HTML

NPORT-EX 2 LMF7200WAInfLKIncomeFd.htm HTML

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited)		February 28, 2021


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
U.S. TREASURY INFLATION PROTECTED SECURITIES - 115.0%
U.S. Treasury Bonds, Inflation Indexed		2.000	%		1/15/26		57,297,637	$	67,956,700	^(a)
U.S. Treasury Bonds, Inflation Indexed		2.375	%		1/15/27		5,166,480		6,369,438
U.S. Treasury Bonds, Inflation Indexed		1.750	%		1/15/28		12,433,300		15,083,374	^(a)
U.S. Treasury Bonds, Inflation Indexed		2.500	%		1/15/29		12,241,188		15,824,977
U.S. Treasury Bonds, Inflation Indexed		3.875	%		4/15/29		40,403,730		57,226,405	^(a)
U.S. Treasury Bonds, Inflation Indexed		2.125	%		2/15/40		5,423,040		7,926,928	^(b)
U.S. Treasury Bonds, Inflation Indexed		2.125	%		2/15/41		9,658,172		14,287,846	^(c)
U.S. Treasury Bonds, Inflation Indexed		0.750	%		2/15/42		4,610,960		5,489,161
U.S. Treasury Bonds, Inflation Indexed		1.375	%		2/15/44		24,587,860		33,029,706	^(a)
U.S. Treasury Bonds, Inflation Indexed		0.125	%		2/15/51		2,361,109		2,439,549
U.S. Treasury Notes, Inflation Indexed		0.625	%		7/15/21		3,467,070		3,532,551
U.S. Treasury Notes, Inflation Indexed		0.125	%		1/15/22		16,111,760		16,483,918
U.S. Treasury Notes, Inflation Indexed		0.125	%		4/15/22		37,486,750		38,545,446	^(a)
U.S. Treasury Notes, Inflation Indexed		0.125	%		7/15/22		31,715,040		32,974,610	^(a)
U.S. Treasury Notes, Inflation Indexed		0.125	%		1/15/23		11,284,600		11,812,499
U.S. Treasury Notes, Inflation Indexed		0.625	%		4/15/23		23,594,400		25,061,503
U.S. Treasury Notes, Inflation Indexed		0.625	%		1/15/26		17,199,692		19,195,709	^(a)

TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $339,726,002)									373,240,320

CORPORATE BONDS & NOTES - 12.6%
COMMUNICATION SERVICES - 0.0%††
Wireless Telecommunication Services - 0.0%††
T-Mobile USA Inc., Senior Secured Notes		3.750	%		4/15/27		40,000		44,101	^(d)

ENERGY - 6.0%
Energy Equipment & Services - 0.0%††
Halliburton Co., Senior Notes		3.800	%		11/15/25		13,000		14,491

Oil, Gas & Consumable Fuels - 6.0%
Apache Corp., Senior Notes		4.250	%		1/15/44		440,000		412,500
BP Capital Markets America Inc., Senior Notes		3.633	%		4/6/30		300,000		335,741
Chevron USA Inc., Senior Notes		3.900	%		11/15/24		200,000		222,007
Chevron USA Inc., Senior Notes		4.950	%		8/15/47		1,590,000		2,058,208
Enterprise Products Operating LLC, Senior Notes		3.125	%		7/31/29		1,170,000		1,260,256
EOG Resources Inc., Senior Notes		4.375	%		4/15/30		40,000		47,004
EOG Resources Inc., Senior Notes		4.950	%		4/15/50		120,000		152,200
Exxon Mobil Corp., Senior Notes		4.327	%		3/19/50		3,500,000		4,137,663
Exxon Mobil Corp., Senior Notes		3.452	%		4/15/51		330,000		339,265
Gazprom PJSC Via Gaz Capital SA, Senior Notes		5.150	%		2/11/26		1,430,000		1,619,724	^(d)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2021 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2021


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
KazTransGas JSC, Senior Notes		4.375	%		9/26/27		1,600,000	$	1,784,080	^(d)
MEG Energy Corp., Secured Notes		6.500	%		1/15/25		8,000		8,260	^(d)
Occidental Petroleum Corp., Senior Notes		5.550	%		3/15/26		110,000		117,581
Occidental Petroleum Corp., Senior Notes		3.000	%		2/15/27		810,000		761,959
Occidental Petroleum Corp., Senior Notes		6.200	%		3/15/40		1,330,000		1,439,725
Petrobras Global Finance BV, Senior Notes		5.999	%		1/27/28		1,470,000		1,676,719
Range Resources Corp., Senior Notes		5.000	%		3/15/23		673,000		677,627
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		1,340,000		1,682,554
YPF SA, Senior Notes		8.500	%		7/28/25		800,000		573,000	^(e)

Total Oil, Gas & Consumable Fuels									19,306,073

TOTAL ENERGY									19,320,564

FINANCIALS - 1.4%
Banks - 1.1%
JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%)		3.109	%		4/22/51		430,000		439,301	^(f)
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. USD LIBOR + 4.240%)		5.013	%		4/4/51		2,440,000		3,268,631	^(f)

Total Banks									3,707,932

Diversified Financial Services - 0.3%
ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate or 30 year Treasury Constant Maturity Rate) + 1.800%)		3.480	%		12/21/65		1,010,000		843,603	^(d)(f)

TOTAL FINANCIALS									4,551,535

HEALTH CARE - 1.2%
Pharmaceuticals - 1.2%
Bausch Health Americas Inc., Senior Notes		9.250	%		4/1/26		1,390,000		1,542,552	^(d)
Bausch Health Americas Inc., Senior Notes		8.500	%		1/31/27		970,000		1,074,435	^(d)
Bausch Health Cos. Inc., Senior Notes		9.000	%		12/15/25		1,280,000		1,396,269	^(d)

TOTAL HEALTH CARE									4,013,256

INDUSTRIALS - 1.1%
Aerospace & Defense - 1.0%
General Dynamics Corp., Senior Notes		4.250	%		4/1/40		10,000		12,245
General Dynamics Corp., Senior Notes		4.250	%		4/1/50		2,560,000		3,189,867

Total Aerospace & Defense									3,202,112

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2021 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2021


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Industrial Conglomerates - 0.1%
General Electric Co., Senior Notes		3.450	%		5/1/27		50,000	$	54,945
General Electric Co., Senior Notes		3.625	%		5/1/30		110,000		120,166
General Electric Co., Senior Notes		4.250	%		5/1/40		110,000		122,312
General Electric Co., Senior Notes		4.350	%		5/1/50		130,000		144,823

Total Industrial Conglomerates									442,246

TOTAL INDUSTRIALS									3,644,358

INFORMATION TECHNOLOGY - 0.1%
Semiconductors & Semiconductor Equipment - 0.1%
Broadcom Inc., Senior Notes		4.700	%		4/15/25		370,000		417,873

MATERIALS - 2.8%
Metals & Mining - 2.8%
Anglo American Capital PLC, Senior Notes		4.000	%		9/11/27		800,000		908,335	^(d)
Antofagasta PLC, Senior Notes		2.375	%		10/14/30		550,000		547,112	^(d)
Barrick Gold Corp., Senior Notes		5.250	%		4/1/42		170,000		221,233
Barrick North America Finance LLC, Senior Notes		5.750	%		5/1/43		530,000		745,591
BHP Billiton Finance USA Ltd., Senior Notes		5.000	%		9/30/43		810,000		1,102,441
Glencore Finance Canada Ltd., Senior Notes		5.550	%		10/25/42		1,170,000		1,416,737	^(d)
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		370,000		403,602	^(d)
Glencore Funding LLC, Senior Notes		4.000	%		3/27/27		200,000		224,775	^(d)
Glencore Funding LLC, Senior Notes		3.875	%		10/27/27		800,000		893,599	^(d)
Southern Copper Corp., Senior Notes		5.250	%		11/8/42		1,370,000		1,726,524
Yamana Gold Inc., Senior Notes		4.625	%		12/15/27		670,000		744,822

TOTAL MATERIALS									8,934,771

TOTAL CORPORATE BONDS & NOTES (Cost - $37,339,872)									40,926,458

COLLATERALIZED MORTGAGE OBLIGATIONS^(g)- 8.2%
Alternative Loan Trust, 2007-12T1 A3		6.000	%		6/25/37		1,328,290		948,438
BCAP LLC Trust, 2011-RR5 11A4 (1 mo. USD
LIBOR + 0.150%)		0.430	%		5/28/36		41,871		41,911	^(d)(f)
Bear Stearns ARM Trust, 2004-9 24A1		3.348	%		11/25/34		15,752		15,563	^(f)
BHMS, 2018-ATLS D (1 mo. USD LIBOR + 2.250%)		2.362	%		7/15/35		2,520,000		2,490,760	^(d)(f)
BXMT Ltd., 2020-FL2 A (1 mo. USD LIBOR + 0.900%)		1.008	%		2/16/37		660,000		661,402	^(d)(f)
Chase Mortgage Finance Trust, 2007-A1 2A3		3.175	%		2/25/37		3,095		3,110	^(f)
CSMC Trust, 2014-11R 9A2 (1 mo. USD LIBOR + 0.140%)		0.270	%		10/27/36		2,266,222		1,990,816	^(d)(f)
CSMC Trust, 2019-NQM1 A1, Step bond		2.656	%		10/25/59		875,538		896,452	^(d)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K721 X1, IO		0.315	%		8/25/22		141,155,714		542,899	^(f)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2021 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2021


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS^(g)- (continued)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4057 UI, IO		3.000	%		5/15/27		523,177	$	26,448
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4085 IO, IO		3.000	%		6/15/27		1,419,239		74,640
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 M2 (1 mo. USD LIBOR + 3.450%)		3.568	%		10/25/29		1,300,000		1,349,812	^(f)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2020-DNA1 B1 (1 mo. USD LIBOR + 2.300%)		2.418	%		1/25/50		440,000		441,113	^(d)(f)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2020-DNA2 M2 (1 mo. USD LIBOR + 1.850%)		1.968	%		2/25/50		650,000		653,467	^(d)(f)
Federal National Mortgage Association (FNMA) - CAS, 2014-C04 1M2 (1 mo. USD LIBOR + 4.900%)		5.018	%		11/25/24		586,180		605,893	^(d)(f)
Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1B1 (1 mo. USD LIBOR + 4.850%)		4.968	%		10/25/29		590,000		645,039	^(d)(f)
Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1M2 (1 mo. USD LIBOR + 3.000%)		3.118	%		10/25/29		1,183,497		1,210,655	^(d)(f)
GMACM Mortgage Loan Trust, 2005-AF2 A1		6.000	%		12/25/35		892,043		864,734
Government National Mortgage Association (GNMA), 2011-142 IO, IO		0.000	%		9/16/46		2,186,345		3,068	^(f)
Government National Mortgage Association (GNMA), 2012-44 IO, IO		0.088	%		3/16/49		664,073		2,277	^(f)
Government National Mortgage Association (GNMA), 2012-112 IO, IO		0.174	%		2/16/53		1,291,719		10,494	^(f)
Government National Mortgage Association (GNMA), 2012-152 IO, IO		0.727	%		1/16/54		3,709,474		123,323	^(f)
Government National Mortgage Association (GNMA), 2014-47 IA, IO		0.128	%		2/16/48		296,955		4,483	^(f)
Government National Mortgage Association (GNMA), 2014-50 IO, IO		0.659	%		9/16/55		1,118,301		40,911	^(f)
Government National Mortgage Association (GNMA), 2014-169 IO, IO		0.759	%		10/16/56		11,302,260		393,490	^(f)
Government National Mortgage Association (GNMA), 2015-101 IO, IO		0.464	%		3/16/52		8,531,861		224,181	^(f)
Government National Mortgage Association (GNMA), 2015-183 IO, IO		0.765	%		9/16/57		13,207,384		599,082	^(f)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2021 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2021


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS^(g)- (continued)
GSR Mortgage Loan Trust, 2004-11 1A1		3.402	%		9/25/34		45,714		$	47,444	^(f)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN FFL (1 mo. USD LIBOR + 2.500%)		2.607	%		1/16/37		1,963,500			1,833,781	^(d)(f)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFL (1 mo. USD LIBOR + 3.000%)		3.107	%		1/16/37		1,963,500			1,730,826	^(d)(f)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX		4.688	%		1/16/37		2,270,000			2,082,245	^(d)(f)
Merrill Lynch Mortgage Investors Trust, 2004-A1 2A1		2.569	%		2/25/34		4,900			5,051	^(f)
MRCD Mortgage Trust, 2019-PARK A		2.718	%		12/15/36		850,000			891,419	^(d)
Natixis Commercial Mortgage Securities Trust, 2019-TRUE A (1 mo. USD LIBOR + 2.011%, 3.511% floor)		3.511	%		4/18/24		2,050,000			2,026,626	^(d)(f)
New Residential Mortgage Loan Trust, 2014-1A A		3.750	%		1/25/54		520,671			554,058	^(d)(f)
Nomura Resecuritization Trust, 2015-4R 2A2 (1 mo. USD LIBOR + 0.306%)		0.270	%		10/26/36		2,824,236			2,545,681	^(d)(f)
RAMP Trust, 2004-SL4 A5		7.500	%		7/25/32		40,390			25,041
Washington Mutual MSC Mortgage Pass-Through Certificates Trust, 2004-RA1 2A		7.000	%		3/25/34		5,523			5,891

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $28,865,277)										26,612,524

NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 4.8%
Argentina - 0.0%††
Argentina Treasury Bond		1.000	%		8/5/21		8,922,501	^ARS		61,883	^(h)

Brazil - 1.8%
Brazil Notas do Tesouro Nacional Serie B, Notes		6.000	%		8/15/50		24,584,588	^BRL		5,698,216

Canada - 1.0%
Canada Government Real Return Bond		1.500	%		12/1/44		1,770,984	^CAD		1,793,542
Canada Government Real Return Bond		0.500	%		12/1/50		1,543,497	^CAD		1,317,043

Total Canada										3,110,585

Mexico - 1.0%
Mexican Udibonos		2.000	%		6/9/22		70,056,894	^MXN		3,376,894

Russia - 1.0%
Russian Federal Inflation Linked Bond - OFZ		2.500	%		2/2/28		247,758,628	^RUB		3,315,469

TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $17,511,192)										15,563,047

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2021 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2021


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
SOVEREIGN BONDS - 4.4%
Brazil - 0.2%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/23		2,920,000	^BRL$		558,015
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		965,000	^BRL		188,290

Total Brazil										746,305

Chile - 1.1%
Bonos de la Tesoreria de la Republica en pesos, Bonds		5.000	%		3/1/35		2,330,000,000	^CLP		3,671,917

Indonesia - 1.4%
Indonesia Government International Bond, Senior Notes		4.750	%		7/18/47		400,000			455,486	^(d)
Indonesia Government International Bond, Senior Notes		4.350	%		1/11/48		290,000			315,230
Indonesia Treasury Bond		7.000	%		5/15/27		49,188,000,000	^IDR		3,613,211

Total Indonesia										4,383,927

Mexico - 0.9%
Mexican Bonos, Bonds		8.000	%		11/7/47		21,750,000	^MXN		1,140,282
Mexico Government International Bond, Senior Notes		4.500	%		4/22/29		1,480,000			1,661,870

Total Mexico										2,802,152

Nigeria - 0.1%
Nigeria Government International Bond, Senior Notes		6.500	%		11/28/27		200,000			214,388	^(d)

Russia - 0.4%
Russian Federal Bond - OFZ		7.050	%		1/19/28		97,680,000	^RUB		1,353,659

United Arab Emirates - 0.3%
Abu Dhabi Government International Bond, Senior Notes		3.875	%		4/16/50		960,000			1,057,588	^(d)

TOTAL SOVEREIGN BONDS (Cost - $14,507,577)										14,229,936

ASSET-BACKED SECURITIES - 1.3%
Ameriquest Mortgage Securities Inc., Asset-Backed Pass-Through Certificates, 2005-R7 M2 (1 mo. USD LIBOR + 0.750%)		0.868	%		9/25/35		564,536			565,139	^(f)
CWHEQ Revolving Home Equity Loan Trust, 2005-C 2A (1 mo. USD LIBOR + 0.180%)		0.287	%		7/15/35		354,821			347,059	^(f)
CWHEQ Revolving Home Equity Loan Trust, 2006-I 2A (1 mo. USD LIBOR + 0.140%)		0.247	%		1/15/37		586,280			567,497	^(f)
First Franklin Mortgage Loan Trust, 2006- FF15 A5 (1 mo. USD LIBOR + 0.160%)		0.278	%		11/25/36		908,237			892,329	^(f)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2021 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2021


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
ASSET-BACKED SECURITIES - continued
Legacy Mortgage Asset Trust, 2019-GS1 A1, Step bond		4.000	%		1/25/59		837,406	$	858,367	^(d)
Saxon Asset Securities Trust, 2006-3 A4 (1 mo. USD LIBOR + 0.240%)		0.358	%		10/25/46		1,110,000		984,333	^(f)

TOTAL ASSET-BACKED SECURITIES (Cost - $4,158,841)									4,214,724

MORTGAGE-BACKED SECURITIES - 0.2%
FNMA - 0.2%
Federal National Mortgage Association (FNMA)		2.680	%		1/1/35-2/1/35		300,000		320,840
Federal National Mortgage Association (FNMA)		2.790	%		1/1/35		467,690		501,637	^(f)

TOTAL MORTGAGE-BACKED SECURITIES (Cost - $771,785)									822,477

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $442,880,546)									475,609,486


						SHARES
SHORT-TERM INVESTMENTS - 0.5%
Dreyfus Government Cash Management, Institutional Shares (Cost - $1,523,317)		0.030	%				1,523,317		1,523,317

TOTAL INVESTMENTS - 147.0% (Cost - $444,403,863)									477,132,803
Liabilities in Excess of Other Assets - (47.0)%									(152,540,264	)

TOTAL NET ASSETS - 100.0%								$	324,592,539

†	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 swap contracts.

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

(d)

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.

(e)

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.

(f)

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.

(g)

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.

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

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2021 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2021

Abbreviation(s) used in this schedule:


ARM		— Adjustable Rate Mortgage
ARS		— Argentine Peso
BRL		— Brazilian Real
CAD		— Canadian Dollar
CAS		— Connecticut Avenue Securities
CLP		— Chilean Peso
GTD		— Guaranteed
IDR		— Indonesian Rupiah
IO		— Interest Only
JSC		— Joint Stock Company
LIBOR		— London Interbank Offered Rate
MXN		— Mexican Peso
OFZ		— Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
PJSC		— Private Joint Stock Company
REMIC		— Real Estate Mortgage Investment Conduit
RUB		— Russian Ruble
SOFR		— Secured Overnight Financing Rate
USD		— United States Dollar

At February 28, 2021, 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.	0.200%		12/11/2020		06/11/2021	$	160,737,500	U.S. Treasury Inflation Protected Securities	$	161,096,224
								Cash		2,093,000

						$	160,737,500		$	163,189,224

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

At February 28, 2021, the Fund had the following open futures contracts:


	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy:
Brent Crude		150		12/21	$	9,172,335	$	9,090,000	$	(82,335	)
Copper		112		5/21		10,623,480		11,459,000		835,520
Euro		53		3/21		8,046,659		8,003,994		(42,665	)
Gold 100 Ounce		66		4/21		12,165,945		11,410,080		(755,865	)
Japanese Yen		35		3/21		4,210,299		4,103,094		(107,205	)
Mexican Peso		146		3/21		3,654,005		3,480,640		(173,365	)
U.S. Treasury 10-Year Notes		629		6/21		84,291,575		83,480,094		(811,481	)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2021 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2021


	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy continued
U.S. Treasury Ultra Long-
Term Bonds		95		6/21	$	18,271,227	$	17,960,937	$	(310,290	)
WTI Crude		120		8/21		6,767,109		7,135,200		368,091

										(1,079,595	)

Contracts to Sell:
British Pound		33		3/21		2,756,243		2,876,363		(120,120	)
U.S. Treasury 5-Year Notes		348		6/21		43,426,992		43,141,125		285,867
U.S. Treasury Long-Term
Bonds		131		6/21		21,080,078		20,857,656		222,422
WTI Crude		120		4/21		6,977,700		7,380,000		(402,300	)
										(14,131	)

Net unrealized depreciation on open futures contracts									$	(1,093,726	)

At February 28, 2021, the Fund had the following open forward foreign currency contracts:


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	5,328,913		EUR	4,370,000	BNP Paribas SA		4/19/21	$	49,586
USD	5,565,328		EUR	4,550,000	BNP Paribas SA		4/19/21		68,545
AUD	145,262		USD	113,379	Citibank N.A.		4/19/21		(1,585	)
BRL	5,996,828		USD	1,100,638	Citibank N.A.		4/19/21		(32,675	)
BRL	12,410,000		USD	2,345,847	Citibank N.A.		4/19/21		(135,775	)
COP	21,134,053,192		USD	6,113,586	Citibank N.A.		4/19/21		(329,515	)
EUR	2,680,000		USD	3,227,709	Citibank N.A.		4/19/21		9,956
GBP	1,928,058		USD	2,617,288	Citibank N.A.		4/19/21		69,629
RUB	234,210,000		USD	3,108,707	Citibank N.A.		4/19/21		13,638
RUB	329,120,000		USD	4,367,883	Citibank N.A.		4/19/21		19,744
USD	2,642,131		CAD	3,347,196	Citibank N.A.		4/19/21		11,737
USD	969,900		JPY	99,967,625	Citibank N.A.		4/19/21		31,452
USD	749,845		MXN	15,130,000	Citibank N.A.		4/19/21		30,885
USD	2,768,765		MXN	55,810,000	Citibank N.A.		4/19/21		116,738
USD	2,901,747		MXN	58,550,000	Citibank N.A.		4/19/21		119,518
BRL	6,150,000		USD	1,135,231	Goldman Sachs Group Inc.		4/19/21		(39,990	)
EUR	8,260,000		USD	9,971,968	Goldman Sachs Group Inc.		4/19/21		6,807
RUB	113,355,641		USD	1,505,767	Goldman Sachs Group Inc.		4/19/21		5,421
USD	547,720		CAD	700,000	Goldman Sachs Group Inc.		4/19/21		(2,374	)
USD	2,607,243		EUR	2,138,609	Goldman Sachs Group Inc.		4/19/21		23,623
USD	3,234,282		EUR	2,630,000	Goldman Sachs Group Inc.		4/19/21		57,021

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2021 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2021


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	4,144,300		EUR	3,370,000	Goldman Sachs Group Inc.		4/19/21	$	73,056
USD	631,520		MXN	12,631,722	Goldman Sachs Group Inc.		4/19/21		31,275
IDR	5,269,305,390		USD	375,856	JPMorgan Chase & Co.		4/19/21		(7,535	)
INR	236,697,367		USD	3,195,375	JPMorgan Chase & Co.		4/19/21		(2,572	)
MYR	11,377,459		USD	2,841,381	Morgan Stanley & Co. Inc.		4/19/21		(35,226	)
USD	4,331,912		CLP	3,021,201,024	Morgan Stanley & Co. Inc.		4/19/21		154,939

Total								$	306,323

Abbreviation(s) used in this table:


AUD		— Australian Dollar
BRL		— Brazilian Real
CAD		— Canadian Dollar
CLP		— Chilean Peso
COP		— Colombian Peso
EUR		— Euro
GBP		— British Pound
IDR		— Indonesian Rupiah
INR		— Indian Rupee
JPY		— Japanese Yen
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
RUB		— Russian Ruble
USD		— United States Dollar

At February 28, 2021, the Fund had the following open swap contracts:


	CENTRALLY CLEARED INTEREST RATE SWAPS
	NOTIONAL AMOUNT		TERMINATION DATE		PAYMENTS MADE BY THE FUND†	PAYMENTS RECEIVED BY THE FUND†		UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED APPRECIATION (DEPRECIATION)
	$	28,813,000		8/31/24	3-Month LIBOR quarterly		0.380% semi-annually	$	8,126	$	(168,659	)
		3,560,000		11/30/24	Daily U.S. Federal Funds Intraday Effective Rate annually		0.100% annually		1,891		(47,541	)
		7,110,000		4/7/25	0.802%*		CPURNSA*		45,882		446,894

Total	$	39,483,000						$	55,899	$	230,694

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2021 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2021


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 (DEPRECIATION)
Markit CDX.NA.HY.35 Index	$	10,780,000		12/20/25	5.000% quarterly	$	895,045	$	414,608		$	480,437
Markit CDX.NA.IG.34 Index		25,414,000		6/20/25	1.000% quarterly		397,786		(176,236	)		574,022
Markit CDX.NA.IG.35 Index		52,540,000		12/20/25	1.000% quarterly		1,100,153		1,212,954			(112,801	)

Total	$	88,734,000				$	2,392,984	$	1,451,326		$	941,658

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.

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.

*	One time payment made at termination date.

Abbreviation(s) used in this table:


CPURNSA		— U.S. CPI Urban Consumers NSA Index
LIBOR		— London Interbank Offered 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 Income Fund 2021 Quarterly Report

Notes to Consolidated Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset Inflation-Linked 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 September 26, 2003.

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 and at least 60% of its total managed assets in U.S. Treasury Inflation Protected Securities (“TIPS”). The Fund may also invest up to 40% of its total managed assets in non-U.S. dollar investments. The Fund can invest no more than 10% of its total managed assets in securities rated below investment grade at the time of purchase (or, if unrated, assets of comparable quality as determined by management). 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 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 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 typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are

Notes to Consolidated Schedule of Investments (unaudited) (continued)

deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Trustees.

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

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

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information

Notes to Consolidated Schedule of Investments (unaudited) (continued)

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 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		—	$	373,240,320		—	$	373,240,320
Corporate Bonds & Notes		—		40,926,458		—		40,926,458
Collateralized Mortgage Obligations		—		26,612,524		—		26,612,524
Non-U.S. Treasury Inflation Protected Securities		—		15,563,047		—		15,563,047
Sovereign Bonds		—		14,229,936		—		14,229,936
Asset-Backed Securities		—		4,214,724		—		4,214,724
Mortgage-Backed Securities		—		822,477		—		822,477
Total Long-Term Investments		—		475,609,486		—		475,609,486
Short-Term Investments†	$	1,523,317		—		—		1,523,317
Total Investments	$	1,523,317	$	475,609,486		—	$	477,132,803

Notes to Consolidated Schedule of Investments (unaudited) (continued)


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	$	1,711,900		—		—	$	1,711,900
Forward Foreign Currency Contracts		—	$	893,570		—		893,570
Centrally Cleared Interest Rate Swaps		—		446,894		—		446,894
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection		—		1,054,459		—		1,054,459

Total Other Financial Instruments	$	1,711,900	$	2,394,923		—	$	4,106,823

Total	$	3,235,217	$	478,004,409		—	$	481,239,626


LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Futures Contracts	$	2,805,626		—		—	$	2,805,626
Forward Foreign Currency Contracts		—	$	587,247		—		587,247
Centrally Cleared Interest Rate Swaps		—		216,200		—		216,200
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection		—		112,801		—		112,801

Total	$	2,805,626	$	916,248		—	$	3,721,874

†	See Consolidated Schedule of Investments for additional detailed categorizations.