WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
CORPORATE BONDS & NOTES - 61.3%
COMMUNICATION SERVICES - 3.8%
Diversified Telecommunication Services - 1.5%
AT&T Inc., Senior Notes		3.400	%		5/15/25	$	2,270,000	$	2,453,730
AT&T Inc., Senior Notes		2.300	%		6/1/27		1,240,000		1,260,094
AT&T Inc., Senior Notes		5.350	%		9/1/40		150,000		187,524
AT&T Inc., Senior Notes		6.250	%		3/29/41		410,000		541,706
AT&T Inc., Senior Notes		4.350	%		6/15/45		1,360,000		1,519,967
AT&T Inc., Senior Notes		4.550	%		3/9/49		1,554,000		1,774,084
Telefonica Emisiones SA, Senior Notes		5.213	%		3/8/47		1,150,000		1,401,744
Verizon Communications Inc., Senior Notes		3.376	%		2/15/25		330,000		365,814
Verizon Communications Inc., Senior Notes		4.125	%		3/16/27		370,000		431,946
Verizon Communications Inc., Senior Notes		3.000	%		3/22/27		150,000		163,571
Verizon Communications Inc., Senior Notes		4.329	%		9/21/28		518,000		618,767
Verizon Communications Inc., Senior Notes		3.150	%		3/22/30		380,000		422,341
Verizon Communications Inc., Senior Notes		4.500	%		8/10/33		980,000		1,218,042
Verizon Communications Inc., Senior Notes		4.400	%		11/1/34		450,000		554,290
Verizon Communications Inc., Senior Notes		5.250	%		3/16/37		1,320,000		1,776,390
Verizon Communications Inc., Senior Notes		3.850	%		11/1/42		100,000		117,776
Verizon Communications Inc., Senior Notes		4.862	%		8/21/46		2,000,000		2,692,306
Verizon Communications Inc., Senior Notes		5.500	%		3/16/47		4,060,000		6,005,066
Verizon Communications Inc., Senior Notes		4.522	%		9/15/48		1,400,000		1,832,191
Verizon Communications Inc., Senior Notes		4.000	%		3/22/50		3,000,000		3,686,402
Total Diversified Telecommunication Services									29,023,751

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       1

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Media - 2.0%
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		3.579	%		7/23/20	$	300,000	$	300,019
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.464	%		7/23/22		120,000		127,798
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.908	%		7/23/25		600,000		686,492
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.200	%		3/15/28		1,000,000		1,113,445
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		6.384	%		10/23/35		120,000		157,482
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		5.375	%		4/1/38		4,870,000		5,825,925
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		6.484	%		10/23/45		400,000		526,987
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		5.750	%		4/1/48		5,000,000		6,162,596
Comcast Corp., Senior Notes		3.950	%		10/15/25		2,320,000		2,660,324
Comcast Corp., Senior Notes		4.150	%		10/15/28		1,220,000		1,446,694

See Notes to Schedule of Investments.

  2     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Media - (continued)
Comcast Corp., Senior Notes		3.400	%		4/1/30	$	280,000	$	318,662
Comcast Corp., Senior Notes		4.250	%		10/15/30		6,000,000		7,247,435
Comcast Corp., Senior Notes		4.700	%		10/15/48		1,940,000		2,534,902
Comcast Corp., Senior Notes		3.450	%		2/1/50		3,000,000		3,360,962
Time Warner Cable LLC, Senior Secured Notes		6.550	%		5/1/37		70,000		89,605
Time Warner Cable LLC, Senior Secured Notes		7.300	%		7/1/38		1,720,000		2,301,483
Time Warner Cable LLC, Senior Secured Notes		6.750	%		6/15/39		140,000		184,261
Time Warner Cable LLC, Senior Secured Notes		5.875	%		11/15/40		1,310,000		1,615,547
Time Warner Cable LLC, Senior Secured Notes		5.500	%		9/1/41		50,000		59,263
Total Media									36,719,882
Wireless Telecommunication Services - 0.3%
T-Mobile USA Inc., Senior Secured Notes		3.750	%		4/15/27		100,000		107,619	(a)
T-Mobile USA Inc., Senior Secured Notes		3.875	%		4/15/30		1,150,000		1,250,314	(a)
T-Mobile USA Inc., Senior Secured Notes		4.375	%		4/15/40		270,000		299,544	(a)
Vodafone Group PLC, Senior Notes		5.250	%		5/30/48		2,855,000		3,720,160
Total Wireless Telecommunication Services									5,377,637
TOTAL COMMUNICATION SERVICES									71,121,270
CONSUMER DISCRETIONARY - 1.9%
Automobiles - 0.2%
BMW US Capital LLC, Senior Notes		1.850	%		9/15/21		90,000		90,408	(a)
Ford Motor Credit Co. LLC, Senior Notes		5.875	%		8/2/21		300,000		301,687
General Motors Co., Senior Notes		5.150	%		4/1/38		220,000		213,363
General Motors Co., Senior Notes		6.250	%		10/2/43		1,000,000		1,041,670
General Motors Co., Senior Notes		5.200	%		4/1/45		1,000,000		952,453
General Motors Financial Co. Inc., Senior Notes		2.450	%		11/6/20		180,000		179,874
General Motors Financial Co. Inc., Senior Notes		4.350	%		1/17/27		260,000		260,462
Total Automobiles									3,039,917

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       3

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Hotels, Restaurants & Leisure - 0.6%
Las Vegas Sands Corp., Senior Notes		3.200	%		8/8/24	$	1,560,000	$	1,514,266
McDonald’s Corp., Senior Notes		3.300	%		7/1/25		200,000		221,137
McDonald’s Corp., Senior Notes		1.450	%		9/1/25		80,000		81,539
McDonald’s Corp., Senior Notes		3.700	%		1/30/26		940,000		1,054,003
McDonald’s Corp., Senior Notes		3.500	%		3/1/27		470,000		525,900
McDonald’s Corp., Senior Notes		3.800	%		4/1/28		150,000		172,650
McDonald’s Corp., Senior Notes		3.625	%		9/1/49		60,000		65,975
McDonald’s Corp., Senior Notes		4.200	%		4/1/50		5,000,000		5,975,219
Sands China Ltd., Senior Notes		4.600	%		8/8/23		310,000		323,547
Sands China Ltd., Senior Notes		5.125	%		8/8/25		500,000		527,823
Sands China Ltd., Senior Notes		5.400	%		8/8/28		1,000,000		1,068,640
Total Hotels, Restaurants & Leisure									11,530,699
Household Durables - 0.1%
Newell Brands Inc., Senior Notes		4.350	%		4/1/23		864,000		892,080
Internet & Direct Marketing Retail - 0.1%
Amazon.com Inc., Senior Notes		3.150	%		8/22/27		500,000		568,365
Amazon.com Inc., Senior Notes		3.875	%		8/22/37		510,000		626,354
Amazon.com Inc., Senior Notes		4.050	%		8/22/47		500,000		660,681
Amazon.com Inc., Senior Notes		4.250	%		8/22/57		120,000		167,297
Total Internet & Direct Marketing Retail									2,022,697
Specialty Retail - 0.6%
Home Depot Inc., Senior Notes		3.300	%		4/15/40		50,000		55,860
Home Depot Inc., Senior Notes		3.350	%		4/15/50		5,110,000		5,805,154
Lowe’s Cos. Inc., Senior Notes		4.500	%		4/15/30		200,000		241,204
Lowe’s Cos. Inc., Senior Notes		5.000	%		4/15/40		110,000		141,088
Lowe’s Cos. Inc., Senior Notes		5.125	%		4/15/50		3,160,000		4,295,756
Target Corp., Senior Notes		2.250	%		4/15/25		70,000		74,873
TJX Cos. Inc., Senior Notes		3.500	%		4/15/25		190,000		211,965
Total Specialty Retail									10,825,900
Textiles, Apparel & Luxury Goods - 0.3%
NIKE Inc., Senior Notes		2.400	%		3/27/25		160,000		171,719
NIKE Inc., Senior Notes		3.375	%		3/27/50		5,120,000		5,951,814
Total Textiles, Apparel & Luxury Goods									6,123,533
TOTAL CONSUMER DISCRETIONARY									34,434,826

See Notes to Schedule of Investments.

  4     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
CONSUMER STAPLES - 4.7%
Beverages - 1.6%
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide Inc., Senior Notes		3.650	%		2/1/26	$	1,640,000	$	1,820,860
Anheuser-Busch InBev Finance Inc., Senior Notes		3.300	%		2/1/23		3,425,000		3,630,416
Anheuser-Busch InBev Worldwide Inc., Senior Notes		3.500	%		1/12/24		9,004,000		9,761,701
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.000	%		4/13/28		1,660,000		1,883,814
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.750	%		1/23/29		420,000		496,972
Anheuser-Busch InBev Worldwide Inc., Senior Notes		3.500	%		6/1/30		270,000		297,323
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.350	%		6/1/40		410,000		459,232
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.500	%		6/1/50		550,000		621,639
Coca-Cola Co., Senior Notes		2.950	%		3/25/25		150,000		165,582
Coca-Cola Co., Senior Notes		4.125	%		3/25/40		720,000		904,728
Coca-Cola Co., Senior Notes		4.200	%		3/25/50		320,000		415,546
Coca-Cola Co., Senior Notes		2.600	%		6/1/50		5,180,000		5,137,712
PepsiCo Inc., Senior Notes		2.250	%		3/19/25		60,000		64,111
PepsiCo Inc., Senior Notes		4.000	%		3/5/42		1,010,000		1,253,787
PepsiCo Inc., Senior Notes		3.625	%		3/19/50		2,090,000		2,525,458
Pernod Ricard SA, Senior Notes		4.450	%		1/15/22		640,000		676,381	(a)
Total Beverages									30,115,262
Food & Staples Retailing - 0.4%
Costco Wholesale Corp., Senior Notes		1.375	%		6/20/27		390,000		398,602
Costco Wholesale Corp., Senior Notes		1.600	%		4/20/30		400,000		403,435
Costco Wholesale Corp., Senior Notes		1.750	%		4/20/32		1,250,000		1,263,717
Walmart Inc., Senior Notes		3.400	%		6/26/23		180,000		195,303
Walmart Inc., Senior Notes		3.700	%		6/26/28		3,050,000		3,613,959
Walmart Inc., Senior Notes		4.300	%		4/22/44		753,000		983,031
Total Food & Staples Retailing									6,858,047

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       5

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Food Products - 0.1%
Kraft Heinz Foods Co., Secured Notes		4.875	%		2/15/25	$	315,000	$	322,670	(a)
Kraft Heinz Foods Co., Senior Notes		3.950	%		7/15/25		839,000		881,006
Kraft Heinz Foods Co., Senior Notes		5.000	%		7/15/35		200,000		215,739
Mondelez International Holdings Netherlands BV, Senior Notes		2.125	%		9/19/22		320,000		328,937	(a)
Mondelez International Inc., Senior Notes		2.125	%		4/13/23		110,000		113,719
Total Food Products									1,862,071
Household Products - 0.4%
Procter & Gamble Co., Senior Notes		2.450	%		3/25/25		240,000		260,452
Procter & Gamble Co., Senior Notes		2.800	%		3/25/27		90,000		99,961
Procter & Gamble Co., Senior Notes		3.600	%		3/25/50		5,000,000		6,297,676
Total Household Products									6,658,089
Tobacco - 2.2%
Altria Group Inc., Senior Notes		3.490	%		2/14/22		540,000		562,174
Altria Group Inc., Senior Notes		4.400	%		2/14/26		240,000		274,803
Altria Group Inc., Senior Notes		4.800	%		2/14/29		650,000		750,649
Altria Group Inc., Senior Notes		5.950	%		2/14/49		5,000,000		6,494,740
BAT Capital Corp., Senior Notes		2.764	%		8/15/22		6,990,000		7,208,138
BAT Capital Corp., Senior Notes		3.557	%		8/15/27		17,250,000		18,160,183
BAT Capital Corp., Senior Notes		4.540	%		8/15/47		1,000,000		1,067,067
Cargill Inc., Senior Notes		1.375	%		7/23/23		370,000		376,268	(a)
Philip Morris International Inc., Senior Notes		2.500	%		8/22/22		370,000		384,808
Philip Morris International Inc., Senior Notes		2.500	%		11/2/22		930,000		969,728
Reynolds American Inc., Senior Notes		3.250	%		6/12/20		431,000		431,281
Reynolds American Inc., Senior Notes		5.850	%		8/15/45		4,150,000		5,035,744
Total Tobacco									41,715,583
TOTAL CONSUMER STAPLES									87,209,052

See Notes to Schedule of Investments.

  6     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
ENERGY - 8.3%
Energy Equipment & Services - 0.0%
Halliburton Co., Senior Notes		3.800	%		11/15/25	$	89,000	$	94,254
Oil, Gas & Consumable Fuels - 8.3%
Apache Corp., Senior Notes		4.375	%		10/15/28		1,000,000		888,647
Apache Corp., Senior Notes		4.250	%		1/15/30		200,000		176,599
Apache Corp., Senior Notes		5.100	%		9/1/40		2,000,000		1,608,065
BP Capital Markets America Inc., Senior Notes		2.937	%		4/6/23		50,000		52,850
BP Capital Markets America Inc., Senior Notes		3.790	%		2/6/24		110,000		119,688
BP Capital Markets America Inc., Senior Notes		3.000	%		2/24/50		8,440,000		8,299,037
BP Capital Markets PLC, Senior Notes		3.723	%		11/28/28		500,000		563,286
Cameron LNG LLC, Senior Secured Notes		2.902	%		7/15/31		4,800,000		4,976,917	(a)
Cameron LNG LLC, Senior Secured Notes		3.302	%		1/15/35		40,000		42,582	(a)
Chevron Corp., Senior Notes		2.954	%		5/16/26		3,440,000		3,814,403
Chevron Corp., Senior Notes		2.978	%		5/11/40		230,000		247,082
Chevron Corp., Senior Notes		3.078	%		5/11/50		2,070,000		2,247,612
Cimarex Energy Co., Senior Notes		3.900	%		5/15/27		1,150,000		1,123,704
Cimarex Energy Co., Senior Notes		4.375	%		3/15/29		390,000		386,359
Concho Resources Inc., Senior Notes		3.750	%		10/1/27		1,360,000		1,425,239
Concho Resources Inc., Senior Notes		4.300	%		8/15/28		580,000		630,550
ConocoPhillips, Senior Notes		6.500	%		2/1/39		120,000		174,022
Continental Resources Inc., Senior Notes		3.800	%		6/1/24		670,000		586,250
Continental Resources Inc., Senior Notes		4.375	%		1/15/28		1,030,000		872,616
Continental Resources Inc., Senior Notes		4.900	%		6/1/44		370,000		274,725
Devon Energy Corp., Senior Notes		5.850	%		12/15/25		1,450,000		1,563,488
Devon Energy Corp., Senior Notes		5.600	%		7/15/41		1,700,000		1,581,361
Diamondback Energy Inc., Senior Notes		3.500	%		12/1/29		800,000		780,976
Ecopetrol SA, Senior Notes		5.875	%		5/28/45		10,050,000		10,495,265

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       7

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Oil, Gas & Consumable Fuels - (continued)
Energy Transfer Operating LP, Senior Notes		2.900	%		5/15/25	$	2,920,000	$	2,918,350
Energy Transfer Operating LP, Senior Notes		4.950	%		6/15/28		190,000		200,503
Energy Transfer Operating LP, Senior Notes		5.250	%		4/15/29		550,000		588,317
Energy Transfer Operating LP, Senior Notes		3.750	%		5/15/30		3,260,000		3,225,108
Energy Transfer Operating LP, Senior Notes		6.250	%		4/15/49		90,000		98,027
Enterprise Products Operating LLC, Senior Notes		4.150	%		10/16/28		1,710,000		1,947,534
Enterprise Products Operating LLC, Senior Notes		3.125	%		7/31/29		450,000		478,222
Enterprise Products Operating LLC, Senior Notes		2.800	%		1/31/30		2,900,000		3,035,259
Enterprise Products Operating LLC, Senior Notes		4.800	%		2/1/49		200,000		235,262
Enterprise Products Operating LLC, Senior Notes		3.700	%		1/31/51		130,000		133,635
Enterprise Products Operating LLC, Senior Notes		3.950	%		1/31/60		2,350,000		2,374,617
EOG Resources Inc., Senior Notes		4.150	%		1/15/26		5,250,000		5,977,384
EOG Resources Inc., Senior Notes		4.375	%		4/15/30		2,130,000		2,525,334
EOG Resources Inc., Senior Notes		4.950	%		4/15/50		8,550,000		11,189,027
Exxon Mobil Corp., Senior Notes		1.571	%		4/15/23		90,000		92,571
Exxon Mobil Corp., Senior Notes		2.992	%		3/19/25		1,300,000		1,422,569
Exxon Mobil Corp., Senior Notes		3.043	%		3/1/26		620,000		687,847
Exxon Mobil Corp., Senior Notes		3.482	%		3/19/30		490,000		555,289
Exxon Mobil Corp., Senior Notes		4.114	%		3/1/46		2,060,000		2,494,581
Exxon Mobil Corp., Senior Notes		4.327	%		3/19/50		60,000		75,254
Exxon Mobil Corp., Senior Notes		3.452	%		4/15/51		5,000,000		5,534,839
KazMunayGas National Co. JSC, Senior Notes		6.375	%		10/24/48		11,740,000		14,205,400	(a)
Kinder Morgan Energy Partners LP, Senior Notes		3.500	%		3/1/21		170,000		171,993
Kinder Morgan Inc., Senior Notes		4.300	%		3/1/28		1,110,000		1,240,733
MPLX LP, Senior Notes		4.800	%		2/15/29		200,000		218,462
MPLX LP, Senior Notes		5.500	%		2/15/49		510,000		583,067
Noble Energy Inc., Senior Notes		3.850	%		1/15/28		220,000		200,432

See Notes to Schedule of Investments.

  8     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Oil, Gas & Consumable Fuels - (continued)
Noble Energy Inc., Senior Notes		6.000	%		3/1/41	$	100,000	$	94,617
Noble Energy Inc., Senior Notes		4.950	%		8/15/47		480,000		415,315
Occidental Petroleum Corp., Senior Notes		2.600	%		8/13/21		690,000		667,920
Occidental Petroleum Corp., Senior Notes		2.700	%		8/15/22		460,000		425,500
Occidental Petroleum Corp., Senior Notes		2.900	%		8/15/24		360,000		288,000
Occidental Petroleum Corp., Senior Notes		5.550	%		3/15/26		2,640,000		2,257,200
Occidental Petroleum Corp., Senior Notes		3.400	%		4/15/26		1,500,000		1,113,750
Occidental Petroleum Corp., Senior Notes		3.200	%		8/15/26		200,000		146,940
Occidental Petroleum Corp., Senior Notes		3.000	%		2/15/27		2,300,000		1,587,000
Occidental Petroleum Corp., Senior Notes		7.500	%		5/1/31		600,000		495,000
Occidental Petroleum Corp., Senior Notes		7.875	%		9/15/31		200,000		167,000
Occidental Petroleum Corp., Senior Notes		6.450	%		9/15/36		200,000		143,000
Occidental Petroleum Corp., Senior Notes		4.400	%		4/15/46		950,000		575,937
Occidental Petroleum Corp., Senior Notes		4.100	%		2/15/47		3,360,000		1,965,600
Occidental Petroleum Corp., Senior Notes		4.200	%		3/15/48		450,000		259,875
Occidental Petroleum Corp., Senior Notes (3 mo. USD LIBOR + 0.950%)		1.398	%		2/8/21		690,000		664,042	(b)
Pertamina Persero PT, Senior Notes		5.625	%		5/20/43		4,500,000		5,052,568	(a)
Petrobras Global Finance BV, Senior Notes		6.250	%		3/17/24		3,000,000		3,172,815
Petrobras Global Finance BV, Senior Notes		6.850	%		6/5/2115		3,000,000		2,822,385
Petroleos del Peru SA, Senior Notes		4.750	%		6/19/32		2,280,000		2,477,357	(a)
Petroleos Mexicanos, Senior Notes		6.625	%		6/15/35		1,307,000		1,052,390

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       9

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Oil, Gas & Consumable Fuels - (continued)
Petroleos Mexicanos, Senior Notes		6.375	%		1/23/45	$	1,100,000	$	819,824
Schlumberger Holdings Corp., Senior Notes		4.000	%		12/21/25		500,000		541,393	(a)
Shell International Finance BV, Senior Notes		4.550	%		8/12/43		1,000,000		1,246,678
Shell International Finance BV, Senior Notes		4.375	%		5/11/45		1,500,000		1,861,094
Shell International Finance BV, Senior Notes		3.250	%		4/6/50		1,000,000		1,071,015
Sinopec Group Overseas Development 2014 Ltd., Senior Notes		4.375	%		4/10/24		2,010,000		2,208,588	(a)
Sunoco Logistics Partners Operations LP, Senior Notes		5.300	%		4/1/44		40,000		39,593
Tennessee Gas Pipeline Co. LLC, Senior Notes		2.900	%		3/1/30		1,400,000		1,430,118	(a)
Transcontinental Gas Pipe Line Co. LLC, Senior Notes		7.850	%		2/1/26		4,360,000		5,538,054
Transcontinental Gas Pipe Line Co. LLC, Senior Notes		3.950	%		5/15/50		3,000,000		3,217,157	(a)
Western Midstream Operating LP, Senior Notes		3.100	%		2/1/25		1,380,000		1,291,156
Western Midstream Operating LP, Senior Notes		4.500	%		3/1/28		300,000		274,410
Western Midstream Operating LP, Senior Notes		4.050	%		2/1/30		3,150,000		2,841,930
Western Midstream Operating LP, Senior Notes		5.250	%		2/1/50		400,000		325,880
Western Midstream Operating LP, Senior Notes (3 mo. USD LIBOR + 0.850%)		2.161	%		1/13/23		150,000		131,284	(b)
Williams Cos. Inc., Senior Notes		7.875	%		9/1/21		95,000		102,395
Williams Cos. Inc., Senior Notes		8.750	%		3/15/32		280,000		375,255
Total Oil, Gas & Consumable Fuels									154,500,974
TOTAL ENERGY									154,595,228
FINANCIALS - 15.3%
Banks - 9.7%
ABN AMRO Bank NV, Subordinated Notes		4.750	%		7/28/25		1,850,000		2,007,700	(a)

See Notes to Schedule of Investments.

  10     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Banks - (continued)
ABN AMRO Bank NV, Subordinated Notes		4.800	%		4/18/26	$	3,200,000	$	3,509,248	(a)
Banco Santander SA, Senior Notes		3.848	%		4/12/23		1,400,000		1,473,286
Banco Santander SA, Senior Notes		3.490	%		5/28/30		1,800,000		1,842,360
Bank of America Corp., Senior Notes		5.000	%		1/21/44		2,910,000		3,837,522
Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%)		2.592	%		4/29/31		600,000		616,850	(b)
Bank of America Corp., Senior Notes (3.419% to 12/20/27 then 3 mo. USD LIBOR + 1.040%)		3.419	%		12/20/28		599,000		652,905	(b)
Bank of America Corp., Senior Notes (3.593% to 7/21/27 then 3 mo. USD LIBOR + 1.370%)		3.593	%		7/21/28		500,000		550,866	(b)
Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. USD LIBOR + 3.150%)		4.083	%		3/20/51		5,000,000		5,949,071	(b)
Bank of America Corp., Subordinated Notes		4.450	%		3/3/26		1,010,000		1,135,426
Bank of Montreal, Senior Notes		1.850	%		5/1/25		990,000		1,016,744
Bank of Montreal, Subordinated Notes (3.803% to 12/15/27 then USD 5 year ICE Swap Rate + 1.432%)		3.803	%		12/15/32		100,000		104,314	(b)
Barclays Bank PLC, Subordinated Notes		7.625	%		11/21/22		300,000		322,647
Barclays PLC, Senior Notes (4.972% to 5/16/28 then 3 mo. USD LIBOR + 1.902%)		4.972	%		5/16/29		1,000,000		1,148,060	(b)
Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + 3.054%)		5.088	%		6/20/30		1,800,000		2,009,905	(b)
BNP Paribas SA, Senior Notes		4.400	%		8/14/28		890,000		1,017,882	(a)
BNP Paribas SA, Senior Notes (3.052% to 1/13/30 then SOFR + 1.507%)		3.052	%		1/13/31		2,000,000		2,054,694	(a)(b)
BNP Paribas SA, Subordinated Notes		4.375	%		5/12/26		2,000,000		2,167,590	(a)

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       11

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Banks - (continued)
BNP Paribas SA, Subordinated Notes		4.625	%		3/13/27	$	11,200,000	$	12,277,911	(a)
BPCE SA, Subordinated Notes		5.150	%		7/21/24		2,500,000		2,739,029	(a)
BPCE SA, Subordinated Notes		4.875	%		4/1/26		3,300,000		3,669,527	(a)
Citigroup Inc., Senior Notes		8.125	%		7/15/39		2,190,000		3,693,136
Citigroup Inc., Senior Notes		4.650	%		7/23/48		2,000,000		2,488,138
Citigroup Inc., Senior Notes (2.572% to 6/3/30 then SOFR + 2.107%)		2.572	%		6/3/31		1,820,000		1,824,296	(b)(c)
Citigroup Inc., Subordinated Notes		4.400	%		6/10/25		3,300,000		3,644,497
Citigroup Inc., Subordinated Notes		5.500	%		9/13/25		1,630,000		1,904,729
Citigroup Inc., Subordinated Notes		4.450	%		9/29/27		3,840,000		4,280,701
Citigroup Inc., Subordinated Notes		6.625	%		6/15/32		12,960,000		17,137,763
Citigroup Inc., Subordinated Notes		5.300	%		5/6/44		363,000		458,613
Citigroup Inc., Subordinated Notes		4.750	%		5/18/46		670,000		807,228
Cooperatieve Rabobank UA, Senior Notes		3.950	%		11/9/22		600,000		631,579
Cooperatieve Rabobank UA, Senior Notes		4.625	%		12/1/23		2,520,000		2,753,092
Cooperatieve Rabobank UA, Senior Notes		4.375	%		8/4/25		2,750,000		3,041,235
Cooperatieve Rabobank UA, Senior Notes		3.750	%		7/21/26		3,500,000		3,809,574
Cooperatieve Rabobank UA, Senior Notes		5.250	%		8/4/45		800,000		1,040,271
Danske Bank A/S, Senior Notes		3.875	%		9/12/23		200,000		208,363	(a)
Danske Bank A/S, Senior Notes (3.001% to 9/20/21 then 3 mo. USD LIBOR + 1.249%)		3.001	%		9/20/22		200,000		202,111	(a)(b)
Danske Bank A/S, Senior Notes (3.244% to 12/20/24 then 3 mo. USD LIBOR + 1.591%)		3.244	%		12/20/25		2,000,000		2,045,713	(a)(b)
HSBC Bank USA NA, Subordinated Notes		4.875	%		8/24/20		330,000		333,183
HSBC Holdings PLC, Junior Subordinated Notes (6.250% to 3/23/23 then USD 5 year ICE Swap Rate + 3.453%)		6.250	%		3/23/23		1,410,000		1,404,163	(b)(d)

See Notes to Schedule of Investments.

  12     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Banks - (continued)
HSBC Holdings PLC, Junior Subordinated Notes (6.500% to 3/23/28 then USD 5 year ICE Swap Rate + 3.606%)		6.500	%		3/23/28	$	1,810,000	$	1,804,688	(b)(d)
HSBC Holdings PLC, Senior Notes		3.400	%		3/8/21		6,020,000		6,144,382
HSBC Holdings PLC, Senior Notes		4.300	%		3/8/26		2,530,000		2,836,538
HSBC Holdings PLC, Senior Notes		3.900	%		5/25/26		2,390,000		2,629,426
HSBC Holdings PLC, Senior Notes (4.583% to 6/19/28 then 3 mo. USD LIBOR + 1.535%)		4.583	%		6/19/29		200,000		227,316	(b)
HSBC Holdings PLC, Subordinated Notes		4.250	%		3/14/24		870,000		930,944
HSBC Holdings PLC, Subordinated Notes		4.250	%		8/18/25		1,000,000		1,076,532
Intesa Sanpaolo SpA, Senior Notes		3.125	%		7/14/22		900,000		904,663	(a)
Intesa Sanpaolo SpA, Senior Notes		3.375	%		1/12/23		270,000		271,978	(a)
Intesa Sanpaolo SpA, Subordinated Notes		5.017	%		6/26/24		2,830,000		2,841,292	(a)
JPMorgan Chase & Co., Senior Notes (2.083% to 4/22/25 then SOFR + 1.850%)		2.083	%		4/22/26		930,000		954,572	(b)
JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%)		2.522	%		4/22/31		2,850,000		2,915,596	(b)
JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%)		3.109	%		4/22/51		2,790,000		2,830,182	(b)
JPMorgan Chase & Co., Senior Notes (4.032% to 7/24/2047 then 3 mo. USD LIBOR + 1.460%)		4.032	%		7/24/48		2,500,000		2,944,845	(b)
JPMorgan Chase & Co., Senior Notes (4.203% to 7/23/28 then 3 mo. USD LIBOR + 1.260%)		4.203	%		7/23/29		570,000		653,123	(b)
JPMorgan Chase & Co., Senior Notes (4.452% to 12/5/28 then 3 mo. USD LIBOR + 1.330%)		4.452	%		12/5/29		270,000		316,622	(b)
JPMorgan Chase & Co., Subordinated Notes		4.250	%		10/1/27		1,330,000		1,513,486

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       13

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Banks - (continued)
JPMorgan Chase & Co., Subordinated Notes		4.950	%		6/1/45	$	850,000	$	1,108,912
JPMorgan Chase & Co., Subordinated Notes (2.956% to 5/13/30 then SOFR + 2.515%)		2.956	%		5/13/31		600,000		620,431	(b)
Lloyds Banking Group PLC, Senior Notes		3.100	%		7/6/21		1,000,000		1,021,448
Lloyds Banking Group PLC, Senior Notes		4.375	%		3/22/28		200,000		225,026
Lloyds Banking Group PLC, Subordinated Notes		4.582	%		12/10/25		467,000		508,181
Morgan Stanley, Senior Notes (3.737% to 4/24/23 then 3 mo. USD LIBOR + 0.847%)		3.737	%		4/24/24		3,980,000		4,259,102	(b)
Royal Bank of Canada, Senior Notes		1.600	%		4/17/23		870,000		888,827
Royal Bank of Scotland Group PLC, Senior Notes (4.519% to 6/25/23 then 3 mo. USD LIBOR + 1.550%)		4.519	%		6/25/24		200,000		214,537	(b)
Royal Bank of Scotland Group PLC, Subordinated Notes		6.125	%		12/15/22		640,000		691,318
Royal Bank of Scotland Group PLC, Subordinated Notes		6.100	%		6/10/23		2,130,000		2,327,485
Santander UK Group Holdings PLC, Senior Notes		2.875	%		8/5/21		5,000,000		5,087,573
Santander UK Group Holdings PLC, Subordinated Notes		5.625	%		9/15/45		1,375,000		1,612,044	(a)
Standard Chartered PLC, Subordinated Notes		5.700	%		3/26/44		310,000		367,683	(a)
UniCredit SpA, Senior Notes		6.572	%		1/14/22		700,000		729,809	(a)
UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%)		7.296	%		4/2/34		200,000		218,546	(a)(b)
Wells Fargo & Co., Junior Subordinated Notes		5.950	%		12/15/36		380,000		441,186
Wells Fargo & Co., Senior Notes (2.188% to 4/30/25 then SOFR + 2.000%)		2.188	%		4/30/26		780,000		792,180	(b)

See Notes to Schedule of Investments.

  14     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Banks - (continued)
Wells Fargo & Co., Senior Notes (3.068% to 4/30/40 then SOFR + 2.530%)		3.068	%		4/30/41	$	5,000,000	$	5,088,733	(b)
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. USD LIBOR + 4.240%)		5.013	%		4/4/51		8,020,000		10,526,524	(b)
Wells Fargo & Co., Subordinated Notes		3.450	%		2/13/23		780,000		821,596
Wells Fargo & Co., Subordinated Notes		4.100	%		6/3/26		400,000		438,687
Wells Fargo & Co., Subordinated Notes		5.375	%		11/2/43		590,000		761,409
Wells Fargo & Co., Subordinated Notes		4.650	%		11/4/44		1,590,000		1,897,268
Wells Fargo & Co., Subordinated Notes		4.900	%		11/17/45		3,780,000		4,589,747
Wells Fargo & Co., Subordinated Notes		4.400	%		6/14/46		990,000		1,123,892
Total Banks									179,970,251
Capital Markets - 4.5%
Bank of New York Mellon Corp., Senior Notes		1.600	%		4/24/25		290,000		300,548
Credit Suisse AG, Senior Notes		3.625	%		9/9/24		550,000		601,849
Credit Suisse Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%)		4.194	%		4/1/31		7,760,000		8,627,285	(a)(b)
Credit Suisse Group Funding Guernsey Ltd., Senior Notes		4.875	%		5/15/45		370,000		464,214
Goldman Sachs Group Inc., Senior Notes		4.000	%		3/3/24		340,000		372,049
Goldman Sachs Group Inc., Senior Notes		4.800	%		7/8/44		5,000,000		6,206,707
Goldman Sachs Group Inc., Senior Notes		4.750	%		10/21/45		5,000,000		6,220,652
Goldman Sachs Group Inc., Senior Notes (4.223% to 5/1/28 then 3 mo. USD LIBOR + 1.301%)		4.223	%		5/1/29		1,000,000		1,128,060	(b)
Goldman Sachs Group Inc., Subordinated Notes		4.250	%		10/21/25		1,330,000		1,476,163
Goldman Sachs Group Inc., Subordinated Notes		6.750	%		10/1/37		1,540,000		2,153,317

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       15

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Capital Markets - (continued)
Goldman Sachs Group Inc., Subordinated Notes		5.150	%		5/22/45	$	1,010,000	$	1,251,219
KKR Group Finance Co. III LLC, Senior Notes		5.125	%		6/1/44		500,000		560,810	(a)
Lehman Brothers Holdings Capital Trust VII, Junior Subordinated Notes		5.857	%		6/29/20		320,000		0	*(d)(e)(f)(g)(h)
Lehman Brothers Holdings Inc., Junior Subordinated Notes		6.500	%		7/19/17		465,000		0	*(f)(g)(h)(i)
Lehman Brothers Holdings Inc., Subordinated Notes		6.750	%		12/28/17		180,000		0	*(f)(g)(h)(i)
Morgan Stanley, Senior Notes (2.699% to 1/22/30 then SOFR + 1.143%)		2.699	%		1/22/31		1,710,000		1,769,245	(b)
Morgan Stanley, Senior Notes (5.597% to 3/24/50 then SOFR + 4.840%)		5.597	%		3/24/51		20,000,000		28,896,129	(b)
UBS AG, Senior Notes		1.750	%		4/21/22		950,000		965,596	(a)
UBS Group AG, Senior Notes		3.491	%		5/23/23		2,080,000		2,167,250	(a)
UBS Group AG, Senior Notes		4.125	%		9/24/25		2,870,000		3,194,475	(a)
UBS Group AG, Senior Notes		4.253	%		3/23/28		14,310,000		16,035,905	(a)
Total Capital Markets									82,391,473
Diversified Financial Services - 0.4%
Blackstone Holdings Finance Co. LLC, Senior Notes		5.000	%		6/15/44		500,000		595,996	(a)
Carlyle Holdings II Finance LLC, Senior Notes		5.625	%		3/30/43		400,000		453,022	(a)
International Lease Finance Corp., Senior Notes		8.625	%		1/15/22		2,500,000		2,563,380
National Securities Clearing Corp., Senior Notes		1.200	%		4/23/23		450,000		452,890	(a)
National Securities Clearing Corp., Senior Notes		1.500	%		4/23/25		380,000		385,399	(a)
Syngenta Finance NV, Senior Notes		3.933	%		4/23/21		700,000		701,662	(a)
USAA Capital Corp., Senior Notes		1.500	%		5/1/23		150,000		152,798	(a)
Voya Financial Inc., Senior Notes		5.700	%		7/15/43		1,440,000		1,800,088
Total Diversified Financial Services									7,105,235

See Notes to Schedule of Investments.

  16     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Insurance - 0.7%
American International Group Inc., Senior Notes		4.500	%		7/16/44	$	600,000	$	673,148
Brighthouse Financial Inc., Senior Notes		4.700	%		6/22/47		1,270,000		1,114,851
MetLife Inc., Senior Notes		4.050	%		3/1/45		500,000		574,719
Teachers Insurance & Annuity Association of America, Subordinated Notes		4.900	%		9/15/44		900,000		1,128,578	(a)
Teachers Insurance & Annuity Association of America, Subordinated Notes		3.300	%		5/15/50		9,440,000		9,640,377	(a)
Total Insurance									13,131,673
TOTAL FINANCIALS									282,598,632
HEALTH CARE - 9.7%
Biotechnology - 2.8%
AbbVie Inc., Senior Notes		2.300	%		11/21/22		6,890,000		7,114,509	(a)
AbbVie Inc., Senior Notes		2.600	%		11/21/24		6,270,000		6,608,103	(a)
AbbVie Inc., Senior Notes		3.800	%		3/15/25		2,060,000		2,275,566	(a)
AbbVie Inc., Senior Notes		3.600	%		5/14/25		1,080,000		1,191,093
AbbVie Inc., Senior Notes		2.950	%		11/21/26		1,450,000		1,558,981	(a)
AbbVie Inc., Senior Notes		3.200	%		11/21/29		4,790,000		5,196,544	(a)
AbbVie Inc., Senior Notes		4.050	%		11/21/39		7,710,000		8,639,452	(a)
AbbVie Inc., Senior Notes		4.250	%		11/21/49		8,325,000		9,648,009	(a)
Amgen Inc., Senior Notes		3.625	%		5/22/24		1,410,000		1,534,043
Gilead Sciences Inc., Senior Notes		3.700	%		4/1/24		300,000		332,798
Gilead Sciences Inc., Senior Notes		3.650	%		3/1/26		2,800,000		3,183,296
Gilead Sciences Inc., Senior Notes		4.800	%		4/1/44		400,000		530,081
Gilead Sciences Inc., Senior Notes		4.750	%		3/1/46		2,700,000		3,628,888
Total Biotechnology									51,441,363
Health Care Equipment & Supplies - 1.4%
Abbott Laboratories, Senior Notes		3.750	%		11/30/26		2,562,000		3,004,634
Abbott Laboratories, Senior Notes		4.750	%		11/30/36		2,660,000		3,538,107
Abbott Laboratories, Senior Notes		4.900	%		11/30/46		6,910,000		9,763,319
Becton Dickinson and Co., Senior Notes		3.363	%		6/6/24		7,080,000		7,645,261
Becton Dickinson and Co., Senior Notes		3.734	%		12/15/24		88,000		96,790
Becton Dickinson and Co., Senior Notes		4.685	%		12/15/44		407,000		501,393
Medtronic Inc., Senior Notes		3.500	%		3/15/25		312,000		353,851
Total Health Care Equipment & Supplies									24,903,355

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       17

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Health Care Providers & Services - 3.3%
Anthem Inc., Senior Notes		3.650	%		12/1/27	$	4,000,000	$	4,533,698
Cigna Corp., Senior Notes		4.125	%		9/15/20		832,000		838,719	(a)
Cigna Corp., Senior Notes		3.750	%		7/15/23		875,000		951,579
Cigna Corp., Senior Notes		4.125	%		11/15/25		280,000		318,904
Cigna Corp., Senior Notes		4.375	%		10/15/28		700,000		823,341
Cigna Corp., Senior Notes		4.800	%		8/15/38		1,680,000		2,105,134
Cigna Corp., Senior Notes		4.900	%		12/15/48		4,360,000		5,736,630
CVS Health Corp., Senior Notes		3.350	%		3/9/21		160,000		163,276
CVS Health Corp., Senior Notes		3.700	%		3/9/23		8,000,000		8,580,060
CVS Health Corp., Senior Notes		4.300	%		3/25/28		2,000,000		2,289,068
CVS Health Corp., Senior Notes		5.125	%		7/20/45		4,030,000		5,130,615
CVS Health Corp., Senior Notes		5.050	%		3/25/48		4,380,000		5,636,091
CVS Health Corp., Senior Notes		4.250	%		4/1/50		250,000		294,915
Humana Inc., Senior Notes		3.150	%		12/1/22		170,000		178,247
Humana Inc., Senior Notes		3.950	%		3/15/27		3,140,000		3,527,386
Humana Inc., Senior Notes		4.950	%		10/1/44		2,470,000		3,200,467
Humana Inc., Senior Notes		4.800	%		3/15/47		2,000,000		2,586,816
UnitedHealth Group Inc., Senior Notes		2.375	%		10/15/22		70,000		72,924
UnitedHealth Group Inc., Senior Notes		3.500	%		6/15/23		170,000		184,678
UnitedHealth Group Inc., Senior Notes		4.750	%		7/15/45		1,140,000		1,533,473
UnitedHealth Group Inc., Senior Notes		4.250	%		6/15/48		130,000		165,945
UnitedHealth Group Inc., Senior Notes		4.450	%		12/15/48		1,020,000		1,342,479
UnitedHealth Group Inc., Senior Notes		3.700	%		8/15/49		780,000		924,440
UnitedHealth Group Inc., Senior Notes		2.900	%		5/15/50		5,000,000		5,217,864
UnitedHealth Group Inc., Senior Notes		3.875	%		8/15/59		3,870,000		4,680,099
UnitedHealth Group Inc., Senior Notes		3.125	%		5/15/60		250,000		263,356
Total Health Care Providers & Services									61,280,204

See Notes to Schedule of Investments.

  18     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Pharmaceuticals - 2.2%
Bristol-Myers Squibb Co., Senior Notes		3.550	%		8/15/22	$	1,540,000	$	1,635,663	(a)
Bristol-Myers Squibb Co., Senior Notes		3.875	%		8/15/25		1,800,000		2,045,660	(a)
Bristol-Myers Squibb Co., Senior Notes		3.400	%		7/26/29		8,950,000		10,279,495	(a)
Bristol-Myers Squibb Co., Senior Notes		4.625	%		5/15/44		300,000		402,505	(a)
Bristol-Myers Squibb Co., Senior Notes		5.000	%		8/15/45		2,290,000		3,178,023	(a)
Bristol-Myers Squibb Co., Senior Notes		4.250	%		10/26/49		2,000,000		2,642,246	(a)
Pfizer Inc., Senior Notes		1.700	%		5/28/30		150,000		150,959
Pfizer Inc., Senior Notes		2.550	%		5/28/40		2,270,000		2,305,147
Pfizer Inc., Senior Notes		2.700	%		5/28/50		14,700,000		14,932,006
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.800	%		7/21/23		1,430,000		1,355,075
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		3.150	%		10/1/26		2,500,000		2,253,638
Total Pharmaceuticals									41,180,417
TOTAL HEALTH CARE									178,805,339
INDUSTRIALS - 5.4%
Aerospace & Defense - 2.7%
Boeing Co., Senior Notes		2.500	%		3/1/25		500,000		476,738
Boeing Co., Senior Notes		3.100	%		5/1/26		500,000		486,800
Boeing Co., Senior Notes		2.700	%		2/1/27		570,000		531,613
Boeing Co., Senior Notes		2.800	%		3/1/27		630,000		587,846
Boeing Co., Senior Notes		3.200	%		3/1/29		1,960,000		1,855,129
Boeing Co., Senior Notes		5.150	%		5/1/30		1,670,000		1,792,962
Boeing Co., Senior Notes		3.250	%		2/1/35		3,150,000		2,710,508
Boeing Co., Senior Notes		5.705	%		5/1/40		1,370,000		1,509,295
Boeing Co., Senior Notes		3.750	%		2/1/50		860,000		752,105
Boeing Co., Senior Notes		5.805	%		5/1/50		5,700,000		6,481,711
Boeing Co., Senior Notes		5.930	%		5/1/60		1,200,000		1,396,209
General Dynamics Corp., Senior Notes		4.250	%		4/1/40		80,000		99,673
General Dynamics Corp., Senior Notes		4.250	%		4/1/50		7,150,000		9,369,307
Lockheed Martin Corp., Senior Notes		3.100	%		1/15/23		880,000		941,020
Lockheed Martin Corp., Senior Notes		4.500	%		5/15/36		5,000,000		6,406,771

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       19

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Aerospace & Defense - (continued)
Northrop Grumman Corp., Senior Notes		2.930	%		1/15/25	$	4,810,000	$	5,218,320
Northrop Grumman Corp., Senior Notes		5.250	%		5/1/50		2,150,000		3,124,442
Raytheon Technologies Corp., Senior Notes		3.950	%		8/16/25		1,360,000		1,555,562
Raytheon Technologies Corp., Senior Notes		4.125	%		11/16/28		110,000		127,805
Raytheon Technologies Corp., Senior Notes		3.125	%		7/1/50		3,350,000		3,552,943
Total Aerospace & Defense									48,976,759
Airlines - 0.5%
Delta Air Lines Inc., Senior Notes		3.400	%		4/19/21		7,700,000		7,399,108
Delta Air Lines Inc., Senior Notes		2.900	%		10/28/24		1,500,000		1,215,503
Total Airlines									8,614,611
Building Products - 0.1%
Carrier Global Corp., Senior Notes		1.923	%		2/15/23		160,000		161,904	(a)
Carrier Global Corp., Senior Notes		2.242	%		2/15/25		410,000		409,944	(a)
Carrier Global Corp., Senior Notes		2.493	%		2/15/27		80,000		77,252	(a)
Carrier Global Corp., Senior Notes		2.722	%		2/15/30		760,000		724,468	(a)
Carrier Global Corp., Senior Notes		3.377	%		4/5/40		270,000		240,933	(a)
Carrier Global Corp., Senior Notes		3.577	%		4/5/50		260,000		231,853	(a)
Total Building Products									1,846,354
Commercial Services & Supplies - 0.1%
Republic Services Inc., Senior Notes		4.750	%		5/15/23		300,000		333,307
Republic Services Inc., Senior Notes		2.500	%		8/15/24		30,000		31,780
Waste Management Inc., Senior Notes		3.450	%		6/15/29		180,000		199,843
Waste Management Inc., Senior Notes		4.000	%		7/15/39		850,000		973,569
Waste Management Inc., Senior Notes		4.150	%		7/15/49		800,000		985,211
Total Commercial Services & Supplies									2,523,710
Electrical Equipment - 0.1%
Eaton Corp., Senior Notes		2.750	%		11/2/22		2,270,000		2,374,965
Industrial Conglomerates - 0.7%
3M Co., Senior Notes		2.375	%		8/26/29		500,000		530,475
3M Co., Senior Notes		3.700	%		4/15/50		4,400,000		5,347,004

See Notes to Schedule of Investments.

  20     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Industrial Conglomerates - (continued)
General Electric Co., Senior Notes		3.450	%		5/1/27	$	110,000	$	109,467
General Electric Co., Senior Notes		3.625	%		5/1/30		230,000		227,870
General Electric Co., Senior Notes		5.875	%		1/14/38		3,380,000		3,780,874
General Electric Co., Senior Notes		6.875	%		1/10/39		1,740,000		2,097,012
General Electric Co., Senior Notes		4.250	%		5/1/40		230,000		224,141
General Electric Co., Senior Notes		4.350	%		5/1/50		290,000		283,685
Total Industrial Conglomerates									12,600,528
Machinery - 0.3%
Deere & Co., Senior Notes		3.750	%		4/15/50		3,240,000		3,939,949
Otis Worldwide Corp., Senior Notes		2.056	%		4/5/25		250,000		257,700	(a)
Otis Worldwide Corp., Senior Notes		2.293	%		4/5/27		260,000		265,262	(a)
Otis Worldwide Corp., Senior Notes		2.565	%		2/15/30		760,000		771,732	(a)
Total Machinery									5,234,643
Road & Rail - 0.5%
Norfolk Southern Corp., Senior Notes		3.850	%		1/15/24		250,000		273,242
Union Pacific Corp., Senior Notes		3.750	%		7/15/25		860,000		967,547
Union Pacific Corp., Senior Notes		2.150	%		2/5/27		590,000		620,966
Union Pacific Corp., Senior Notes		3.950	%		9/10/28		2,110,000		2,452,656
Union Pacific Corp., Senior Notes		3.839	%		3/20/60		3,270,000		3,798,553
Union Pacific Corp., Senior Notes		3.750	%		2/5/70		1,680,000		1,865,241
Total Road & Rail									9,978,205
Transportation Infrastructure - 0.4%
DP World PLC, Senior Notes		5.625	%		9/25/48		7,000,000		7,123,732	(a)
TOTAL INDUSTRIALS									99,273,507
INFORMATION TECHNOLOGY - 3.6%
Communications Equipment - 0.1%
Harris Corp., Senior Notes		5.054	%		4/27/45		1,090,000		1,367,380
IT Services - 1.6%
Mastercard Inc., Senior Notes		3.950	%		2/26/48		12,000,000		15,070,762
Mastercard Inc., Senior Notes		3.850	%		3/26/50		80,000		102,746
Visa Inc., Senior Notes		2.700	%		4/15/40		10,000,000		10,663,016
Visa Inc., Senior Notes		4.300	%		12/14/45		2,460,000		3,259,381
Total IT Services									29,095,905

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       21

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Semiconductors & Semiconductor Equipment - 1.4%
Applied Materials Inc., Senior Notes		1.750	%		6/1/30	$	2,190,000	$	2,190,596
Broadcom Inc., Senior Notes		4.700	%		4/15/25		1,180,000		1,293,626	(a)
Broadcom Inc., Senior Notes		4.150	%		11/15/30		1,760,000		1,849,856	(a)
Intel Corp., Senior Notes		4.750	%		3/25/50		3,150,000		4,323,386
Intel Corp., Senior Notes		4.950	%		3/25/60		3,130,000		4,566,649
Micron Technology Inc., Senior Notes		2.497	%		4/24/23		490,000		503,983
NVIDIA Corp., Senior Notes		3.500	%		4/1/50		4,220,000		4,836,440
NVIDIA Corp., Senior Notes		3.700	%		4/1/60		2,150,000		2,559,749
Texas Instruments Inc., Senior Notes		1.750	%		5/4/30		180,000		185,255
Texas Instruments Inc., Senior Notes		3.875	%		3/15/39		3,000,000		3,816,373
Total Semiconductors & Semiconductor Equipment									26,125,913
Software - 0.0%
Microsoft Corp., Senior Notes		3.300	%		2/6/27		410,000		471,576
Technology Hardware, Storage & Peripherals - 0.5%
Apple Inc., Senior Notes		2.450	%		8/4/26		1,700,000		1,855,678
Apple Inc., Senior Notes		2.650	%		5/11/50		8,000,000		8,303,435
Total Technology Hardware, Storage & Peripherals									10,159,113
TOTAL INFORMATION TECHNOLOGY									67,219,887
MATERIALS - 2.9%
Chemicals - 0.0%
OCP SA, Senior Notes		4.500	%		10/22/25		720,000		721,640	(a)
Metals & Mining - 2.1%
Anglo American Capital PLC, Senior Notes		3.625	%		9/11/24		280,000		287,377	(a)
Anglo American Capital PLC, Senior Notes		4.000	%		9/11/27		4,200,000		4,314,166	(a)
ArcelorMittal SA, Senior Notes		3.600	%		7/16/24		110,000		108,880
ArcelorMittal SA, Senior Notes		6.125	%		6/1/25		1,820,000		1,977,484
Barrick Gold Corp., Senior Notes		5.250	%		4/1/42		7,000,000		9,183,410
Barrick North America Finance LLC, Senior Notes		5.700	%		5/30/41		1,000,000		1,330,956
Barrick North America Finance LLC, Senior Notes		5.750	%		5/1/43		1,000,000		1,380,517

See Notes to Schedule of Investments.

  22     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Metals & Mining - (continued)
BHP Billiton Finance USA Ltd., Senior Notes (6.750% to 10/19/25, then USD 5 year ICE Swap Rate + 5.093% to 10/19/45, then USD 5 year ICE Swap Rate + 5.843%)		6.750	%		10/19/75	$	4,950,000	$	5,685,644	(a)(b)
Freeport-McMoRan Inc., Senior Notes		3.550	%		3/1/22		50,000		50,611
Glencore Finance Canada Ltd., Senior Notes		4.950	%		11/15/21		490,000		508,439	(a)
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		590,000		624,939	(a)
Southern Copper Corp., Senior Notes		5.250	%		11/8/42		9,380,000		10,491,734
Vale Overseas Ltd., Senior Notes		6.875	%		11/21/36		2,639,000		3,306,786
Total Metals & Mining									39,250,943
Paper & Forest Products - 0.8%
Celulosa Arauco y Constitucion SA, Senior Notes		5.500	%		4/30/49		7,500,000		7,505,288	(a)
Suzano Austria GmbH, Senior Notes		6.000	%		1/15/29		6,880,000		7,272,573
Total Paper & Forest Products									14,777,861
TOTAL MATERIALS									54,750,444
REAL ESTATE - 0.1%
Equity Real Estate Investment Trusts (REITs) - 0.1%
WEA Finance LLC/Westfield UK &
Europe Finance PLC, Senior Notes		3.750	%		9/17/24		1,910,000		1,904,190	(a)
WEA Finance LLC/Westfield UK &
Europe Finance PLC, Senior Notes		4.750	%		9/17/44		400,000		357,110	(a)
TOTAL REAL ESTATE									2,261,300
UTILITIES - 5.6%
Electric Utilities - 5.6%
Duke Energy Indiana LLC, Senior Notes		3.250	%		10/1/49		700,000		763,692
FirstEnergy Corp., Senior Notes		3.900	%		7/15/27		9,960,000		11,142,852
FirstEnergy Corp., Senior Notes		7.375	%		11/15/31		18,093,000		26,604,089
FirstEnergy Corp., Senior Notes		4.850	%		7/15/47		13,220,000		16,730,553
MidAmerican Energy Co.		3.950	%		8/1/47		4,231,000		5,064,319

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       23

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Electric Utilities - (continued)
Perusahaan Listrik Negara PT, Senior Notes		5.450	%		5/21/28	$	17,710,000	$	19,721,767	(a)
Perusahaan Listrik Negara PT, Senior Notes		6.150	%		5/21/48		19,750,000		23,368,101	(a)
TOTAL UTILITIES									103,395,373
TOTAL CORPORATE BONDS & NOTES (Cost - $1,065,574,042)									1,135,664,858
SOVEREIGN BONDS - 13.8%
Brazil - 0.2%
Brazilian Government International Bond, Senior Notes		5.000	%		1/27/45		3,610,000		3,441,395
Colombia - 2.4%
Colombia Government International Bond, Senior Notes		5.625	%		2/26/44		12,540,000		15,208,449
Colombia Government International Bond, Senior Notes		5.200	%		5/15/49		25,000,000		29,525,875
Total Colombia									44,734,324
Indonesia - 2.9%
Indonesia Government International Bond, Senior Notes		3.375	%		4/15/23		2,260,000		2,341,908	(j)
Indonesia Government International Bond, Senior Notes		3.375	%		4/15/23		2,300,000		2,383,357	(a)
Indonesia Government International Bond, Senior Notes		4.125	%		1/15/25		2,000,000		2,164,760	(a)
Indonesia Government International Bond, Senior Notes		4.350	%		1/11/48		41,000,000		45,681,662
Total Indonesia									52,571,687
Israel - 0.6%
Israel Government International Bond, Senior Notes		2.750	%		7/3/30		6,750,000		7,349,062
Israel Government International Bond, Senior Notes		3.875	%		7/3/50		3,700,000		4,248,281
Total Israel									11,597,343
Kazakhstan - 0.3%
Kazakhstan Government International Bond, Senior Notes		4.875	%		10/14/44		4,290,000		5,382,775	(a)
Mexico - 3.0%
Mexico Government International Bond, Senior Notes		4.750	%		3/8/44		53,270,000		55,843,207

See Notes to Schedule of Investments.

  24     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
Panama - 0.7%
Panama Government International Bond, Senior Notes		4.500	%		5/15/47	$	7,500,000	$	8,910,413
Panama Government International Bond, Senior Notes		4.500	%		4/1/56		3,900,000		4,627,389
Total Panama									13,537,802
Peru - 0.6%
Peruvian Government International Bond, Senior Notes		6.550	%		3/14/37		520,000		788,089
Peruvian Government International Bond, Senior Notes		5.625	%		11/18/50		7,040,000		10,973,917
Total Peru									11,762,006
Qatar - 2.0%
Qatar Government International Bond, Senior Notes		4.817	%		3/14/49		28,700,000		36,186,768	(a)
Russia - 0.3%
Russian Foreign Bond - Eurobond, Senior Notes		5.625	%		4/4/42		4,200,000		5,752,761	(j)
United Arab Emirates - 0.5%
Abu Dhabi Government International Bond, Senior Notes		4.125	%		10/11/47		8,000,000		9,463,792	(a)
Uruguay - 0.3%
Uruguay Government International Bond, Senior Notes		4.375	%		1/23/31		3,000,000		3,428,475
Uruguay Government International Bond, Senior Notes		5.100	%		6/18/50		2,000,000		2,458,610
Total Uruguay									5,887,085
TOTAL SOVEREIGN BONDS (Cost - $224,052,599)									256,160,945
ASSET-BACKED SECURITIES - 3.7%
Ballyrock CLO Ltd., 2018-1A A1 (3 mo. USD LIBOR + 1.000%)		2.135	%		4/20/31		2,530,000		2,444,835	(a)(b)
Benefit Street Partners CLO IV Ltd., 2014-IVA A1RR (3 mo. USD LIBOR + 1.250%)		2.385	%		1/20/29		1,000,000		986,331	(a)(b)
BlueMountain CLO Ltd., 2015-1A A1R (3 mo. USD LIBOR + 1.330%)		2.641	%		4/13/27		1,008,938		1,004,950	(a)(b)
BlueMountain CLO Ltd., 2015-3A A1R (3 mo. USD LIBOR + 1.000%)		2.135	%		4/20/31		3,000,000		2,899,422	(a)(b)
Carlyle Global Market Strategies CLO Ltd., 2013-4A CRR (3 mo. USD LIBOR + 1.750%)		2.969	%		1/15/31		500,000		456,359	(a)(b)

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       25

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
ASSET-BACKED SECURITIES - (continued)
Carlyle Global Market Strategies CLO Ltd., 2014-3RA A1A (3 mo. USD LIBOR + 1.050%)		2.041	%		7/27/31	$	1,984,166	$	1,946,889	(a)(b)
Carlyle US CLO Ltd., 2017-1A A1A (3 mo. USD LIBOR + 1.300%)		2.435	%		4/20/31		1,748,858		1,712,536	(a)(b)
Catskill Park CLO Ltd., 2017-1A A2 (3 mo. USD LIBOR + 1.700%)		2.835	%		4/20/29		3,000,000		2,924,133	(a)(b)
CIFC Funding Ltd., 2017-1A AR (3 mo. USD LIBOR + 1.010%)		2.119	%		4/23/29		3,000,000		2,943,702	(a)(b)
CVP CLO Ltd., 2017-2A A (3 mo. USD LIBOR + 1.190%)		2.325	%		1/20/31		2,250,000		2,157,631	(a)(b)
Dryden 75 CLO Ltd., 2019-75A AR (3 mo. USD LIBOR + 1.200%)		2.419	%		7/15/30		2,390,000		2,349,631	(a)(b)
Galaxy CLO Ltd., 2013-15A BR (3 mo. USD LIBOR + 1.600%)		2.819	%		10/15/30		2,500,000		2,392,142	(a)(b)
GoldenTree Loan Opportunities IX Ltd., 2014-9A AR2 (3 mo. USD LIBOR + 1.110%)		1.951	%		10/29/29		1,250,000		1,232,328	(a)(b)
Greenwood Park CLO Ltd., 2018-1A A2 (3 mo. USD LIBOR + 1.010%)		2.229	%		4/15/31		4,000,000		3,900,176	(a)(b)
Halcyon Loan Advisors Funding Ltd., 2015-2A AR (3 mo. USD LIBOR + 1.080%)		2.071	%		7/25/27		1,389,496		1,375,805	(a)(b)
Halsey Point CLO I Ltd., 2019-1A A1A1 (3 mo. USD LIBOR + 1.350%)		3.257	%		1/20/33		2,400,000		2,339,695	(a)(b)
Jamestown CLO IV Ltd., 2014-4A A2R (3 mo. USD LIBOR + 1.350%)		2.569	%		7/15/26		2,000,000		1,969,778	(a)(b)
KKR CLO 16 Ltd., 16 A1R (3 mo. USD LIBOR + 1.250%)		2.385	%		1/20/29		3,500,000		3,451,224	(a)(b)
KKR CLO 16 Ltd., 16 A2R (3 mo. USD LIBOR + 1.800%)		2.935	%		1/20/29		1,420,000		1,399,813	(a)(b)
KKR Financial CLO Ltd., 18 A (3 mo. USD LIBOR + 1.270%)		2.405	%		7/18/30		2,750,000		2,695,000	(a)(b)
LCM XXIV Ltd., 2024A A (3 mo. USD LIBOR + 1.310%)		2.445	%		3/20/30		1,250,000		1,227,903	(a)(b)
Myers Park CLO Ltd., 2018-1A B1 (3 mo. USD LIBOR + 1.600%)		2.735	%		10/20/30		2,680,000		2,515,617	(a)(b)
Owl Rock CLO III Ltd., 2020-3A A1L (3 mo. USD LIBOR + 1.800%)		2.968	%		4/20/32		2,790,000		2,609,911	(a)(b)

See Notes to Schedule of Investments.

  26     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	RATE			MATURITY DATE		FACE AMOUNT		VALUE
ASSET-BACKED SECURITIES - (continued)
TCI-Symphony CLO Ltd., 2016-1A BR (3 mo. USD LIBOR + 1.650%)		2.961	%		10/13/29	$	2,500,000	$	2,363,638	(a)(b)
Tralee CLO VI Ltd., 2019-6A AS (3 mo. USD LIBOR + 1.300%)		2.291	%		10/25/32		3,150,000		3,150,000	(a)(b)
Tryon Park CLO Ltd., 2013-1A A1SR (3 mo. USD LIBOR + 0.890%)		2.109	%		4/15/29		1,750,000		1,713,514	(a)(b)
Voya CLO Ltd., 2017-2A A2A (3 mo. USD LIBOR + 1.710%)		2.929	%		6/7/30		3,000,000		2,932,266	(a)(b)
WHITEBOX CLO I Ltd., 2019-1A ANA (3 mo. USD LIBOR + 1.410%)		2.430	%		7/24/32		2,500,000		2,434,217	(a)(b)
Whitehorse XII Ltd., 2018-12A A (3 mo. USD LIBOR + 1.250%)		2.469	%		10/15/31		500,000		473,412	(a)(b)
ZAIS CLO 13 Ltd., 2019-13A A1A (3 mo. USD LIBOR + 1.490%)		2.709	%		7/15/32		6,200,000		5,994,358	(a)(b)
TOTAL ASSET-BACKED SECURITIES (Cost - $69,733,574)									67,997,216
	EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT
PURCHASED OPTIONS - 0.7%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.0%
U.S. Treasury 10-Year Notes Futures, Call @ $148.25 (Cost - $45,123)		6/26/20			2,600		2,600,000		40,625

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       27

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

SECURITY	COUNTERPARTY		EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT		VALUE
OTC PURCHASED OPTIONS - 0.7%
Credit default swaption to buy protection on Markit CDX.NA.IG.33 Index, Call @ 100.00bps		BNP Paribas SA		6/17/20			1,160,000,000	$	1,160,000,000	$	12,294,847
Credit default swaption to buy protection on Markit CDX.NA.IG.34 Index, Put @ 250.00bps		Goldman Sachs Group Inc.		7/15/20			750,000,000		750,000,000		46,178
TOTAL OTC PURCHASED OPTIONS (Cost - $8,290,500)											12,341,025
TOTAL PURCHASED OPTIONS (Cost - $8,335,623)											12,381,650
			RATE			MATURITY DATE		FACE AMOUNT
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.1%
U.S. Government Obligations - 0.1%
U.S. Treasury Bonds				3.000	%		2/15/48		1,070,000		1,465,900	(k)
U.S. Treasury Bonds				2.250	%		8/15/49		370,000		445,178
U.S. Treasury Notes				2.500	%		2/15/22		50,000		51,986
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $1,597,250)											1,963,064
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $1,369,293,088)											1,474,167,733
								SHARES
SHORT-TERM INVESTMENTS - 17.0%
BNY Mellon Cash Reserve Fund (Cost - $314,503,480)0.010%									314,503,480		314,503,480
TOTAL INVESTMENTS - 96.6% (Cost - $1,683,796,568)											1,788,671,213
Other Assets in Excess of Liabilities - 3.4%											62,406,098
TOTAL NET ASSETS - 100.0%										$	1,851,077,311

* Non-income producing security.

See Notes to Schedule of Investments.

  28     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

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

(b) Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published 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 reference rate and spread in their description above.

(c) Securities traded on a when-issued or delayed delivery basis.

(d) Security has no maturity date. The date shown represents the next call date.

(e) The coupon payment on these securities is currently in default as of May 31, 2020.

(f) Security is valued in good faith in accordance with procedures approved by the Board of Trustees (Note 1).

(g) Security is valued using significant unobservable inputs (Note 1).

(h) Value is less than $1.

(i) The maturity principal is currently in default as of May 31, 2020.

(j) Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(k) All or a portion of this security is held at the broker as collateral for open swap contracts.

Abbreviation(s) used in this schedule:

bps	— basis point spread (100 basis points = 1.00%)
CLO	— Collateralized Loan Obligation
ICE	— Intercontinental Exchange
JSC	— Joint Stock Company
LIBOR	— London Interbank Offered Rate
SOFR	— Secured Overnight Financing Rate
USD	— United States Dollar

SCHEDULE OF WRITTEN OPTIONS

OTC Written Options

SECURITY

COUNTERPARTY

EXPIRATION DATE

STRIKE PRICE

CONTRACTS

NOTIONAL AMOUNT

VALUE

Credit default swaption to sell protection on Markit CDX.NA.IG.34 Index, Put (Premiums received - $2,611,203)

JPMorgan Chase & Co.

6/17/20

140.00

bps

294,220,000

$

294,220,000

‡

$

(38,674

)

‡ In the event an option is exercised and a credit event occurs as defined under the terms of the swap agreement, the notional amount is the maximum potential amount that could be required to be paid as a seller of credit protection or received as a buyer of credit protection.

See Notes to Schedule of Investments.

Western Asset SMASh Series C Fund 2020 Quarterly Report       29

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

Abbreviation(s) used in this schedule:

bps — basis point spread (100 basis points = 1.00%)

At May 31, 2020, the Fund had the following open futures contracts:

	NUMBER OF CONTRACTS		EXPIRATION DATE		NOTIONAL AMOUNT		MARKET VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Contracts to Sell:
U.S. Treasury 2-Year Notes		152		9/20	$	33,565,612	$	33,568,250	$	(2,638	)
U.S. Treasury 5-Year Notes		29		9/20		3,635,825		3,643,125		(7,300	)
U.S. Treasury 10-Year Notes		2,675		9/20		371,426,015		371,992,187		(566,172	)
U.S. Treasury Long-Term Bonds		3,673		9/20		654,683,042		655,171,375		(488,333	)
U.S. Treasury Ultra Long- Term Bonds		570		9/20		124,905,161		124,277,812		627,349
Net unrealized depreciation on open futures contracts									$	(437,094	)

At May 31, 2020, the Fund had the following open swap contracts:

CENTRALLY CLEARED INTEREST RATE SWAPS

NOTIONAL AMOUNT

TERMINATION DATE

PAYMENTS MADE BY THE FUND†

PAYMENTS RECEIVED BY THE FUND†

UPFRONT PREMIUMS PAID (RECEIVED)

UNREALIZED DEPRECIATION

$

59,000,000

1/30/25

1.867% semi-annually

3-Month LIBOR quarterly

—

$

(4,172,667

)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		PERIODIC PAYMENTS RECEIVED BY THE FUND†		MARKET VALUE3		UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION
Markit CDX.NA.IG.34 Index	$	836,879,000		6/20/25		1.000% quarterly	$	9,069,693	$	(1,118,169	)	$	10,187,862

1 If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

See Notes to Schedule of Investments.

  30     Western Asset SMASh Series C Fund 2020 Quarterly Report

WESTERN ASSET SMASH SERIES C FUND

Schedule of investments (unaudited) (cont’d) May 31, 2020

2 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 occurs as defined under the terms of that particular swap agreement.

3 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 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 of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when 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 default or other credit event occurring as defined under the terms of the agreement.

† Percentage shown is an annual percentage rate.

Abbreviation(s) used in this table:

LIBOR — London Interbank Offered 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 C Fund 2020 Quarterly Report       31

Notes to Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset SMASh Series C 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 Legg Mason Partners Fund Advisor, LLC (“LMPFA”) 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 LMPFA. LMPFA and the subadvisers do not charge investment management fees to the Fund.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

(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 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.

32

Notes to Schedule of Investments (unaudited) (continued)

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. 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.

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

33

Notes to Schedule of Investments (unaudited) (continued)

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 – 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:

ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTAL
Long-Term Investments†:
Corporate Bonds & Notes:
Financials		—	$	282,598,632	$	0	*	$	282,598,632
Other Corporate Bonds & Notes		—		853,066,226		—			853,066,226
Sovereign Bonds		—		256,160,945		—			256,160,945
Asset-Backed Securities		—		67,997,216		—			67,997,216
Purchased Options:
Exchange-Traded Purchased Options	$	40,625		—		—			40,625
OTC Purchased Options		—		12,341,025		—			12,341,025
U.S. Government & Agency Obligations		—		1,963,064		—			1,963,064
Total Long-Term Investments		40,625		1,474,127,108		0	*		1,474,167,733
Short-Term Investments†		—		314,503,480		—			314,503,480
Total Investments	$	40,625	$	1,788,630,588	$	0	*	$	1,788,671,213
Other Financial Instruments:
Futures Contracts	$	627,349		—		—		$	627,349
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection		—	$	10,187,862		—			10,187,862
Total Other Financial Instruments	$	627,349	$	10,187,862		—		$	10,815,211
Total	$	667,974	$	1,798,818,450	$	0	*	$	1,799,486,424

34

Notes to Schedule of Investments (unaudited) (continued)

LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		Total
Other Financial Instruments:
Written Options		—	$	38,674		—	$	38,674
Futures Contracts	$	1,064,443		—		—		1,064,443
Centrally Cleared Interest Rate Swaps		—		4,172,667		—		4,172,667
Total	$	1,064,443	$	4,211,341		—	$	5,275,784

† See Schedule of Investments for additional detailed categorizations.

* Amount represents less than $1.

35