UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number
811-06740
Legg Mason Partners Institutional Trust
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 49
th
Floor, New York, NY 10018
(Address of
principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrants telephone number, including area code: 1-877-721-1926
Date of
fiscal year end:
October 31
Date of reporting period:
July 31, 2013
ITEM 1.
|
SCHEDULE OF INVESTMENTS.
|
LEGG MASON PARTNERS INSTITUTIONAL TRUST
WESTERN ASSET SMASH SERIES C FUND
FORM N-Q
JULY 31, 2013
WESTERN ASSET SMASH SERIES C FUND
|
|
|
Schedule of Investments (unaudited)
|
|
July 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
RATE
|
|
|
MATURITY
DATE
|
|
|
FACE
AMOUNT
|
|
|
VALUE
|
|
CORPORATE BONDS & NOTES - 83.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY - 8.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobiles - 2.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ford Motor Co., Senior Notes
|
|
|
4.750
|
%
|
|
|
1/15/43
|
|
|
$
|
1,160,000
|
|
|
$
|
1,057,614
|
|
Ford Motor Credit Co., LLC, Senior Notes
|
|
|
8.125
|
%
|
|
|
1/15/20
|
|
|
|
1,430,000
|
|
|
|
1,763,549
|
|
Ford Motor Credit Co., LLC, Senior Notes
|
|
|
5.875
|
%
|
|
|
8/2/21
|
|
|
|
390,000
|
|
|
|
433,167
|
|
Hyundai Capital America, Senior Notes
|
|
|
2.125
|
%
|
|
|
10/2/17
|
|
|
|
30,000
|
|
|
|
29,307
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Automobiles
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,283,637
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Durables - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NVR Inc., Senior Notes
|
|
|
3.950
|
%
|
|
|
9/15/22
|
|
|
|
60,000
|
|
|
|
58,260
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail - 1.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
QVC Inc., Senior Secured Notes
|
|
|
4.375
|
%
|
|
|
3/15/23
|
|
|
|
1,950,000
|
|
|
|
1,863,784
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Media - 4.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NBCUniversal Enterprise Inc., Senior Notes
|
|
|
1.974
|
%
|
|
|
4/15/19
|
|
|
|
1,500,000
|
|
|
|
1,466,444
|
(a)
|
Time Warner Cable Inc., Debentures
|
|
|
7.300
|
%
|
|
|
7/1/38
|
|
|
|
230,000
|
|
|
|
235,049
|
|
Time Warner Inc., Senior Debentures
|
|
|
7.700
|
%
|
|
|
5/1/32
|
|
|
|
3,740,000
|
|
|
|
4,871,956
|
|
Time Warner Inc., Senior Notes
|
|
|
6.250
|
%
|
|
|
3/29/41
|
|
|
|
240,000
|
|
|
|
271,737
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Media
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,845,186
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONSUMER DISCRETIONARY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,050,867
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONSUMER STAPLES - 7.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Beverages - 2.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev Worldwide Inc., Senior Notes
|
|
|
5.375
|
%
|
|
|
1/15/20
|
|
|
|
130,000
|
|
|
|
150,288
|
|
Anheuser-Busch InBev Worldwide Inc., Senior Notes
|
|
|
2.500
|
%
|
|
|
7/15/22
|
|
|
|
1,030,000
|
|
|
|
968,277
|
|
Diageo Capital PLC, Senior Bonds
|
|
|
4.828
|
%
|
|
|
7/15/20
|
|
|
|
220,000
|
|
|
|
247,411
|
|
Diageo Investment Corp., Senior Notes
|
|
|
2.875
|
%
|
|
|
5/11/22
|
|
|
|
1,000,000
|
|
|
|
970,202
|
|
Heineken NV, Senior Notes
|
|
|
1.400
|
%
|
|
|
10/1/17
|
|
|
|
390,000
|
|
|
|
381,686
|
(a)
|
Pernod-Ricard SA, Senior Bonds
|
|
|
5.750
|
%
|
|
|
4/7/21
|
|
|
|
1,000,000
|
|
|
|
1,128,783
|
(a)
|
Pernod-Ricard SA, Senior Notes
|
|
|
4.450
|
%
|
|
|
1/15/22
|
|
|
|
190,000
|
|
|
|
197,477
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Beverages
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,044,124
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CVS Corp., Pass-Through Trust, Secured Bonds
|
|
|
5.789
|
%
|
|
|
1/10/26
|
|
|
|
21,200
|
|
|
|
23,214
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products - 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Kraft Foods Group Inc., Senior Notes
|
|
|
5.375
|
%
|
|
|
2/10/20
|
|
|
|
272,000
|
|
|
|
308,789
|
|
Kraft Foods Group Inc., Senior Notes
|
|
|
3.500
|
%
|
|
|
6/6/22
|
|
|
|
700,000
|
|
|
|
702,183
|
|
Mondelez International Inc., Senior Notes
|
|
|
5.375
|
%
|
|
|
2/10/20
|
|
|
|
248,000
|
|
|
|
279,982
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Food Products
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,290,954
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco - 3.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Altria Group Inc., Senior Notes
|
|
|
9.700
|
%
|
|
|
11/10/18
|
|
|
|
750,000
|
|
|
|
1,005,239
|
|
Altria Group Inc., Senior Notes
|
|
|
9.250
|
%
|
|
|
8/6/19
|
|
|
|
1,090,000
|
|
|
|
1,453,462
|
|
Altria Group Inc., Senior Notes
|
|
|
4.750
|
%
|
|
|
5/5/21
|
|
|
|
370,000
|
|
|
|
398,578
|
|
Lorillard Tobacco Co., Senior Notes
|
|
|
8.125
|
%
|
|
|
6/23/19
|
|
|
|
340,000
|
|
|
|
415,524
|
|
Philip Morris International Inc., Senior Notes
|
|
|
2.900
|
%
|
|
|
11/15/21
|
|
|
|
730,000
|
|
|
|
712,173
|
|
Philip Morris International Inc., Senior Notes
|
|
|
2.500
|
%
|
|
|
8/22/22
|
|
|
|
250,000
|
|
|
|
232,261
|
|
Philip Morris International Inc., Senior Notes
|
|
|
4.500
|
%
|
|
|
3/20/42
|
|
|
|
130,000
|
|
|
|
124,743
|
|
Reynolds American Inc., Senior Notes
|
|
|
6.750
|
%
|
|
|
6/15/17
|
|
|
|
300,000
|
|
|
|
348,364
|
|
Reynolds American Inc., Senior Notes
|
|
|
3.250
|
%
|
|
|
11/1/22
|
|
|
|
410,000
|
|
|
|
388,916
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Tobacco
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,079,260
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONSUMER STAPLES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,437,552
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ENERGY - 17.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services - 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Baker Hughes Inc., Senior Notes
|
|
|
7.500
|
%
|
|
|
11/15/18
|
|
|
|
310,000
|
|
|
|
391,145
|
|
Baker Hughes Inc., Senior Notes
|
|
|
5.125
|
%
|
|
|
9/15/40
|
|
|
|
90,000
|
|
|
|
99,359
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy Equipment & Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
490,504
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
1
WESTERN ASSET SMASH SERIES C FUND
|
|
|
Schedule of Investments (unaudited) (contd)
|
|
July 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
RATE
|
|
|
MATURITY
DATE
|
|
|
FACE
AMOUNT
|
|
|
VALUE
|
|
Oil, Gas & Consumable Fuels - 16.9%
|
|
Anadarko Finance Co., Senior Notes
|
|
|
7.500
|
%
|
|
|
5/1/31
|
|
|
$
|
600,000
|
|
|
$
|
759,380
|
|
BP Capital Markets PLC, Senior Notes
|
|
|
3.245
|
%
|
|
|
5/6/22
|
|
|
|
1,600,000
|
|
|
|
1,568,430
|
|
Chevron Corp., Senior Notes
|
|
|
2.427
|
%
|
|
|
6/24/20
|
|
|
|
570,000
|
|
|
|
565,838
|
|
Chevron Corp., Senior Notes
|
|
|
3.191
|
%
|
|
|
6/24/23
|
|
|
|
820,000
|
|
|
|
809,882
|
|
ConocoPhillips, Notes
|
|
|
6.500
|
%
|
|
|
2/1/39
|
|
|
|
280,000
|
|
|
|
361,381
|
|
Devon Energy Corp., Senior Notes
|
|
|
3.250
|
%
|
|
|
5/15/22
|
|
|
|
1,320,000
|
|
|
|
1,274,017
|
|
Enterprise Products Operating LLC, Senior Notes
|
|
|
5.250
|
%
|
|
|
1/31/20
|
|
|
|
620,000
|
|
|
|
697,067
|
|
Enterprise Products Operating LLC, Senior Notes
|
|
|
3.350
|
%
|
|
|
3/15/23
|
|
|
|
4,450,000
|
|
|
|
4,300,961
|
|
Hess Corp., Notes
|
|
|
8.125
|
%
|
|
|
2/15/19
|
|
|
|
170,000
|
|
|
|
216,598
|
|
Hess Corp., Notes
|
|
|
7.875
|
%
|
|
|
10/1/29
|
|
|
|
170,000
|
|
|
|
216,888
|
|
Kerr-McGee Corp., Notes
|
|
|
6.950
|
%
|
|
|
7/1/24
|
|
|
|
630,000
|
|
|
|
760,736
|
|
Kinder Morgan Energy Partners LP, Senior Notes
|
|
|
3.950
|
%
|
|
|
9/1/22
|
|
|
|
120,000
|
|
|
|
119,831
|
|
Noble Energy Inc., Senior Notes
|
|
|
4.150
|
%
|
|
|
12/15/21
|
|
|
|
130,000
|
|
|
|
135,039
|
|
Occidental Petroleum Corp., Senior Notes
|
|
|
2.700
|
%
|
|
|
2/15/23
|
|
|
|
1,200,000
|
|
|
|
1,122,012
|
|
Pemex Project Funding Master Trust, Senior Bonds
|
|
|
6.625
|
%
|
|
|
6/15/35
|
|
|
|
1,307,000
|
|
|
|
1,405,025
|
|
Petrobras Global Finance BV, Senior Notes
|
|
|
4.375
|
%
|
|
|
5/20/23
|
|
|
|
2,270,000
|
|
|
|
2,067,096
|
|
Petrobras International Finance Co., Senior Notes
|
|
|
3.875
|
%
|
|
|
1/27/16
|
|
|
|
450,000
|
|
|
|
466,525
|
|
Petrobras International Finance Co., Senior Notes
|
|
|
5.375
|
%
|
|
|
1/27/21
|
|
|
|
3,500,000
|
|
|
|
3,502,923
|
|
Petroleos Mexicanos, Senior Notes
|
|
|
3.500
|
%
|
|
|
1/30/23
|
|
|
|
2,994,000
|
|
|
|
2,746,995
|
(a)
|
Shell International Finance BV, Senior Notes
|
|
|
4.375
|
%
|
|
|
3/25/20
|
|
|
|
20,000
|
|
|
|
22,115
|
|
Sinopec Group Overseas Development 2012 Ltd., Senior Notes
|
|
|
2.750
|
%
|
|
|
5/17/17
|
|
|
|
490,000
|
|
|
|
497,538
|
(a)
|
Williams Cos. Inc., Notes
|
|
|
7.875
|
%
|
|
|
9/1/21
|
|
|
|
115,000
|
|
|
|
139,130
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,755,407
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL ENERGY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,245,911
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIALS - 20.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital Markets - 1.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Group Inc., Senior Notes
|
|
|
2.375
|
%
|
|
|
1/22/18
|
|
|
|
1,000,000
|
|
|
|
989,062
|
|
Goldman Sachs Group Inc., Senior Notes
|
|
|
5.250
|
%
|
|
|
7/27/21
|
|
|
|
200,000
|
|
|
|
216,103
|
|
Lehman Brothers Holdings Capital Trust VII, Junior Subordinated Notes
|
|
|
5.857
|
%
|
|
|
9/16/13
|
|
|
|
320,000
|
|
|
|
0
|
(b)(c)(d)(e)(f)
|
Lehman Brothers Holdings Inc., Subordinated Notes
|
|
|
6.500
|
%
|
|
|
7/19/17
|
|
|
|
465,000
|
|
|
|
0
|
(b)(c)(d)(e)
|
Lehman Brothers Holdings Inc., Subordinated Notes
|
|
|
6.750
|
%
|
|
|
12/28/17
|
|
|
|
180,000
|
|
|
|
0
|
(b)(c)(d)(e)
|
Merrill Lynch & Co. Inc., Senior Notes
|
|
|
6.400
|
%
|
|
|
8/28/17
|
|
|
|
120,000
|
|
|
|
137,245
|
|
Morgan Stanley, Medium-Term Notes
|
|
|
6.625
|
%
|
|
|
4/1/18
|
|
|
|
400,000
|
|
|
|
461,677
|
|
Morgan Stanley, Senior Notes
|
|
|
4.750
|
%
|
|
|
3/22/17
|
|
|
|
10,000
|
|
|
|
10,756
|
|
State Street Corp., Junior Subordinated Notes
|
|
|
4.956
|
%
|
|
|
3/15/18
|
|
|
|
110,000
|
|
|
|
121,454
|
|
Vesey Street Investment Trust I, Senior Notes
|
|
|
4.404
|
%
|
|
|
9/1/16
|
|
|
|
400,000
|
|
|
|
427,638
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Capital Markets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,363,935
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks - 9.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BBVA US Senior SAU, Senior Notes
|
|
|
3.250
|
%
|
|
|
5/16/14
|
|
|
|
130,000
|
|
|
|
131,322
|
|
BBVA US Senior SAU, Senior Notes
|
|
|
4.664
|
%
|
|
|
10/9/15
|
|
|
|
3,220,000
|
|
|
|
3,325,555
|
|
BNP Paribas SA, Senior Notes
|
|
|
2.375
|
%
|
|
|
9/14/17
|
|
|
|
880,000
|
|
|
|
888,213
|
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, Subordinated Notes
|
|
|
3.950
|
%
|
|
|
11/9/22
|
|
|
|
900,000
|
|
|
|
866,213
|
|
Credit Agricole SA, Subordinated Notes
|
|
|
8.375
|
%
|
|
|
10/13/19
|
|
|
|
270,000
|
|
|
|
291,600
|
(a)(f)(g)
|
Intesa Sanpaolo SpA, Senior Notes
|
|
|
3.125
|
%
|
|
|
1/15/16
|
|
|
|
800,000
|
|
|
|
793,564
|
|
Intesa Sanpaolo SpA, Senior Notes
|
|
|
3.875
|
%
|
|
|
1/16/18
|
|
|
|
1,000,000
|
|
|
|
973,226
|
|
Lloyds TSB Bank PLC, Subordinated Notes
|
|
|
6.500
|
%
|
|
|
9/14/20
|
|
|
|
100,000
|
|
|
|
108,590
|
(a)
|
Nordea Bank AB, Subordinated Notes
|
|
|
4.875
|
%
|
|
|
5/13/21
|
|
|
|
550,000
|
|
|
|
576,662
|
(a)
|
Rabobank Nederland NV, Junior Subordinated Notes
|
|
|
11.000
|
%
|
|
|
6/30/19
|
|
|
|
345,000
|
|
|
|
447,864
|
(a)(f)(g)
|
Royal Bank of Scotland Group PLC, Senior Notes
|
|
|
2.550
|
%
|
|
|
9/18/15
|
|
|
|
220,000
|
|
|
|
224,689
|
|
Royal Bank of Scotland Group PLC, Subordinated Notes
|
|
|
6.100
|
%
|
|
|
6/10/23
|
|
|
|
2,210,000
|
|
|
|
2,123,224
|
|
Wachovia Capital Trust III, Junior Subordinated Bonds
|
|
|
5.570
|
%
|
|
|
9/16/13
|
|
|
|
880,000
|
|
|
|
861,300
|
(f)(g)
|
Wells Fargo & Co., Senior Notes
|
|
|
4.600
|
%
|
|
|
4/1/21
|
|
|
|
100,000
|
|
|
|
109,022
|
|
See
Notes to Schedule of Investments.
2
WESTERN ASSET SMASH SERIES C FUND
|
|
|
Schedule of Investments (unaudited) (contd)
|
|
July 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
RATE
|
|
|
MATURITY
DATE
|
|
|
FACE
AMOUNT
|
|
|
VALUE
|
|
Commercial Banks - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wells Fargo & Co., Subordinated Notes
|
|
|
3.450
|
%
|
|
|
2/13/23
|
|
|
$
|
610,000
|
|
|
$
|
585,127
|
|
Wells Fargo Capital X, Capital Securities
|
|
|
5.950
|
%
|
|
|
12/15/36
|
|
|
|
490,000
|
|
|
|
490,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Banks
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,796,171
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance - 1.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Express Co., Subordinated Debentures
|
|
|
6.800
|
%
|
|
|
9/1/66
|
|
|
|
440,000
|
|
|
|
471,350
|
(g)
|
SLM Corp., Senior Notes
|
|
|
3.875
|
%
|
|
|
9/10/15
|
|
|
|
1,260,000
|
|
|
|
1,289,925
|
|
Toyota Motor Credit Corp., Senior Notes
|
|
|
1.250
|
%
|
|
|
10/5/17
|
|
|
|
720,000
|
|
|
|
705,128
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Finance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,466,403
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services - 5.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America Corp., Senior Notes
|
|
|
3.875
|
%
|
|
|
3/22/17
|
|
|
|
100,000
|
|
|
|
105,897
|
|
Bank of America Corp., Senior Notes
|
|
|
5.750
|
%
|
|
|
12/1/17
|
|
|
|
200,000
|
|
|
|
225,711
|
|
Bank of America Corp., Senior Notes
|
|
|
7.625
|
%
|
|
|
6/1/19
|
|
|
|
400,000
|
|
|
|
488,886
|
|
Citigroup Inc., Senior Notes
|
|
|
6.000
|
%
|
|
|
8/15/17
|
|
|
|
200,000
|
|
|
|
226,939
|
|
Citigroup Inc., Senior Notes
|
|
|
8.500
|
%
|
|
|
5/22/19
|
|
|
|
80,000
|
|
|
|
102,188
|
|
Citigroup Inc., Senior Notes
|
|
|
4.500
|
%
|
|
|
1/14/22
|
|
|
|
850,000
|
|
|
|
897,115
|
|
Citigroup Inc., Senior Notes
|
|
|
6.875
|
%
|
|
|
3/5/38
|
|
|
|
800,000
|
|
|
|
983,432
|
|
Citigroup Inc., Subordinated Notes
|
|
|
5.000
|
%
|
|
|
9/15/14
|
|
|
|
420,000
|
|
|
|
436,682
|
|
General Electric Capital Corp., Notes
|
|
|
5.300
|
%
|
|
|
2/11/21
|
|
|
|
750,000
|
|
|
|
823,043
|
|
General Electric Capital Corp., Subordinated Debentures
|
|
|
6.375
|
%
|
|
|
11/15/67
|
|
|
|
500,000
|
|
|
|
534,375
|
(g)
|
ING US Inc., Senior Notes
|
|
|
2.900
|
%
|
|
|
2/15/18
|
|
|
|
1,840,000
|
|
|
|
1,837,183
|
(a)
|
JPMorgan Chase & Co., Subordinated Notes
|
|
|
6.125
|
%
|
|
|
6/27/17
|
|
|
|
10,000
|
|
|
|
11,334
|
|
JPMorgan Chase & Co., Subordinated Notes
|
|
|
3.375
|
%
|
|
|
5/1/23
|
|
|
|
1,320,000
|
|
|
|
1,227,782
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Diversified Financial Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,900,567
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance - 1.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American International Group Inc., Medium-Term Notes, Senior Notes
|
|
|
5.850
|
%
|
|
|
1/16/18
|
|
|
|
1,500,000
|
|
|
|
1,710,828
|
|
Teachers Insurance & Annuity Association of America - College Retirement Equity Fund, Notes
|
|
|
6.850
|
%
|
|
|
12/16/39
|
|
|
|
190,000
|
|
|
|
236,935
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Insurance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,947,763
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance - 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Countrywide Financial Corp., Subordinated Notes
|
|
|
6.250
|
%
|
|
|
5/15/16
|
|
|
|
505,000
|
|
|
|
555,197
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,030,036
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HEALTH CARE - 9.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies - 2.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Baxter International Inc., Senior Notes
|
|
|
3.200
|
%
|
|
|
6/15/23
|
|
|
|
2,710,000
|
|
|
|
2,660,746
|
|
Medtronic Inc., Senior Notes
|
|
|
3.125
|
%
|
|
|
3/15/22
|
|
|
|
1,280,000
|
|
|
|
1,262,516
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Health Care Equipment & Supplies
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,923,262
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services - 3.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Express Scripts Holding Co., Senior Notes
|
|
|
3.500
|
%
|
|
|
11/15/16
|
|
|
|
200,000
|
|
|
|
212,873
|
|
Express Scripts Holding Co., Senior Notes
|
|
|
4.750
|
%
|
|
|
11/15/21
|
|
|
|
500,000
|
|
|
|
537,546
|
|
Humana Inc., Senior Notes
|
|
|
3.150
|
%
|
|
|
12/1/22
|
|
|
|
210,000
|
|
|
|
196,087
|
|
Medco Health Solutions Inc., Senior Notes
|
|
|
4.125
|
%
|
|
|
9/15/20
|
|
|
|
1,032,000
|
|
|
|
1,060,582
|
|
UnitedHealth Group Inc., Senior Notes
|
|
|
1.625
|
%
|
|
|
3/15/19
|
|
|
|
1,000,000
|
|
|
|
966,896
|
|
UnitedHealth Group Inc., Senior Notes
|
|
|
3.375
|
%
|
|
|
11/15/21
|
|
|
|
190,000
|
|
|
|
190,085
|
|
WellPoint Inc., Notes
|
|
|
5.875
|
%
|
|
|
6/15/17
|
|
|
|
490,000
|
|
|
|
558,904
|
|
WellPoint Inc., Senior Notes
|
|
|
1.250
|
%
|
|
|
9/10/15
|
|
|
|
30,000
|
|
|
|
30,228
|
|
WellPoint Inc., Senior Notes
|
|
|
3.125
|
%
|
|
|
5/15/22
|
|
|
|
1,410,000
|
|
|
|
1,344,728
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Health Care Providers & Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,097,929
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services - 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Thermo Fisher Scientific Inc., Senior Notes
|
|
|
3.600
|
%
|
|
|
8/15/21
|
|
|
|
300,000
|
|
|
|
295,506
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals - 2.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AbbVie Inc., Senior Notes
|
|
|
1.750
|
%
|
|
|
11/6/17
|
|
|
|
1,470,000
|
|
|
|
1,454,111
|
(a)
|
AbbVie Inc., Senior Notes
|
|
|
2.900
|
%
|
|
|
11/6/22
|
|
|
|
900,000
|
|
|
|
857,034
|
(a)
|
GlaxoSmithKline Capital PLC, Senior Notes
|
|
|
2.850
|
%
|
|
|
5/8/22
|
|
|
|
600,000
|
|
|
|
583,682
|
|
Wyeth, Notes
|
|
|
5.950
|
%
|
|
|
4/1/37
|
|
|
|
345,000
|
|
|
|
411,706
|
|
See
Notes to Schedule of Investments.
3
WESTERN ASSET SMASH SERIES C FUND
|
|
|
Schedule of Investments (unaudited) (contd)
|
|
July 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
RATE
|
|
|
MATURITY
DATE
|
|
|
FACE
AMOUNT
|
|
|
VALUE
|
|
Pharmaceuticals - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Zoetis Inc., Senior Notes
|
|
|
3.250
|
%
|
|
|
2/1/23
|
|
|
$
|
200,000
|
|
|
$
|
190,256
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Pharmaceuticals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,496,789
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL HEALTH CARE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,813,486
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INDUSTRIALS - 1.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies - 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Waste Management Inc., Senior Notes
|
|
|
7.375
|
%
|
|
|
5/15/29
|
|
|
|
200,000
|
|
|
|
247,404
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment - 1.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Eaton Corp., Senior Notes
|
|
|
1.500
|
%
|
|
|
11/2/17
|
|
|
|
600,000
|
|
|
|
587,463
|
(a)
|
Eaton Corp., Senior Notes
|
|
|
2.750
|
%
|
|
|
11/2/22
|
|
|
|
1,120,000
|
|
|
|
1,046,670
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Electrical Equipment
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,634,133
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates - 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
United Technologies Corp., Senior Notes
|
|
|
4.500
|
%
|
|
|
6/1/42
|
|
|
|
230,000
|
|
|
|
231,105
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,112,642
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INFORMATION TECHNOLOGY - 1.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals - 1.6%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Apple Inc., Senior Notes
|
|
|
2.400
|
%
|
|
|
5/3/23
|
|
|
|
2,500,000
|
|
|
|
2,298,305
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software - 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oracle Corp., Senior Notes
|
|
|
1.200
|
%
|
|
|
10/15/17
|
|
|
|
300,000
|
|
|
|
293,756
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INFORMATION TECHNOLOGY
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,592,061
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MATERIALS - 11.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals - 1.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ecolab Inc., Senior Notes
|
|
|
4.350
|
%
|
|
|
12/8/21
|
|
|
|
60,000
|
|
|
|
63,489
|
|
LyondellBasell Industries NV, Senior Notes
|
|
|
5.000
|
%
|
|
|
4/15/19
|
|
|
|
1,200,000
|
|
|
|
1,330,273
|
|
PPG Industries Inc., Senior Notes
|
|
|
6.650
|
%
|
|
|
3/15/18
|
|
|
|
230,000
|
|
|
|
272,242
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Chemicals
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,666,004
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging - 1.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Rock-Tenn Co., Senior Notes
|
|
|
4.450
|
%
|
|
|
3/1/19
|
|
|
|
1,200,000
|
|
|
|
1,273,066
|
|
Rock-Tenn Co., Senior Notes
|
|
|
3.500
|
%
|
|
|
3/1/20
|
|
|
|
370,000
|
|
|
|
365,109
|
|
Rock-Tenn Co., Senior Notes
|
|
|
4.000
|
%
|
|
|
3/1/23
|
|
|
|
180,000
|
|
|
|
173,624
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Containers & Packaging
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,811,799
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining - 9.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Barrick Gold Corp., Notes
|
|
|
4.100
|
%
|
|
|
5/1/23
|
|
|
|
1,440,000
|
|
|
|
1,227,100
|
(a)
|
Barrick North America Finance LLC, Senior Notes
|
|
|
4.400
|
%
|
|
|
5/30/21
|
|
|
|
940,000
|
|
|
|
854,364
|
|
BHP Billiton Finance USA Ltd., Senior Notes
|
|
|
3.250
|
%
|
|
|
11/21/21
|
|
|
|
1,250,000
|
|
|
|
1,235,768
|
|
Cliffs Natural Resources Inc., Senior Notes
|
|
|
4.875
|
%
|
|
|
4/1/21
|
|
|
|
40,000
|
|
|
|
36,694
|
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes
|
|
|
2.375
|
%
|
|
|
3/15/18
|
|
|
|
350,000
|
|
|
|
331,980
|
(a)
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes
|
|
|
3.100
|
%
|
|
|
3/15/20
|
|
|
|
650,000
|
|
|
|
596,928
|
(a)
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes
|
|
|
3.550
|
%
|
|
|
3/1/22
|
|
|
|
600,000
|
|
|
|
543,121
|
|
Rio Tinto Finance USA Ltd., Senior Notes
|
|
|
9.000
|
%
|
|
|
5/1/19
|
|
|
|
550,000
|
|
|
|
718,134
|
|
Rio Tinto Finance USA Ltd., Senior Notes
|
|
|
4.125
|
%
|
|
|
5/20/21
|
|
|
|
200,000
|
|
|
|
205,450
|
|
Southern Copper Corp., Senior Notes
|
|
|
5.250
|
%
|
|
|
11/8/42
|
|
|
|
1,880,000
|
|
|
|
1,504,382
|
|
Vale Overseas Ltd., Notes
|
|
|
6.875
|
%
|
|
|
11/21/36
|
|
|
|
913,000
|
|
|
|
905,978
|
|
Vale Overseas Ltd., Senior Notes
|
|
|
4.375
|
%
|
|
|
1/11/22
|
|
|
|
2,881,000
|
|
|
|
2,743,504
|
|
Xstrata Canada Financial Corp., Senior Notes
|
|
|
4.950
|
%
|
|
|
11/15/21
|
|
|
|
590,000
|
|
|
|
578,259
|
(a)
|
Xstrata Finance Canada Ltd., Senior Notes
|
|
|
2.050
|
%
|
|
|
10/23/15
|
|
|
|
740,000
|
|
|
|
737,215
|
(a)
|
Xstrata Finance Canada Ltd., Senior Notes
|
|
|
2.700
|
%
|
|
|
10/25/17
|
|
|
|
880,000
|
|
|
|
860,022
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Metals & Mining
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,078,899
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Celulosa Arauco y Constitucion SA, Senior Notes
|
|
|
4.750
|
%
|
|
|
1/11/22
|
|
|
|
10,000
|
|
|
|
9,870
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL MATERIALS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,566,572
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
4
WESTERN ASSET SMASH SERIES C FUND
|
|
|
Schedule of Investments (unaudited) (contd)
|
|
July 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
RATE
|
|
|
MATURITY
DATE
|
|
|
FACE
AMOUNT
|
|
|
VALUE
|
|
TELECOMMUNICATION SERVICES - 0.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services - 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telefonica Emisiones SAU, Senior Notes
|
|
|
5.134
|
%
|
|
|
4/27/20
|
|
|
$
|
220,000
|
|
|
$
|
226,583
|
|
Verizon Communications Inc., Senior Notes
|
|
|
2.450
|
%
|
|
|
11/1/22
|
|
|
|
110,000
|
|
|
|
99,576
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Diversified Telecommunication Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
326,159
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services - 0.7%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
America Movil SAB de CV, Senior Notes
|
|
|
5.625
|
%
|
|
|
11/15/17
|
|
|
|
200,000
|
|
|
|
231,388
|
|
America Movil SAB de CV, Senior Notes
|
|
|
5.000
|
%
|
|
|
3/30/20
|
|
|
|
350,000
|
|
|
|
380,208
|
|
America Movil SAB de CV, Senior Notes
|
|
|
3.125
|
%
|
|
|
7/16/22
|
|
|
|
388,000
|
|
|
|
362,437
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Wireless Telecommunication Services
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
974,033
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL TELECOMMUNICATION SERVICES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,300,192
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UTILITIES - 5.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities - 5.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Duke Energy Corp., Senior Notes
|
|
|
3.550
|
%
|
|
|
9/15/21
|
|
|
|
210,000
|
|
|
|
212,683
|
|
Exelon Corp., Bonds
|
|
|
5.625
|
%
|
|
|
6/15/35
|
|
|
|
240,000
|
|
|
|
251,289
|
|
FirstEnergy Corp., Notes
|
|
|
7.375
|
%
|
|
|
11/15/31
|
|
|
|
4,720,000
|
|
|
|
4,773,770
|
|
FirstEnergy Corp., Senior Notes
|
|
|
2.750
|
%
|
|
|
3/15/18
|
|
|
|
430,000
|
|
|
|
416,791
|
|
FirstEnergy Corp., Senior Notes
|
|
|
4.250
|
%
|
|
|
3/15/23
|
|
|
|
1,290,000
|
|
|
|
1,179,981
|
|
Pacific Gas & Electric Co., Senior Notes
|
|
|
5.625
|
%
|
|
|
11/30/17
|
|
|
|
480,000
|
|
|
|
556,040
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UTILITIES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,390,554
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS & NOTES
(Cost - $120,318,189)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
117,539,873
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS - 0.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Arizona - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Arizona State Board of Regents University System Revenue
|
|
|
5.000
|
%
|
|
|
7/1/43
|
|
|
|
20,000
|
|
|
|
20,432
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
California State, GO, Various Purpose
|
|
|
5.000
|
%
|
|
|
4/1/42
|
|
|
|
60,000
|
|
|
|
60,796
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Connecticut - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Connecticut State, GO
|
|
|
5.000
|
%
|
|
|
7/15/24
|
|
|
|
30,000
|
|
|
|
34,568
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Georgia - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Private Colleges & Universities Authority, GA, Revenue, Emory University
|
|
|
5.000
|
%
|
|
|
10/1/43
|
|
|
|
40,000
|
|
|
|
41,514
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maryland - 0.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Maryland State, GO, Local Facilities Loan
|
|
|
5.000
|
%
|
|
|
8/1/23
|
|
|
|
50,000
|
|
|
|
58,645
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
New Jersey - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
New Jersey State Transportation Trust Fund Authority, Revenue, Transportation Program
|
|
|
5.000
|
%
|
|
|
6/15/42
|
|
|
|
50,000
|
|
|
|
50,604
|
|
New Jersey State Turnpike Authority Revenue
|
|
|
5.000
|
%
|
|
|
1/1/43
|
|
|
|
30,000
|
|
|
|
30,538
|
|
New Jersey State Transportation Trust Fund Authority, Revenue, Transportation Program
|
|
|
5.000
|
%
|
|
|
6/15/38
|
|
|
|
40,000
|
|
|
|
40,570
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total New Jersey
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
121,712
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
New York - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
New York Liberty Development Corp., Liberty Revenue, 1 WTC Port Authority Constructions
|
|
|
5.000
|
%
|
|
|
12/15/41
|
|
|
|
40,000
|
|
|
|
40,737
|
|
New York City, NY, Municipal Water Finance Authority, Water & Sewer Systems Revenue, Second General Resolution
|
|
|
5.000
|
%
|
|
|
6/15/47
|
|
|
|
20,000
|
|
|
|
20,525
|
|
New York City, NY, Municipal Water Finance Authority, Water & Sewer Systems Revenue
|
|
|
5.000
|
%
|
|
|
6/15/47
|
|
|
|
20,000
|
|
|
|
20,468
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total New York
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
81,730
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ohio - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Northeast, OH, Regional Sewer District Revenue, Waste Water Revenue Improvement
|
|
|
5.000
|
%
|
|
|
11/15/43
|
|
|
|
40,000
|
|
|
|
41,630
|
|
See
Notes to Schedule of Investments.
5
WESTERN ASSET SMASH SERIES C FUND
|
|
|
Schedule of Investments (unaudited) (contd)
|
|
July 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SECURITY
|
|
RATE
|
|
|
MATURITY
DATE
|
|
|
FACE
AMOUNT
|
|
|
VALUE
|
|
Ohio - continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ohio State Turnpike Commission Revenue, Senior Lien
|
|
|
5.000
|
%
|
|
|
2/15/48
|
|
|
$
|
40,000
|
|
|
$
|
40,574
|
|
Ohio State Turnpike Commission Revenue, Junior Lien-Infrastructure Projects
|
|
|
5.000
|
%
|
|
|
2/15/48
|
|
|
|
90,000
|
|
|
|
89,268
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Ohio
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
171,472
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Texas - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
North East, TX, ISD, GO, PSFG
|
|
|
5.000
|
%
|
|
|
8/1/43
|
|
|
|
30,000
|
|
|
|
31,343
|
|
San Antonio, TX, Electric and Gas Revenue, Junior Lien
|
|
|
5.000
|
%
|
|
|
2/1/43
|
|
|
|
70,000
|
|
|
|
72,079
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Texas
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
103,422
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utah - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utah Transit Authority, Sales Tax Revenue
|
|
|
5.000
|
%
|
|
|
6/15/42
|
|
|
|
80,000
|
|
|
|
80,909
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL MUNICIPAL BONDS
(Cost - $771,819)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
775,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Obligations - 0.8%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Notes
|
|
|
1.375
|
%
|
|
|
6/30/18
|
|
|
|
580,000
|
|
|
|
580,158
|
|
U.S. Treasury Notes
|
|
|
1.750
|
%
|
|
|
5/15/23
|
|
|
|
600,000
|
|
|
|
556,547
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost - $1,141,459)
|
|
|
|
|
|
|
|
|
|
|
|
1,136,705
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $122,231,467)
|
|
|
|
|
|
|
|
119,451,778
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS - 13.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements - 13.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
State Street Bank & Trust Co. repurchase agreement dated 7/31/13; Proceeds at maturity - $18,958,005; (Fully collateralized by U.S.
Government Agency Obligations, 2.110% due 11/7/22; Market Value - $19,340,246) (Cost - $18,958,000)
|
|
|
0.010
|
%
|
|
|
8/1/13
|
|
|
|
18,958,000
|
|
|
|
18,958,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS - 98.5%
(Cost - $141,189,467#)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
138,409,778
|
|
Other Assets in Excess of Liabilities - 1.5%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,061,951
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL NET ASSETS - 100.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
140,471,729
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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, unless otherwise noted.
|
(b)
|
The coupon payment on these securities is currently in default as of July 31, 2013.
|
(c)
|
Security is valued in good faith in accordance with procedures approved by the Board of Trustees (See Note 1).
|
(e)
|
Value is less than $1.
|
(f)
|
Security has no maturity date. The date shown represents the next call date.
|
(g)
|
Variable rate security. Interest rate disclosed is as of the most recent information available.
|
#
|
Aggregate cost for federal income tax purposes is substantially the same.
|
Abbreviation used in this schedule:
|
|
|
|
|
GO
|
|
General Obligation
|
ISD
|
|
Independent School District
|
PSFG
|
|
Permanent School Fund Guaranty
|
See
Notes to Schedule of Investments.
6
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 or 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 in lieu of a management fee being charged by LMPFA 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. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not
reflect an investments fair value. 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 Funds Board of Trustees.
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 American 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 Funds 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
issuers 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.
7
Notes to Schedule of Investments (unaudited) (continued)
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.
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 Funds 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 Funds
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
|
|
|
|
|
|
$
|
117,539,873
|
|
|
$
|
0
|
*
|
|
$
|
117,539,873
|
|
Municipal bonds
|
|
|
|
|
|
|
775,200
|
|
|
|
|
|
|
|
775,200
|
|
U.S. government & agency obligations
|
|
|
|
|
|
|
1,136,705
|
|
|
|
|
|
|
|
1,136,705
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total long-term investments
|
|
|
|
|
|
$
|
119,451,778
|
|
|
$
|
0
|
*
|
|
$
|
119,451,778
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-term investments
|
|
|
|
|
|
|
18,958,000
|
|
|
|
|
|
|
|
18,958,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total investments
|
|
|
|
|
|
$
|
138,409,778
|
|
|
$
|
0
|
*
|
|
$
|
138,409,778
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
$
|
2,445,668
|
|
|
|
|
|
|
|
|
|
|
$
|
2,445,668
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
2,445,668
|
|
|
$
|
138,409,778
|
|
|
$
|
0
|
*
|
|
$
|
140,855,446
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES
|
|
DESCRIPTION
|
|
QUOTED PRICES
(LEVEL
1)
|
|
|
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
|
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
|
|
|
TOTAL
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
$
|
558,686
|
|
|
|
|
|
|
|
|
|
|
$
|
558,686
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Schedule of Investments for additional detailed categorizations.
|
*
|
Amount represents less than $1.
|
(b)
Repurchase agreements.
The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement,
the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Funds holding period. When entering into
repurchase agreements, it is the Funds policy that its custodian or a third party custodian, acting on the Funds behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals
the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the
agreement in an effort to ensure the adequacy of the
8
Notes to Schedule of Investments (unaudited) (continued)
collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral
declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.
(c) Futures contracts.
The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure
to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount equal to a certain percentage of the contract amount. This is known as the
initial margin and subsequent payments (variation margin) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including
foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which
they are traded.
Futures contracts involve, to varying degrees, risk of loss. In addition, there is the risk that the Fund may not be able to
enter into a closing transaction because of an illiquid secondary market.
(d) Swap agreements.
The Fund invests in swaps for the
purpose of managing its exposure to interest rate, credit or market risk, or for other purposes. The use of swaps involves risks that are different from those associated with other portfolio transactions. Swap agreements are privately negotiated in
the over-the-counter market (OTC Swaps) or may be executed on a registered exchange (Centrally Cleared Swaps). Unlike Centrally Cleared Swaps, the Fund has credit exposure to the counterparties of OTC Swaps.
Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon
termination of the swap agreement. Collateral, in the form of restricted cash or securities, may be required to be held in segregated accounts with the Funds custodian in compliance with the terms of the swap contracts. Securities posted as
collateral for swap contracts are identified in the Schedule of Investments.
The Funds maximum exposure in the event of a defined
credit event on a credit default swap to sell protection is the notional amount. As of July 31, 2013, the Fund did not hold any credit default swaps to sell protection.
For average notional amounts of swaps held during the period ended July 31, 2013, see Note 3.
Credit default swaps
The Fund
enters into credit default swap (CDS) contracts for investment purposes, to manage its credit risk or to add leverage. CDS agreements involve one party making a stream of payments to another party in exchange for the right to receive a
specified return in the event of a default by a third party, typically corporate or sovereign issuers, on a specified obligation, or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced
entities comprising a credit index. The Fund may use a CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund has exposure to an issuer) or to take an active long or short position with respect to the
likelihood of a particular issuers default. As a seller of protection, the Fund generally receives an upfront payment or a stream of payments throughout the term of the swap provided that there is no credit event. If the Fund is a seller of
protection and a credit event occurs, as defined under the terms of that particular swap agreement, the maximum potential amount of future payments (undiscounted) that the Fund could be required to make under a credit default swap agreement would be
an amount equal to the notional amount of the agreement. These amounts of potential payments will be partially offset by any recovery of values from the respective referenced obligations. As a seller of protection, the Fund effectively adds leverage
to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. As a buyer of protection, the Fund generally receives an amount up to the notional value of the swap if a
credit event occurs.
Implied spreads are the theoretical prices a lender receives for credit default protection. When spreads rise, market
perceived credit risk rises and when spreads fall, market perceived credit risk falls. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into
the agreement. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the
9
Notes to Schedule of Investments (unaudited) (continued)
referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. Credit spreads utilized in
determining the period end market value of credit default swap agreements on corporate or sovereign issues are disclosed in the Notes to the Schedule of Investments and serve as an indicator of the current status of the payment/performance risk and
represent the likelihood or risk of default for credit derivatives. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, particularly in relation to the notional amount of
the contract as well as the annual payment rate, serve as an indication of the current status of the payment/performance risk.
The
Funds maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract (this risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the
counterparty). As the protection seller, the Funds maximum risk is the notional amount of the contract. Credit default swaps are considered to have credit risk-related contingent features since they require payment by the protection seller to
the protection buyer upon the occurrence of a defined credit event.
Entering into a CDS agreement involves, to varying degrees, elements of
credit, market and documentation risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the
contractual terms in the agreement, and that there will be unfavorable changes in net interest rates.
(e) Swaptions.
The Fund
purchases and writes swaption contracts to manage exposure to an underlying instrument. The Fund may also purchase or write options to manage exposure to fluctuations in interest rates or to enhance yield. Swaption contracts written by the Fund
represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract at a future date. Swaption contracts purchased by the Fund represent an option that gives the Fund the right, but
not the obligation, to enter into a previously agreed upon swap contract at a future date.
When the Fund writes a swaption, an amount equal
to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the swaption written. If the swaption expires, the Fund realizes a gain equal to the amount of the
premium received.
When the Fund purchases a swaption, an amount equal to the premium paid by the Fund is recorded as an investment, the value
of which is marked-to-market daily to reflect the current market value of the swaption purchased. If the swaption expires, the Fund realizes a loss equal to the amount of the premium paid.
Swaptions are marked-to-market daily based upon quotations from market makers.
(f) Foreign investment risks.
The Funds investments in foreign securities may involve risks not present in domestic investments. Since
securities may be denominated in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect
the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the
market and/or credit risk of the investments.
(g) Credit and market risk.
The Fund invests in high-yield and emerging market
instruments that are subject to certain credit and market risks. The yields of high-yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Funds investments in securities rated below
investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary
market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Fund. The Funds investments in non-U.S. dollar denominated securities may also
result in foreign currency losses caused by devaluations and exchange rate fluctuations.
(h) Counterparty risk and credit-risk-related
contingent features of derivative instruments.
The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in
securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet
its contractual obligations. The Funds investment manager attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net
exposure to
10
Notes to Schedule of Investments (unaudited) (continued)
each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions
may impact the assessment of such counterparty risk by the investment manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
The Fund has entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations,
agreements, collateral, events of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Funds net assets or NAV over a specified
period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives while collateral terms are contract
specific for over-the-counter traded derivatives. Securities pledged as collateral, if any, to cover the obligations of the Fund under derivative contracts, are noted in the Schedule of Investments.
As of July 31, 2013, the Fund did not have any open derivative transactions with credit related contingent features in a net liability position.
(i) Security transactions.
Security transactions are accounted for on a trade date basis.
2. Investments
At July 31, 2013,
the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
2,207,024
|
|
Gross unrealized depreciation
|
|
|
(4,986,713
|
)
|
|
|
|
|
|
Net unrealized depreciation
|
|
$
|
(2,779,689
|
)
|
|
|
|
|
|
At July 31, 2013, the Fund had the following open futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts
|
|
|
Expiration
Date
|
|
|
Basis
Value
|
|
|
Market
Value
|
|
|
Unrealized
Gain (Loss)
|
|
Contracts to Buy:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 5-Year Notes
|
|
|
336
|
|
|
|
9/13
|
|
|
$
|
41,338,061
|
|
|
$
|
40,779,375
|
|
|
$
|
(558,686
|
)
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 10-Year Notes
|
|
|
684
|
|
|
|
9/13
|
|
|
|
88,928,918
|
|
|
|
86,483,250
|
|
|
|
2,445,668
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized gain on open futures contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,886,982
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3. Derivative instruments and hedging activities
GAAP requires enhanced disclosure about an entitys derivative and hedging activities.
The following is a summary of the Funds derivative instruments categorized by risk exposure at July 31, 2013.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
|
|
|
Primary Underlying Risk Disclosure
|
|
Unrealized
Appreciation
|
|
|
Unrealized
Depreciation
|
|
|
Total
|
|
Interest Rate Risk
|
|
$
|
2,445,668
|
|
|
$
|
(558,686
|
)
|
|
$
|
1,886,982
|
|
11
Notes to Schedule of Investments (unaudited) (continued)
During the period ended July 31, 2013,
the volume of derivative activity for the Fund was as follows:
|
|
|
|
|
|
|
Average market value
|
|
Purchased options
|
|
$
|
2,177
|
|
Futures contracts (to buy)
|
|
|
12,749,266
|
|
Futures contracts (to sell)
|
|
|
65,576,304
|
|
|
|
|
|
Average notional balance
|
|
Credit default swap contracts (to sell protection)
|
|
$
|
285,070
|
|
|
At July 31, 2013, there were no open positions held in this derivative.
|
12
ITEM 2.
|
CONTROLS AND PROCEDURES.
|
|
(a)
|
The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures (as
defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on
their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.
|
|
(b)
|
There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the
registrants last fiscal quarter that have materially affected, or are likely to materially affect the registrants internal control over financial reporting.
|
Certifications
pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
Legg Mason Partners Institutional Trust
|
|
|
By
|
|
/s/ K
ENNETH
D.
F
ULLER
|
|
|
Kenneth D. Fuller
|
|
|
Chief Executive Officer
|
|
|
Date:
|
|
September 25, 2013
|
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report
has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
|
|
|
|
By
|
|
/s/ K
ENNETH
D.
F
ULLER
|
|
|
Kenneth D. Fuller
|
|
|
Chief Executive Officer
|
|
|
Date:
|
|
September 25, 2013
|
|
|
By
|
|
/s/ R
ICHARD
F.
S
ENNETT
|
|
|
Richard F. Sennett
|
|
|
Principal Financial Officer
|
|
|
Date:
|
|
September 25, 2013
|
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