Form N-CSRS LEGG MASON PARTNERS INST For: Aug 31

October 27, 2021 9:26 AM EDT

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-06740

 

 

 

Legg Mason Partners Institutional Trust

(Exact name of registrant as specified in charter)

 

 

620 Eighth Avenue, 47th Floor, New York, NY 10018

(Address of principal executive offices) (Zip code)

 

 

Marc A. De Oliveira

Franklin Templeton

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 1-877-721-1926

Date of fiscal year end: February 28

Date of reporting period: August 31, 2021

 

 

 


ITEM 1.

REPORT TO STOCKHOLDERS.

The Semi-Annual Report to Stockholders is filed herewith.

 


LOGO

 

Semi-Annual Report   August 31, 2021

WESTERN ASSET

SMASh SERIES TF FUND

 

 

 

 

 

LOGO

 

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE


What’s inside      
Letter from the president     II  
Fund at a glance     1  
Fund expenses     2  
Schedule of investments     3  
Statement of assets and liabilities     25  
Statement of operations     26  
Statements of changes in net assets     27  
Financial highlights     28  
Notes to financial statements     29  

Fund objective

The Fund seeks to maximize current interest income that is excluded from gross income for regular federal income tax purposes.

 

Letter from the president

 

LOGO

 

Dear Shareholder,

We are pleased to provide the semi-annual report of Western Asset SMASh Series TF Fund for the six-month reporting period ended August 31, 2021.

As always, thank you for your confidence in our stewardship of your assets.

Sincerely,

 

LOGO

Jane Trust, CFA

President and Chief Executive Officer

September 30, 2021

 

II    Western Asset SMASh Series TF Fund


Fund at a glance (unaudited)

 

Investment breakdown (%) as a percent of total investments

 

LOGO

 

The bar graph above represents the composition of the Fund’s investments as of August 31, 2021 and February 28, 2021. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       1  


Fund expenses (unaudited)

 

Example

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs and (2) ongoing costs and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This example is based on an investment of $1,000 invested on March 1, 2021 and held for the six months ended August 31, 2021.

Actual expenses

The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account, divide your ending account value by $1,000 (for example, an $8,600 ending account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period”.

Hypothetical example for comparison purposes

The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in the Fund and other funds. To do so, compare the 5.00% hypothetical example relating to the Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

 

Based on actual total return1       Based on hypothetical total return1
Actual
Total
Return2,3
 

Beginning

Account

Value

 

Ending

Account

Value

 

Annualized

Expense

Ratio3

 

Expenses

Paid During

the Period3,4

     

Hypothetical

Annualized

Total Return

 

Beginning

Account

Value

 

Ending

Account

Value

 

Annualized

Expense

Ratio3

 

Expenses

Paid During

the Period3,4

    3.88%       $ 1,000.00     $ 1,038.80       0.00 %     $ 0.00         5.00 %       $1,000.00       $ 1,025.21       0.00 %     $ 0.00

 

1 

For the six months ended August 31, 2021.

 

2 

Total return is not annualized, as it may not be representative of the total return for the year. Past performance is no guarantee of future results. Performance figures do not reflect any fees stated below in Note 3. If such fees were included, the return shown would have been lower.

 

3 

All figures do not reflect the effect of fees and expenses associated with a separately managed account, nor a management fee or other operating expenses of the Fund. Such management fees are paid directly or indirectly by the separately managed account sponsor to the Fund’s manager or subadviser. All operating expenses of the Fund were reimbursed by the manager, pursuant to an expense reimbursement arrangement between the Fund and the manager. The expense reimbursement arrangement does not cover interest, brokerage, taxes and extraordinary expenses.

 

4 

Expenses (net of compensating balance arrangements, fee waivers and/or expense reimbursements) are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), then divided by 365.

 

2     Western Asset SMASh Series TF Fund 2021 Semi-Annual Report


Schedule of investments (unaudited)

August 31, 2021

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  
Municipal Bonds — 92.8%                                

Alabama — 3.5%

                               

Hoover, AL, IDA Revenue, United States Steel Corp. Project, Series 2019

    5.750     10/1/49     $ 100,000     $ 120,317  (a) 

Jefferson County, AL, Sewer Revenue:

                               

Convertible CAB, Subordinated Lien, Warrants, Step bond, Series F, Refunding, (0.000% to 10/1/23 then 7.900%)

    0.000     10/1/50       470,000       484,643  

Senior Lien, Warrants, Series A, Refunding, AGM

    5.500     10/1/53       75,000       83,917  

Subordinated Lien, Warrants, Series D, Refunding

    6.000     10/1/42       105,000       121,291  

Lower Alabama Gas District, Natural Gas Revenue:

                               

Series 2020

    4.000     12/1/21       200,000       201,851  

Series 2020

    4.000     12/1/23       1,000,000       1,082,148  

Southeast Alabama Gas Supply District, Gas Supply Revenue, Series 2018A

    4.000     6/1/24       645,000       705,111  (b)(c) 

Total Alabama

                            2,799,278  

Alaska — 1.1%

                               

Alaska State Housing Finance Corp. Revenue, State Capital Project II, Series B

    5.000     12/1/37       75,000       94,956  

Anchorage, AK, Port Revenue, Series A

    5.000     12/1/50       150,000       180,203  (a)  

Northern Tobacco Securitization Corp., AK, Revenue, Asset Backed Senior Bonds, Class 1, Series A, Refunding

    4.000     6/1/50       500,000       589,604  

Total Alaska

                            864,763  

Arizona — 3.9%

                               

Arizona State IDA, Education Revenue:

                               

Academies Math & Science Project, Refunding, SD Credit Program

    5.000     7/1/37       45,000       52,696  

Academies Math & Science Project, Refunding, SD Credit Program

    5.000     7/1/38       500,000       591,990  

Academies Math & Science Project, Series S, Refunding, SD Credit Program

    5.000     7/1/47       50,000       57,598  

Chandler, AZ, IDA Revenue, Intel Corp. Project

    5.000     6/3/24       500,000       561,901  (a)(b)(c) 

Maricopa County, AZ, IDA, Legacy Traditional School Projects, Series A, SD Credit Program

    4.000     7/1/34       400,000       468,197  

Phoenix, AZ, IDA, Great Hearts Academies, Refunding

    5.000     7/1/36       75,000       84,175  

 

 

See Notes to Financial Statements.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       3  


Schedule of investments (unaudited) (cont’d)

August 31, 2021

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Arizona — continued

                               

Queen Creek, AZ, Excise Tax & State Shared Revenue, Series A

    5.000     8/1/47     $ 585,000     $ 718,653  

Salt Verde, AZ, Financial Corp., Natural Gas Revenue, Series 2007

    5.000     12/1/32       495,000       663,653  

Total Arizona

                            3,198,863  

California — 10.3%

                               

Alameda, CA, Corridor Transportation Authority Revenue:

                               

Second Subordinated Lien, Series B, Refunding

    5.000     10/1/34       50,000       59,452  

Second Subordinated Lien, Series B, Refunding

    5.000     10/1/36       50,000       59,316  

Second Subordinated Lien, Series B, Refunding

    5.000     10/1/37       200,000       236,718  

Bay Area Toll Authority, CA, Toll Bridge Revenue, San Francisco Bay Area, Series B-1, (SIFMA Municipal Swap Index Yield + 1.100%)

    1.120     4/1/24       160,000       162,743  (b)(c) 

California State Community Housing Agency, Essential Housing Revenue, Fountains at Emerald Park, Series A

    3.000     8/1/56       175,000       181,391  

California State Health Facilities Financing Authority Revenue, Memorial Health Services, Series A, Refunding

    5.000     10/1/33       115,000       120,850  

California State MFA Revenue:

                               

Senior Lien, LINXS APM Project, Series A

    5.000     12/31/34       100,000       123,116  (a)  

Senior Lien, LINXS APM Project, Series A

    5.000     12/31/43       100,000       121,650  (a)  

California State MFA Special Facility Revenue, United Airlines, Inc., Los Angeles International Airport Project

    4.000     7/15/29       75,000       87,594  (a)  

California State, GO:

                               

Various Purpose, Refunding

    4.000     11/1/36       15,000       17,735  

Various Purpose, Refunding

    5.000     9/1/41       500,000       666,250  (d)  

California Statewide CDA, Student Housing Revenue, University of CA, Irvine Campus Apartments, Phase IV

    5.000     5/15/33       50,000       60,997  

Eastern Municipal Water District Financing Authority, CA, Water & Wastewater Revenue, Series D

    5.000     7/1/47       50,000       61,594  

Golden State, CA, Tobacco Securitization Corp. Revenue, Tobacco Settlement Funded, Series A-1, Refunding

    5.250     6/1/47       275,000       284,788  

Long Beach, CA, Bond Finance Authority Revenue, Natural Gas Purchase, Series A

    5.500     11/15/37       50,000       75,106  

 

See Notes to Financial Statements.

 

4     Western Asset SMASh Series TF Fund 2021 Semi-Annual Report


 

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

California — continued

                               

Los Angeles County, CA, MTA, Sales Tax Revenue, Senior Proposition C, Series B

    5.000     7/1/32     $ 500,000     $ 641,364  

Los Angeles, CA, Department of Airports Revenue:

                               

Los Angeles International Airport, Subordinated, Series C

    5.000     5/15/44       415,000       510,509  (a) 

Los Angeles International Airport, Subordinated, Series D

    5.000     5/15/49       400,000       495,498  (a) 

Subordinated, Los Angeles International Airport, Series C

    5.000     5/15/37       95,000       117,359  (a) 

Los Angeles, CA, Department of Water & Power Waterworks Revenue, Series A

    5.000     7/1/48       500,000       613,500  

Los Angeles, CA, Wastewater System Revenue, Green Bonds, Subordinated, Series A

    5.000     6/1/48       100,000       123,549  

M-S-R Energy Authority, CA, Natural Gas Revenue:

                               

Series A

    6.125     11/1/29       50,000       63,381  

Series B

    6.125     11/1/29       150,000       190,123  

Northern California Energy Authority, Commodity Supply Revenue, Series A

    4.000     7/1/24       250,000       274,219  (b)(c) 

Port of Oakland, CA, Intermediate Lien Revenue:

                               

Series H, Refunding

    5.000     5/1/29       150,000       192,712  (a) 

Series H, Refunding

    5.000     11/1/29       300,000       389,247  (a) 

Riverside County, CA, Transportation Commission Sales Tax Revenue, Series B, Refunding

    5.000     6/1/37       100,000       125,486  

Riverside, CA, Electric Revenue, Series A, Refunding

    5.000     10/1/48       100,000       125,250  

Riverside, CA, Sewer Revenue, Series A, Refunding

    5.000     8/1/34       100,000       126,717  

San Bernardino, CA, USD Revenue, COP, 2019 School Financing Project, AGM

    5.000     10/1/36       100,000       123,443  

San Diego County, CA, Regional Transportation Commission, Sales Tax Revenue, Series A

    5.000     4/1/48       300,000       355,200  

San Francisco, CA, City & County Airport Commission, International Airport Revenue, SFO Fuel Company LLC, Series A, Refunding

    5.000     1/1/33       100,000       125,557  (a) 

San Mateo County, CA, Joint Powers Financing Authority Lease Revenue, Capital Project, Series A

    5.000     7/15/43       50,000       62,621  

Southern California Water Replenishment District, Financing Authority, Replenishment Revenue, Series 2018

    5.000     8/1/48       500,000       617,920  

Stockton, CA, PFA Parking Revenue, Refunding

    5.000     3/1/35       430,000       528,174  

 

See Notes to Financial Statements.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       5  


Schedule of investments (unaudited) (cont’d)

August 31, 2021

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

California — continued

                               

Stockton, CA, PFA Wastewater Revenue, BAN, Series 2019

    1.400     6/1/22     $ 100,000     $ 100,191  

Tobacco Securitization Authority of Southern California Revenue, Asset Backed Refunding, San Diego County Tobacco Asset Securitization Corporation, Class 1, Series A

    5.000     6/1/48       100,000       125,905  

Total California

                            8,347,225  

Colorado — 1.3%

                               

Arvada, CO, Vauxmont Metropolitan District, GO, Refunding, AGM

    5.000     12/15/24       130,000       148,532  

Colorado State Educational & Cultural Facilities Authority Revenue, University of Denver Project, Series A

    5.000     3/1/43       50,000       60,566  

Colorado State Health Facilities Authority Revenue:

                               

Commonspirit Health Project, Series A-2

    5.000     8/1/44       200,000       248,249  

Improvement and Refunding Revenue, Bethesda Project, Series A

    5.000     9/15/48       50,000       58,546  

Colorado State High Performance Transportation Enterprise Revenue:

                               

C-470 Express Lanes

    5.000     12/31/47       100,000       114,262  

C-470 Express Lanes

    5.000     12/31/51       230,000       262,394  

Denver, CO, City & County Special Facility Apartment Revenue, United Airlines Inc. Project, Refunding

    5.000     10/1/32       100,000       106,479  (a)  

University of Colorado Enterprise Revenue:

                               

Series B, Refunding

    5.000     6/1/37       15,000       15,549  (e)  

Series B, Refunding

    5.000     6/1/37       60,000       62,195  (e)  

Total Colorado

                            1,076,772  

Connecticut — 1.6%

                               

Connecticut State HEFA Revenue, Sacred Heart University Issue, Series I-1, Refunding

    5.000     7/1/36       50,000       60,081  

Connecticut State Special Tax Revenue:

                               

Transportation Infrastructure, Series A

    5.000     1/1/37       500,000       619,332  

Transportation Infrastructure, Series A

    5.000     5/1/38       200,000       259,284  

Connecticut State, GO:

                               

Series A

    4.000     4/15/37       125,000       148,726  

 

See Notes to Financial Statements.

 

6     Western Asset SMASh Series TF Fund 2021 Semi-Annual Report


 

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Connecticut — continued

                               

Series E

    5.000     10/15/34     $ 50,000     $ 60,293  

University of Connecticut, Student Fee Revenue, Series A

    5.000     11/15/43       100,000       123,229  

Total Connecticut

                            1,270,945  

Delaware — 0.1%

                               

Sustainable Energy Utility Inc., DE, Energy Efficiency Revenue

    5.000     9/15/34       75,000       75,133  (e)  

District of Columbia — 0.1%

                               

District of Columbia Revenue, KIPP DC Project, Series B, Refunding

    5.000     7/1/42       75,000       88,815  

Florida — 3.2%

                               

Broward County, FL, Airport System Revenue:

                               

Series 2017

    5.000     10/1/47       50,000       60,367  (a)  

Series A

    5.000     10/1/45       250,000       291,053  (a)  

Broward County, FL, Port Facilities Revenue, Series B

    5.000     9/1/31       200,000       259,374  (a)  

Greater Orlando, FL, Aviation Authority, Airport Facilities Revenue, Priority Subordinated, Series A

    5.000     10/1/47       25,000       30,183  (a)  

Miami-Dade County, FL, Aviation Revenue:

                               

Series A, Refunding

    4.000     10/1/41       250,000       296,330  

Series A, Refunding

    5.000     10/1/49       300,000       371,598  (a)  

Series B, Refunding

    5.000     10/1/40       200,000       242,283  (a)  

Orange County, FL, Health Facilities Authority Revenue, Presbyterian Retirement Communities, Refunding

    5.000     8/1/36       5,000       5,523  

Palm Beach County, FL, Health Facilities Authority Revenue:

                               

ACTS Retirement-Life Communities, Series B

    5.000     11/15/42       500,000       612,240  

Toby & Leon Cooperman Sinai Residences of Boca Raton Expansion, Series B-1

    3.000     6/1/27       250,000       262,394  

Tampa, FL, Hospital Revenue, H. Lee Moffitt Cancer Center Project, Series B

    5.000     7/1/50       100,000       124,791  

Volusia County, FL, EFA Revenue, Educational Facilities Embry-Riddle Aeronautical University Inc. Project, Refunding

    5.000     10/15/42       50,000       60,202  

Total Florida

                            2,616,338  

Georgia — 1.4%

                               

Dahlonega, GA, Downtown Development Authority Revenue, North Georgia MAC LLC Project, Refunding

    5.000     7/1/39       100,000       120,487  

 

See Notes to Financial Statements.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       7  


Schedule of investments (unaudited) (cont’d)

August 31, 2021

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Georgia — continued

                               

Fulton County, GA, Development Authority Revenue, Georgia Institute of Technology

    5.000     6/15/44     $ 100,000     $ 125,415  

Georgia State Higher Education Facilities Authority Revenue, USG Real Estate, Refunding

    5.000     6/15/33       50,000       63,612  

Georgia State Municipal Electric Authority Power Revenue:

                               

Plant Vogtle Units 3&4, Project J, Series A

    5.000     1/1/56       200,000       245,818  

Plant Vogtle Units 3&4, Project P, Series A

    4.000     1/1/46       80,000       91,591  

Project One Subordinated, Series A

    5.000     1/1/45       100,000       126,889  

Main Street Natural Gas Inc., GA, Gas Project Revenue:

                               

Series A

    5.000     5/15/43       200,000       244,459  

Series C

    4.000     9/1/26       80,000       92,396  (b)(c)  

Total Georgia

                            1,110,667  

Idaho — 0.1%

                               

Idaho State Health Facilities Authority Revenue, Trinity Health Credit Group, Series A

    5.000     12/1/47       100,000       122,549  

Illinois — 10.6%

                               

Chicago, IL, Board of Education, Dedicated Capital Improvement, Special Tax Revenue, Series 2018

    5.000     4/1/42       100,000       121,414  

Chicago, IL, Board of Education, GO:

                               

Dedicated, Series H

    5.000     12/1/46       100,000       119,743  

Series A

    5.000     12/1/41       500,000       633,036  

Series C, Refunding

    5.000     12/1/25       100,000       117,850  

Chicago, IL, GO:

                               

Series A

    5.000     1/1/44       125,000       151,396  

Series A, Refunding

    5.000     1/1/26       250,000       294,652  

Series A, Refunding

    5.250     1/1/33       30,000       32,732  

Series A, Refunding

    5.000     1/1/35       185,000       200,453  

Series B

    5.500     1/1/32       150,000       171,290  

Series C, Refunding

    5.000     1/1/25       30,000       34,292  

Series D, Refunding

    5.500     1/1/34       10,000       11,410  

Chicago, IL, O’Hare International Airport Revenue:

                               

Series D, Refunding

    5.000     1/1/46       10,000       11,428  

TrIPS Obligated Group

    5.000     7/1/48       50,000       59,573  (a)  

Chicago, IL, Transit Authority Revenue, Series A, Refunding

    5.000     12/1/45       50,000       62,302  

Chicago, IL, Transit Authority, Sales Tax Receipts Revenue, Series 2011

    5.250     12/1/40       100,000       101,275  (e)  

 

 

See Notes to Financial Statements.

 

8     Western Asset SMASh Series TF Fund 2021 Semi-Annual Report


 

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Illinois — continued

                               

Chicago, IL, Wastewater Transmission Revenue, Second Lien, Series A

    5.000     1/1/47     $ 35,000     $ 41,198  

Chicago, IL, Waterworks Revenue:

                               

Second Lien, Series 2017, Refunding

    5.000     11/1/29       30,000       37,586  

Second Lien, Series 2017-2, Refunding, AGM

    5.000     11/1/32       60,000       74,467  

Cook County, IL, Sales Tax Revenue, Series A, Refunding

    4.000     11/15/40       250,000       296,336  

Elk Grove Village, IL, GO, Cook and DuPage Counties, Refunding

    5.000     1/1/36       35,000       42,213  

Illinois State Finance Authority Revenue:

                               

Benedictine University, Refunding

    4.000     10/1/33       100,000       116,092  

Northshore University Health System, Refunding

    5.000     8/15/32       100,000       132,345  

University of Illinois at Urbana, Academic Facilities Lease Revenue Bonds

    5.000     10/1/49       50,000       61,385  

University of Illinois, Health Services Facility Lease Revenue Bonds

    5.000     10/1/30       250,000       326,906  

Illinois State Sales Tax Revenue, Subordinated, Series D, Refunding

    5.000     6/15/23       205,000       222,422  

Illinois State Sports Facilities Authority Revenue, Sport Facilities Project, Series 2019, Refunding, BAM

    5.000     6/15/29       50,000       63,456  

Illinois State, GO:

                               

Series 2016

    5.000     1/1/33       25,000       28,574  

Series 2016, Refunding

    5.000     2/1/27       25,000       30,339  

Series 2016, Refunding

    5.000     2/1/29       20,000       23,890  

Series A

    5.000     5/1/36       250,000       301,670  

Series A

    5.000     3/1/46       400,000       499,133  

Series A, Refunding

    5.000     10/1/29       150,000       186,652  

Series A, Refunding

    5.000     10/1/30       350,000       434,220  

Series D

    5.000     11/1/27       225,000       277,191  

Kane County, IL, School District No 131 Aurora East Side, GO, Series A, AGM

    4.000     12/1/34       725,000       851,100  

Metropolitan Pier & Exposition Authority, IL, Revenue:

                               

McCormick Place Expansion Project, Series A, Refunding

    4.000     12/15/42       500,000       576,744  (d) 

McCormick Place Expansion Project, Series A, Refunding

    5.000     12/15/45       500,000       616,084  

 

 

See Notes to Financial Statements.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       9  


Schedule of investments (unaudited) (cont’d)

August 31, 2021

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Illinois — continued

                               

McCormick Place Expansion Project, Series A, Refunding

    4.000     6/15/50     $ 500,000     $ 569,369  

McCormick Place Expansion Project, Series B, Refunding

    5.000     6/15/42       60,000       75,806  

Regional Transportation Authority, IL, GO, Series A, Refunding, NATL

    6.000     7/1/29       415,000       533,412  

Total Illinois

                            8,541,436  

Indiana — 1.3%

                               

Indiana State Finance Authority Revenue, Marion General Hospital, Series A

    4.000     7/1/45       100,000       115,772  

Indiana State Finance Authority Wastewater Utility Revenue, Green Bonds, CWA Authority Project, Series A

    5.000     10/1/41       100,000       119,927  

Indianapolis, IN, Local Public Improvement Bond Bank:

                               

Courthouse and Jail Project, Series A

    4.000     2/1/44       100,000       117,284  

Courthouse and Jail Project, Series A

    5.000     2/1/54       300,000       370,083  

Indianapolis Airport Authority Project, Revenue, Series D, Refunding

    5.000     1/1/26       300,000       357,305  (a)  

Total Indiana

                            1,080,371  

Iowa — 0.3%

                               

Iowa State Finance Authority, Midwestern Disaster Area Revenue, Iowa Fertilizer Company Project, Refunding

    3.125     12/1/22       25,000       25,490  

Iowa State Tobacco Settlement Authority Revenue:

                               

Asset Backed Senior Bonds, Class 1, Series A-2, Refunding

    4.000     6/1/49       100,000       116,379  

Asset Backed Senior Bonds, Class 2, Series B-1, Refunding

    4.000     6/1/49       100,000       115,902  

Total Iowa

                            257,771  

Kansas — 0.6%

                               

Wyandotte County, KS, USD #202 Turner, GO, Series A, AGM

    4.000     9/1/37       400,000       451,802  

Kentucky — 3.5%

                               

Ashland, KY, Medical Center Refunding Revenue Bonds:

                               

Ashland Hospital Corporation, King’s Daughters Medical Center, Refunding

    5.000     2/1/25       625,000       717,359  

Ashland Hospital Corporation, King’s Daughters Medical Center, Refunding

    5.000     2/1/26       550,000       651,774  

 

See Notes to Financial Statements.

 

10     Western Asset SMASh Series TF Fund 2021 Semi-Annual Report


 

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Kentucky — continued

                               

Kentucky State Economic Development Finance Authority Revenue:

                               

Catholic Health Initiatives, Series B, Refunding

    2.700     11/10/21     $ 175,000     $ 175,782  (b)(c) 

Louisville Arena, Louisville Arena Authority Inc., Refunding, AGM

    5.000     12/1/45       100,000       123,217  

Kentucky State PEA, Gas Supply Revenue:

                               

Series A

    4.000     6/1/26       300,000       344,699  (b)(c) 

Series C

    4.000     6/1/25       200,000       224,739  (b)(c) 

Louisville/Jefferson County, KY, Metropolitan Government Health System Revenue, Norton Healthcare Inc., Series A

    4.000     10/1/40       500,000       579,326  

Total Kentucky

                            2,816,896  

Louisiana — 0.4%

                               

Louisiana State PFA, Lease Revenue, Provident Group, Flagship Properties

    5.000     7/1/42       50,000       59,121  

Shreveport, LA, Water & Sewer Revenue, Series A, AGM

    5.000     12/1/41       10,000       12,233  

St. John the Baptist Parish, LA, State Revenue:

                               

Marathon Oil Corp. Project, Refunding

    2.200     7/1/26       125,000       132,177  (b)(c) 

Marathon Oil Corp. Project, Series B-2, Refunding

    2.375     7/1/26       150,000       159,848  (b)(c) 

Total Louisiana

                            363,379  

Massachusetts — 1.4%

                               

Massachusetts State Department of Transportation, Metropolitan Highway System Revenue, Series A, Refunding

    5.000     1/1/34       250,000       314,967  

Massachusetts State DFA Revenue:

                               

Broad Institute Inc., Refunding

    5.000     4/1/36       85,000       104,233  

UMass Boston Student Housing Project

    5.000     10/1/28       10,000       11,685  

Wellforce Issue, Series A, Refunding

    5.000     7/1/39       50,000       61,459  

Worcester Polytechnic Institute, Series B, Refunding

    5.000     9/1/42       75,000       91,698  

Massachusetts State Port Authority Revenue:

                               

Series A, Refunding

    5.000     7/1/36       160,000       200,985  (a)  

Series E

    5.000     7/1/46       250,000       319,311  (a)  

Massachusetts State Water Resources Authority Revenue, Series B, Refunding

    5.000     8/1/40       50,000       60,220  

Total Massachusetts

                            1,164,558  

 

See Notes to Financial Statements.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       11  


Schedule of investments (unaudited) (cont’d)

August 31, 2021

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Michigan — 2.8%

                               

Detroit, MI, Downtown Development Authority Revenue, Catalyst Development, Series A, Refunding, AGM

    5.000     7/1/43     $ 100,000     $ 111,723  

Great Lakes Water Authority, MI, Water Supply System Revenue:

                               

Senior Lien, Series A

    5.000     7/1/45       750,000       952,909  

Senior Lien, Series A

    5.000     7/1/49       650,000       822,652  

Michigan State Finance Authority Revenue:

                               

Henry Ford Health System, Series A

    4.000     11/15/50       100,000       115,223  

Tobacco Settlement Asset Backed Senior Bonds, Series A, Refunding

    4.000     6/1/49       50,000       58,265  

Tobacco Settlement Asset Backed Senior Bonds, Series B-1, Refunding

    5.000     6/1/49       50,000       61,186  

Michigan State Strategic Fund Limited Obligation Revenue, I-75 Improvement Project

    5.000     12/31/43       100,000       121,228  (a)  

Total Michigan

                            2,243,186  

Missouri — 0.1%

                               

Missouri State HEFA Revenue, Lutheran Senior Service Projects, Series A

    5.000     2/1/42       50,000       55,895  

Nebraska — 0.6%

                               

Douglas County, NE, Hospital Authority No. 2 Revenue, Children’s Hospital Obligated Group, Series A, Refunding

    4.000     11/15/36       425,000       511,639  

Nevada — 0.3%

                               

Sparks, NV, Tourism Improvement, Senior Sales Tax Anticipation Revenue, Series A, Refunding

    2.750     6/15/28       250,000       260,903  (f)  

New Jersey — 7.1%

                               

Essex County, NJ, Improvement Authority, GO:

                               

CHF-Newark LLC, New Jersey Institute of Technology Lease Revenue Bonds, Series A, BAM

    5.000     8/1/35       180,000       238,270  

CHF-Newark LLC, New Jersey Institute of Technology Lease Revenue Bonds, Series A, BAM

    5.000     8/1/36       215,000       283,664  

New Brunswick, NJ, Guaranteed Parking Revenue, Series 2017, AGM

    5.000     9/1/21       220,000       220,000  

New Jersey State EDA Revenue:

                               

Private Activity-The Goethals Bridge Replacement Project, AGM

    5.125     1/1/39       85,000       94,538  (a)  

Private Activity-The Goethals Bridge Replacement Project, AGM

    5.125     7/1/42       150,000       166,647  (a)  

 

See Notes to Financial Statements.

 

12     Western Asset SMASh Series TF Fund 2021 Semi-Annual Report


 

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

New Jersey — continued

                               

School Facilities Construction, Series BBB, Refunding

    5.500     6/15/31     $ 100,000     $ 123,455  

School Facilities Construction, Series DDD

    5.000     6/15/33       50,000       60,590  

School Facilities Construction, Series I, Refunding, State Appropriations, (SIFMA Municipal Swap Index Yield + 1.600%)

    1.620     3/1/28       325,000       329,713  (c)  

School Facilities Construction, Series QQQ

    5.000     6/15/31       500,000       656,596  

Transit Transportation Project, Series A

    5.000     11/1/32       150,000       191,533  

New Jersey State EDA, Lease Revenue, Health Department and Taxation Division Office Project, Series A

    5.000     6/15/33       105,000       129,089  

New Jersey State EDA, Special Facility Revenue, Port Newark Container Terminal LLC Project, Refunding

    5.000     10/1/37       100,000       118,035  (a)  

New Jersey State Health Care Facilities Financing Authority Revenue, Hackensack Meridian Health, Series A, Refunding

    5.000     7/1/38       50,000       60,727  

New Jersey State Transportation Trust Fund Authority Revenue:

                               

Highway Reimbursement, Refunding

    5.000     6/15/31       60,000       71,134  

Transportation Program, Series AA

    5.250     6/15/43       100,000       125,130  

Transportation Program, Series AA

    4.000     6/15/45       500,000       581,227  

Transportation Program, Series AA

    5.000     6/15/45       100,000       114,595  

Transportation Program, Series AA, Refunding

    5.000     6/15/36       300,000       381,912  (d)  

Transportation Program, Series BB

    4.000     6/15/36       500,000       579,410  

Transportation System, Series A, Refunding

    5.000     12/15/25       100,000       118,961  

Transportation System, Series A, Refunding

    5.000     12/15/28       150,000       191,510  

New Jersey State Turnpike Authority Revenue:

                               

Series A, Refunding

    5.000     1/1/35       100,000       118,300  

Series G, Refunding

    5.000     1/1/35       60,000       74,921  

New Jersey State, GO, COVID-19 Emergency, Series A

    5.000     6/1/29       500,000       651,216  

Tobacco Settlement Financing Corp., NJ, Revenue, Series A, Refunding

    5.250     6/1/46       30,000       36,740  

Total New Jersey

                            5,717,913  

New Mexico — 0.0%††

                               

Farmington, NM, PCR, Public Service Co. Project, Refunding

    2.125     6/1/22       35,000       35,469  (b)(c)  

 

See Notes to Financial Statements.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       13  


Schedule of investments (unaudited) (cont’d)

August 31, 2021

 

Western Asset SMASh Series TF Fund

 

(Percentages shown based on Fund net assets)

Security   Rate     Maturity
Date
    Face
Amount
    Value  

New York — 13.4%

                               

Hempstead Town, NY, Local Development Corp. Revenue, Hofstra University Project, Refunding

    5.000     7/1/42     $ 100,000     $ 122,106  

Hudson Yards Infrastructure Corp., NY, Second Indenture Revenue, Series A, Refunding

    5.000     2/15/35       140,000       169,259  

Long Island, NY, Power Authority Electric System Revenue, Series B, Refunding

    1.650     9/1/24       250,000       257,993  (b)(c) 

MTA, NY, Transportation Revenue:

                               

Green Bonds, Series A-2

    5.000     11/15/24       50,000       57,222  

Green Bonds, Series D-1

    5.000     11/15/43       100,000       125,205  

Green Bonds, Series D-3

    4.000     11/15/49       100,000       114,816  

Green Bonds, Series E

    5.000     11/15/33       250,000       322,116  

Series A-2

    5.000     5/15/30       335,000       437,584  (b)(c) 

Series F, Refunding

    5.000     11/15/27       500,000       589,998  

New York City, NY, GO:

                               

Subseries F-1

    5.000     3/1/37       250,000       327,748  

Subseries F-1

    5.000     3/1/50       250,000       317,244  

New York City, NY, Industrial Development Agency Revenue, Yankee Stadium Project, Refunding

    4.000     3/1/45       100,000       114,454  

New York City, NY, Municipal Water Finance Authority, Water & Sewer System Revenue:

                               

Second General Resolution Fiscal 2022, Series AA, Subseries AA-1

    4.000     6/15/51       500,000       587,961  

Subordinated, Series BB-1

    5.000     6/15/46       30,000       36,456  

New York City, NY, TFA Future Tax Secured Revenue, Subordinated, Series B-1

    5.000     8/1/45       700,000       855,039  

New York City, NY, TFA Revenue, Future Tax Secured, Subordinate, Series C-1

    4.000     5/1/40       700,000       835,760  

New York State Dormitory Authority Revenue:

                               

New York University, Series A, Refunding

    5.000     7/1/43       50,000       61,314  

Series B, Refunding

    5.000     2/15/43       100,000       122,506  

New York State Dormitory Authority, Sales Tax Revenue:

                               

Bidding Group 3, Series E, Refunding

    5.000     3/15/38       100,000       126,327  

Bidding Group 4, Series E, Refunding

    5.000     3/15/44       100,000       125,294  

New York State Liberty Development Corp., Liberty Revenue, 3 World Trade Center Project, Class 1, Refunding

    5.000     11/15/44       100,000       110,572  (f) 

 

See Notes to Financial Statements.

 

14     Western Asset SMASh Series TF Fund 2021 Semi-Annual Report


Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

New York — continued

                               

New York State Thruway Authority General Revenue:

                               

Junior Indebtedness Obligations, Junior Lien, Series A

    5.000     1/1/46     $ 50,000     $ 58,373  

Junior Indebtedness Obligations, Subordinated, Series B, Refunding

    4.000     1/1/50       200,000       232,845  

New York State Transportation Development Corp., Special Facilities Revenue:

                               

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

    5.000     1/1/30       75,000       92,064  (a)  

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

    5.000     1/1/32       45,000       54,862  (a)  

Delta Air Lines Inc., LaGuardia Airport Terminals C and D Redevelopment Project

    4.375     10/1/45       250,000       297,039  (a)  

LaGuardia Airport Terminal B Redevelopment Project

    5.000     7/1/30       50,000       56,315  (a)  

LaGuardia Airport Terminal B Redevelopment Project, Series A

    5.000     7/1/41       25,000       28,000  (a)  

LaGuardia Airport Terminal B Redevelopment Project, Series A

    5.250     1/1/50       750,000       843,612  (a)  

Terminal 4 John F. Kennedy International Airport Project, Series A

    4.000     12/1/40       300,000       347,815  (a)  

Port Authority of New York & New Jersey Revenue:

                               

Consolidated Series 185

    5.000     9/1/25       10,000       11,410  (a)  

Consolidated Series 221

    4.000     7/15/50       500,000       579,469  (a)  

Triborough Bridge & Tunnel Authority, NY, Revenue:

                               

General-MTA Bridges & Tunnels, Series A

    5.000     11/15/49       500,000       643,370  

General-MTA Bridges & Tunnels, Series A

    5.000     11/15/51       265,000       341,530  

General-MTA Bridges & Tunnels, Series A

    5.000     11/15/54       325,000       416,626  

General-MTA Bridges & Tunnels, Series A

    5.000     11/15/56       500,000       644,397  

Troy, NY, Capital Resource Corp., Rensselaer Polytechnic Institute Project, Series A, Refunding

    5.000     9/1/28       325,000       410,929  

Total New York

                            10,875,630  

North Carolina — 0.6%

                               

Charlotte, NC, Lease Revenue, COP, Convention Facility Project, Series A, Refunding

    4.000     6/1/49       70,000       82,241  

 

See Notes to Financial Statements.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       15  


Schedule of investments (unaudited) (cont’d)

August 31, 2021

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

North Carolina — continued

                               

North Carolina State Medical Care Commission, Retirement Facilities Revenue, The Forest at Duke Project

    4.000     9/1/41     $ 330,000     $ 387,223  

North Carolina State Turnpike Authority, Monroe Expressway Toll Revenue, Series A, Refunding

    5.000     7/1/42       5,000       5,730  

Total North Carolina

                            475,194  

Ohio — 3.4%

                               

Buckeye, OH, Tobacco Settlement Financing Authority Revenue:

                               

Senior Bonds, Series A-2, Refunding

    4.000     6/1/48       100,000       114,935  

Senior Bonds, Series B-2, Refunding

    5.000     6/1/55       250,000       290,923  

Ohio State Air Quality Development Authority Revenue:

                               

American Electric Company Project, Series B, Refunding

    2.500     10/1/29       100,000       110,244  (a)(b)(c) 

American Electric Company Project, Series D, Refunding

    2.100     10/1/24       250,000       260,978  (a)(b)(c) 

Ohio State Higher Educational Facility Commission College & University Revenue:

                               

University of Dayton 2018 Project, Series B, Refunding

    5.000     12/1/34       500,000       621,622  

Xavier University 2020 Project

    5.000     5/1/33       495,000       642,506  

Warrensville Heights, OH, School District, GO:

                               

Refunding, BAM

    5.000     12/1/44       425,000       490,395  (e)  

Refunding, BAM

    5.000     12/1/44       175,000       198,027  

Total Ohio

                            2,729,630  

Oklahoma — 0.6%

                               

Oklahoma State Development Finance Authority Revenue, Gilcrease Expressway West Project, Series A

    1.625     7/6/23       500,000       504,774  (a)   

Oregon — 0.4%

                               

Gilliam County, OR, Solid Waste Disposal Revenue, Waste Management Project, Series A

    2.400     5/2/22       125,000       125,232  (a)(b)(c) 

Port of Portland, OR, Airport Revenue, Portland International Airport, Series 26C, Refunding

    5.000     7/1/26       150,000       180,736  (a)  

Total Oregon

                            305,968  

Pennsylvania — 2.7%

                               

Allegheny County, PA, HDA Revenue, University Pittsburgh Medical Center, Series A, Refunding

    4.000     7/15/38       150,000       176,868  

 

See Notes to Financial Statements.

 

16     Western Asset SMASh Series TF Fund 2021 Semi-Annual Report


Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Pennsylvania — continued

                               

Berks County, PA, IDA, Healthcare Facilities Revenue, Highlands at Wyomissing, Refunding

    5.000     5/15/32     $ 50,000     $ 59,259  

Commonwealth Financing Authority, PA, Tobacco Master Settlement Payment Revenue

    5.000     6/1/30       50,000       62,420  

Pennsylvania State Economic Development Financing Authority, Solid Waste Disposal Revenue, Waste Management Inc. Project

    2.150     7/1/24       100,000       105,094  (a)(b)(c) 

Pennsylvania State Turnpike Commission Revenue:

                               

Series A

    5.000     12/1/44       175,000       221,330  

Series A-1

    5.000     12/1/47       25,000       30,536  

Series B, Refunding

    5.000     12/1/46       250,000       322,635  

Subordinated, Series B

    5.000     12/1/48       100,000       123,037  

Subordinated, Series B

    5.000     12/1/50       250,000       320,995  

Philadelphia, PA, Authority for IDR, Charter School Revenue, Philadelphia Performing Arts: A String Theory Charter School Project, Series 2020, Refunding

    5.000     6/15/50       100,000       116,815  

Philadelphia, PA, Authority for IDR, City Service Agreement Revenue, Rebuild Project

    5.000     5/1/35       250,000       310,092  

Philadelphia, PA, Authority for IDR, Lease Revenue, Series 2019, Refunding

    5.000     10/1/30       100,000       130,862  

Philadelphia, PA, GO, Series B

    5.000     2/1/35       150,000       190,760  

State Public School Building Authority, PA, Lease Revenue, Philadelphia SD Project, Series A, Refunding, AGM, State Aid Withholding

    5.000     6/1/31       20,000       24,340  

Total Pennsylvania

                            2,195,043  

Puerto Rico — 4.3%

                               

Puerto Rico Commonwealth Public Improvement, GO, Series A, Refunding

    5.000     7/1/41       240,000       206,100  *(g) 

Puerto Rico Electric Power Authority Revenue:

                               

Series A

    5.000     7/1/29       195,000       191,100  *(g) 

Series A

    5.000     7/1/42       270,000       264,600  *(g) 

Series A

    5.050     7/1/42       100,000       98,000  *(g)  

Series XX

    5.250     7/1/40       360,000       354,150  *(g) 

Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue:

                               

CAB, Restructured, Series A-1

    0.000     7/1/27       60,000       55,388  

CAB, Restructured, Series A-1

    0.000     7/1/46       160,000       53,462  

CAB, Restructured, Series A-1

    0.000     7/1/51       850,000       206,563  

Restructured, Series A-1

    4.550     7/1/40       10,000       11,507  

 

See Notes to Financial Statements.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       17  


Schedule of investments (unaudited) (cont’d)

August 31, 2021

 

Western Asset SMASh Series TF Fund

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Puerto Rico — continued

                               

Restructured, Series A-1

    4.750     7/1/53     $ 250,000     $ 286,101  

Restructured, Series A-1

    5.000     7/1/58       1,360,000       1,574,688  

Restructured, Series A-2

    4.329     7/1/40       130,000       147,782  

Total Puerto Rico

                            3,449,441  

South Dakota — 0.0%††

                               

South Dakota State HEFA Revenue, Regional Health

    5.000     9/1/40       25,000       30,009  

Tennessee — 1.0%

                               

Knox County, TN, Health, Educational & Housing Facility Board Revenue, University Health System Inc., Series A

    5.000     9/1/30       100,000       124,341  

Metropolitan Government of Nashville & Davidson County, TN, Water & Sewer Revenue, Subordinated, Series B, Refunding

    5.000     7/1/46       50,000       61,442  

Tennessee State Energy Acquisition Corp., Natural Gas Revenue:

                               

Series 2018

    4.000     11/1/25       100,000       113,386  (b)(c) 

Series A

    5.250     9/1/26       425,000       509,840  

Total Tennessee

                            809,009  

Texas — 4.5%

                               

Arlington, TX, Higher Education Finance Corp., Education Revenue, Uplift Education, Series A, Refunding, PSF - GTD

    5.000     12/1/37       20,000       24,260  

Arlington, TX, Special Tax Revenue, Subordinated Lien, Series C, BAM

    5.000     2/15/41       100,000       111,972  

Austin, TX, Airport System Revenue, Series 2019B

    5.000     11/15/44       250,000       313,228  (a) 

Central Texas Regional Mobility Authority Revenue:

                               

Senior Lien, Series B

    4.000     1/1/51       250,000       292,583  

Senior Lien, Series E

    4.000     1/1/50       250,000       290,219  

Forney, TX, ISD, GO, School Building, Series 2019, PSF - GTD

    5.000     2/15/49       100,000       120,107  

Grand Parkway Transportation Corp., TX, System Toll Revenue, First Tier Toll Revenue, Series C, Refunding

    4.000     10/1/40       500,000       592,556  

Harris County, TX, Cultural Education Facilities Finance Corp., Thermal Utility Revenue, Teco Project, Refunding

    5.000     11/15/33       200,000       247,595  

 

See Notes to Financial Statements.

 

18     Western Asset SMASh Series TF Fund 2021 Semi-Annual Report


 

 

Western Asset SMASh Series TF Fund

 

(Percentages shown based on Fund net assets)

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Texas — continued

                               

Houston, TX, Airport System Revenue:

                               

Special Facilities, United Airlines Inc., Technical Operations Center Project

    5.000     7/15/28     $ 100,000     $ 120,717  (a) 

Special Facilities, United Airlines Inc., Terminal Improvement Project, Series B1

    4.000     7/15/41       400,000       436,041  (a)  

Subordinated Lien, Series A, Refunding

    4.000     7/1/46       400,000       469,301  (a)  

New Hope Cultural Education Facilities Finance Corp., TX, Senior Living Revenue, Cardinal Bay Inc., Village on the Park/Carriage Inn Project, Series A1

    5.000     7/1/31       15,000       16,005  

Southwest Texas, Higher Education Authority Inc. Revenue, Southern Methodist University Project, Refunding

    5.000     10/1/41       50,000       60,585  

Tarrant County, TX, Cultural Education Facilities Finance Corp., Retirement Facility Revenue:

                               

Buckner Retirement Services Inc. Project, Refunding

    5.000     11/15/37       50,000       60,202  

Buckner Retirement Services Inc. Project, Refunding

    5.000     11/15/46       50,000       59,268  

Texas State, Municipal Gas Acquisition & Supply Corp. I, Gas Supply Revenue, Senior Lien, Series D

    6.250     12/15/26       155,000       181,828  

Texas State Private Activity Bond Surface Transportation Corp. Revenue:

                               

LBJ Infrastructure Group LLC I-635 Managed Lanes Project, Series L

    4.000     12/31/38       75,000       89,104  

Senior Lien, Blueridge Transportation Group LLC

    5.000     12/31/40       5,000       5,669  (a)  

West Harris County, TX, Regional Water Authority Revenue, Series 2019

    4.000     12/15/49       100,000       116,766  

Total Texas

                            3,608,006  

U.S. Virgin Islands — 0.4%

                               

Virgin Islands Public Finance Authority Revenue:

                               

Matching Fund Loan, Senior Lien, Series A

    5.000     10/1/29       155,000       155,390  

Matching Fund Loan, Subordinated Lien, Series B

    5.250     10/1/29       175,000       172,367  

Total U.S. Virgin Islands

                            327,757  

Utah — 3.1%

                               

Salt Lake City, UT, Airport Revenue, Salt Lake City International Airport, Series A

    5.000     7/1/43       250,000       305,230  (a)  

Utah State Charter School Finance Authority, Charter School Revenue:

                               

Syracuse Arts Academy Project, UT CSCE

    5.000     4/15/37       5,000       5,762  

 

See Notes to Financial Statements.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       19  


Schedule of investments (unaudited) (cont’d)

August 31, 2021

 

Western Asset SMASh Series TF Fund

 

(Percentages shown based on Fund net assets)

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Utah — continued

                               

Utah Charter Academies Project, Series 2018, UT CSCE

    5.000     10/15/38     $ 220,000     $ 260,600  

Utah State Infrastructure Agency, Telecommunications Revenue, Series A

    5.250     10/15/33       200,000       242,057  

Vineyard Redevelopment Agency, UT, Tax Increment Revenue:

                               

Series 2021, Refunding, AGM

    5.000     5/1/31       235,000       311,723  

Series 2021, Refunding, AGM

    4.000     5/1/37       275,000       329,838  

Series 2021, Refunding, AGM

    4.000     5/1/39       300,000       358,132  

Series 2021, Refunding, AGM

    4.000     5/1/41       290,000       344,076  

Series 2021, Refunding, AGM

    4.000     5/1/46       275,000       322,177  

Total Utah

                            2,479,595  

Virginia — 0.9%

                               

Arlington County, VA, IDA Revenue:

                               

Refunding

    5.000     2/15/43       50,000       60,578  

Virginia Hospital Center, Refunding

    5.000     7/1/36       200,000       260,422  

Virginia State Small Business Financing Authority Revenue:

                               

Bon Secours Mercy Health, Series A, Refunding

    4.000     12/1/49       250,000       291,868  

National Senior Campuses, Inc., Series A, Refunding

    5.000     1/1/34       85,000       104,559  

Total Virginia

                            717,427  

Washington — 0.5%

                               

Port of Seattle, WA, Intermediate Lien Revenue, Series 2019

    5.000     4/1/34       250,000       313,559  (a)  

Washington State Health Care Facilities Authority Revenue, Seattle Cancer Care Alliance, Refunding

    5.000     9/1/55       100,000       126,847  

Total Washington

                            440,406  

West Virginia — 1.2%

                               

West Virginia Parkways Authority, WV, Turnpike Toll Revenue, Senior Lien

    5.000     6/1/33       600,000       808,580  

West Virginia University Revenue, West Virginia Projects, Series B, Refunding

    5.000     10/1/29       100,000       128,474  (b)(c) 

Total West Virginia

                            937,054  

 

See Notes to Financial Statements.

 

20     Western Asset SMASh Series TF Fund 2021 Semi-Annual Report


 

 

Western Asset SMASh Series TF Fund

 

(Percentages shown based on Fund net assets)

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Wisconsin — 0.2%

                               

Public Finance Authority, WI, Revenue, Carmelite System Inc., Obligated Group, Series 2020

    5.000     1/1/40     $ 50,000     $ 60,836  

Public Finance Authority, WI, Student Housing Revenue, CHF Wilmington LLC, University of North Carolina at Wilmington Project, AGM

    5.000     7/1/53       100,000       119,553  

Total Wisconsin

                            180,389  

Total Investments before Short-Term Investments (Cost — $70,203,710)

 

            75,137,898  
Short-Term Investments — 8.2%                                
Municipal Bonds — 8.2%                                

Arizona — 0.1%

                               

Phoenix, AZ, IDA, Health Care Facilities Revenue, Mayo Clinic, Series B, SPA - Northern Trust Co.

    0.010     11/15/52       100,000       100,000  (h)(i)  

California — 0.6%

                               

San Francisco, CA, City & County Airport Commission, International Airport Revenue, Second Series A, Refunding, LOC - Bank of America N.A.

    0.030     5/1/30       500,000       500,000  (a)(h)(i) 

Florida — 0.4%

                               

St. Lucie County, FL, Solid Waste Disposal Revenue, Florida Power & Light Co. Project, Refunding

    0.020     5/1/24       300,000       300,000  (a)(h)(i) 

Maryland — 0.9%

                               

Maryland State HEFA Revenue, University of Maryland Medical System, Series D, LOC - TD Bank N.A.

    0.010     7/1/41       700,000       700,000  (h)(i)  

Massachusetts — 0.6%

                               

Massachusetts State DFA Revenue:

                               

Boston University, Series U-6C, Refunding, LOC - TD Bank N.A.

    0.010     10/1/42       100,000       100,000  (h)(i)  

Boston University, Series U-6E, Refunding, LOC - TD Bank N.A.

    0.010     10/1/42       355,000       355,000  (h)(i)  

Total Massachusetts

                            455,000  

Mississippi — 2.4%

                               

Mississippi State Business Finance Corp., Gulf Opportunity Zone, IDR:

                               

Chevron USA Inc. Project, Series A

    0.010     11/1/35       100,000       100,000  (h)(i)  

Chevron USA Inc. Project, Series E

    0.010     12/1/30       500,000       500,000  (h)(i)  

Chevron USA Inc. Project, Series G

    0.010     11/1/35       700,000       700,000  (h)(i)  

 

See Notes to Financial Statements.

 

Western Asset SMASh Series TF Fund 2021 Semi-Annual Report       21  


Schedule of investments (unaudited) (cont’d)

August 31, 2021

 

Western Asset SMASh Series TF Fund

 

(Percentages shown based on Fund net assets)

Security   Rate     Maturity
Date
    Face
Amount
    Value  

Mississippi — continued