NPORT-EX 2 LMF7100WAInfLKOppsIncFd.htm HTML

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated Schedule of investments (unaudited)    February 28, 2021

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  
U.S. TREASURY INFLATION PROTECTED SECURITIES - 113.8%           

U.S. Treasury Bonds, Inflation Indexed

      2.000 %      1/15/26        147,469,893      $ 174,903,675 (a) 

U.S. Treasury Bonds, Inflation Indexed

      2.375 %      1/15/27        6,458,100        7,961,798  

U.S. Treasury Bonds, Inflation Indexed

      3.625 %      4/15/28        16,104,500        21,818,819  

U.S. Treasury Bonds, Inflation Indexed

      2.500 %      1/15/29        25,392,276        32,826,241  

U.S. Treasury Bonds, Inflation Indexed

      3.875 %      4/15/29        100,613,210        142,504,969 (a) 

U.S. Treasury Bonds, Inflation Indexed

      2.125 %      2/15/40        12,051,200        17,615,395 (a)  

U.S. Treasury Bonds, Inflation Indexed

      2.125 %      2/15/41        18,590,791        27,502,345 (a) 

U.S. Treasury Bonds, Inflation Indexed

      0.750 %      2/15/42        26,513,020        31,562,678  

U.S. Treasury Bonds, Inflation Indexed

      1.375 %      2/15/44        55,926,205        75,127,568 (a)  

U.S. Treasury Bonds, Inflation Indexed

      0.750 %      2/15/45        12,167,430        14,597,917 (b)  

U.S. Treasury Bonds, Inflation Indexed

      0.125 %      2/15/51        6,102,867        6,305,613  

U.S. Treasury Notes, Inflation Indexed

      0.625 %      7/15/21        11,556,900        11,775,171  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      1/15/22        37,977,720        38,854,949  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/22        81,399,800        83,698,682 (a)  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      7/15/22        79,287,600        82,436,524 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.125 %      1/15/23        36,110,720        37,799,997 (b)  

U.S. Treasury Notes, Inflation Indexed

      0.625 %      4/15/23        67,637,280        71,842,975  

U.S. Treasury Notes, Inflation Indexed

      0.500 %      4/15/24        17,557,090        18,986,471  

U.S. Treasury Notes, Inflation Indexed

      0.625 %      1/15/26        56,192,237        62,713,323 (a)  
          

 

 

  

TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES

(Cost - $872,474,056)

              960,835,110  
          

 

 

  
CORPORATE BONDS & NOTES - 10.4%           
COMMUNICATION SERVICES - 0.0%††           

Media - 0.0%††

           

Comcast Corp., Senior Notes

      3.100 %      4/1/25        30,000        32,489  
          

 

 

  

Wireless Telecommunication Services - 0.0%††

           

T-Mobile USA Inc., Senior Secured Notes

      3.750 %      4/15/27        100,000        110,252 (c)  
          

 

 

  

TOTAL COMMUNICATION SERVICES

              142,741  
          

 

 

  
ENERGY - 5.3%           

Energy Equipment & Services - 0.0%††

           

Halliburton Co., Senior Notes

      3.800 %      11/15/25        31,000        34,555  
          

 

 

  

Oil, Gas & Consumable Fuels - 5.3%

           

Apache Corp., Senior Notes

      5.250 %      2/1/42        910,000        949,812  

Apache Corp., Senior Notes

      4.250 %      1/15/44        2,630,000        2,465,625  

BP Capital Markets America Inc., Senior Notes

      2.937 %      4/6/23        50,000        52,703  

BP Capital Markets America Inc., Senior Notes

      3.790 %      2/6/24        110,000        119,933  

BP Capital Markets America Inc., Senior Notes

      3.633 %      4/6/30        580,000        649,100  

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report    

  

 

 

1

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  

Oil, Gas & Consumable Fuels - (continued)

           

Chevron USA Inc., Senior Notes

      3.900 %      11/15/24        500,000      $ 555,017  

Chevron USA Inc., Senior Notes

      4.950 %      8/15/47        3,210,000        4,155,250  

Continental Resources Inc., Senior Notes

      4.900 %      6/1/44        2,250,000        2,253,544  

Enterprise Products Operating LLC, Senior Notes

      3.125 %      7/31/29        2,880,000        3,102,169  

EOG Resources Inc., Senior Notes

      4.375 %      4/15/30        70,000        82,258  

EOG Resources Inc., Senior Notes

      4.950 %      4/15/50        250,000        317,083  

Exxon Mobil Corp., Senior Notes

      4.327 %      3/19/50        6,590,000        7,790,628  

Exxon Mobil Corp., Senior Notes

      3.452 %      4/15/51        660,000        678,530  

Gazprom PJSC Via Gaz Capital SA, Senior Notes

      5.150 %      2/11/26        3,720,000        4,213,547 (c) 

KazTransGas JSC, Senior Notes

      4.375 %      9/26/27        4,000,000        4,460,200 (c) 

MEG Energy Corp., Secured Notes

      6.500 %      1/15/25        26,000        26,845 (c)  

Occidental Petroleum Corp., Senior Notes

      5.550 %      3/15/26        330,000        352,744  

Occidental Petroleum Corp., Senior Notes

      6.200 %      3/15/40        2,690,000        2,911,925  

Petrobras Global Finance BV, Senior Notes

      5.999 %      1/27/28        3,690,000        4,208,906  

Range Resources Corp., Senior Notes

      5.000 %      3/15/23        673,000        677,627  

Williams Cos. Inc., Senior Notes

      5.750 %      6/24/44        2,350,000        2,950,747  

YPF SA, Senior Notes

      8.500 %      7/28/25        1,700,000        1,217,625 (d)  
          

 

 

  

Total Oil, Gas & Consumable Fuels

              44,191,818  
          

 

 

  

TOTAL ENERGY

              44,226,373  
          

 

 

  
FINANCIALS - 1.1%           

Banks - 0.9%

           

Barclays Bank PLC, Subordinated Notes

      7.625 %      11/21/22        1,234,000        1,357,440  

Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. USD LIBOR + 4.240%)

      5.013 %      4/4/51        4,480,000        6,001,420 (e) 
          

 

 

  

Total Banks

              7,358,860  
          

 

 

  

Diversified Financial Services - 0.2%

           

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        2,084,000        1,740,661 (c)(e) 
          

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

 

2

  

    Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report

  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  

Insurance - 0.0%††

           

Ambac Assurance Corp., Subordinated Notes

      5.100 %      6/7/21        48,493      $ 67,283 (c)(f) 

Ambac LSNI LLC, Senior Secured Notes (3 mo. USD LIBOR + 5.000%, 6.000% floor)

      6.000 %      2/12/23        177,607        178,495 (c)(e) 
          

 

 

  

Total Insurance

              245,778  
          

 

 

  

TOTAL FINANCIALS

              9,345,299  
          

 

 

  
HEALTH CARE - 1.0%           

Pharmaceuticals - 1.0%

           

Bausch Health Americas Inc., Senior Notes

      9.250 %      4/1/26        2,870,000        3,184,982 (c) 

Bausch Health Americas Inc., Senior Notes

      8.500 %      1/31/27        1,970,000        2,182,100 (c) 

Bausch Health Cos. Inc., Senior Notes

      9.000 %      12/15/25        2,620,000        2,857,988 (c) 
          

 

 

  

TOTAL HEALTH CARE

              8,225,070  
          

 

 

  
INDUSTRIALS - 0.6%           

Aerospace & Defense - 0.5%

           

General Dynamics Corp., Senior Notes

      4.250 %      4/1/40        30,000        36,737  

General Dynamics Corp., Senior Notes

      4.250 %      4/1/50        3,470,000        4,323,764  
          

 

 

  

Total Aerospace & Defense

              4,360,501  
          

 

 

  

Industrial Conglomerates - 0.1%

           

General Electric Co., Senior Notes

      3.450 %      5/1/27        100,000        109,890  

General Electric Co., Senior Notes

      3.625 %      5/1/30        210,000        229,408  

General Electric Co., Senior Notes

      4.250 %      5/1/40        230,000        255,745  

General Electric Co., Senior Notes

      4.350 %      5/1/50        290,000        323,066  
          

 

 

  

Total Industrial Conglomerates

              918,109  
          

 

 

  

TOTAL INDUSTRIALS

              5,278,610  
          

 

 

  
INFORMATION TECHNOLOGY - 0.1%           

Semiconductors & Semiconductor Equipment - 0.1%

           

Broadcom Inc., Senior Notes

      4.700 %      4/15/25        400,000        451,755  
          

 

 

  
MATERIALS - 2.3%           

Metals & Mining - 2.3%

           

Alcoa Nederland Holding BV, Senior Notes

      6.125 %      5/15/28        570,000        619,519 (c)  

Anglo American Capital PLC, Senior Notes

      4.000 %      9/11/27        1,630,000        1,850,732 (c) 

Antofagasta PLC, Senior Notes

      2.375 %      10/14/30        1,110,000        1,104,173 (c) 

Barrick Gold Corp., Senior Notes

      5.250 %      4/1/42        330,000        429,453  

Barrick North America Finance LLC, Senior Notes

      5.750 %      5/1/43        1,170,000        1,645,926  

BHP Billiton Finance USA Ltd., Senior Notes

      5.000 %      9/30/43        1,620,000        2,204,881  

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report    

  

 

 

3

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  

Metals & Mining - (continued)

           

Glencore Finance Canada Ltd., Senior Notes

      5.550 %      10/25/42        2,330,000      $ 2,821,366 (c) 

Glencore Funding LLC, Senior Notes

      4.125 %      3/12/24        750,000        818,111 (c)  

Glencore Funding LLC, Senior Notes

      4.000 %      3/27/27        500,000        561,938 (c)  

Glencore Funding LLC, Senior Notes

      3.875 %      10/27/27        1,630,000        1,820,709 (c) 

Southern Copper Corp., Senior Notes

      5.250 %      11/8/42        3,440,000        4,335,212  

Yamana Gold Inc., Senior Notes

      4.625 %      12/15/27        1,360,000        1,511,877  
          

 

 

  

TOTAL MATERIALS

              19,723,897  
          

 

 

  

TOTAL CORPORATE BONDS & NOTES
(Cost - $79,760,188)

              87,393,745  
          

 

 

  
COLLATERALIZED MORTGAGE OBLIGATIONS(g) - 7.8%           

Banc of America Funding Trust, 2015-R2 4A2 (1 mo. USD LIBOR + 0.165%)

      0.361 %      9/29/36        13,602,259        12,787,796 (c)(e) 

Banc of America Funding Trust, 2015-R2 5A2

      0.374 %      9/29/36        8,546,782        7,362,285 (c)(e) 

BHMS, 2018-ATLS D (1 mo. USD LIBOR + 2.250%)

      2.362 %      7/15/35        4,220,000        4,171,035 (c)(e) 

BXMT Ltd., 2020-FL2 A (1 mo. USD LIBOR + 0.900%)

      1.008 %      2/16/37        1,310,000        1,312,782 (c)(e) 

Credit Suisse Commercial Mortgage Trust, 2006-C5 AJ

      5.373 %      12/15/39        993,165        192,922  

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

      4.000 %      8/25/56        3,690,000        3,791,751 (c)(e) 

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

      4.000 %      8/25/56        5,170,000        5,236,762 (c)(e) 

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        2,660,000        2,761,924 (e)  

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2020-DNA4 M2 (1 mo. USD LIBOR + 3.750%)

      3.868 %      8/25/50        1,220,000        1,237,521 (c)(e) 

Federal National Mortgage Association (FNMA) - CAS, 2017-C06 1B1 (1 mo. USD LIBOR + 4.150%)

      4.268 %      2/25/30        2,950,000        3,080,388 (c)(e) 

Federal National Mortgage Association (FNMA) - CAS, 2019-R07 1M2 (1 mo. USD LIBOR + 2.100%)

      2.218 %      10/25/39        1,965,607        1,971,318 (c)(e) 

 

See Notes to Consolidated Schedule of Investments.

 

 

 

4

  

    Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report

  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

SECURITY

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

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-CB19 AJ

      5.895 %      2/12/49        508,590     $ 251,285 (e)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ

      6.632 %      2/15/51        39,649       37,110 (e)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN FFL (1 mo. USD LIBOR + 2.500%)

      2.607 %      1/16/37        3,952,500       3,691,377 (c)(e) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFL (1 mo. USD LIBOR + 3.000%)

      3.107 %      1/16/37        3,957,600       3,488,626 (c)(e) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX

      4.688 %      1/16/37        4,570,000       4,192,008 (c)(e) 

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

      0.600 %      1/16/37        11,560,000       38,655 (c)(e)  

Lehman Mortgage Trust, 2006-5 2A2, IO (-1.000 x 1 mo. USD LIBOR + 7.150%)

      7.032 %      9/25/36        2,684,650       683,544 (e)  

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

      2.742 %      6/25/37        81,558       62,070 (e)  

MRCD Mortgage Trust, 2019-PARK A

      2.718 %      12/15/36        2,530,000       2,653,282 (c)  

Natixis Commercial Mortgage Securities Trust, 2019-TRUE A (1 mo. USD LIBOR + 2.011%, 3.511% floor)

      3.511 %      4/18/24        5,700,000       5,635,009 (c)(e) 

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

      1.378 %      2/25/46        1,524,614       1,456,044 (e)  
         

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost - $61,342,488)

             66,095,494  
         

 

 

  
NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 5.8%

 

  

Argentina - 0.0%††

          

Argentina Treasury Bond

      1.000 %      8/5/21        17,920,367 ARS      124,289 (h) 
         

 

 

  

Brazil - 2.1%

          

Brazil Notas do Tesouro Nacional Serie B, Notes

      6.000 %      8/15/30        28,566,599 BRL      6,108,620  

Brazil Notas do Tesouro Nacional Serie B, Notes

      6.000 %      8/15/50        50,207,961 BRL      11,637,201  
         

 

 

  

Total Brazil

             17,745,821  
         

 

 

  

Canada - 0.7%

          

Canada Government Real Return Bond

      1.500 %      12/1/44        3,530,083 CAD      3,575,048  

Canada Government Real Return Bond

      0.500 %      12/1/50        3,055,279 CAD      2,607,022  
         

 

 

  

Total Canada

             6,182,070  
         

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report    

  

 

 

5

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		     VALUE  

Mexico - 1.4%

          

Mexican Udibonos

      2.000 %      6/9/22        234,640,315 MXN     $   11,310,171  
         

 

 

  

Russia - 0.8%

          

Russian Federal Inflation Linked Bond - OFZ

      2.500 %      2/2/28        516,161,942 RUB       6,907,203  
         

 

 

  

Uruguay - 0.8%

          

Uruguay Government International Bond

      4.250 %      4/5/27        256,904,910 UYU       6,823,278  
         

 

 

  

TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES
(Cost - $57,428,325)

             49,092,832  
         

 

 

  
SOVEREIGN BONDS - 5.6%          

Argentina - 0.0%††

          

Argentine Bonos del Tesoro, Bonds

      16.000 %      10/17/23        26,750,000 ARS       113,159 (h) 
         

 

 

  

Brazil - 0.2%

          

Brazil Notas do Tesouro Nacional Serie F, Notes

      10.000 %      1/1/23        4,090,000 BRL       781,604  

Brazil Notas do Tesouro Nacional Serie F, Notes

      10.000 %      1/1/27        2,446,000 BRL       477,261  
         

 

 

  

Total Brazil

             1,258,865  
         

 

 

  

Chile - 0.9%

          

Bonos de la Tesoreria de la Republica en pesos, Bonds

      5.000 %      3/1/35        4,785,000,000 CLP      7,540,825  
         

 

 

  

Indonesia - 1.6%

          

Indonesia Government International Bond, Senior Notes

      3.850 %      7/18/27        400,000       443,745 (c)  

Indonesia Government International Bond, Senior Notes

      3.500 %      1/11/28        1,790,000       1,931,292  

Indonesia Government International Bond, Senior Notes

      5.125 %      1/15/45        430,000       511,765 (c)  

Indonesia Government International Bond, Senior Notes

      4.750 %      7/18/47        880,000       1,002,069 (c) 

Indonesia Government International Bond, Senior Notes

      4.350 %      1/11/48        2,010,000       2,184,867  

Indonesia Treasury Bond

      7.000 %      5/15/27        100,812,000,000 IDR      7,405,364  
         

 

 

  

Total Indonesia

             13,479,102  
         

 

 

  

Mexico - 2.1%

          

Mexican Bonos, Bonds

      8.000 %      11/7/47        51,280,000 MXN       2,688,444  

Mexican Bonos, Senior Notes

      7.750 %      11/13/42        217,320,000 MXN       11,146,137  

Mexico Government International Bond, Senior Notes

      4.500 %      4/22/29        3,720,000       4,177,132  
         

 

 

  

Total Mexico

             18,011,713  
         

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

 

6

  

    Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report

  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		     VALUE  

Nigeria - 0.1%

          

Nigeria Government International Bond, Senior Notes

      6.500 %      11/28/27        280,000     $ 300,143 (c)  
         

 

 

  

Russia - 0.4%

          

Russian Federal Bond - OFZ

      7.050 %      1/19/28        250,000,000 RUB      3,464,525  
         

 

 

  

United Arab Emirates - 0.3%

          

Abu Dhabi Government International Bond, Senior Notes

      3.875 %      4/16/50        2,550,000       2,809,218 (c)  
         

 

 

  

TOTAL SOVEREIGN BONDS

(Cost - $49,086,047)

             46,977,550  
         

 

 

  
ASSET-BACKED SECURITIES - 0.4%          

Bear Stearns Asset Backed Securities Trust, 2007-SD2 2A1
(1 mo. USD LIBOR + 0.400%)

      0.518 %      9/25/46        38,341       37,690 (e)  

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

      1.312 %      10/15/37        3,659,800       3,652,586 (c)(e)  

Security National Mortgage Loan Trust, 2006-3A A2

      5.830 %      1/25/37        28,427       28,451 (c)(e)  
         

 

 

  

TOTAL ASSET-BACKED SECURITIES

(Cost - $3,402,866)

             3,718,727  
         

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS

(Cost - $1,123,493,970)

             1,214,113,458  
         

 

 

  
                  SHARES        
SHORT-TERM INVESTMENTS - 0.4%          

Dreyfus Government Cash Management, Institutional Shares
(Cost - $3,409,655)

      0.030 %         3,409,655       3,409,655  
         

 

 

  

TOTAL INVESTMENTS - 144.2%
(Cost - $1,126,903,625)

             1,217,523,113  

Liabilities in Excess of Other Assets - (44.2)%

             (373,114,305 ) 
         

 

 

  

TOTAL NET ASSETS - 100.0%

           $ 844,408,808  
         

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report    

  

 

 

7

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

†

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)

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.

 

(d)

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.

 

(e)

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.

 

(f)

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

 

(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).

Abbreviation(s) used in this schedule:

 

ARS    — Argentine Peso
BRL    — Brazilian Real
CAD    — Canadian Dollar
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
OFZ    — Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
PJSC    — Private Joint Stock Company
RUB    — Russian Ruble
USD    — United States Dollar
UYU    — Uruguayan Peso

 

See Notes to Consolidated Schedule of Investments.

 

 

 

8

  

    Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report

  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

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		  
Credit Suisse      2.600 %       4/8/2019      TBD**    $20,137,500    U.S. Treasury Inflation Protected Securities    $ 23,347,469  
Morgan Stanley & Co. Inc.      0.200 %       12/11/2020      6/11/2021    374,025,000    U.S. Treasury Inflation Protected Securities Cash     
 372,924,376
7,686,000		  
 
           

 

      

 

 

  
            $394,162,500       $ 403,957,845  
           

 

      

 

 

  

 

*

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

 

**

TBD — To Be Determined; These reverse repurchase agreements have no maturity dates because they are renewed daily and can be terminated by either the Fund or the counterparty in accordance with the terms of the agreements. The rates for these agreements are variable. The rate disclosed is the rate as of February 28, 2021.

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

      374        12/21      $ 22,869,700      $ 22,664,400      $ (205,300 ) 

Copper

      287        5/21        27,222,667        29,363,687        2,141,020  

Euro

      60        3/21        9,109,425        9,061,125        (48,300 ) 

Gold 100 Ounce

      164        4/21        30,230,530        28,352,320        (1,878,210 ) 

Mexican Peso

      388        3/21        9,724,250        9,249,920        (474,330 ) 

U.S. Treasury 10-Year Notes

      1,466        6/21        196,457,056        194,565,688        (1,891,368 ) 

U.S. Treasury Ultra Long-Term Bonds

      260        6/21        50,011,259        49,156,250        (855,009 ) 

WTI Crude

      301        8/21        16,974,164        17,897,460        923,296  
              

 

 

  
                 (2,288,201 ) 
              

 

 

  
Contracts to Sell:               

British Pound

      67        3/21        5,596,008        5,839,888        (243,880 ) 

U.S. Treasury 5-Year Notes

      902        6/21        112,560,767        111,819,812        740,955  

U.S. Treasury Long-Term Bonds

      702        6/21        112,963,568        111,771,562        1,192,006  

WTI Crude

      301        4/21        17,502,397        18,511,500        (1,009,103 ) 
              

 

 

  
                 679,978  
              

 

 

  
Net unrealized depreciation on open futures contracts

 

          $ (1,608,223 ) 
              

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report    

  

 

 

9

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

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      10,865,130        EUR        8,910,000      BNP Paribas SA      4/19/21      $ 101,101  
USD      11,338,591        EUR        9,270,000      BNP Paribas SA      4/19/21        139,651  
BRL      12,310,931        USD        2,259,508      Citibank N.A.      4/19/21        (67,079 ) 
BRL      25,450,000        USD        4,810,782      Citibank N.A.      4/19/21        (278,443 ) 
COP      54,160,819,992        USD        15,667,453      Citibank N.A.      4/19/21        (844,457 ) 
EUR      6,700,000        USD        8,069,273      Citibank N.A.      4/19/21        24,891  
GBP      4,241,448        USD        5,757,656      Citibank N.A.      4/19/21        153,173  
JPY      897,550,000        USD        8,708,160      Citibank N.A.      4/19/21        (282,386 ) 
RUB      939,850,000        USD        12,474,781      Citibank N.A.      4/19/21        54,727  
RUB      1,320,810,000        USD        17,528,998      Citibank N.A.      4/19/21        79,236  
USD      543,615        AUD        696,486      Citibank N.A.      4/19/21        7,600  
USD      5,247,943        CAD        6,648,383      Citibank N.A.      4/19/21        23,312  
USD      3,014,249        MXN        60,820,000      Citibank N.A.      4/19/21        124,152  
USD      11,126,160        MXN        224,270,000      Citibank N.A.      4/19/21        469,107  
USD      11,661,009        MXN        235,290,000      Citibank N.A.      4/19/21        480,299  
BRL      12,620,000        USD        2,329,531      Goldman Sachs Group Inc.      4/19/21        (82,060 ) 
EUR      23,200,000        USD        28,008,432      Goldman Sachs Group Inc.      4/19/21        19,120  
RUB      455,124,058        USD        6,045,670      Goldman Sachs Group Inc.      4/19/21        21,767  
USD      938,949        CAD        1,200,000      Goldman Sachs Group Inc.      4/19/21        (4,070 ) 
USD      5,312,781        EUR        4,357,846      Goldman Sachs Group Inc.      4/19/21        48,136  
USD      6,591,540        EUR        5,360,000      Goldman Sachs Group Inc.      4/19/21        116,210  
USD      8,460,766        EUR        6,880,000      Goldman Sachs Group Inc.      4/19/21        149,147  
USD      2,536,456        MXN        50,734,444      Goldman Sachs Group Inc.      4/19/21        125,613  
IDR      52,969,535,174        USD        3,778,276      JPMorgan Chase & Co.      4/19/21        (75,749 ) 
INR      642,419,942        USD        8,672,561      JPMorgan Chase & Co.      4/19/21        (6,981 ) 
MYR      41,682,245        USD        10,409,631      Morgan Stanley & Co. Inc.      4/19/21        (129,052 ) 
USD      8,896,223        CLP        6,204,483,648      Morgan Stanley & Co. Inc.      4/19/21        318,191  
                 

 

 

  

Total

                  $ 685,156  
                 

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

 

10

  

    Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report

  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

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)		  
   $ 56,637,000        8/31/24      3-Month LIBOR quarterly    0.380% semi-annually    $ 15,609      $ (331,163 ) 
     22,250,000        11/30/24      Daily U.S. Federal Funds Intraday Effective Rate annually    0.100% annually      11,817        (297,132 ) 
     14,120,000        4/7/25      0.802%*    CPURNSA*      91,118        887,502  
  

 

 

              

 

 

     

 

 

  
Total    $ 93,007,000               $ 118,544      $ 259,207  
  

 

 

              

 

 

     

 

 

  

 

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

    $ 64,930,000        12/20/25      5.000% quarterly    $ 5,391,028      $ 2,562,795     $ 2,828,233  

Markit CDX.NA.IG.34 Index

      55,903,000        6/20/25      1.000% quarterly      875,007        (526,079 )      1,401,086  

Markit CDX.NA.IG.35 Index

      115,591,000        12/20/25      1.000% quarterly      2,420,399        2,684,599       (264,200 ) 
  

 

 

           

 

 

     

 

 

    

 

 

  

Total

    $ 236,424,000            $ 8,686,434      $ 4,721,315     $ 3,965,119  
  

 

 

           

 

 

     

 

 

    

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report    

  

 

 

11

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

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

 

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.

 

*

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.

 

 

 

12

  

    Western Asset Inflation-Linked Opportunities & Income Fund 2021 Quarterly Report

  

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 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 deemed by the manager to be unreliable, the market price may be determined by the

 

   

 

 

13

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

 

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

 

 

 

14

    

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

      —        $ 960,835,110        —        $ 960,835,110  

Corporate Bonds & Notes

      —          87,393,745        —          87,393,745  

Collateralized Mortgage Obligations

      —          66,095,494        —          66,095,494  

Non-U.S. Treasury Inflation Protected Securities

      —          49,092,832        —          49,092,832  

Sovereign Bonds

      —          46,977,550        —          46,977,550  

Asset-Backed Securities

      —          3,718,727        —          3,718,727  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      —          1,214,113,458        —          1,214,113,458  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†

    $ 3,409,655        —          —          3,409,655  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 3,409,655      $ 1,214,113,458        —        $ 1,217,523,113  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

   

 

 

15

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

   $ 4,997,277       —         —       $ 4,997,277  

Forward Foreign Currency Contracts

     —       $ 2,455,433       —         2,455,433  

Centrally Cleared Interest Rate Swaps

     —         887,502       —         887,502  

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection

     —         4,229,319       —         4,229,319  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Other Financial Instruments

   $ 4,997,277     $ 7,572,254       —       $ 12,569,531  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 8,406,932     $ 1,221,685,712       —       $ 1,230,092,644  
 

 

 

    

 

 

    

 

 

    

 

 

  

LIABILITIES

  

DESCRIPTION

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

Other Financial Instruments:

        

Futures Contracts

   $ 6,605,500       —         —       $ 6,605,500  

Forward Foreign Currency Contracts

     —       $ 1,770,277       —         1,770,277  

Centrally Cleared Interest Rate Swaps

     —         628,295       —         628,295  

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection

     —         264,200       —         264,200  
 

 

 

    

 

 

    

 

 

    

 

 

  

Total

   $ 6,605,500     $ 2,662,772       —       $ 9,268,272  
 

 

 

    

 

 

    

 

 

    

 

 

  

 

†

See Consolidated Schedule of Investments for additional detailed categorizations.

 

 

 

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