WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited)    August 31, 2023

 

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  
                            
U.S. TREASURY INFLATION PROTECTED SECURITIES - 129.5%

 

      

U.S. Treasury Bonds, Inflation Indexed

      2.000 %      1/15/26        115,293,750      $  113,489,062 (a) 

U.S. Treasury Bonds, Inflation Indexed

      2.375 %      1/15/27        7,564,750        7,569,404  

U.S. Treasury Bonds, Inflation Indexed

      3.625 %      4/15/28        16,977,780        18,092,033  

U.S. Treasury Bonds, Inflation Indexed

      2.500 %      1/15/29        28,422,000        29,081,344 (a)  

U.S. Treasury Bonds, Inflation Indexed

      3.875 %      4/15/29        107,646,260        117,816,866 (a) 

U.S. Treasury Bonds, Inflation Indexed

      2.125 %      2/15/40        3,670,238        3,766,551  

U.S. Treasury Bonds, Inflation Indexed

      0.750 %      2/15/42        48,340,024        39,225,604  

U.S. Treasury Bonds, Inflation Indexed

      1.375 %      2/15/44        42,678,290        38,175,662 (a)(b) 

U.S. Treasury Bonds, Inflation Indexed

      0.750 %      2/15/45        35,890,336        28,052,352 (c)(d) 

U.S. Treasury Bonds, Inflation Indexed

      0.250 %      2/15/50        15,131,190        9,760,457  

U.S. Treasury Bonds, Inflation Indexed

      0.125 %      2/15/52        16,221,392        9,817,019 (a)  

U.S. Treasury Bonds, Inflation Indexed

      1.500 %      2/15/53        5,645,365        5,070,597  

U.S. Treasury Notes, Inflation Indexed

      0.625 %      1/15/24        19,614,450        19,353,373 (a)  

U.S. Treasury Notes, Inflation Indexed

      0.500 %      4/15/24        50,809,500        49,721,574 (a)  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      10/15/24        33,297,880        32,193,884 (a)  

U.S. Treasury Notes, Inflation Indexed

      0.250 %      1/15/25        38,645,100        37,144,554 (a)  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/25        34,255,380        32,675,945  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      10/15/25        24,693,690        23,448,234  

U.S. Treasury Notes, Inflation Indexed

      0.625 %      1/15/26        94,019,605        89,674,601 (a)  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/26        3,490,290        3,274,288  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      10/15/26        25,680,880        24,022,281 (a)  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/27        22,693,020        20,991,893  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      1/15/30        1,185,890        1,055,665  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      7/15/31        6,830,280        5,960,708  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      1/15/32        21,463,065        18,509,340 (a)  

U.S. Treasury Notes, Inflation Indexed

      1.125 %      1/15/33        32,981,816        30,777,520  
          

 

 

  

TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES

(Cost - $876,420,023)

 

 

         808,720,811  
          

 

 

  
COLLATERALIZED MORTGAGE OBLIGATIONS(e) - 9.4%           

Angel Oak Mortgage Trust, 2023-1 A1

      4.750 %      9/26/67        2,037,872        1,960,799 (f)  

Banc of America Funding Trust, 2015-R2 4A2 (1 mo. Term SOFR + 0.279%)

      3.970 %      9/29/36        1,893,814        1,366,115 (f)(g)  

Banc of America Funding Trust, 2015-R2 5A2

      3.970 %      9/29/36        4,324,862        3,478,557 (f)(g)  

BDS, 2021-FL8 A (1 mo. Term SOFR + 1.034%)

      6.346 %      1/18/36        527,258        521,380 (f)(g)  

Benchmark Mortgage Trust, 2021-B29 XA, IO

      1.147 %      9/15/54        8,165,697        426,675 (g)  

BHMS, 2018-ATLS D (1 mo. Term SOFR + 2.547%)

      7.857 %      7/15/35        4,220,000        4,004,187 (f)(g)  

BX Commercial Mortgage Trust, 2021-VOLT A (1 mo. Term SOFR + 0.814%)

      6.125 %      9/15/36        910,000        886,532 (f)(g)  

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report 

  

 

 

1

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2023

 

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  
                            
COLLATERALIZED MORTGAGE OBLIGATIONS(e) - (continued)

 

        

BX Commercial Mortgage Trust, 2021-XL2 D (1 mo. Term SOFR + 1.511%)

      6.821 %      10/15/38        1,368,378      $ 1,329,516 (f)(g) 

BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%)

      9.416 %      2/15/39        1,474,326        1,407,823 (f)(g) 

BX Commercial Mortgage Trust, 2023-VLT2 A (1 mo. Term SOFR + 2.281%)

      7.591 %      6/15/40        350,000        350,697 (f)(g) 

BX Trust, 2021-ARIA D (1 mo. Term SOFR + 2.010%)

      7.320 %      10/15/36        2,230,000        2,120,719 (f)(g) 

BX Trust, 2022-CLS A

      5.760 %      10/13/27        1,300,000        1,199,287 (f) 

BXMT Ltd., 2020-FL2 A (1 mo. Term SOFR + 1.014%)

      6.328 %      2/15/38        893,422        863,228 (f)(g) 

Citigroup Commercial Mortgage Trust, 2023-SMRT A

      6.015 %      6/10/28        570,000        566,626 (f)(g) 

CRSO Trust, 2023-BRND A

      7.121 %      7/1/28        750,000        755,638 (f)  

Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA3 B1 (30 Day Average SOFR + 5.214%)

      10.502 %      6/25/50        1,108,149        1,194,972 (f)(g) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 M1

      4.000 %      8/25/56        2,536,810        2,486,405 (f)(g) 

Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2017-2 M2

      4.000 %      8/25/56        5,170,000        4,742,053 (f)(g) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2023-DNA1 M1A (30 Day Average SOFR + 2.100%)

      7.396 %      3/25/43        727,289        734,350 (f)(g) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2023-DNA2 M1A (30 Day Average SOFR + 2.100%)

      7.396 %      4/25/43        491,365        495,858 (f)(g) 

Federal National Mortgage Association (FNMA) - CAS, 2017-C06 1B1 (30 Day Average SOFR + 4.264%)

      9.552 %      2/25/30        2,950,000        3,160,345 (f)(g) 

Federal National Mortgage Association (FNMA) - CAS, 2019-R05 1B1 (30 Day Average SOFR + 4.214%)

      9.502 %      7/25/39        482,619        497,511 (f)(g) 

Federal National Mortgage Association (FNMA) - CAS, 2019-R07 1M2 (30 Day Average SOFR + 2.214%)

      7.502 %      10/25/39        62,573        62,756 (f)(g)  

 

See Notes to Consolidated Schedule of Investments.

 

 

 

2

  

 Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report

  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2023

 

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(e) - (continued)           

Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1B1 (30 Day Average SOFR + 3.364%)

      8.652 %      1/25/40        1,660,000      $ 1,665,482 (f)(g) 

Federal National Mortgage Association (FNMA) - CAS, 2023-R05 1M2 (30 Day Average SOFR + 3.100%)

      8.396 %      6/25/43        510,000        519,562 (f)(g) 

GS Mortgage Securities Trust, 2020-GC45 A5

      2.911 %      2/13/53        380,000        327,451  

Hawaii Hotel Trust, 2019-MAUI F (1 mo. Term SOFR + 2.797%)

      8.107 %      5/15/38        1,760,000        1,716,570 (f)(g) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ

      6.561 %      2/15/51        11,984        10,732 (g)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX

      4.844 %      1/16/37        4,570,000        3,207,060 (f)(g) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN XHFL, IO

      0.600 %      1/16/37        2,151,236        7,813 (f)(g)  

Lehman Mortgage Trust, 2006-5 2A2, IO (-1.000 x 1 mo. Term SOFR + 7.036%)

      1.721 %      9/25/36        2,422,106        256,010 (g)  

MHC Commercial Mortgage Trust, 2021-MHC A (1 mo. Term SOFR + 0.915%)

      6.225 %      4/15/38        1,220,000        1,203,097 (f)(g) 

MSC Trust, 2021-ILP A (1 mo. Term SOFR + 0.892%)

      6.203 %      11/15/23        1,903,705        1,862,949 (f)(g) 

Morgan Stanley Mortgage Loan Trust, 2007-11AR 2A3

      2.785 %      6/25/37        64,058        36,182 (g)  

MRCD Mortgage Trust, 2019-PARK A

      2.718 %      12/15/36        1,520,000        1,374,296 (f) 

MSWF Commercial Mortgage Trust, 2023-1 A4

      5.472 %      5/15/56        330,000        330,103  

OBX Trust, 2023-NQM3 A1

      5.949 %      2/25/63        1,980,298        1,967,789 (f) 

PFP Ltd., 2021-8 A (1 mo. Term SOFR + 1.114%)

      6.427 %      8/9/37        1,453,464        1,434,496 (f)(g) 

PRKCM Trust, 2023-AFC1 A1

      6.598 %      2/25/58        1,915,050        1,913,105 (f) 

SMRT, 2022-MINI A (1 mo. Term SOFR + 1.000%)

      6.311 %      1/15/39        390,000        381,934 (f)(g) 

SREIT Trust, 2021-MFP A (1 mo. Term SOFR + 0.845%)

      6.156 %      11/15/38        650,000        637,656 (f)(g) 

SREIT Trust, 2021-PALM B (1 mo. Term SOFR + 0.924%)

      6.234 %      10/15/34        1,930,000        1,874,487 (f)(g) 

Towd Point Mortgage Trust, 2020-2 A1A

      1.636 %      4/25/60        1,946,094        1,694,289 (f)(g) 

UBS Commercial Mortgage Trust, 2017-C7 A3

      3.418 %      12/15/50        359,158        334,297  

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report 

  

 

 

3

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2023

 

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS(e) - (continued)           

WaMu Mortgage Pass-Through Certificates Trust, 2006-AR3 A1B (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.000%)

      5.430 %      2/25/46        959,070      $ 839,256 (g)  

Wells Fargo Commercial Mortgage Trust, 2021-C59 XA, IO

      1.658 %      4/15/54        3,932,019        311,909 (g)  
          

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost - $60,541,843)

 

         58,518,554  
          

 

 

  
CORPORATE BONDS & NOTES - 9.2%           
COMMUNICATION SERVICES - 0.0%††           

Wireless Telecommunication Services - 0.0%††

           

T-Mobile USA Inc., Senior Notes

      3.750 %      4/15/27        100,000        94,823  
          

 

 

  
CONSUMER DISCRETIONARY - 0.6%           

Hotels, Restaurants & Leisure - 0.6%

           

Sands China Ltd., Senior Notes

      5.650 %      8/8/28        2,480,000        2,342,845  

Sands China Ltd., Senior Notes

      3.350 %      3/8/29        200,000        166,835  

Sands China Ltd., Senior Notes

      4.875 %      6/18/30        600,000        524,730  

Sands China Ltd., Senior Notes

      3.500 %      8/8/31        600,000        483,181  
          

 

 

  

TOTAL CONSUMER DISCRETIONARY

              3,517,591  
          

 

 

  
ENERGY - 4.2%           

Energy Equipment & Services - 0.0%††

           

Halliburton Co., Senior Notes

      3.800 %      11/15/25        11,000        10,733  
          

 

 

  

Oil, Gas & Consumable Fuels - 4.2%

           

Apache Corp., Senior Notes

      5.250 %      2/1/42        910,000        747,591  

Apache Corp., Senior Notes

      4.250 %      1/15/44        2,630,000        1,801,004  

BP Capital Markets America Inc., Senior Notes

      3.633 %      4/6/30        580,000        535,991  

Chevron USA Inc., Senior Notes

      3.900 %      11/15/24        500,000        492,029  

Continental Resources Inc., Senior Notes

      4.900 %      6/1/44        2,250,000        1,727,181  

Enterprise Products Operating LLC, Senior Notes

      3.125 %      7/31/29        2,880,000        2,582,195  

EOG Resources Inc., Senior Notes

      4.375 %      4/15/30        70,000        68,088  

EOG Resources Inc., Senior Notes

      4.950 %      4/15/50        250,000        236,750  

Exxon Mobil Corp., Senior Notes

      4.327 %      3/19/50        6,590,000        5,716,900  

Exxon Mobil Corp., Senior Notes

      3.452 %      4/15/51        660,000        491,593  

Occidental Petroleum Corp., Senior Notes

      5.550 %      3/15/26        330,000        327,538  

Occidental Petroleum Corp., Senior Notes

      6.200 %      3/15/40        2,690,000        2,659,616  

Petrobras Global Finance BV, Senior Notes

      5.999 %      1/27/28        1,410,000        1,401,833  

QazaqGaz NC JSC, Senior Notes

      4.375 %      9/26/27        4,000,000        3,687,400 (f) 

 

See Notes to Consolidated Schedule of Investments.

 

 

 

4

  

 Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report

  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2023

 

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  

Oil, Gas & Consumable Fuels - (continued)

           

Williams Cos. Inc., Senior Notes

      5.750 %      6/24/44        2,350,000      $ 2,227,894  

YPF SA, Senior Notes

      8.500 %      7/28/25        1,700,000        1,608,970 (h) 
          

 

 

  

Total Oil, Gas & Consumable Fuels

              26,312,573  
          

 

 

  

TOTAL ENERGY

              26,323,306  
          

 

 

  
FINANCIALS - 0.9%           

Banks - 0.7%

           

Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term SOFR + 4.502%)

      5.013 %      4/4/51        4,480,000        4,049,170 (g) 
          

 

 

  

Financial Services - 0.2%

           

ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.800%)

      7.314 %      12/21/65        2,084,000        1,545,709 (f)(g) 
          

 

 

  

TOTAL FINANCIALS

              5,594,879  
          

 

 

  
HEALTH CARE - 0.8%           

Pharmaceuticals - 0.8%

           

Bausch Health Americas Inc., Senior Notes

      9.250 %      4/1/26        3,130,000        2,838,785 (f) 

Bausch Health Americas Inc., Senior Notes

      8.500 %      1/31/27        1,970,000        1,098,167 (f) 

Bausch Health Cos. Inc., Senior Notes

      5.250 %      1/30/30        2,370,000        1,003,046 (f) 
          

 

 

  

TOTAL HEALTH CARE

              4,939,998  
          

 

 

  
INDUSTRIALS - 0.5%           

Aerospace & Defense - 0.5%

           

General Dynamics Corp., Senior Notes

      4.250 %      4/1/40        30,000        26,749  

General Dynamics Corp., Senior Notes

      4.250 %      4/1/50        3,470,000        3,060,654  
          

 

 

  

TOTAL INDUSTRIALS

              3,087,403  
          

 

 

  
INFORMATION TECHNOLOGY - 0.1%           

Semiconductors & Semiconductor Equipment - 0.1%

           

Broadcom Inc., Senior Notes

      3.137 %      11/15/35        400,000        305,496 (f)  
          

 

 

  
MATERIALS - 2.1%           

Metals & Mining - 2.1%

           

Alcoa Nederland Holding BV, Senior Notes

      6.125 %      5/15/28        570,000        564,027 (f)  

Anglo American Capital PLC, Senior Notes

      4.000 %      9/11/27        1,630,000        1,539,805 (f)  

Antofagasta PLC, Senior Notes

      2.375 %      10/14/30        1,110,000        886,239 (f)  

Barrick North America Finance LLC, Senior Notes

      5.750 %      5/1/43        1,170,000        1,172,020  

BHP Billiton Finance USA Ltd., Senior Notes

      5.000 %      9/30/43        1,620,000        1,567,648  

Glencore Finance Canada Ltd., Senior Notes

      5.550 %      10/25/42        2,330,000        2,131,554 (f)  

Glencore Funding LLC, Senior Notes

      4.125 %      3/12/24        750,000        743,254 (f)  

Glencore Funding LLC, Senior Notes

      4.000 %      3/27/27        500,000        475,507 (f)  

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report 

  

 

 

5

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2023

 

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		     VALUE  

Metals & Mining - (continued)

          

Glencore Funding LLC, Senior Notes

      3.875 %      10/27/27        1,630,000     $ 1,529,100 (f) 

Southern Copper Corp., Senior Notes

      5.250 %      11/8/42        1,600,000       1,481,027  

Yamana Gold Inc., Senior Notes

      4.625 %      12/15/27        1,360,000       1,289,321  
         

 

 

  

TOTAL MATERIALS

             13,379,502  
         

 

 

  

TOTAL CORPORATE BONDS & NOTES
(Cost - $66,486,145)

             57,242,998  
         

 

 

  
SOVEREIGN BONDS - 4.0%          

Argentina - 0.0%††

          

Argentine Bonos del Tesoro, Bonds

      16.000 %      10/17/23        26,750,000 ARS       32,962 (i)  
         

 

 

  

Brazil - 0.1%

          

Brazil Notas do Tesouro Nacional Serie F, Notes

      10.000 %      1/1/27        2,446,000 BRL       487,711  
         

 

 

  

Chile - 0.7%

          

Bonos de la Tesoreria de la Republica en pesos, Bonds

      5.000 %      3/1/35        4,040,000,000 CLP      4,472,358  
         

 

 

  

Indonesia - 0.9%

          

Indonesia Treasury Bond

      7.000 %      5/15/27        81,217,000,000 IDR      5,466,283  
         

 

 

  

Mexico - 2.3%

          

Mexican Bonos, Bonds

      8.000 %      11/7/47        51,280,000 MXN       2,616,827  

Mexican Bonos, Senior Notes

      7.750 %      11/13/42        162,580,000 MXN      8,148,976  

Mexico Government International Bond, Senior Notes

      4.500 %      4/22/29        3,720,000       3,595,691  
         

 

 

  

Total Mexico

             14,361,494  
         

 

 

  

Nigeria - 0.0%††

          

Nigeria Government International Bond, Senior Notes

      6.500 %      11/28/27        280,000       240,888 (f)  
         

 

 

  

TOTAL SOVEREIGN BONDS
(Cost - $29,705,522)

             25,061,696  
         

 

 

  
NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 3.2%

 

     

Brazil - 1.9%

          

Brazil Notas do Tesouro Nacional Serie B, Notes

      6.000 %      8/15/30        34,122,569 BRL       7,211,119  

Brazil Notas do Tesouro Nacional Serie B, Notes

      6.000 %      8/15/50        21,118,769 BRL       4,506,581  
         

 

 

  

Total Brazil

             11,717,700  
         

 

 

  

Uruguay - 1.3%

          

Uruguay Government International Bond, Senior Notes

      4.250 %      4/5/27        306,491,865 UYU      8,404,715  
         

 

 

  

TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES
(Cost - $24,806,794)

 

        20,122,415  
         

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

 

6

  

 Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report

  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2023

 

(Percentages shown based on Fund net assets)

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  
ASSET-BACKED SECURITIES - 1.0%           

Bear Stearns Asset Backed Securities Trust, 2007-SD2 2A1 (1 mo. Term SOFR + 0.914%)

      6.229 %      9/25/46        25,091      $ 23,429 (g)  

BRSP Ltd., 2021-FL1 A (1 mo. Term SOFR + 1.264%)

      6.578 %      8/19/38        2,000,000        1,945,500 (f)(g) 

Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. Term SOFR + 1.134%)

      6.445 %      7/15/39        1,000,000        987,031 (f)(g)  

MF1 LLC, 2022-FL9 A (1 mo. Term SOFR + 2.150%)

      7.464 %      6/19/37        2,290,000        2,293,414 (f)(g) 

Origen Manufactured Housing Contract Trust, 2007-B A1 (1 mo. USD LIBOR + 1.200%)

      6.625 %      10/15/37        1,336,281        1,293,824 (f)(g) 
          

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Cost - $6,535,156)

 

           6,543,198  
          

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $1,064,495,483)

 

      976,209,672  
          

 

 

  
                  SHARES         
SHORT-TERM INVESTMENTS - 0.9%           

Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost - $5,394,883)

      5.261 %         5,394,883        5,394,883 (j)(k)  
          

 

 

  

TOTAL INVESTMENTS - 157.2%
(Cost - $1,069,890,366)

 

           981,604,555  

Liabilities in Excess of Other Assets - (57.2)%

              (357,229,711 ) 
          

 

 

  

TOTAL NET ASSETS - 100.0%

            $ 624,374,844  
          

 

 

  

 

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report 

  

 

 

7

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2023

 

†

Face amount denominated in U.S. dollars, unless otherwise noted.

 

††

Represents less than 0.1%.

 

(a)

All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements.

 

(b)

All or a portion of this security is held at the broker as collateral for open futures contracts.

 

(c)

All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts.

 

(d)

All or a portion of this security is held at the broker as collateral for OTC derivatives.

 

(e)

Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.

 

(f)

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.

 

(g)

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.

 

(h)

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.

 

(i)

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

 

(j)

Rate shown is one-day yield as of the end of the reporting period.

 

(k)

In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At August 31, 2023, the total market value of investments in Affiliated Companies was $5,394,883 and the cost was $5,394,883 (Note 2).

Abbreviation(s) used in this schedule:

 

ARS    — Argentine Peso
BRL    — Brazilian Real
CAS    — Connecticut Avenue Securities
CLP    — Chilean Peso
CMT    — Constant Maturity Treasury
GTD    — Guaranteed
IDR    — Indonesian Rupiah
IO    — Interest Only
JSC    — Joint Stock Company
LIBOR    — London Interbank Offered Rate
MXN    — Mexican Peso
REMIC    — Real Estate Mortgage Investment Conduit
SOFR    — Secured Overnight Financing Rate
USD    — United States Dollar
UYU    — Uruguayan Peso

 

See Notes to Consolidated Schedule of Investments.

 

 

 

8

  

 Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report

  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2023

 

At August 31, 2023, the Fund had the following open reverse repurchase agreements:

 

Counterparty

    Rate     Effective
Date		      Maturity
Date		      Face Amount
of Reverse
Repurchase
Agreements		      Asset Class
of Collateral*		      Collateral
Value**		  
Morgan Stanley & Co. Inc.      5.420 %      6/5/2023        9/5/2023      $  381,035,320       
 U.S. Treasury Inflation Protected
Securities Cash		  
 		    $

 

  268,568,231

11,305,000

  

 

          

 

 

        

 

 

  
           $  381,035,320         $  279,873,231  
          

 

 

        

 

 

  

 

*

Refer to the Consolidated Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements.

 

**

Including accrued interest.

At August 31, 2023, the Fund had the following open futures contracts:

 

     Number of
Contracts		      Expiration
Date		      Notional
Amount		      Market
Value		      Unrealized
Appreciation
(Depreciation)		  
Contracts to Buy:               

Copper

      210        12/23      $ 20,669,775      $ 20,065,500      $ (604,275 ) 

Gold 100 Ounce

      103        12/23        20,362,328        20,248,770        (113,558 ) 

U.S. Treasury 10-Year Notes

      482        12/23        52,956,762        53,517,063        560,301  

WTI Crude

      512        1/24        40,957,080        41,436,160        479,080  
              

 

 

  
                 321,548  
              

 

 

  
Contracts to Sell:               

U.S. Treasury Long-Term

               

Bonds

      319        12/23        38,264,497        38,818,313        (553,816 ) 

WTI Crude

      91        9/23        7,529,153        7,610,330        (81,177 ) 
              

 

 

  
                 (634,993 ) 
              

 

 

  
Net unrealized depreciation on open futures contracts

 

          $ (313,445 ) 
              

 

 

  

At August 31, 2023, the Fund had the following open forward foreign currency contracts:

 

Currency
Purchased		      Currency
Sold		     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation)		  
AUD      25,799,610        USD        17,217,261      BNP Paribas SA      10/20/23      $ (469,642 ) 
MXN      15,983,000        USD        919,663      Goldman Sachs Group Inc.      10/20/23        9,287  
USD      4,371,206        CLP        3,566,117,405      Goldman Sachs Group Inc.      10/20/23        210,159  
USD      3,292,472        UYU        127,583,301      Goldman Sachs Group Inc.      10/20/23        (71,629 ) 
USD      1,658,390        IDR        25,035,052,362      JPMorgan Chase & Co.      10/20/23        15,089  
INR      642,419,942        USD        7,773,717      Morgan Stanley & Co. Inc.      10/20/23        (27,956 ) 
JPY      402,941,743        USD        2,891,651      Morgan Stanley & Co. Inc.      10/20/23        (99,753 ) 
MYR      34,375,037        USD        7,447,738      Morgan Stanley & Co. Inc.      10/20/23        (14,227 ) 
USD      2,187,535        BRL        10,825,673      Morgan Stanley & Co. Inc.      10/20/23        17,629  
                 

 

 

  
Net unrealized depreciation on open forward foreign currency contracts       $ (431,043 ) 
                 

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report 

  

 

 

9

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2023

 

Abbreviation(s) used in this table:

 

AUD    — Australian Dollar
BRL    — Brazilian Real
CLP    — Chilean Peso
IDR    — Indonesian Rupiah
INR    — Indian Rupee
JPY    — Japanese Yen
MXN    — Mexican Peso
MYR    — Malaysian Ringgit
USD    — United States Dollar
UYU    — Uruguayan Peso

At August 31, 2023, the Fund had the following open swap contracts:

 

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.HY.40                  

Index

    $ 38,800,000        6/20/28      5.000% quarterly    $ 1,096,202      $ (114,519 )     $ 1,210,721  
Markit CDX.NA.IG.40 Index      139,182,000        6/20/28      1.000% quarterly      2,156,103        982,655        1,173,448  
  

 

 

           

 

 

     

 

 

     

 

 

  

Total

    $ 177,982,000            $ 3,252,305      $ 868,136      $ 2,384,169  
  

 

 

           

 

 

     

 

 

     

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

 

10

  

 Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report

  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    August 31, 2023

 

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.

 

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.

This Consolidated 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 Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2023 Quarterly Report 

  

 

 

11

Notes to Consolidated Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset Inflation-Linked Opportunities & Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified, closed-end management investment company. The Fund commenced operations on February 25, 2004.

The Fund’s primary investment objective is to provide current income for its shareholders. Capital appreciation, when consistent with current income, is a secondary investment objective. Under normal market conditions and at the time of purchase, the Fund will invest at least 80% of its total managed assets in inflation-linked securities. The Fund may invest up to 100% of its total managed assets in non-U.S. dollar investments. The Fund may also invest up to 40% of its total managed assets in below investment grade securities. If a security is rated by multiple nationally recognized statistical rating organizations (“NRSROs”) and receives different ratings, the Fund will treat the security as being rated in the highest rating category received from an NRSRO.

The Fund may gain exposure to the commodities markets by investing a portion of its assets in a wholly-owned subsidiary, Western Asset Inflation-Linked Opportunities & Income Fund CFC (the “Subsidiary”), organized under the laws of the Cayman Islands. Among other investments, the Subsidiary may invest in commodity-linked instruments. The Fund may invest up to 25% of its total assets in the Subsidiary; although 10% of total managed assets may be utilized for commodity-related strategies. This schedule of investments is the consolidated schedule of investments of the Fund and the Subsidiary.

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

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the

 

 

 

12

    

Notes to Consolidated Schedule of Investments (unaudited) (cont’d)

 

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 adviser to be unreliable, the market price may be determined by the adviser 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.

Pursuant to policies adopted by the Board of Trustees, the Fund’s adviser has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s adviser is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s adviser and 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.

 

   

 

 

13

Notes to Consolidated Schedule of Investments (unaudited) (cont’d)

 

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

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

 

  •  

Level 1 – unadjusted quoted prices in active markets for identical investments

 

  •  

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

 

  •  

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

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

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

 

ASSETS

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Long-Term Investments†:

            

U.S. Treasury Inflation Protected Securities

      —       $ 808,720,811        —       $ 808,720,811  

Collateralized Mortgage Obligations

      —         58,518,554        —         58,518,554  

Corporate Bonds & Notes

      —         57,242,998        —         57,242,998  

Sovereign Bonds

      —         25,061,696        —         25,061,696  

Non-U.S. Treasury Inflation Protected Securities

      —         20,122,415        —         20,122,415  

Asset-Backed Securities

      —         6,543,198        —         6,543,198  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —         976,209,672        —         976,209,672  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

    $ 5,394,883        —         —         5,394,883  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 5,394,883      $ 976,209,672        —       $ 981,604,555  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

 

 

14

    

Notes to Consolidated Schedule of Investments (unaudited) (cont’d)

 

ASSETS (cont’d)

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Other Financial Instruments:

            

Futures Contracts††

    $ 1,039,381        —         —       $ 1,039,381  

Forward Foreign Currency Contracts††

      —       $ 252,164        —         252,164  

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection††

      —         2,384,169        —         2,384,169  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Other Financial Instruments

    $ 1,039,381      $ 2,636,333        —       $ 3,675,714  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 6,434,264      $ 978,846,005        —       $ 985,280,269  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES

  

DESCRIPTION

    QUOTED PRICES
(LEVEL 1)		      OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)		      SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)		      TOTAL  

Other Financial Instruments:

            

Futures Contracts††

    $ 1,352,826        —         —       $ 1,352,826  

Forward Foreign Currency Contracts††

      —       $ 683,207        —         683,207  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 1,352,826      $ 683,207        —       $ 2,036,033  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Consolidated Schedule of Investments for additional detailed categorizations.

 

††

Reflects the unrealized appreciation (depreciation) of the instruments.

2. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended August 31, 2023. The following transactions were effected in such company for the period ended August 31, 2023.

 

     Affiliate
Value at
November 30,
2022		      Purchased      Sold      Realized
Gain (Loss)		      Dividend
Income		      Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)		      Affiliate
Value at
August 31,
2023		  
     Cost      Shares      Proceeds      Shares  
Western Asset Premier Institutional Government Reserves, Premium Shares    $ 3,884,686      $ 229,403,402        229,403,402      $ 227,893,205        227,893,205        —       $ 272,524        —       $ 5,394,883  

 

   

 

 

15

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