/47 | &nbsp;&nbsp; 320000<br>| &nbsp;&nbsp;&nbsp; 240124<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 3.999% | &nbsp;&nbsp; 11/1/49 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 66828<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 2.887% | &nbsp;&nbsp; 11/1/51 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 35640<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 5/15/53 | &nbsp;&nbsp; 310000<br>| &nbsp;&nbsp;&nbsp; 280862<br>|
| &nbsp;&nbsp;&nbsp; Comcast Corp., Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 10/15/58 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 16733<br>|
| &nbsp;&nbsp;&nbsp; Fox Corp., Senior Notes | &nbsp;&nbsp; 6.500% | &nbsp;&nbsp; 10/13/33 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 64278<br>|
| *Total Media* | *Total Media* | *Total Media* | *Total Media* | &nbsp;&nbsp; *1380233* |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| *Wireless Telecommunication Services — 0.9%* | *Wireless Telecommunication Services — 0.9%* | *Wireless Telecommunication Services — 0.9%* | *Wireless Telecommunication Services — 0.9%* | *Wireless Telecommunication Services — 0.9%* |
| &nbsp;&nbsp;&nbsp; Rogers Communications Inc., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/15/34 | &nbsp;&nbsp; $50000<br>| &nbsp;&nbsp;&nbsp; $49217<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 2.625% | &nbsp;&nbsp; 2/15/29 | &nbsp;&nbsp; 770000<br>| &nbsp;&nbsp;&nbsp; 716817<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 4/15/30 | &nbsp;&nbsp; 160000<br>| &nbsp;&nbsp;&nbsp; 154344<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 4/15/34 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 59920<br>|
| &nbsp;&nbsp;&nbsp; T-Mobile USA Inc., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 11/15/55 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 116960<br>|
| *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | *Total Wireless Telecommunication Services* | &nbsp;&nbsp; *1097258* |
| **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | **Total Communication Services** | &nbsp;&nbsp; **2906709** |
| **Consumer Discretionary — 1.2%** | **Consumer Discretionary — 1.2%** | **Consumer Discretionary — 1.2%** | **Consumer Discretionary — 1.2%** | **Consumer Discretionary — 1.2%** |
| *Automobiles — 0.0%††* | *Automobiles — 0.0%††* | *Automobiles — 0.0%††* | *Automobiles — 0.0%††* | *Automobiles — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Ford Motor Co., Senior Notes | &nbsp;&nbsp; 6.100% | &nbsp;&nbsp; 8/19/32 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; *58629*<br>|
| *Broadline Retail — 0.9%* | *Broadline Retail — 0.9%* | *Broadline Retail — 0.9%* | *Broadline Retail — 0.9%* | *Broadline Retail — 0.9%* |
| &nbsp;&nbsp;&nbsp; Prosus NV, Senior Notes | &nbsp;&nbsp; 4.027% | &nbsp;&nbsp; 8/3/50 | &nbsp;&nbsp; 1610000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1036275*<br> <sup>(b)</sup><br>|
| *Hotels, Restaurants & Leisure — 0.3%* | *Hotels, Restaurants & Leisure — 0.3%* | *Hotels, Restaurants & Leisure — 0.3%* | *Hotels, Restaurants & Leisure — 0.3%* | *Hotels, Restaurants & Leisure — 0.3%* |
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 6/15/28 | &nbsp;&nbsp; 160000<br>| &nbsp;&nbsp;&nbsp; 160408<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 8/15/29 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 50805<br>|
| &nbsp;&nbsp;&nbsp; Las Vegas Sands Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 6/14/30 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30341<br>|
| &nbsp;&nbsp;&nbsp; Royal Caribbean Cruises Ltd., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 2/1/33 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 100421<br> <sup>(b)</sup><br>|
| *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | *Total Hotels, Restaurants & Leisure* | &nbsp;&nbsp; *341975* |
| **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | **Total Consumer Discretionary** | &nbsp;&nbsp; **1436879** |
| **Consumer Staples — 0.8%** | **Consumer Staples — 0.8%** | **Consumer Staples — 0.8%** | **Consumer Staples — 0.8%** | **Consumer Staples — 0.8%** |
| *Food Products — 0.3%* | *Food Products — 0.3%* | *Food Products — 0.3%* | *Food Products — 0.3%* | *Food Products — 0.3%* |
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/32 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 250955<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Mars Inc., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/1/35 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 59798<br> <sup>(b)</sup><br>|
| *Total Food Products* | *Total Food Products* | *Total Food Products* | *Total Food Products* | &nbsp;&nbsp; *310753* |
| *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* | *Personal Care Products — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Kenvue Inc., Senior Notes | &nbsp;&nbsp; 4.900% | &nbsp;&nbsp; 3/22/33 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; *60220*<br>|
| *Tobacco — 0.5%* | *Tobacco — 0.5%* | *Tobacco — 0.5%* | *Tobacco — 0.5%* | *Tobacco — 0.5%* |
| &nbsp;&nbsp;&nbsp; Altria Group Inc., Senior Notes | &nbsp;&nbsp; 6.875% | &nbsp;&nbsp; 11/1/33 | &nbsp;&nbsp; 220000<br>| &nbsp;&nbsp;&nbsp; 241847<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 8/15/32 | &nbsp;&nbsp; 150000<br>| &nbsp;&nbsp;&nbsp; 151570<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 2/20/34 | &nbsp;&nbsp; 110000<br>| &nbsp;&nbsp;&nbsp; 114482<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 7.081% | &nbsp;&nbsp; 8/2/53 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10861<br>|
| &nbsp;&nbsp;&nbsp; BAT Capital Corp., Senior Notes | &nbsp;&nbsp; 6.250% | &nbsp;&nbsp; 8/15/55 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 9863<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 4.875% | &nbsp;&nbsp; 2/13/29 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30381<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 2/13/31 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10175<br>|
| &nbsp;&nbsp;&nbsp; Philip Morris International Inc., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 2/13/34 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 60397<br>|
| *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | *Total Tobacco* | &nbsp;&nbsp; *629576* |
| **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | **Total Consumer Staples** | &nbsp;&nbsp; **1000549** |
| **Energy — 3.8%** | **Energy — 3.8%** | **Energy — 3.8%** | **Energy — 3.8%** | **Energy — 3.8%** |
| *Oil, Gas & Consumable Fuels — 3.8%* | *Oil, Gas & Consumable Fuels — 3.8%* | *Oil, Gas & Consumable Fuels — 3.8%* | *Oil, Gas & Consumable Fuels — 3.8%* | *Oil, Gas & Consumable Fuels — 3.8%* |
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC, Senior Notes | &nbsp;&nbsp; 6.036% | &nbsp;&nbsp; 11/15/33 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 123588<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC, Senior Notes | &nbsp;&nbsp; 6.544% | &nbsp;&nbsp; 11/15/53 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10060<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Ecopetrol SA, Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 5/28/45 | &nbsp;&nbsp; 1400000<br>| &nbsp;&nbsp;&nbsp; 943726<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 6.650% | &nbsp;&nbsp; 10/15/34 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 54377<br>|
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC, Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 2/16/55 | &nbsp;&nbsp; 170000<br>| &nbsp;&nbsp;&nbsp; 158771<br>|
| &nbsp;&nbsp;&nbsp; EOG Resources Inc., Senior Notes | &nbsp;&nbsp; 3.900% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 82000<br>| &nbsp;&nbsp;&nbsp; 73894<br>|
| &nbsp;&nbsp;&nbsp; EQT Corp., Senior Notes | &nbsp;&nbsp; 7.000% | &nbsp;&nbsp; 2/1/30 | &nbsp;&nbsp; 240000<br>| &nbsp;&nbsp;&nbsp; 257007<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

May 31, 2025

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| *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; KazMunayGas National Co. JSC, Senior Notes | &nbsp;&nbsp; 5.750% | &nbsp;&nbsp; 4/19/47 | &nbsp;&nbsp; $440000<br>| &nbsp;&nbsp;&nbsp; $369874<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 11/1/26 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 91046<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.650% | &nbsp;&nbsp; 11/1/28 | &nbsp;&nbsp; 140000<br>| &nbsp;&nbsp;&nbsp; 144141<br>|
| &nbsp;&nbsp;&nbsp; ONEOK Inc., Senior Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 11/1/30 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 10360<br>|
| &nbsp;&nbsp;&nbsp; Petroleos del Peru SA, Senior Notes | &nbsp;&nbsp; 5.625% | &nbsp;&nbsp; 6/19/47 | &nbsp;&nbsp; 1270000<br>| &nbsp;&nbsp;&nbsp; 774231<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Reliance Industries Ltd., Senior Notes | &nbsp;&nbsp; 3.625% | &nbsp;&nbsp; 1/12/52 | &nbsp;&nbsp; 2430000<br>| &nbsp;&nbsp;&nbsp; 1634528<br> <sup>(b)</sup><br>|
| **Total Energy** | **Total Energy** | **Total Energy** | **Total Energy** | &nbsp;&nbsp; **4645603** |
| **Financials — 1.6%** | **Financials — 1.6%** | **Financials — 1.6%** | **Financials — 1.6%** | **Financials — 1.6%** |
| *Banks — 1.0%* | *Banks — 1.0%* | *Banks — 1.0%* | *Banks — 1.0%* | *Banks — 1.0%* |
| &nbsp;&nbsp;&nbsp; Banco Santander SA, Senior Notes (4.175% to 3/24/27 then 1 year Treasury <br> Constant Maturity Rate + 2.000%) | &nbsp;&nbsp; 4.175% | &nbsp;&nbsp; 3/24/28 | &nbsp;&nbsp; 200000<br>| &nbsp;&nbsp;&nbsp; 198194<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia, Subordinated Notes (4.588% to 5/4/32 then 5 year <br> Treasury Constant Maturity Rate + 2.050%) | &nbsp;&nbsp; 4.588% | &nbsp;&nbsp; 5/4/37 | &nbsp;&nbsp; 210000<br>| &nbsp;&nbsp;&nbsp; 195786<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; BNP Paribas SA, Senior Notes (5.894% to 12/5/33 then SOFR + 1.866%) | &nbsp;&nbsp; 5.894% | &nbsp;&nbsp; 12/5/34 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 261059<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA, Senior Notes (3.758% to 4/6/32 then 1 year <br> Treasury Constant Maturity Rate + 1.420%) | &nbsp;&nbsp; 3.758% | &nbsp;&nbsp; 4/6/33 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 229769<br> <sup>(b)(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; PNC Financial Services Group Inc., Senior Notes (5.582% to 6/12/28 then SOFR <br> + 1.841%) | &nbsp;&nbsp; 5.582% | &nbsp;&nbsp; 6/12/29 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 123499<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; PNC Financial Services Group Inc., Senior Notes (5.812% to 6/12/25 then SOFR <br> + 1.322%) | &nbsp;&nbsp; 5.812% | &nbsp;&nbsp; 6/12/26 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30006<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; Truist Financial Corp., Senior Notes (6.047% to 6/8/26 then SOFR + 2.050%) | &nbsp;&nbsp; 6.047% | &nbsp;&nbsp; 6/8/27 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; 70922<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; US Bancorp, Senior Notes (5.775% to 6/12/28 then SOFR + 2.020%) | &nbsp;&nbsp; 5.775% | &nbsp;&nbsp; 6/12/29 | &nbsp;&nbsp; 80000<br>| &nbsp;&nbsp;&nbsp; 82604<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; US Bancorp, Senior Notes (5.836% to 6/10/33 then SOFR + 2.260%) | &nbsp;&nbsp; 5.836% | &nbsp;&nbsp; 6/12/34 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30987<br> <sup>(c)</sup><br>|
| *Total Banks* | *Total Banks* | *Total Banks* | *Total Banks* | &nbsp;&nbsp; *1222826* |
| *Capital Markets — 0.5%* | *Capital Markets — 0.5%* | *Capital Markets — 0.5%* | *Capital Markets — 0.5%* | *Capital Markets — 0.5%* |
| &nbsp;&nbsp;&nbsp; Charles Schwab Corp., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 8/24/26 | &nbsp;&nbsp; 150000<br>| &nbsp;&nbsp;&nbsp; 152441<br>|
| &nbsp;&nbsp;&nbsp; Charles Schwab Corp., Senior Notes (6.136% to 8/24/33 then SOFR + 2.010%) | &nbsp;&nbsp; 6.136% | &nbsp;&nbsp; 8/24/34 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 31873<br> <sup>(c)</sup><br>|
| &nbsp;&nbsp;&nbsp; CI Financial Corp., Senior Notes | &nbsp;&nbsp; 7.500% | &nbsp;&nbsp; 5/30/29 | &nbsp;&nbsp; 140000<br>| &nbsp;&nbsp;&nbsp; 146880<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; UBS Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%) | &nbsp;&nbsp; 9.016% | &nbsp;&nbsp; 11/15/33 | &nbsp;&nbsp; 250000<br>| &nbsp;&nbsp;&nbsp; 305483<br> <sup>(b)(c)</sup><br>|
| *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | *Total Capital Markets* | &nbsp;&nbsp; *636677* |
| *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* | *Insurance — 0.1%* |
| &nbsp;&nbsp;&nbsp; Aon North America Inc., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/1/34 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; *101152*<br>|
| **Total Financials** | **Total Financials** | **Total Financials** | **Total Financials** | &nbsp;&nbsp; **1960655** |
| **Health Care — 1.0%** | **Health Care — 1.0%** | **Health Care — 1.0%** | **Health Care — 1.0%** | **Health Care — 1.0%** |
| *Biotechnology — 0.1%* | *Biotechnology — 0.1%* | *Biotechnology — 0.1%* | *Biotechnology — 0.1%* | *Biotechnology — 0.1%* |
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.800% | &nbsp;&nbsp; 3/15/29 | &nbsp;&nbsp; 80000<br>| &nbsp;&nbsp;&nbsp; 81179<br>|
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 40668<br>|
| &nbsp;&nbsp;&nbsp; AbbVie Inc., Senior Notes | &nbsp;&nbsp; 5.050% | &nbsp;&nbsp; 3/15/34 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 20065<br>|
| *Total Biotechnology* | *Total Biotechnology* | *Total Biotechnology* | *Total Biotechnology* | &nbsp;&nbsp; *141912* |
| *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* | *Health Care Equipment & Supplies — 0.3%* |
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 3/1/29 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 91862<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.450% | &nbsp;&nbsp; 3/13/31 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; 92170<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.600% | &nbsp;&nbsp; 3/23/34 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 121076<br>|
| &nbsp;&nbsp;&nbsp; Solventum Corp., Senior Notes | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 4/30/54 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 28814<br>|
| *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | *Total Health Care Equipment & Supplies* | &nbsp;&nbsp; *333922* |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| *Health Care Providers & Services — 0.3%* | *Health Care Providers & Services — 0.3%* | *Health Care Providers & Services — 0.3%* | *Health Care Providers & Services — 0.3%* | *Health Care Providers & Services — 0.3%* |
| &nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | &nbsp;&nbsp; 4.100% | &nbsp;&nbsp; 5/15/32 | &nbsp;&nbsp; $200000<br>| &nbsp;&nbsp;&nbsp; $188576<br>|
| &nbsp;&nbsp;&nbsp; Elevance Health Inc., Senior Notes | &nbsp;&nbsp; 4.550% | &nbsp;&nbsp; 5/15/52 | &nbsp;&nbsp; 130000<br>| &nbsp;&nbsp;&nbsp; 103515<br>|
| *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | *Total Health Care Providers & Services* | &nbsp;&nbsp; *292091* |
| *Pharmaceuticals — 0.3%* | *Pharmaceuticals — 0.3%* | *Pharmaceuticals — 0.3%* | *Pharmaceuticals — 0.3%* | *Pharmaceuticals — 0.3%* |
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.100% | &nbsp;&nbsp; 2/22/31 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 51208<br>|
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 2/22/34 | &nbsp;&nbsp; 110000<br>| &nbsp;&nbsp;&nbsp; 110879<br>|
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.550% | &nbsp;&nbsp; 2/22/54 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 28508<br>|
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co., Senior Notes | &nbsp;&nbsp; 5.650% | &nbsp;&nbsp; 2/22/64 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 28393<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 4.700% | &nbsp;&nbsp; 2/9/34 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 118147<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 4.600% | &nbsp;&nbsp; 8/14/34 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 29257<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 2/9/54 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 18162<br>|
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co., Senior Notes | &nbsp;&nbsp; 5.100% | &nbsp;&nbsp; 2/9/64 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 27045<br>|
| *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | *Total Pharmaceuticals* | &nbsp;&nbsp; *411599* |
| **Total Health Care** | **Total Health Care** | **Total Health Care** | **Total Health Care** | &nbsp;&nbsp; **1179524** |
| **Industrials — 0.6%** | **Industrials — 0.6%** | **Industrials — 0.6%** | **Industrials — 0.6%** | **Industrials — 0.6%** |
| *Aerospace & Defense — 0.4%* | *Aerospace & Defense — 0.4%* | *Aerospace & Defense — 0.4%* | *Aerospace & Defense — 0.4%* | *Aerospace & Defense — 0.4%* |
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 5.150% | &nbsp;&nbsp; 5/1/30 | &nbsp;&nbsp; 190000<br>| &nbsp;&nbsp;&nbsp; 191751<br>|
| &nbsp;&nbsp;&nbsp; Boeing Co., Senior Notes | &nbsp;&nbsp; 6.858% | &nbsp;&nbsp; 5/1/54 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 42692<br>|
| &nbsp;&nbsp;&nbsp; Lockheed Martin Corp., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 2/15/64 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 26999<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 6.000% | &nbsp;&nbsp; 3/15/31 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 63751<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 4.500% | &nbsp;&nbsp; 6/1/42 | &nbsp;&nbsp; 130000<br>| &nbsp;&nbsp;&nbsp; 112522<br>|
| &nbsp;&nbsp;&nbsp; RTX Corp., Senior Notes | &nbsp;&nbsp; 3.030% | &nbsp;&nbsp; 3/15/52 | &nbsp;&nbsp; 10000<br>| &nbsp;&nbsp;&nbsp; 6221<br>|
| *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | *Total Aerospace & Defense* | &nbsp;&nbsp; *443936* |
| *Commercial Services & Supplies — 0.1%* | *Commercial Services & Supplies — 0.1%* | *Commercial Services & Supplies — 0.1%* | *Commercial Services & Supplies — 0.1%* | *Commercial Services & Supplies — 0.1%* |
| &nbsp;&nbsp;&nbsp; Waste Connections Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/34 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; *69814*<br>|
| *Industrial Conglomerates — 0.0%††* | *Industrial Conglomerates — 0.0%††* | *Industrial Conglomerates — 0.0%††* | *Industrial Conglomerates — 0.0%††* | *Industrial Conglomerates — 0.0%††* |
| &nbsp;&nbsp;&nbsp; Honeywell International Inc., Senior Notes | &nbsp;&nbsp; 5.000% | &nbsp;&nbsp; 3/1/35 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; *69471*<br>|
| *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* | *Trading Companies & Distributors — 0.1%* |
| &nbsp;&nbsp;&nbsp; Air Lease Corp., Senior Notes | &nbsp;&nbsp; 5.300% | &nbsp;&nbsp; 2/1/28 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; *91734*<br>|
| **Total Industrials** | **Total Industrials** | **Total Industrials** | **Total Industrials** | &nbsp;&nbsp; **674955** |
| **Information Technology — 0.2%** | **Information Technology — 0.2%** | **Information Technology — 0.2%** | **Information Technology — 0.2%** | **Information Technology — 0.2%** |
| *Semiconductors & Semiconductor Equipment — 0.1%* | *Semiconductors & Semiconductor Equipment — 0.1%* | *Semiconductors & Semiconductor Equipment — 0.1%* | *Semiconductors & Semiconductor Equipment — 0.1%* | *Semiconductors & Semiconductor Equipment — 0.1%* |
| &nbsp;&nbsp;&nbsp; Intel Corp., Senior Notes | &nbsp;&nbsp; 5.125% | &nbsp;&nbsp; 2/10/30 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 20260<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 5.875% | &nbsp;&nbsp; 2/9/33 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 30679<br>|
| &nbsp;&nbsp;&nbsp; Micron Technology Inc., Senior Notes | &nbsp;&nbsp; 6.050% | &nbsp;&nbsp; 11/1/35 | &nbsp;&nbsp; 100000<br>| &nbsp;&nbsp;&nbsp; 102010<br>|
| *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | *Total Semiconductors & Semiconductor Equipment* | &nbsp;&nbsp; *152949* |
| *Software — 0.1%* | *Software — 0.1%* | *Software — 0.1%* | *Software — 0.1%* | *Software — 0.1%* |
| &nbsp;&nbsp;&nbsp; Oracle Corp., Senior Notes | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 4/1/50 | &nbsp;&nbsp; 90000<br>| &nbsp;&nbsp;&nbsp; *61205*<br>|
| **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | **Total Information Technology** | &nbsp;&nbsp; **214154** |
| **Materials — 2.8%** | **Materials — 2.8%** | **Materials — 2.8%** | **Materials — 2.8%** | **Materials — 2.8%** |
| *Chemicals — 1.2%* | *Chemicals — 1.2%* | *Chemicals — 1.2%* | *Chemicals — 1.2%* | *Chemicals — 1.2%* |
| &nbsp;&nbsp;&nbsp; MEGlobal BV, Senior Notes | &nbsp;&nbsp; 2.625% | &nbsp;&nbsp; 4/28/28 | &nbsp;&nbsp; 1510000<br>| &nbsp;&nbsp;&nbsp;&nbsp; *1418230*<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; Holcim Finance US LLC, Senior Notes | &nbsp;&nbsp; 4.950% | &nbsp;&nbsp; 4/7/30 | &nbsp;&nbsp; 20000<br>| &nbsp;&nbsp;&nbsp; 20140<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Holcim Finance US LLC, Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 4/7/35 | &nbsp;&nbsp; 30000<br>| &nbsp;&nbsp;&nbsp; 29905<br> <sup>(b)</sup><br>|
| *Total Construction Materials* | *Total Construction Materials* | *Total Construction Materials* | *Total Construction Materials* | &nbsp;&nbsp; *50045* |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

May 31, 2025

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Rate | Maturity<br> Date<br>| Face<br> Amount<br>| Value |
| *Metals & Mining — 1.0%* | *Metals & Mining — 1.0%* | *Metals & Mining — 1.0%* | *Metals & Mining — 1.0%* | *Metals & Mining — 1.0%* |
| &nbsp;&nbsp;&nbsp; Freeport-McMoRan Inc., Senior Notes | &nbsp;&nbsp; 5.400% | &nbsp;&nbsp; 11/14/34 | &nbsp;&nbsp; $170000<br>| &nbsp;&nbsp;&nbsp; $169640<br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 5.673% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 120000<br>| &nbsp;&nbsp;&nbsp; 120368<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC, Senior Notes | &nbsp;&nbsp; 6.141% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 50000<br>| &nbsp;&nbsp;&nbsp; 49056<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Southern Copper Corp., Senior Notes | &nbsp;&nbsp; 5.250% | &nbsp;&nbsp; 11/8/42 | &nbsp;&nbsp; 910000<br>| &nbsp;&nbsp;&nbsp; 822135<br>|
| *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | *Total Metals & Mining* | &nbsp;&nbsp; *1161199* |
| *Paper & Forest Products — 0.6%* | *Paper & Forest Products — 0.6%* | *Paper & Forest Products — 0.6%* | *Paper & Forest Products — 0.6%* | *Paper & Forest Products — 0.6%* |
| &nbsp;&nbsp;&nbsp; Suzano Austria GmbH, Senior Notes | &nbsp;&nbsp; 3.125% | &nbsp;&nbsp; 1/15/32 | &nbsp;&nbsp; 840000<br>| &nbsp;&nbsp;&nbsp; *718707*<br>|
| **Total Materials** | **Total Materials** | **Total Materials** | **Total Materials** | &nbsp;&nbsp; **3348181** |
| **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** | **Utilities — 0.2%** |
| *Electric Utilities — 0.2%* | *Electric Utilities — 0.2%* | *Electric Utilities — 0.2%* | *Electric Utilities — 0.2%* | *Electric Utilities — 0.2%* |
| &nbsp;&nbsp;&nbsp; Florida Power & Light Co., First Mortgage Bonds | &nbsp;&nbsp; 5.700% | &nbsp;&nbsp; 3/15/55 | &nbsp;&nbsp; 70000<br>| &nbsp;&nbsp;&nbsp; 68966<br>|
| &nbsp;&nbsp;&nbsp; Georgia Power Co., Senior Notes | &nbsp;&nbsp; 5.200% | &nbsp;&nbsp; 3/15/35 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 59737<br>|
| &nbsp;&nbsp;&nbsp; Oglethorpe Power Corp., First Mortgage Bonds | &nbsp;&nbsp; 5.900% | &nbsp;&nbsp; 2/1/55 | &nbsp;&nbsp; 60000<br>| &nbsp;&nbsp;&nbsp; 57870<br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Secured Notes | &nbsp;&nbsp; 5.800% | &nbsp;&nbsp; 4/1/55 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 38880<br> <sup>(b)</sup><br>|
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC, Senior Secured Notes | &nbsp;&nbsp; 5.350% | &nbsp;&nbsp; 4/1/35 | &nbsp;&nbsp; 40000<br>| &nbsp;&nbsp;&nbsp; 40088<br> <sup>(b)</sup><br>|
| **Total Utilities** | **Total Utilities** | **Total Utilities** | **Total Utilities** | &nbsp;&nbsp; **265541** |
| **Total Corporate Bonds & Notes (Cost — $20,807,831)** | **Total Corporate Bonds & Notes (Cost — $20,807,831)** | **Total Corporate Bonds & Notes (Cost — $20,807,831)** | **Total Corporate Bonds & Notes (Cost — $20,807,831)** | &nbsp;&nbsp; **17632750** |
| **U.S. Government & Agency Obligations — 4.3%** | **U.S. Government & Agency Obligations — 4.3%** | **U.S. Government & Agency Obligations — 4.3%** | **U.S. Government & Agency Obligations — 4.3%** | **U.S. Government & Agency Obligations — 4.3%** |
| *U.S. Government Obligations — 4.3%* | *U.S. Government Obligations — 4.3%* | *U.S. Government Obligations — 4.3%* | *U.S. Government Obligations — 4.3%* | *U.S. Government Obligations — 4.3%* |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 2/15/54 | &nbsp;&nbsp; 3370000 | &nbsp;&nbsp;&nbsp; 3010819<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds | &nbsp;&nbsp; 4.250% | &nbsp;&nbsp; 8/15/54 | &nbsp;&nbsp; 2350000 | &nbsp;&nbsp;&nbsp; 2102148<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes | &nbsp;&nbsp; 3.875% | &nbsp;&nbsp; 4/30/30 | &nbsp;&nbsp; 60000 | &nbsp;&nbsp;&nbsp; 59770<br>|
| **Total U.S. Government & Agency Obligations (Cost — $5,666,159)** | **Total U.S. Government & Agency Obligations (Cost — $5,666,159)** | **Total U.S. Government & Agency Obligations (Cost — $5,666,159)** | **Total U.S. Government & Agency Obligations (Cost — $5,666,159)** | &nbsp;&nbsp; **5172737** |
| **Sovereign Bonds — 3.1%** | **Sovereign Bonds — 3.1%** | **Sovereign Bonds — 3.1%** | **Sovereign Bonds — 3.1%** | **Sovereign Bonds — 3.1%** |
| *Chile — 0.1%* | *Chile — 0.1%* | *Chile — 0.1%* | *Chile — 0.1%* | *Chile — 0.1%* |
| &nbsp;&nbsp;&nbsp; Chile Government International Bond, Senior Notes | &nbsp;&nbsp; 3.100% | &nbsp;&nbsp; 1/22/61 | &nbsp;&nbsp; 340000<br>| &nbsp;&nbsp;&nbsp; *199750*<br>|
| *Colombia — 1.4%* | *Colombia — 1.4%* | *Colombia — 1.4%* | *Colombia — 1.4%* | *Colombia — 1.4%* |
| &nbsp;&nbsp;&nbsp; Colombia Government International Bond, Senior Notes | &nbsp;&nbsp; 3.250% | &nbsp;&nbsp; 4/22/32 | &nbsp;&nbsp; 2130000<br>| &nbsp;&nbsp;&nbsp; *1677907*<br>|
| *Israel — 0.7%* | *Israel — 0.7%* | *Israel — 0.7%* | *Israel — 0.7%* | *Israel — 0.7%* |
| &nbsp;&nbsp;&nbsp; State of Israel, Senior Notes | &nbsp;&nbsp; 3.375% | &nbsp;&nbsp; 1/15/50 | &nbsp;&nbsp; 1330000<br>| &nbsp;&nbsp;&nbsp; *825784*<br>|
| *Peru — 0.9%* | *Peru — 0.9%* | *Peru — 0.9%* | *Peru — 0.9%* | *Peru — 0.9%* |
| &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp; 3.550% | &nbsp;&nbsp; 3/10/51 | &nbsp;&nbsp; 160000<br>| &nbsp;&nbsp;&nbsp; 107600<br>|
| &nbsp;&nbsp;&nbsp; Peruvian Government International Bond, Senior Notes | &nbsp;&nbsp; 3.600% | &nbsp;&nbsp; 1/15/72 | &nbsp;&nbsp; 1580000<br>| &nbsp;&nbsp;&nbsp; 956888<br>|
| *Total Peru* | *Total Peru* | *Total Peru* | *Total Peru* | &nbsp;&nbsp; *1064488* |
| **Total Sovereign Bonds (Cost — $5,600,529)** | **Total Sovereign Bonds (Cost — $5,600,529)** | **Total Sovereign Bonds (Cost — $5,600,529)** | **Total Sovereign Bonds (Cost — $5,600,529)** | &nbsp;&nbsp; **3767929** |
| **U.S. Treasury Inflation Protected Securities — 1.2%** | **U.S. Treasury Inflation Protected Securities — 1.2%** | **U.S. Treasury Inflation Protected Securities — 1.2%** | **U.S. Treasury Inflation Protected Securities — 1.2%** | **U.S. Treasury Inflation Protected Securities — 1.2%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes, Inflation Indexed (Cost — $1,536,059) | &nbsp;&nbsp; 1.125% | &nbsp;&nbsp; 1/15/33 | &nbsp;&nbsp; 1545984<br>| &nbsp;&nbsp;&nbsp; **1465270**<br>|
|  | Expiration <br>Date<br>| Contracts | Notional <br>Amount<br>|  |
| **Purchased Options — 0.6%** | **Purchased Options — 0.6%** | **Purchased Options — 0.6%** | **Purchased Options — 0.6%** | **Purchased Options — 0.6%** |
| **Exchange-Traded Purchased Options — 0.6%** | **Exchange-Traded Purchased Options — 0.6%** | **Exchange-Traded Purchased Options — 0.6%** | **Exchange-Traded Purchased Options — 0.6%** | **Exchange-Traded Purchased Options — 0.6%** |
| &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.000 | 6/13/25 | &nbsp;&nbsp; 312 | &nbsp;&nbsp; $780000 | &nbsp;&nbsp;&nbsp; 1950<br>|
| &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.000 | 9/12/25 | &nbsp;&nbsp; 212 | &nbsp;&nbsp; 530000 | &nbsp;&nbsp;&nbsp; 60950<br>|
| &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.125 | 9/12/25 | &nbsp;&nbsp; 322 | &nbsp;&nbsp; 805000 | &nbsp;&nbsp;&nbsp; 70437<br>|
| &nbsp;&nbsp;&nbsp; 3-Month SOFR Futures, Call @ $96.625 | 9/12/25 | &nbsp;&nbsp; 103 | &nbsp;&nbsp; 257500 | &nbsp;&nbsp;&nbsp; 9013<br>|

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Completion Fund**

(Percentages shown based on Fund net assets)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Security | Expiration<br> Date<br>| Contracts | 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; 3-Month SOFR Futures, Call @ $96.250 | 12/12/25 | &nbsp;&nbsp; 307 | &nbsp;&nbsp; $767500 | &nbsp;&nbsp;&nbsp; $174606<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $108.000 | 6/6/25 | &nbsp;&nbsp; 157 | &nbsp;&nbsp; 157000 | &nbsp;&nbsp;&nbsp; 57648<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 5-Year Notes Futures, Call @ $108.500 | 6/13/25 | &nbsp;&nbsp; 229 | &nbsp;&nbsp; 229000 | &nbsp;&nbsp;&nbsp; 53672<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Call @ $111.000 | 6/13/25 | &nbsp;&nbsp; 127 | &nbsp;&nbsp; 127000 | &nbsp;&nbsp;&nbsp; 53578<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Call @ $111.250 | 6/13/25 | &nbsp;&nbsp; 210 | &nbsp;&nbsp; 210000 | &nbsp;&nbsp;&nbsp; 68906<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 6 to 7-Year Notes Futures, Put @ $110.000 | 6/6/25 | &nbsp;&nbsp; 106 | &nbsp;&nbsp; 106000 | &nbsp;&nbsp;&nbsp; 13250<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $110.500 | 6/20/25 | &nbsp;&nbsp; 52 | &nbsp;&nbsp; 52000 | &nbsp;&nbsp;&nbsp; 41438<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Call @ $111.000 | 7/25/25 | &nbsp;&nbsp; 106 | &nbsp;&nbsp; 106000 | &nbsp;&nbsp;&nbsp; 102688<br>|
| &nbsp;&nbsp;&nbsp; U.S. Treasury 10-Year Notes Futures, Put @ $109.500 | 6/20/25 | &nbsp;&nbsp; 66 | &nbsp;&nbsp; 66000 | &nbsp;&nbsp;&nbsp; 14437<br>|
| **Total Purchased Options (Cost — $986,830)** | **Total Purchased Options (Cost — $986,830)** | **Total Purchased Options (Cost — $986,830)** | **Total Purchased Options (Cost — $986,830)** | &nbsp;&nbsp; **722573** |
| **Total Investments before Short-Term Investments (Cost — $182,643,845)** | **Total Investments before Short-Term Investments (Cost — $182,643,845)** | **Total Investments before Short-Term Investments (Cost — $182,643,845)** | **Total Investments before Short-Term Investments (Cost — $182,643,845)** | &nbsp;&nbsp; **174896660** |
|  | Rate |  | Shares |  |
| **Short-Term Investments — 16.6%** | **Short-Term Investments — 16.6%** | **Short-Term Investments — 16.6%** | **Short-Term Investments — 16.6%** | **Short-Term Investments — 16.6%** |
| **Overnight Deposits — 16.4%** | **Overnight Deposits — 16.4%** | **Overnight Deposits — 16.4%** | **Overnight Deposits — 16.4%** | **Overnight Deposits — 16.4%** |
| &nbsp;&nbsp;&nbsp; BNY Mellon Cash Reserve Fund <br>(Cost — $19,916,043) | &nbsp;&nbsp; 1.050% |  | &nbsp;&nbsp; 19916043<br>| &nbsp;&nbsp;&nbsp;&nbsp; **19916043**<br> <sup>(e)</sup><br>|
|  |  | Maturity <br>Date<br>| Face <br>Amount<br>|  |
| **U.S. Government Agencies — 0.2%** | **U.S. Government Agencies — 0.2%** | **U.S. Government Agencies — 0.2%** | **U.S. Government Agencies — 0.2%** | **U.S. Government Agencies — 0.2%** |
| &nbsp;&nbsp;&nbsp; Federal Home Loan Bank (FHLB), Discount Notes (Cost — $197,030) | &nbsp;&nbsp; 4.371% | &nbsp;&nbsp; 10/6/25 | &nbsp;&nbsp; $200000<br>| &nbsp;&nbsp;&nbsp;&nbsp; **197022**<br> <sup>(f)</sup><br>|
| **Total Short-Term Investments (Cost — $20,113,073)** | **Total Short-Term Investments (Cost — $20,113,073)** | **Total Short-Term Investments (Cost — $20,113,073)** | **Total Short-Term Investments (Cost — $20,113,073)** | &nbsp;&nbsp; **20113065** |
| **Total Investments — 161.0% (Cost — $202,756,918)** | **Total Investments — 161.0% (Cost — $202,756,918)** | **Total Investments — 161.0% (Cost — $202,756,918)** | **Total Investments — 161.0% (Cost — $202,756,918)** | &nbsp;&nbsp; **195009725** |
| &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (61.0)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (61.0)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (61.0)% | &nbsp;&nbsp;&nbsp; Liabilities in Excess of Other Assets — (61.0)% | &nbsp;&nbsp;&nbsp; (73895416)<br>|
| **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | **Total Net Assets — 100.0%** | &nbsp;&nbsp; **$121114309** |

---

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

---

| | |
|:---|:---|
| †† | Represents less than 0.1%. |
| <sup>(a)</sup> | This security is traded on a to-be-announced ("TBA") basis. At May 31, 2025, the Fund held TBA securities with a total cost of $80,532,195. |
| <sup>(b)</sup> | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from <br> registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. <br>|
| <sup>(c)</sup> | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published <br> reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a <br> reference rate and spread in their description above.<br>|
| <sup>(d)</sup> | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct <br> payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or <br> more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.<br>|
| <sup>(e)</sup> | Rate shown is one-day yield as of the end of the reporting period.  |
| <sup>(f)</sup> | Rate shown represents yield-to-maturity. |

---

&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:** |
| CAS |  | Connecticut Avenue Securities |
| CLO |  | Collateralized Loan Obligation |
| IO |  | Interest Only |
| JSC |  | Joint Stock Company |
| SOFR |  | Secured Overnight Financing Rate |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Schedule of Investments (unaudited) (cont'd)

May 31, 2025

 **Western Asset SMASh Series Core Completion Fund**

At May 31, 2025, the Fund had the following open written options contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** | **Exchange-Traded Written Options** |
| Security | &nbsp;&nbsp;&nbsp; Expiration <br>Date<br>| &nbsp;&nbsp;&nbsp; Strike <br>Price<br>| Contracts | &nbsp;&nbsp;&nbsp; Notional <br>Amount<br>| Value |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 6/13/25 | &nbsp;&nbsp;&nbsp;&nbsp; $96.500 | &nbsp;&nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp;&nbsp;&nbsp; $1020000 | &nbsp;&nbsp;&nbsp;&nbsp; $(2550) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/12/25 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;96.563 | &nbsp;&nbsp;&nbsp;&nbsp; 246 | &nbsp;&nbsp;&nbsp;&nbsp; 615000 | &nbsp;&nbsp;&nbsp;&nbsp; (87637) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 12/12/25 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;96.750 | &nbsp;&nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp;&nbsp;&nbsp; 767500 | &nbsp;&nbsp;&nbsp;&nbsp; (82506) |
| 3-Month SOFR Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 9/11/26 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;97.500 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 265000 | &nbsp;&nbsp;&nbsp;&nbsp; (56975) |
| 3-Month SOFR Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 12/12/25 | &nbsp;&nbsp;&nbsp; &nbsp;&nbsp;&nbsp;&nbsp;95.375 | &nbsp;&nbsp;&nbsp;&nbsp; 307 | &nbsp;&nbsp;&nbsp;&nbsp; 767500 | &nbsp;&nbsp;&nbsp;&nbsp; (9594) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 7/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;109.500 | &nbsp;&nbsp;&nbsp;&nbsp; 229 | &nbsp;&nbsp;&nbsp;&nbsp; 229000 | &nbsp;&nbsp;&nbsp;&nbsp; (62617) |
| U.S. Treasury 5-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 7/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;110.250 | &nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp; 314000 | &nbsp;&nbsp;&nbsp;&nbsp; (49063) |
| U.S. Treasury 6 to 7-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 6/6/25 | &nbsp;&nbsp;&nbsp;&nbsp;111.250 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 106000 | &nbsp;&nbsp;&nbsp;&nbsp; (19875) |
| U.S. Treasury 6 to 7-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 6/13/25 | &nbsp;&nbsp;&nbsp;&nbsp;111.750 | &nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp; 254000 | &nbsp;&nbsp;&nbsp;&nbsp; (47625) |
| U.S. Treasury 6 to 7-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 6/6/25 | &nbsp;&nbsp;&nbsp;&nbsp;109.500 | &nbsp;&nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp;&nbsp;&nbsp; 212000 | &nbsp;&nbsp;&nbsp;&nbsp; (9938) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 6/20/25 | &nbsp;&nbsp;&nbsp;&nbsp;113.000 | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 157000 | &nbsp;&nbsp;&nbsp;&nbsp; (12266) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 6/20/25 | &nbsp;&nbsp;&nbsp;&nbsp;113.500 | &nbsp;&nbsp;&nbsp;&nbsp; 208 | &nbsp;&nbsp;&nbsp;&nbsp; 208000 | &nbsp;&nbsp;&nbsp;&nbsp; (9750) |
| U.S. Treasury 10-Year Notes Futures, Call | &nbsp;&nbsp;&nbsp;&nbsp; 7/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;113.000 | &nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp; 210000 | &nbsp;&nbsp;&nbsp;&nbsp; (72187) |
| U.S. Treasury 10-Year Notes Futures, Put | &nbsp;&nbsp;&nbsp;&nbsp; 7/25/25 | &nbsp;&nbsp;&nbsp;&nbsp;107.000 | &nbsp;&nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp;&nbsp;&nbsp; 132000 | &nbsp;&nbsp;&nbsp;&nbsp; (20625) |
| **Total Exchange-Traded Written Options (Premiums received — $825,124)** | **Total Exchange-Traded Written Options (Premiums received — $825,124)** | **Total Exchange-Traded Written Options (Premiums received — $825,124)** | **Total Exchange-Traded Written Options (Premiums received — $825,124)** | **Total Exchange-Traded Written Options (Premiums received — $825,124)** | &nbsp;&nbsp;&nbsp; **$(543208)** |

---

&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 May 31, 2025, the Fund had the following open futures contracts:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp; <br> Number of <br>Contracts<br>| &nbsp;&nbsp;&nbsp; <br> Expiration <br>Date<br>| &nbsp;&nbsp;&nbsp; <br> Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; <br> Market <br>Value<br>| &nbsp;&nbsp;&nbsp; <br> Unrealized <br>Appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)<br>|
| **Contracts to Buy:** <br>|  |  |  |  |  |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 6/25 | &nbsp;&nbsp;&nbsp;&nbsp; $17938883 | &nbsp;&nbsp;&nbsp;&nbsp; $17935313 | &nbsp;&nbsp;&nbsp;&nbsp; $(3570) |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 562 | &nbsp;&nbsp;&nbsp;&nbsp; 3/26 | &nbsp;&nbsp;&nbsp;&nbsp; 134879824 | &nbsp;&nbsp;&nbsp;&nbsp; 135153975 | &nbsp;&nbsp;&nbsp;&nbsp; 274151 |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp;&nbsp;&nbsp; 3/27 | &nbsp;&nbsp;&nbsp;&nbsp; 80557587 | &nbsp;&nbsp;&nbsp;&nbsp; 81036500 | &nbsp;&nbsp;&nbsp;&nbsp; 478913 |
| U.S. Treasury 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 598 | &nbsp;&nbsp;&nbsp;&nbsp; 9/25 | &nbsp;&nbsp;&nbsp;&nbsp; 65940996 | &nbsp;&nbsp;&nbsp;&nbsp; 66228500 | &nbsp;&nbsp;&nbsp;&nbsp; 287504 |
| U.S. Treasury Ultra 10-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp; 9/25 | &nbsp;&nbsp;&nbsp;&nbsp; 27206821 | &nbsp;&nbsp;&nbsp;&nbsp; 27573985 | &nbsp;&nbsp;&nbsp;&nbsp; 367164 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1404162 |
| **Contracts to Sell:** <br>|  |  |  |  |  |
| 3-Month SOFR | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 12/25 | &nbsp;&nbsp;&nbsp;&nbsp; 21594186 | &nbsp;&nbsp;&nbsp;&nbsp; 21582000 | &nbsp;&nbsp;&nbsp;&nbsp; 12186 |
| U.S. Treasury 2-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 745 | &nbsp;&nbsp;&nbsp;&nbsp; 9/25 | &nbsp;&nbsp;&nbsp;&nbsp; 154384758 | &nbsp;&nbsp;&nbsp;&nbsp; 154540937 | &nbsp;&nbsp;&nbsp;&nbsp; (156179) |
| U.S. Treasury 5-Year Notes | &nbsp;&nbsp;&nbsp;&nbsp; 1038 | &nbsp;&nbsp;&nbsp;&nbsp; 9/25 | &nbsp;&nbsp;&nbsp;&nbsp; 111991630 | &nbsp;&nbsp;&nbsp;&nbsp; 112298625 | &nbsp;&nbsp;&nbsp;&nbsp; (306995) |
| U.S. Treasury Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 9/25 | &nbsp;&nbsp;&nbsp;&nbsp; 8075885 | &nbsp;&nbsp;&nbsp;&nbsp; 8120250 | &nbsp;&nbsp;&nbsp;&nbsp; (44365) |
| U.S. Treasury Ultra Long-Term Bonds | &nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp; 9/25 | &nbsp;&nbsp;&nbsp;&nbsp; 26400298 | &nbsp;&nbsp;&nbsp;&nbsp; 26810437 | &nbsp;&nbsp;&nbsp;&nbsp; (410139) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (905492) |
| **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | **Net unrealized appreciation on open futures contracts** | &nbsp;&nbsp;&nbsp; **$498670** |

---

&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 |

---

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

 **Western Asset SMASh Series Core Completion Fund**

At May 31, 2025, the Fund had the following open swap contracts:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  | <br> **CENTRALLY CLEARED INTEREST RATE SWAPS**  |
|  | &nbsp;&nbsp;&nbsp; Notional <br>Amount<br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp;&nbsp; Payments <br>Received by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Appreciation <br>&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)<br>|
|  | &nbsp;&nbsp;&nbsp;&nbsp; $100057000 | &nbsp;&nbsp;&nbsp;&nbsp; 4/28/28 | &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3.300% <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; $(124661) | &nbsp;&nbsp;&nbsp;&nbsp; $443 | &nbsp;&nbsp;&nbsp;&nbsp; $(125104) |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 106908000 | &nbsp;&nbsp;&nbsp;&nbsp; 1/31/32 | &nbsp;&nbsp;&nbsp;&nbsp; 3.730% <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; (206024) | &nbsp;&nbsp;&nbsp;&nbsp; (686761) | &nbsp;&nbsp;&nbsp;&nbsp; 480737 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 23418000 | &nbsp;&nbsp;&nbsp;&nbsp; 4/28/36 | &nbsp;&nbsp;&nbsp;&nbsp; 3.850% <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; 70041 | &nbsp;&nbsp;&nbsp;&nbsp; (63019) | &nbsp;&nbsp;&nbsp;&nbsp; 133060 |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 4180000 | &nbsp;&nbsp;&nbsp;&nbsp; 11/15/53 | &nbsp;&nbsp;&nbsp;&nbsp; 3.770% <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; Daily SOFR <br>Compound <br>annually<br>| &nbsp;&nbsp;&nbsp;&nbsp; 203081 | &nbsp;&nbsp;&nbsp;&nbsp; (2254) | &nbsp;&nbsp;&nbsp;&nbsp; 205335 |
| **Total** | &nbsp;&nbsp;&nbsp; **$234563000** |  |  |  | &nbsp;&nbsp;&nbsp; **$(57563)** | &nbsp;&nbsp;&nbsp; **$(751591)** | &nbsp;&nbsp;&nbsp; **$694028** |

---

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

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  | <br> **CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — BUY PROTECTION**<sup>1</sup>  |
| Reference Entity | Notional <br>Amount<sup>2</sup> <br>| &nbsp;&nbsp;&nbsp; Termination <br>Date<br>| &nbsp;&nbsp;&nbsp;&nbsp; Periodic <br>Payments <br>Made by <br>the Fund<sup>†</sup> <br>| &nbsp;&nbsp;&nbsp; Market <br>Value<sup>3</sup> <br>| &nbsp;&nbsp;&nbsp; Upfront <br>Premiums <br>Paid <br>&nbsp;&nbsp;&nbsp;&nbsp;(Received)<br>| &nbsp;&nbsp;&nbsp; Unrealized <br>Depreciation<br>|
| Markit CDX.NA.IG.44 Index | $73888500 | &nbsp;&nbsp;&nbsp;&nbsp; 6/20/30 | 1.000% quarterly | &nbsp;&nbsp;&nbsp; **$(1482979)** | &nbsp;&nbsp;&nbsp; **$(1067189)** | &nbsp;&nbsp;&nbsp; **$(415790)** |

---

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

---

| | |
|:---|:---|
| <sup>1</sup> | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive <br> from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities <br> comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the <br> recovery value of the referenced obligation or the underlying securities comprising the referenced index.<br>|
| <sup>2</sup> | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event <br> occurs as defined under the terms of that particular swap agreement.<br>|
| <sup>3</sup> | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the <br> current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount <br> of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection), when <br> compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of <br> default or other credit event occurring as defined under the terms of the agreement.<br>|
| † | Percentage shown is an annual percentage rate. |

---

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

---

| | |
|:---|:---|
| Reference Index | Reference <br>Rate<br>|
| &nbsp;&nbsp;&nbsp; Daily SOFR Compound | 4.350% |

---

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

---

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

---

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

See Notes to Schedule of Investments.

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

Notes to Schedule of Investments (unaudited)

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

**1. Organization and significant accounting policies** 

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

Shares of the Fund may be purchased only by or on behalf of separately managed account clients where an affiliate of Franklin Templeton Fund Adviser, LLC ("FTFA") has an agreement to serve as investment adviser or subadviser (each affiliate, a "Managed Account Adviser") to the account with the managed account program sponsor (the "Program Sponsor") (typically, a registered investment adviser or broker/dealer) or directly with the client. Shareholders of the Fund pay fees to their separately managed account sponsor, some of which are paid to affiliates of FTFA. FTFA and the subadvisers do not charge investment management fees to the Fund.

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

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

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

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

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

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; $80583608 | &nbsp;&nbsp; — | &nbsp;&nbsp; $80583608 |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 35790294 | &nbsp;&nbsp; — | &nbsp;&nbsp; 35790294 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 29761499 | &nbsp;&nbsp; — | &nbsp;&nbsp; 29761499 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds & Notes | &nbsp;&nbsp; — | &nbsp;&nbsp; 17632750 | &nbsp;&nbsp; — | &nbsp;&nbsp; 17632750 |
| &nbsp;&nbsp;&nbsp; U.S. Government & Agency Obligations | &nbsp;&nbsp; — | &nbsp;&nbsp; 5172737 | &nbsp;&nbsp; — | &nbsp;&nbsp; 5172737 |
| &nbsp;&nbsp;&nbsp; Sovereign Bonds | &nbsp;&nbsp; — | &nbsp;&nbsp; 3767929 | &nbsp;&nbsp; — | &nbsp;&nbsp; 3767929 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Inflation Protected Securities | &nbsp;&nbsp; — | &nbsp;&nbsp; 1465270 | &nbsp;&nbsp; — | &nbsp;&nbsp; 1465270 |
| &nbsp;&nbsp;&nbsp; Purchased Options | &nbsp;&nbsp; $722573 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 722573 |
| Total Long-Term Investments | &nbsp;&nbsp; 722573 | &nbsp;&nbsp; 174174087 | &nbsp;&nbsp; — | &nbsp;&nbsp; 174896660 |
| Short-Term Investments†: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Overnight Deposits | &nbsp;&nbsp; — | &nbsp;&nbsp; 19916043 | &nbsp;&nbsp; — | &nbsp;&nbsp; 19916043 |
| &nbsp;&nbsp;&nbsp; U.S. Government Agencies | &nbsp;&nbsp; — | &nbsp;&nbsp; 197022 | &nbsp;&nbsp; — | &nbsp;&nbsp; 197022 |
| Total Short-Term Investments | &nbsp;&nbsp; — | &nbsp;&nbsp; 20113065 | &nbsp;&nbsp; — | &nbsp;&nbsp; 20113065 |
| **Total Investments** | &nbsp;&nbsp; **$722573** | &nbsp;&nbsp; **$194287152** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$195009725** |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; $1419918 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $1419918 |
| &nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† | &nbsp;&nbsp; — | &nbsp;&nbsp; $819132 | &nbsp;&nbsp; — | &nbsp;&nbsp; 819132 |
| **Total Other Financial Instruments** | &nbsp;&nbsp; **$1419918** | &nbsp;&nbsp; **$819132** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$2239050** |
| **Total** | &nbsp;&nbsp; **$2142491** | &nbsp;&nbsp; **$195106284** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$197248775** |

---

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  | **LIABILITIES**  |
| Description | &nbsp;&nbsp; Quoted Prices <br>(Level 1)<br>| &nbsp;&nbsp; Other Significant <br>Observable Inputs <br>(Level 2)<br>| &nbsp;&nbsp; Significant <br>Unobservable <br>Inputs <br>(Level 3)<br>| Total |
| Other Financial Instruments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Written Options | &nbsp;&nbsp; $543208 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; $543208 |
| &nbsp;&nbsp;&nbsp; Futures Contracts†† | &nbsp;&nbsp; 921248 | &nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp; 921248 |
| &nbsp;&nbsp;&nbsp; Centrally Cleared Interest Rate Swaps†† | &nbsp;&nbsp; — | &nbsp;&nbsp; $125104 | &nbsp;&nbsp; — | &nbsp;&nbsp; 125104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Centrally Cleared Credit Default Swaps on Credit Indices — Buy <br> Protection††<br>| &nbsp;&nbsp; — | &nbsp;&nbsp; 415790 | &nbsp;&nbsp; — | &nbsp;&nbsp; 415790 |
| **Total** | &nbsp;&nbsp; **$1464456** | &nbsp;&nbsp; **$540894** | &nbsp;&nbsp; **—** | &nbsp;&nbsp; **$2005350** |

---

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

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

------

Western Asset SMASh Series Core Completion Fund 2025 Quarterly Report

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-05-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $202923057.02

**Total Liabilities:** $81794627.66

**Net Assets:** $121128429.36

**Stand-by Commitments:** $80532195.37

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 29.84000000 | **1-Year:** 4790.08000000 | **5-Year:** 22152.11000000 | **10-Year:** 23024.46000000 | **30-Year:** 1854.83000000

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

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 212.89000000 | **10-Year:** 1423.92000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000220869 | 0.05%                | 0.29%                | 0.41%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $580359.64               | $-1595495.66                               |
| Month 2  | $-1254853.25             | $807275.05                                 |
| Month 3  | $-4364077.16             | $2377646.36                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       562 | NC      | $274151.07    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -246 | NC      | $-87637.50    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38330.70     | 0.03%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                       | Oglethorpe Power Corp                                                           | CUSIP: 677050AY2<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |     60000 | PA      | $57869.74     | 0.05%             | 2055-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                    | Rogers Communications Inc                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $49216.84     | 0.04%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CN6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27044.96     | 0.02%             | 2064-02-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                   | Prosus NV                                                                       | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   1610000 | PA      | $1036274.83   | 0.86%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    120000 | PA      | $121075.84    | 0.10%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28508.46     | 0.02%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                          | Meta Platforms Inc                                                              | CUSIP: 30303M8U9<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69247.78     | 0.06%             | 2034-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    130000 | PA      | $103515.36    | 0.09%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XXXIX LLC                    | J.G. Wentworth XXXIX LLC                                                        | CUSIP: 46620VAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235185 | PA      | $210854.86    | 0.17%             | 2074-09-17      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       312 | NC      | $1950.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28392.78     | 0.02%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                        | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBJ3<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169640.13    | 0.14%             | 2034-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10861.25     | 0.01%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    160000 | PA      | $154343.84    | 0.13%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                 | BNP Paribas SA                                                                  | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $261059.48    | 0.22%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                   | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    190000 | PA      | $191751.16    | 0.16%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust              | BOCA Commercial Mortgage Trust 2024-BOCA                                        | CUSIP: 096817AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $753596.48    | 0.62%             | 2041-08-15      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     10000 | PA      | $6221.36      | 0.01%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18161.90     | 0.01%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F062663<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6400000 | PA      | $6572301.38   | 5.43%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -408 | NC      | $-2550.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38349.51     | 0.03%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                             | Oaktree CLO 2024-25 Ltd                                                         | CUSIP: 67402PAA5<br>LEI: 254900NTZ5OVNC5X7789 | Long             | ABS-CBDO         | CORP              | KY        |   2560000 | PA      | $2571636.48   | 2.12%             | 2037-04-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                           | CI Financial Corp                                                               | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    140000 | PA      | $146879.77    | 0.12%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162003 | PA      | $158541.29    | 0.13%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81178.41     | 0.07%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                   | Nelnet Student Loan Trust 2025-A                                                | CUSIP: 64033XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1957220 | PA      | $1954976.04   | 1.61%             | 2057-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30341.28     | 0.03%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization              | AASET 2024-1                                                                    | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1899478 | PA      | $1918846.27   | 1.58%             | 2049-05-16      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28814.43     | 0.02%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                            | Peruvian Government International Bond                                          | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    160000 | PA      | $107600.00    | 0.09%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.             | CDS CDX.NA.IG.44.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |         1 | NC      | $-1632808.44  | -1.35%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DCB9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151570.33    | 0.13%             | 2032-08-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                           | EOG Resources Inc                                                               | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |     82000 | PA      | $73894.28     | 0.06%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                             | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1545984 | PA      | $1465269.86   | 1.21%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                       | Micron Technology Inc                                                           | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30679.38     | 0.03%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    170000 | PA      | $158770.70    | 0.13%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                     | HalseyPoint CLO 3 Ltd                                                           | CUSIP: 40638UAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $321418.05    | 0.27%             | 2037-07-30      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Aimco                                       | AIMCO CLO 22 Ltd                                                                | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   2390000 | PA      | $2399533.71   | 1.98%             | 2037-04-19      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                     | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40087.94     | 0.03%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                         | BHMS 2018-ATLS                                                                  | CUSIP: 05549GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $279639.14    | 0.23%             | 2035-07-15      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91862.30     | 0.08%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       103 | NC      | $9012.50      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO SANTANDER SA                          | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $198193.94    | 0.16%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                              | CarVal CLO XI C Ltd                                                             | CUSIP: 14688RAA8<br>LEI: 254900BDRF474L9PWM54 | Long             | ABS-CBDO         | CORP              | KY        |    620000 | PA      | $622123.69    | 0.51%             | 2037-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                             | Vibrant Clo XV Ltd                                                              | CUSIP: 92559EAN1<br>LEI: 5493000EZ05NPI8BXY34 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249058.23    | 0.21%             | 2035-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     90000 | PA      | $66828.03     | 0.06%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                            | Trinitas CLO XXV Ltd                                                            | CUSIP: 89640BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1560000 | PA      | $1567099.40   | 1.29%             | 2037-01-23      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49055.68     | 0.04%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                     | Reliance Industries Ltd                                                         | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |   2430000 | PA      | $1634527.88   | 1.35%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                    | Fox Corp                                                                        | CUSIP: 35137LAN5<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     60000 | PA      | $64278.14     | 0.05%             | 2033-10-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Babson CLO Ltd                              | Barings CLO Ltd 2024-I                                                          | CUSIP: 06763VAA3<br>LEI: 2549005VRCK51O5LRS39 | Long             | ABS-CBDO         | CORP              | KY        |   1470000 | PA      | $1475630.39   | 1.22%             | 2037-01-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                    | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42439.03     | 0.04%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 5YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |     -1037 | NC      | $-307024.59   | -0.25%            |  |  |  | No            |                  1 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                     | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $123588.03    | 0.10%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage              | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1047904 | PA      | $957155.66    | 0.79%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                              | Solventum Corp                                                                  | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     90000 | PA      | $92169.54     | 0.08%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60396.76     | 0.05%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114482.18    | 0.09%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                | UBS Group AG                                                                    | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $305482.54    | 0.25%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                          | Elmwood CLO I Ltd                                                               | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2280000 | PA      | $2289108.83   | 1.89%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10360.41     | 0.01%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus              | BRAVO Residential Funding Trust 2022-NQM3                                       | CUSIP: 10569FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1911497 | PA      | $1847358.61   | 1.53%             | 2061-09-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                    | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2476264 | PA      | $2200662.31   | 1.82%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       598 | NC      | $287503.53    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    766200 | PA      | $687709.59    | 0.57%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16978.27     | 0.01%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                    | Enterprise Products Operating LLC                                               | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $54376.48     | 0.04%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                          | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58629.15     | 0.05%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3370000 | PA      | $3010818.56   | 2.49%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FED HOME LN DISCOUNT NT                     | Federal Home Loan Bank Discount Notes                                           | CUSIP: 313385MQ6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    200000 | PA      | $197022.25    | 0.16%             | 2025-10-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                       | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $101152.51    | 0.08%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Empower CLO Ltd.                            | Empower CLO 2024-1 Ltd                                                          | CUSIP: 29244RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1004593.00   | 0.83%             | 2037-04-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                    | EQT Corp                                                                        | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    240000 | PA      | $257007.44    | 0.21%             | 2030-02-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                | Csmc 2022-Nqm1 Trust                                                            | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    941006 | PA      | $846676.96    | 0.70%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -72 | NC      | $-44364.96    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16732.70     | 0.01%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    770000 | PA      | $716817.72    | 0.59%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                        | Lockheed Martin Corp                                                            | CUSIP: 539830CE7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26998.83     | 0.02%             | 2064-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51207.69     | 0.04%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Cayuga Park CLO, Ltd.                       | Cayuga Park CLO Ltd                                                             | CUSIP: 149791AP0<br>LEI: 549300SVH2QJEV4A2G21 | Long             | ABS-CBDO         | CORP              | KY        |   2770000 | PA      | $2775482.66   | 2.29%             | 2034-07-17      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                    | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    250000 | PA      | $229769.26    | 0.19%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                            | BAT Capital Corp                                                                | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9863.13      | 0.01%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                        | Southern Copper Corp                                                            | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    910000 | PA      | $822134.95    | 0.68%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $8406.15      | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                  | Navient Student Loan Trust 2014-8                                               | CUSIP: 63939DAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2270965 | PA      | $2226206.56   | 1.84%             | 2049-05-27      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -208 | NC      | $-9750.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3100000 | PA      | $3007953.47   | 2.48%             | 2055-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BJ1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $144140.58    | 0.12%             | 2028-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4311365 | PA      | $205445.59    | 0.17%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                         | Charles Schwab Corp/The                                                         | CUSIP: 808513CG8<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    150000 | PA      | $152441.49    | 0.13%             | 2026-08-24      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $83791.70     | 0.07%             | 2055-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                             | State of Israel                                                                 | CUSIP: 46513JXN6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   1330000 | PA      | $825783.70    | 0.68%             | 2050-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59920.07     | 0.05%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CR7<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29256.64     | 0.02%             | 2034-08-14      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50804.97     | 0.04%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                 | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     90000 | PA      | $61204.62     | 0.05%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -106 | NC      | $-56975.00    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| PETROLEOS DEL PERU SA                       | Petroleos del Peru SA                                                           | CUSIP: 716564AB5<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |   1270000 | PA      | $774231.37    | 0.64%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru              | SMB Private Education Loan Trust 2024-D                                         | CUSIP: 83207QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1360621.26   | 1.12%             | 2053-07-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                            | Peruvian Government International Bond                                          | CUSIP: 715638DW9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1580000 | PA      | $956887.50    | 0.79%             | 2072-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                     | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    110000 | PA      | $110879.23    | 0.09%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10174.74     | 0.01%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052664<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9600000 | PA      | $9504650.30   | 7.85%             | 2055-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2350000 | PA      | $2102148.44   | 1.74%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HOLCIM FINANCE US LLC                       | Holcim Finance US LLC                                                           | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29904.81     | 0.02%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                     | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    440000 | PA      | $369874.45    | 0.31%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                         | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    210000 | PA      | $195785.92    | 0.16%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | 3 MONTH SOFR                                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        75 | NC      | $-3570.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -157 | NC      | $-12265.63    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GLENCORE FUNDING LLC                        | Glencore Funding LLC                                                            | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120368.42    | 0.10%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                  | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60220.35     | 0.05%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                        | Colombia Government International Bond                                          | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   2130000 | PA      | $1677907.50   | 1.39%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                         | Charles Schwab Corp/The                                                         | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31873.34     | 0.03%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                         | Suzano Austria GmbH                                                             | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    840000 | PA      | $718706.77    | 0.59%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                            | Georgia Power Co                                                                | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59736.57     | 0.05%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                     | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $10059.63     | 0.01%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H030666<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10800000 | PA      | $9410754.10   | 7.77%             | 2055-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding, LLC                | Jack in the Box Funding LLC                                                     | CUSIP: 466365AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1870000 | PA      | $1800175.70   | 1.49%             | 2052-02-26      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                    | NRTH 2024-PARK Mortgage Trust                                                   | CUSIP: 67021HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2508223.00   | 2.07%             | 2039-03-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -745 | NC      | $-156179.01   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| NYT Mortgage Trust                          | BF 2019-NYT Mortgage Trust                                                      | CUSIP: 62954PAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1200124.88   | 0.99%             | 2035-12-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO I Ltd                          | Whitebox Clo I Ltd                                                              | CUSIP: 96467FAU4<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002472.80   | 0.83%             | 2036-07-24      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       245 | NC      | $367164.35    | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        52 | NC      | $41437.50     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | US ULTRA BOND CBT                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -231 | NC      | $-410139.40   | -0.34%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -210 | NC      | $-72187.50    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        66 | NC      | $14437.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -314 | NC      | $-49062.50    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -132 | NC      | $-20625.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 5 YEAR U.S. TREASURY NOTE WEEK 1                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       157 | NC      | $57648.44     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       -90 | NC      | $12186.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 6-7 U.S. TREASURY NOTE WEEK 1                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -106 | NC      | $-19875.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       106 | NC      | $102687.50    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 6-7 U.S. TREASURY NOTE WEEK 2                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       127 | NC      | $53578.13     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 6-7 U.S. TREASURY NOTE WEEK 2                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -254 | NC      | $-47625.00    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 6-7 U.S. TREASURY NOTE WEEK 1                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -212 | NC      | $-9937.50     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 6-7 U.S. TREASURY NOTE WEEK 1                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       106 | NC      | $13250.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       212 | NC      | $60950.00     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC. | 6-7 U.S. TREASURY NOTE WEEK 2                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       210 | NC      | $68906.25     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-206023.72   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $70040.70     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       335 | NC      | $478913.49    | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $203081.25    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-124661.20   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    130000 | PA      | $112521.90    | 0.09%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                         | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    200000 | PA      | $188576.03    | 0.16%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO Ltd              | Golub Capital Partners CLO 54M L.P                                              | CUSIP: 381743AA1<br>LEI: 2549007JA1TZWEDGPD41 | Long             | ABS-CBDO         | CORP              | KY        |   3890000 | PA      | $3905699.65   | 3.22%             | 2033-08-05      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                            | T-Mobile USA Inc                                                                | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    120000 | PA      | $116959.80    | 0.10%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                      | Philip Morris International Inc                                                 | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30380.62     | 0.03%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BNY MELLON CASH RESERVE EOD FUND            | BNY MELLON CASH RESERVE EOD FUND                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  20603193 | NS      | $20603192.84  | 17.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                  | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229396 | PA      | $176769.59    | 0.15%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                      | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BQ7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30006.20     | 0.02%             | 2026-06-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       307 | NC      | $174606.25    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| ECOPETROL SA                                | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   1400000 | PA      | $943726.42    | 0.78%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                   | ONEOK Inc                                                                       | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91045.46     | 0.08%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                        | Birch Grove CLO 8 Ltd                                                           | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |   1000000 | PA      | $1004250.00   | 0.83%             | 2037-04-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Bank                                        | BANK 2018-BNK10                                                                 | CUSIP: 065404BB0<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |   1045000 | PA      | $1021777.28   | 0.84%             | 2061-02-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29149.02     | 0.02%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cent CLO LP                                 | Columbia Cent CLO 33 Ltd                                                        | CUSIP: 19737PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2700000 | PA      | $2708740.71   | 2.24%             | 2037-04-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042665<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5100000 | PA      | $4810762.32   | 3.97%             | 2055-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     60000 | PA      | $35640.30     | 0.03%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     80000 | PA      | $82603.58     | 0.07%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                            | Connecticut Avenue Securities Trust 2022-R04                                    | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $350978.06    | 0.29%             | 2042-03-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -307 | NC      | $-9593.75     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $8051.59      | 0.01%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                              | Eli Lilly & Co                                                                  | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    120000 | PA      | $118147.18    | 0.10%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    250000 | PA      | $250954.96    | 0.21%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                            | Ocean Trails CLO XII Ltd                                                        | CUSIP: 67515DAS7<br>LEI: 549300RF4JV7XJ3EV147 | Long             | ABS-CBDO         | CORP              | JE        |    640000 | PA      | $641184.19    | 0.53%             | 2035-07-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| MEGLOBAL BV                                 | MEGlobal BV                                                                     | CUSIP: 29441WAD7<br>LEI: 549300WBVLU2FILR7W19 | Long             | DBT              | CORP              | NL        |   1510000 | PA      | $1418230.13   | 1.17%             | 2028-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                      | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    130000 | PA      | $110919.40    | 0.09%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| HOLCIM FINANCE US LLC                       | Holcim Finance US LLC                                                           | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20139.61     | 0.02%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600948 | PA      | $2597852.07   | 2.14%             | 2039-02-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                     | Honeywell International Inc                                                     | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69470.54     | 0.06%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                        | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    160000 | PA      | $160407.78    | 0.13%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -307 | NC      | $-82506.25    | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDT3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40668.13     | 0.03%             | 2031-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    310000 | PA      | $280862.24    | 0.23%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                             | United States Treasury Note/Bond                                                | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60000 | PA      | $59770.31     | 0.05%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060667<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13400000 | PA      | $13532897.31  | 11.17%            | 2055-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                    | Florida Power & Light Co                                                        | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     70000 | PA      | $68966.17     | 0.06%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                | Alphabet Inc                                                                    | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38710.59     | 0.03%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust               | MTN Commercial Mortgage Trust 2022-LPFL                                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2099960.73   | 1.73%             | 2039-03-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| BX Trust                                    | BX Trust 2021-BXMF                                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2351356 | PA      | $2343335.30   | 1.93%             | 2026-10-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                      | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    120000 | PA      | $123498.89    | 0.10%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                       | Micron Technology Inc                                                           | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102009.86    | 0.08%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        98 | NC      | $21437.50     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                  | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20064.98     | 0.02%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust              | Morgan Stanley Capital I Trust 2018-MP                                          | CUSIP: 61691DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10500000 | PA      | $9861003.60   | 8.14%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A              | Ginnie Mae                                                                      | CUSIP: 21H042661<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $188722.38    | 0.16%             | 2055-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                    | RTX Corp                                                                        | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     60000 | PA      | $63750.95     | 0.05%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                           | Chile Government International Bond                                             | CUSIP: 168863DQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    340000 | PA      | $199750.00    | 0.16%             | 2061-01-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                  | US Bancorp                                                                      | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30986.70     | 0.03%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                       | Waste Connections Inc                                                           | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $69814.32     | 0.06%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                     | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38880.43     | 0.03%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                | Comcast Corp                                                                    | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    320000 | PA      | $240123.97    | 0.20%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                    | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    630000 | PA      | $659310.19    | 0.54%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.            | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       224 | NC      | $49000.00     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| USQ Rail                                    | USQ Rail IV LLC                                                                 | CUSIP: 90356RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1787001.30   | 1.48%             | 2055-03-29      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                               | Boeing Co/The                                                                   | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $42692.02     | 0.04%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020661<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  33200000 | PA      | $25806037.30  | 21.30%            | 2054-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                   | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040669<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7330426.64   | 6.05%             | 2055-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                  | Intel Corp                                                                      | CUSIP: 458140CF5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20259.76     | 0.02%             | 2030-02-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MARS INC                                    | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59797.56     | 0.05%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                    | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBF9<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     70000 | PA      | $45093.29     | 0.04%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                            | Altria Group Inc                                                                | CUSIP: 02209SBR3<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    220000 | PA      | $241847.05    | 0.20%             | 2033-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                              | Air Lease Corp                                                                  | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91733.78     | 0.08%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                       | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70921.86     | 0.06%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-29

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

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer