WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CORPORATE BONDS & NOTES - 32.6%
COMMUNICATION SERVICES - 1.4%
Diversified Telecommunication Services - 0.1%
Altice Financing SA, Senior Secured Notes		5.750	%		8/15/29		220,000	$	165,208	(a)
Altice France SA, Senior Secured Notes		5.500	%		1/15/28		580,000		426,214	(a)
Total Diversified Telecommunication Services									591,422
Media - 0.5%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.250	%		1/15/34		1,130,000		869,564	(a)
DISH DBS Corp., Senior Notes		5.125	%		6/1/29		420,000		211,577
DISH DBS Corp., Senior Secured Notes		5.250	%		12/1/26		240,000		197,011	(a)
DISH DBS Corp., Senior Secured Notes		5.750	%		12/1/28		30,000		23,142	(a)
Time Warner Cable LLC, Senior Secured Notes		7.300	%		7/1/38		190,000		193,860
Virgin Media Secured Finance PLC, Senior Secured Notes		5.500	%		5/15/29		550,000		508,247	(a)
Total Media									2,003,401
Wireless Telecommunication Services - 0.8%
CSC Holdings LLC, Senior Notes		5.750	%		1/15/30		2,210,000		1,146,718	(a)
CSC Holdings LLC, Senior Notes		4.125	%		12/1/30		320,000		231,685	(a)
Sprint Capital Corp., Senior Notes		8.750	%		3/15/32		250,000		301,445
Vmed O2 UK Financing I PLC, Senior Secured Notes		4.250	%		1/31/31		470,000		389,615	(a)
Vmed O2 UK Financing I PLC, Senior Secured Notes		4.750	%		7/15/31		1,610,000		1,360,482	(a)
Total Wireless Telecommunication Services									3,429,945
TOTAL COMMUNICATION SERVICES									6,024,768
CONSUMER DISCRETIONARY - 4.8%
Automobiles - 0.7%
Ford Motor Co., Senior Notes		6.100	%		8/19/32		1,790,000		1,733,390
Ford Motor Credit Co. LLC, Senior Notes		4.271	%		1/9/27		920,000		859,663
Ford Motor Credit Co. LLC, Senior Notes		2.900	%		2/10/29		200,000		167,186
Total Automobiles									2,760,239

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         1

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Broadline Retail - 1.1%
Amazon.com Inc., Senior Notes		4.050	%		8/22/47		4,500,000	$	3,988,961	(b)
Prosus NV, Senior Notes		4.027	%		8/3/50		1,290,000		829,087	(a)
Total Broadline Retail									4,818,048
Diversified Consumer Services - 0.1%
Wesleyan University, Senior Notes		4.781	%		7/1/2116		390,000		321,676
Hotels, Restaurants & Leisure - 2.9%
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		3.875	%		1/15/28		280,000		256,684	(a)
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		3.500	%		2/15/29		280,000		246,307	(a)
Carnival Corp., Senior Notes		10.500	%		6/1/30		2,030,000		2,149,941	(a)
Las Vegas Sands Corp., Senior Notes		2.900	%		6/25/25		130,000		122,364
Las Vegas Sands Corp., Senior Notes		3.500	%		8/18/26		440,000		411,660
Royal Caribbean Cruises Ltd., Senior Notes		5.375	%		7/15/27		2,670,000		2,541,105	(a)
Sands China Ltd., Senior Notes		5.625	%		8/8/25		2,580,000		2,545,511
Sands China Ltd., Senior Notes		2.800	%		3/8/27		960,000		847,750
Sands China Ltd., Senior Notes		3.350	%		3/8/29		630,000		542,743
VOC Escrow Ltd., Senior Secured Notes		5.000	%		2/15/28		670,000		623,139	(a)
Wynn Macau Ltd., Senior Notes		4.875	%		10/1/24		840,000		819,756	(a)
Wynn Macau Ltd., Senior Notes		5.500	%		1/15/26		1,320,000		1,243,900	(a)
Total Hotels, Restaurants & Leisure									12,350,860
TOTAL CONSUMER DISCRETIONARY									20,250,823
ENERGY - 11.5%
Oil, Gas & Consumable Fuels - 11.5%
Apache Corp., Senior Notes		7.750	%		12/15/29		190,000		196,371
Apache Corp., Senior Notes		6.000	%		1/15/37		410,000		387,348
Apache Corp., Senior Notes		5.250	%		2/1/42		1,210,000		1,018,179
Apache Corp., Senior Notes		7.375	%		8/15/47		100,000		97,468
Apache Corp., Senior Notes		5.350	%		7/1/49		940,000		779,975
Berry Petroleum Co. LLC, Senior Notes		7.000	%		2/15/26		780,000		743,832	(a)

See Notes to Schedule of Investments.

    2     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes		7.625	%		12/15/25		580,000	$	582,188	(a)
Cheniere Energy Partners LP, Senior Notes		3.250	%		1/31/32		430,000		358,206
Continental Resources Inc., Senior Notes		4.900	%		6/1/44		240,000		190,422
DCP Midstream Operating LP, Senior Notes		6.450	%		11/3/36		660,000		680,733	(a)
DCP Midstream Operating LP, Senior Notes		6.750	%		9/15/37		620,000		661,469	(a)
Devon Energy Corp., Senior Notes		7.875	%		9/30/31		220,000		249,527
Devon Energy Corp., Senior Notes		7.950	%		4/15/32		340,000		391,304
Ecopetrol SA, Senior Notes		5.375	%		6/26/26		2,090,000		2,013,328
Ecopetrol SA, Senior Notes		8.875	%		1/13/33		10,000		10,266
Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3 mo. USD LIBOR + 4.155%)		6.625	%		2/15/28		3,450,000		2,747,063	(c)(d)
Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%)		6.750	%		5/15/25		2,870,000		2,617,651	(c)(d)
Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%)		7.125	%		5/15/30		4,570,000		4,025,261	(c)(d)
Energy Transfer LP, Senior Notes		6.850	%		2/15/40		400,000		403,991
EQT Corp., Senior Notes		7.000	%		2/1/30		200,000		210,652
Kinder Morgan Energy Partners LP, Senior Notes		6.950	%		1/15/38		70,000		76,339
Occidental Petroleum Corp., Senior Notes		6.625	%		9/1/30		2,270,000		2,382,751
Occidental Petroleum Corp., Senior Notes		6.200	%		3/15/40		980,000		988,879
Occidental Petroleum Corp., Senior Notes		4.500	%		7/15/44		180,000		136,944
Occidental Petroleum Corp., Senior Notes		6.600	%		3/15/46		4,260,000		4,518,582

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         3

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Occidental Petroleum Corp., Senior Notes		4.400	%		4/15/46		1,050,000	$	832,382
Occidental Petroleum Corp., Senior Notes		4.200	%		3/15/48		4,450,000		3,370,824
Occidental Petroleum Corp., Senior Notes		4.400	%		8/15/49		604,000		446,498
Petrobras Global Finance BV, Senior Notes		5.999	%		1/27/28		150,000		149,205
Petrobras Global Finance BV, Senior Notes		6.850	%		6/5/2115		1,490,000		1,326,840
Petroleos Mexicanos, Senior Notes		6.375	%		1/23/45		1,300,000		823,273
Plains All American Pipeline LP, Junior Subordinated Notes (3 mo. USD LIBOR + 4.110%)		9.431	%		8/31/23		800,000		727,222	(c)(d)
Plains All American Pipeline LP/ PAA Finance Corp., Senior Notes		6.700	%		5/15/36		560,000		558,859
Rockies Express Pipeline LLC, Senior Notes		6.875	%		4/15/40		1,180,000		1,068,962	(a)
Southwestern Energy Co., Senior Notes		4.750	%		2/1/32		1,800,000		1,600,986
Western Midstream Operating LP, Senior Notes		4.500	%		3/1/28		730,000		694,693
Western Midstream Operating LP, Senior Notes		5.450	%		4/1/44		2,130,000		1,861,639
Western Midstream Operating LP, Senior Notes		5.300	%		3/1/48		720,000		617,925
Western Midstream Operating LP, Senior Notes		5.500	%		8/15/48		890,000		763,945
Western Midstream Operating LP, Senior Notes		5.250	%		2/1/50		6,090,000		5,171,354
Williams Cos. Inc., Senior Notes		8.750	%		3/15/32		1,090,000		1,289,134
YPF SA, Senior Notes		8.500	%		7/28/25		610,000		573,431	(a)
TOTAL ENERGY									48,345,901

See Notes to Schedule of Investments.

    4     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
FINANCIALS - 7.0%
Banks - 4.6%
BAC Capital Trust XIV, Ltd. GTD (3 mo. USD LIBOR + 0.400%)		5.952	%		8/16/23		610,000		$	488,642	(c)(d)
Banco Mercantil del Norte SA, Junior Subordinated Notes (7.625% to 1/10/28 then 10 year Treasury Constant Maturity Rate + 5.353%)		7.625	%		1/10/28		1,630,000			1,501,257	(a)(c)(d)
Bank of America Corp., Junior Subordinated Notes (5.875% to 3/15/28 then 3 mo. Term SOFR + 3.193%)		5.875	%		3/15/28		2,400,000			2,241,120	(c)(d)
Barclays PLC, Junior Subordinated Notes (7.750% to 9/15/23 then USD 5 year ICE Swap Rate + 4.842%)		7.750	%		9/15/23		1,780,000			1,778,576	(c)(d)
BNP Paribas SA, Junior Subordinated Notes (7.000% to 8/16/28 then USD 5 year ICE Swap Rate + 3.980%)		7.000	%		8/16/28		200,000			188,800	(a)(c)(d)
BNP Paribas SA, Junior Subordinated Notes (9.250% to 11/17/27 then 5 year Treasury Constant Maturity Rate + 4.969%)		9.250	%		11/17/27		200,000			210,615	(a)(c)(d)
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. Term SOFR + 4.167%)		5.950	%		5/15/25		4,970,000			4,829,673	(c)(d)
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. Term SOFR + 3.685%)		6.300	%		5/15/24		880,000			864,600	(c)(d)
Credit Agricole SA, Junior Subordinated Notes (7.500% to 6/23/26 then GBP 5 year Swap Rate + 4.812%)		7.500	%		6/23/26		1,680,000	GBP		2,070,768	(a)(c)(d)
Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%)		8.125	%		12/23/25		3,250,000			3,271,076	(a)(c)(d)
HSBC Holdings PLC, Junior Subordinated Notes (6.375% to 3/30/25 then USD 5 year ICE Swap Rate + 4.368%)		6.375	%		3/30/25		860,000			831,447	(c)(d)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         5

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Intesa Sanpaolo SpA, Subordinated Notes		5.017	%		6/26/24		200,000	$	195,457	(a)
Intesa Sanpaolo SpA, Subordinated Notes		5.710	%		1/15/26		210,000		202,855	(a)
Toronto-Dominion Bank, Junior Subordinated Notes (8.125% to 10/31/27 then 5 year Treasury Constant Maturity Rate + 4.075%)		8.125	%		10/31/82		210,000		216,258	(d)
Wells Fargo & Co., Junior Subordinated Notes		5.875	%		6/15/25		497,000		487,060	(c)(d)
Total Banks									19,378,204
Capital Markets - 0.6%
Credit Suisse Group AG, Junior Subordinated Notes (5.250% to 8/11/27 then 5 year Treasury Constant Maturity Rate + 4.889%)		5.250	%		2/11/27		4,080,000		244,800	*(a)(c)(d)(e)
Credit Suisse Group AG, Junior Subordinated Notes (6.375% to 8/21/26 then 5 year Treasury Constant Maturity Rate + 4.822%)		6.375	%		8/21/26		200,000		12,000	*(a)(c)(d)(e)
Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then USD 5 year ICE Swap Rate + 4.332%)		7.250	%		9/12/25		300,000		18,000	*(a)(c)(d)(e)
Credit Suisse Group AG, Junior Subordinated Notes		—			7/17/23		570,000		34,200	*(a)(f)
Credit Suisse Group AG, Junior Subordinated Notes (7.500% to 12/11/23 then USD 5 year ICE Swap Rate + 4.598%)		7.500	%		12/11/23		1,310,000		78,600	*(a)(c)(d)(e)
Credit Suisse Group AG, Junior Subordinated Notes (9.750% to 12/23/27 then 5 year Treasury Constant Maturity Rate + 6.383%)		9.750	%		6/23/27		4,150,000		249,000	*(a)(c)(d)(e)
Goldman Sachs Capital II, Ltd. GTD (3 mo. USD LIBOR + 0.768%)		6.264	%		8/31/23		109,000		89,925	(c)(d)
UBS Group AG, Senior Notes		4.875	%		5/15/45		530,000		477,506

See Notes to Schedule of Investments.

    6     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Capital Markets - (continued)
UBS Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%)		4.194	%		4/1/31		630,000	$	570,227	(a)(d)
UBS Group AG, Senior Notes (9.016% to 11/15/32 then SOFR + 5.020%)		9.016	%		11/15/33		470,000		571,975	(a)(d)
Total Capital Markets									2,346,233
Financial Services - 0.7%
AerCap Ireland Capital DAC/ AerCap Global Aviation Trust, Senior Notes		3.300	%		1/30/32		170,000		139,554
ILFC E-Capital Trust I, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.550%)		7.064	%		12/21/65		740,000		520,881	(a)(d)
Toll Road Investors Partnership II LP		0.000	%		2/15/24		520,000		501,130	(a)
Toll Road Investors Partnership II LP		0.000	%		2/15/38		200,000		73,478	(a)
Vanguard Group Inc.		3.050	%		8/22/50		2,610,000		1,614,837
Total Financial Services									2,849,880
Insurance - 1.1%
Highlands Holdings Bond Issuer Ltd./Highlands Holdings Bond Co-Issuer Inc., Senior Secured Notes (7.625% Cash or 8.375% PIK)		7.625	%		10/15/25		4,950,000		4,635,774	(a)(g)
TOTAL FINANCIALS									29,210,091
HEALTH CARE - 4.7%
Health Care Providers & Services - 0.5%
Dignity Health, Secured Notes		5.267	%		11/1/64		760,000		700,823
HCA Inc., Senior Notes		7.500	%		11/15/95		1,250,000		1,382,654
Total Health Care Providers & Services									2,083,477
Pharmaceuticals - 4.2%
Bausch Health Cos. Inc., Senior Notes		6.250	%		2/15/29		6,030,000		2,800,768	(a)
Bausch Health Cos. Inc., Senior Notes		7.250	%		5/30/29		1,140,000		538,920	(a)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         7

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - (continued)
Bausch Health Cos. Inc., Senior Notes		5.250	%		1/30/30		5,490,000	$	2,453,465	(a)
Teva Pharmaceutical Finance Co. LLC, Senior Notes		6.150	%		2/1/36		4,146,000		3,765,807
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		7.125	%		1/31/25		2,600,000		2,616,138
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		3.150	%		10/1/26		844,000		764,331
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		4.100	%		10/1/46		6,917,000		4,540,957
Total Pharmaceuticals									17,480,386
TOTAL HEALTH CARE									19,563,863
INDUSTRIALS - 1.8%
Building Products - 0.0%††
Builders FirstSource Inc., Senior Notes		4.250	%		2/1/32		50,000		43,431	(a)
Commercial Services & Supplies - 0.1%
California Institute of Technology, Senior Notes		3.650	%		9/1/2119		490,000		328,308
Ground Transportation - 0.3%
XPO CNW Inc., Senior Notes		6.700	%		5/1/34		1,510,000		1,493,994
Passenger Airlines - 1.2%
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes		5.750	%		1/20/26		50,000		47,243	(a)
Mileage Plus Holdings LLC/ Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes		6.500	%		6/20/27		544,000		544,459	(a)
United Airlines Inc., Senior Secured Notes		4.375	%		4/15/26		3,420,000		3,241,673	(a)
United Airlines Inc., Senior Secured Notes		4.625	%		4/15/29		1,220,000		1,105,028	(a)
Total Passenger Airlines									4,938,403

See Notes to Schedule of Investments.

    8     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Trading Companies & Distributors - 0.2%
H&E Equipment Services Inc., Senior Notes		3.875	%		12/15/28		110,000	$	96,783	(a)
United Rentals North America Inc., Senior Notes		5.250	%		1/15/30		320,000		305,137
United Rentals North America Inc., Senior Notes		3.875	%		2/15/31		310,000		267,500
Total Trading Companies & Distributors									669,420
TOTAL INDUSTRIALS									7,473,556
MATERIALS - 0.9%
Containers & Packaging - 0.2%
Ardagh Packaging Finance PLC/ Ardagh Holdings USA Inc., Senior Notes		5.250	%		8/15/27		890,000		765,018	(a)
Metals & Mining - 0.7%
First Quantum Minerals Ltd., Senior Notes		8.625	%		6/1/31		2,120,000		2,173,000	(a)
Yamana Gold Inc., Senior Notes		4.625	%		12/15/27		780,000		735,251
Total Metals & Mining									2,908,251
TOTAL MATERIALS									3,673,269
REAL ESTATE - 0.1%
Health Care REITs - 0.1%
CTR Partnership LP/CareTrust Capital Corp., Senior Notes		3.875	%		6/30/28		240,000		213,570	(a)
UTILITIES - 0.4%
Electric Utilities - 0.4%
Enel Finance International NV, Senior Notes		6.000	%		10/7/39		1,680,000		1,660,316	(a)
Pacific Gas and Electric Co., First Mortgage Bonds		3.300	%		8/1/40		200,000		137,746
TOTAL UTILITIES									1,798,062
TOTAL CORPORATE BONDS & NOTES (Cost - $162,266,675)									136,553,903
SOVEREIGN BONDS - 32.6%
Angola - 0.2%
Angolan Government International Bond, Senior Notes		8.250	%		5/9/28		700,000		646,538	(h)
Angolan Government International Bond, Senior Notes		8.750	%		4/14/32		400,000		352,232	(a)
Total Angola									998,770

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         9

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Argentina - 1.8%
Argentine Republic Government International Bond, Senior Notes, Step bond (0.750% to 7/9/27 then 1.750%)		0.750	%		7/9/30		3,797,393		$	1,318,929
Argentine Republic Government International Bond, Senior Notes, Step Bond (4.250% to 7/9/24 then 5.000%)		4.250	%		1/9/38		2,874,178			1,039,807
Provincia de Buenos Aires, Senior Notes, Step bond (5.250% to 9/1/23, 6.375% to 9/1/24 then 6.625%)		5.250	%		9/1/37		5,272,122			2,062,718	(a)
Provincia de Buenos Aires, Senior Notes, Step Bond (5.250% to 9/1/23, 6.375% to 9/1/24 then 6.625%)		5.250	%		9/1/37		560,000			219,100	(h)
Provincia de Cordoba, Senior Notes		6.990	%		6/1/27		2,600,000			2,028,000	(a)
Provincia de Cordoba, Senior Notes (6.875% PIK)		6.875	%		2/1/29		1,034,131			785,939	(a)(g)
Total Argentina										7,454,493
Australia - 0.6%
Australia Government Bond, Senior Notes		3.000	%		3/21/47		4,800,000	AUD		2,566,037	(h)
Brazil - 1.1%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		13,552,000	BRL		2,846,336
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/31		8,024,000	BRL		1,639,498
Total Brazil										4,485,834
Dominican Republic - 0.2%
Dominican Republic International Bond, Senior Notes		5.875	%		1/30/60		1,270,000			1,009,648	(a)
Egypt - 0.2%
Egypt Government Bond		18.400	%		5/30/24		3,500,000	EGP		108,698
Egypt Government International Bond, Senior Notes		5.250	%		10/6/25		960,000			804,173	(h)
Total Egypt										912,871
Gabon - 0.5%
Gabon Government International Bond, Senior Notes		7.000	%		11/24/31		2,190,000			1,861,369	(a)

See Notes to Schedule of Investments.

    10     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Hungary - 1.1%
Hungary Government Bond		1.000	%		11/26/25		484,760,000	HUF	$	1,154,326
Hungary Government Bond		1.500	%		4/22/26		1,400,090,000	HUF		3,291,979
Total Hungary										4,446,305
Indonesia - 7.2%
Indonesia Treasury Bond		8.375	%		9/15/26		3,507,000,000	IDR		248,490
Indonesia Treasury Bond		8.250	%		5/15/29		124,441,000,000	IDR		9,085,596
Indonesia Treasury Bond		6.500	%		2/15/31		143,819,000,000	IDR		9,606,785
Indonesia Treasury Bond		7.000	%		2/15/33		86,483,000,000	IDR		6,040,849
Indonesia Treasury Bond		8.375	%		3/15/34		14,191,000,000	IDR		1,085,169
Indonesia Treasury Bond		8.250	%		5/15/36		45,190,000,000	IDR		3,453,499
Indonesia Treasury Bond		8.375	%		4/15/39		6,456,000,000	IDR		503,272
Indonesia Treasury Bond		7.375	%		5/15/48		576,000,000	IDR		40,794
Total Indonesia										30,064,454
Ivory Coast - 1.0%
Ivory Coast Government International Bond, Senior Notes		4.875	%		1/30/32		2,150,000	EUR		1,924,046	(a)
Ivory Coast Government International Bond, Senior Notes		5.750	%		12/31/32		345,837			326,670	(h)
Ivory Coast Government International Bond, Senior Notes		6.125	%		6/15/33		1,420,000			1,280,645	(h)
Ivory Coast Government International Bond, Senior Notes		6.125	%		6/15/33		650,000			586,211	(a)
Total Ivory Coast										4,117,572
Kenya - 0.3%
Republic of Kenya Government International Bond, Senior Notes		7.250	%		2/28/28		1,600,000			1,409,048	(h)
Mexico - 5.7%
Mexican Bonos, Bonds		8.000	%		11/7/47		163,030,000	MXN		8,874,596
Mexican Bonos, Senior Notes		7.750	%		11/13/42		281,185,400	MXN		14,998,625
Total Mexico										23,873,221
Nigeria - 0.2%
Nigeria Government International Bond, Senior Notes		6.125	%		9/28/28		1,080,000			936,441	(h)
Poland - 3.3%
Republic of Poland Government Bond		1.750	%		4/25/32		74,310,000	PLN		13,950,575
Russia - 2.2%
Russian Federal Bond - OFZ		8.150	%		2/3/27		548,657,000	RUB		2,980,987	*(e)
Russian Federal Bond - OFZ		7.650	%		4/10/30		321,260,000	RUB		1,172,993	*(e)
Russian Federal Bond - OFZ		7.700	%		3/23/33		437,180,000	RUB		1,596,243	*(e)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         11

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Russia - (continued)
Russian Federal Bond - OFZ		7.250	%		5/10/34		935,800,000	RUB	$	3,416,817	*(e)
Russian Federal Bond - OFZ		7.700	%		3/16/39		6,482,000	RUB		23,667	*(e)
Total Russia										9,190,707
South Africa - 2.9%
Republic of South Africa Government Bond, Senior Notes		6.250	%		3/31/36		277,150,000	ZAR		10,083,324
Republic of South Africa Government Bond, Senior Notes		6.500	%		2/28/41		59,640,000	ZAR		2,013,428
Total South Africa										12,096,752
Supranational - 4.0%
European Bank for Reconstruction & Development, Senior Notes		5.000	%		10/6/26		38,012,000,000	IDR		2,438,767
Inter-American Development Bank, Senior Notes		7.000	%		4/17/33		1,163,000,000	INR		14,277,510
Total Supranational										16,716,277
Zambia - 0.1%
Zambia Government International Bond, Senior Notes		8.500	%		4/14/24		550,000			320,884	*(a)(e)
TOTAL SOVEREIGN BONDS (Cost - $158,399,964)										136,411,258
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 16.0%
U.S. Government Obligations - 16.0%
U.S. Treasury Bonds		1.125	%		8/15/40		60,000			37,758
U.S. Treasury Bonds		3.875	%		5/15/43		1,540,000			1,472,384
U.S. Treasury Bonds		3.000	%		5/15/45		972,000			802,223
U.S. Treasury Bonds		2.875	%		8/15/45		10,000			8,062
U.S. Treasury Bonds		4.000	%		11/15/52		58,000			57,964
U.S. Treasury Bonds		3.625	%		2/15/53		2,590,000			2,416,389
U.S. Treasury Bonds		3.625	%		5/15/53		14,260,000			13,324,187	(b)
U.S. Treasury Notes		4.000	%		2/29/28		22,520,000			22,321,191	(i)
U.S. Treasury Notes		3.625	%		3/31/28		17,850,000			17,411,768	(b)
U.S. Treasury Notes		4.000	%		7/31/30		4,140,000			4,124,152
U.S. Treasury Notes		3.375	%		5/15/33		5,220,000			4,979,798
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $68,039,527)										66,955,876

See Notes to Schedule of Investments.

    12     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
MORTGAGE-BACKED SECURITIES - 7.1%
FNMA - 3.2%
Federal National Mortgage Association (FNMA)		5.500	%		8/1/51		4,100,000	$	4,071,813	(j)
Federal National Mortgage Association (FNMA)		6.000	%		8/1/51		9,300,000		9,355,945	(j)
Total FNMA									13,427,758
GNMA - 3.9%
Government National Mortgage Association (GNMA) II		5.500	%		8/1/51		10,800,000		10,733,344	(j)
Government National Mortgage Association (GNMA) II		6.000	%		8/1/51		5,600,000		5,626,906	(j)
Total GNMA									16,360,250
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $29,645,828)									29,788,008
COLLATERALIZED MORTGAGE OBLIGATIONS (k) - 6.3%
AREIT Trust, 2021-CRE5 B (1 mo. Term SOFR + 1.934%)		7.156	%		11/17/38		807,000		769,634	(a)(d)
Benchmark Mortgage Trust, 2020- IG3 C		3.290	%		9/15/48		1,190,000		558,614	(a)(d)
BX Trust, 2018-GWMZ MC (1 mo. Term SOFR + 5.785%)		11.007	%		5/15/37		1,390,000		1,367,440	(a)(d)
BX Trust, 2021-ARIA G (1 mo. Term SOFR + 3.257%)		8.479	%		10/15/36		2,570,000		2,388,414	(a)(d)
CSMC Trust, 2015-2R 7A2		4.398	%		8/27/36		6,387,262		5,002,035	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 B1 (30 Day Average SOFR + 5.650%)		10.719	%		4/25/42		780,000		820,507	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-HQ2 B (30 Day Average SOFR + 8.064%)		13.133	%		5/25/25		1,529,009		1,566,136	(d)
Federal National Mortgage Association (FNMA) - CAS, 2018-C01 1B1 (30 Day Average SOFR + 3.664%)		8.733	%		7/25/30		5,280,000		5,563,253	(a)(d)
GS Mortgage Securities Corp. Trust, 2018-LUAU G (1 mo. Term SOFR + 4.497%)		9.719	%		11/15/32		1,032,000		989,493	(a)(d)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         13

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS (k) - (continued)
GS Mortgage Securities Corp. Trust, 2018-SRP5 C (1 mo. Term SOFR + 4.364%)		9.586	%		9/15/31		7,489,843	$	2,879,487	(a)(d)
IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. Term SOFR + 0.654%)		5.952	%		11/25/36		1,441,848		1,114,563	(d)
JPMorgan Chase Commercial Mortgage Securities Trust, 2018- PHMZ M (1 mo. Term SOFR + 8.622%)		13.844	%		6/15/35		10,570,000		106	(a)(d)
JPMorgan Chase Commercial Mortgage Securities Trust, 2021- NYAH F (1 mo. Term SOFR + 2.304%)		7.526	%		6/15/38		344,000		298,190	(a)(d)
MHC Trust, 2021-MHC2 E (1 mo. Term SOFR + 2.064%)		7.286	%		5/15/38		850,000		827,101	(a)(d)
ML-CFC Commercial Mortgage Trust, 2007-5 AJ		5.450	%		8/12/48		96,034		24,523	(d)
ML-CFC Commercial Mortgage Trust, 2007-9 AJ		6.193	%		9/12/49		2,886		2,788	(d)
Morgan Stanley Capital Trust, 2021-L7 XA, IO		1.097	%		10/15/54		7,236,033		404,500	(d)
Residential Asset Securitization Trust, 2005-A15 1A4		5.750	%		2/25/36		64,727		59,771
Residential Asset Securitization Trust, 2005-A15 2A11, IO (-1.000 x 1 mo. Term SOFR + 5.436%)		0.138	%		2/25/36		1,665,618		161,507	(d)
Sequoia Mortgage Trust, 2004-3 M1 (1 mo. Term SOFR + 0.864%)		6.119	%		5/20/34		185,424		181,588	(d)
SFO Commercial Mortgage Trust, 2021-555 D (1 mo. Term SOFR + 2.514%)		7.736	%		5/15/38		1,000,000		771,558	(a)(d)
Starwood Retail Property Trust, 2014-STAR E		8.250	%		11/15/27		5,070,000		10,165	(a)(d)
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR17 A1C3 (1 mo. Term SOFR + 1.074%)		6.372	%		12/25/45		1,235,403		811,429	(d)
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $48,745,755)									26,572,802

See Notes to Schedule of Investments.

    14     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
ASSET-BACKED SECURITIES - 5.3%
Aegis Asset Backed Securities Trust, 2003-3 M2 (1 mo. Term SOFR + 2.589%)		7.887	%		1/25/34		157,931	$	142,657	(d)
Bayview Financial Mortgage Pass-Through Trust, 2006-C 2A3 (1 mo. Term SOFR + 0.549%)		5.867	%		11/28/36		1,535,823		1,316,089	(d)
BlueMountain CLO Ltd., 2020-29A ER (3 mo. Term SOFR + 7.122%)		12.473	%		7/25/34		4,390,000		4,099,730	(a)(d)
Conseco Finance Corp., 1996-4 M1		7.750	%		6/15/27		883,285		881,953	(d)
Dryden CLO Ltd., 2021-95A SUB		0.000	%		8/20/34		3,900,000		2,530,814	(a)(d)
Elmwood CLO Ltd., 2019-2A SUB		0.000	%		4/20/34		6,600,000		4,917,243	(a)(d)
KeyCorp Student Loan Trust, 2005-A 2C (3 mo. USD LIBOR + 1.300%)		6.844	%		12/27/38		2,789,308		2,651,756	(d)
Popular ABS Mortgage Pass-Through Trust, 2005-2 M2		6.217	%		4/25/35		4,291,341		3,156,281
SMB Private Education Loan Trust, 2021-A D2		3.860	%		1/15/53		2,911,680		2,649,207	(a)
TOTAL ASSET-BACKED SECURITIES (Cost - $25,730,016)									22,345,730
SENIOR LOANS - 1.4%
COMMUNICATION SERVICES - 0.4%
Media - 0.4%
Charter Communications Operating LLC, Term Loan B1		7.067-7.116	%		4/30/25		1,342,891		1,343,032	(d)(l)(m)
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. Term SOFR + 2.614%)		7.836	%		1/31/28		360,000		351,159	(d)(l)(m)
TOTAL COMMUNICATION SERVICES									1,694,191
CONSUMER DISCRETIONARY - 0.5%
Diversified Consumer Services - 0.2%
Prime Security Services Borrower LLC, 2021 Refinancing Term Loan B1 (1 mo. Term SOFR + 2.864%)		7.977	%		9/23/26		838,889		838,977	(d)(l)(m)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         15

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Hotels, Restaurants & Leisure - 0.3%
1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%)		7.183	%		11/19/26		739,793	$	736,386	(d)(l)(m)
Alterra Mountain Co., 2028 Term Loan B (1 mo. Term SOFR + 3.614%)		8.933	%		8/17/28		278,433		278,781	(d)(l)(m)
Total Hotels, Restaurants & Leisure									1,015,167
TOTAL CONSUMER DISCRETIONARY									1,854,144
FINANCIALS - 0.2%
Financial Services - 0.1%
Jane Street Group LLC, Dollar Term Loan (1 mo. Term SOFR + 2.864%)		8.183	%		1/26/28		325,711		325,405	(d)(l)(m)
Insurance - 0.1%
Asurion LLC, New Term Loan B11 (1 mo. Term SOFR + 4.350%)		9.669	%		8/21/28		547,092		525,665	(d)(l)(m)
TOTAL FINANCIALS									851,070
HEALTH CARE - 0.2%
Health Care Providers & Services - 0.2%
LifePoint Health Inc., First Lien Term Loan B (3 mo. Term SOFR + 4.012%)		9.377	%		11/16/25		671,578		663,811	(d)(l)(m)
Phoenix Guarantor Inc., Term Loan B1 (1 mo. Term SOFR + 3.364%)		8.683	%		3/5/26		268,849		267,315	(d)(l)(m)
TOTAL HEALTH CARE									931,126
INDUSTRIALS - 0.1%
Building Products - 0.1%
Hunter Douglas Holding BV, Term Loan B1 (3 mo. Term SOFR + 3.500%)		8.666	%		2/26/29		524,426		500,958	(d)(l)(m)
TOTAL SENIOR LOANS (Cost - $5,870,955)									5,831,489
CONVERTIBLE BONDS & NOTES - 0.8%
COMMUNICATION SERVICES - 0.8%
Media - 0.8%
DISH Network Corp., Senior Notes (Cost - $3,479,409)		2.375	%		3/15/24		3,650,000		3,362,562

See Notes to Schedule of Investments.

    16     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY	EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
PURCHASED OPTIONS - 0.7%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.7%
3-Month SOFR Futures, Call @ $97.375		12/15/23		4,430		11,075,000	$	166,125
Australian Dollar Futures, Call @ $67.000		8/4/23		45		45,000		24,300
Australian Dollar Futures, Call @ $68.000		8/4/23		367		367,000		47,710
Australian Dollar Futures, Call @ $68.000		9/8/23		52		52,000		30,160
Canadian Dollar Futures, Call @ $76.500		8/4/23		53		53,000		2,650
Euro Futures, Call @ $1.125		8/4/23		53		6,625,000		662
Euro Futures, Put @ $1.105		9/8/23		26		3,250,000		34,775
Japanese Yen Futures, Call @ $71.000		8/4/23		52		65,000		18,850
SOFR 1-Year Mid-Curve Futures, Put @ $97.000		10/13/23		328		820,000		953,250
SOFR 1-Year Mid-Curve Futures, Put @ $95.875		12/15/23		166		415,000		168,075
SOFR 1-Year Mid-Curve Futures, Put @ $96.000		12/15/23		380		950,000		448,875
U.S. Treasury 5-Year Notes Futures, Call @ $107.000		8/25/23		548		548,000		269,719
U.S. Treasury 5-Year Notes Futures, Call @ $107.750		8/25/23		234		234,000		53,016
U.S. Treasury 6 to 7-Year Notes Futures, Call @ $111.500		8/4/23		104		104,000		35,750
U.S. Treasury 10-Year Notes Futures, Call @ $111.500		8/25/23		106		106,000		79,500
U.S. Treasury 10-Year Notes Futures, Call @ $112.500		8/25/23		490		490,000		176,094
U.S. Treasury 10-Year Notes Futures, Put @ $111.250		8/25/23		210		210,000		150,938
U.S. Treasury Long-Term Bonds Futures, Call @ $124.500		8/25/23		104		104,000		147,875
U.S. Treasury Long-Term Bonds Futures, Call @ $126.000		8/25/23		78		78,000		60,937

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         17

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY			EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
EXCHANGE-TRADED PURCHASED OPTIONS - (continued)
U.S. Treasury Long-Term Bonds Futures, Call @ $126.500				8/25/23			78		78,000	$	48,750
U.S. Treasury Long-Term Bonds Futures, Call @ $127.000				8/25/23			130		130,000		62,969
TOTAL EXCHANGE-TRADED PURCHASED OPTIONS (Cost - $4,330,672)											2,980,980
	COUNTERPARTY
OTC PURCHASED OPTIONS - 0.0%††
U.S. Dollar/Indian Rupee, Put @ 82.000INR		JPMorgan Chase & Co.		9/15/23			4,190,000		4,190,000		13,470
U.S. Dollar/Indian Rupee, Put @ 82.000INR		JPMorgan Chase & Co.		12/18/23			4,190,000		4,190,000		28,404
TOTAL OTC PURCHASED OPTIONS (Cost - $72,289)											41,874
TOTAL PURCHASED OPTIONS (Cost - $4,402,961)											3,022,854
			RATE			MATURITY DATE		FACE AMOUNT†
MUNICIPAL BONDS - 0.6%
California - 0.1%
Morongo Band of Mission Indians, CA, Revenue, Tribal Economic Development, Series A				7.000	%		10/1/39		360,000		377,798	(a)
Regents of the University of California, CA, Medical Center Pooled Revenue, Taxable Bonds, Series N				3.706	%		5/15/2120		205,000		135,366
Total California											513,164
Illinois - 0.3%
State of Illinois, GO, Taxable, Pension Funding Series 2003				5.100	%		6/1/33		1,425,000		1,395,425
Michigan - 0.2%
Detroit, MI, GO, Financial Recovery, Series B-1, Step bond (4.000% to 4/1/34 then 6.000%)				4.000	%		4/1/44		820,000		611,055	(d)
TOTAL MUNICIPAL BONDS (Cost - $2,645,813)											2,519,644

See Notes to Schedule of Investments.

    18     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

(Percentages shown based on Fund net assets)

SECURITY				SHARES		VALUE
COMMON STOCKS - 0.2%
ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Berry Corp.					40,182	$	313,420
FINANCIALS - 0.1%
Capital Markets - 0.1%
EG Acquisition Corp., Class A Shares					55,833		578,709	*
TOTAL COMMON STOCKS (Cost - $972,723)							892,129
	EXPIRATION DATE			WARRANTS
WARRANTS - 0.0%††
FINANCIALS - 0.0%††
Capital Markets - 0.0%††
EG Acquisition Corp., Class A Shares (Cost - $67,285)		5/28/28			70,273		21,012	*
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $510,266,911)							434,277,267
	RATE			SHARES
SHORT-TERM INVESTMENTS - 2.8%
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $11,719,612)		5.269	%		11,719,612		11,719,612	(n)(o)
TOTAL INVESTMENTS - 106.4% (Cost - $521,986,523)							445,996,879
Liabilities in Excess of Other Assets - (6.4)%							(26,872,286	)
TOTAL NET ASSETS - 100.0%						$	419,124,593

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         19

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

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

†† Represents less than 0.1%.

* Non-income producing security.

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

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

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

(d) 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.

(e) The coupon payment on this security is currently in default as of July 31, 2023.

(f) The maturity principal is currently in default as of July 31, 2023.

(g) Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities.

(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 Directors.

(i) All or a portion of this security is held at the broker as collateral for open futures contracts and exchange-traded options.

(j) This security is traded on a to-be-announced (“TBA”) basis. At July 31, 2023, the Fund held TBA securities with a total cost of $29,645,828.

(k) 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.

(l) Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.

(m) Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

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

(o) 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 July 31, 2023, the total market value of investments in Affiliated Companies was $11,719,612 and the cost was $11,719,612 (Note 2).

See Notes to Schedule of Investments.

    20     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

Abbreviation(s) used in this schedule:

AUD	— Australian Dollar
BRL	— Brazilian Real
CAS	— Connecticut Avenue Securities
CLO	— Collateralized Loan Obligation
EGP	— Egyptian Pound
EUR	— Euro
GBP	— British Pound
GO	— General Obligation
GTD	— Guaranteed
HUF	— Hungarian Forint
ICE	— Intercontinental Exchange
IDR	— Indonesian Rupiah
INR	— Indian Rupee
IO	— Interest Only
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
OFZ	— Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
PIK	— Payment-In-Kind
PLN	— Polish Zloty
REMIC	— Real Estate Mortgage Investment Conduit
RUB	— Russian Ruble
SOFR	— Secured Overnight Financing Rate
USD	— United States Dollar
ZAR	— South African Rand

At July 31, 2023, the Fund had the following written options contracts:

EXCHANGE-TRADED WRITTEN OPTIONS
SECURITY	EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†			VALUE
3-Month SOFR Futures, Call		12/15/23	$	94.750			418		1,045,000		$	(130,625	)
3-Month SOFR Futures, Call		12/15/23		95.000			305		762,500			(70,531	)
3-Month SOFR Futures, Call		12/15/23		95.500			824		2,060,000			(113,300	)
3-Month SOFR Futures, Call		12/15/23		95.750			25		62,500			(2,813	)
3-Month SOFR Futures, Call		12/15/23		97.250			1,301		3,252,500			(48,788	)
3-Month SOFR Futures, Call		12/15/23		98.125			2,195		5,487,500			(41,156	)
3-Month SOFR Futures, Call		12/15/23		98.250			6,665		16,662,500			(124,969	)
3-Month SOFR Futures, Put		12/15/23		94.500			208		520,000			(50,700	)
3-Month SOFR Futures, Put		12/15/23		95.500			2,083		5,207,500			(4,790,900	)
3-Month SOFR Futures, Put		3/15/24		95.000			208		520,000			(227,500	)
Euro-Bund Futures, Call		8/25/23		134.500	EUR		106		10,600,000	EUR		(68,763	)
Euro-Bund Futures, Call		8/25/23		136.000	EUR		79		7,900,000	EUR		(23,452	)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         21

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

EXCHANGE-TRADED WRITTEN OPTIONS - (continued)

SECURITY	EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†			VALUE
Euro-Bund Futures, Put		8/25/23		132.000	EUR		106		10,600,000	EUR	$	(85,079	)
Euro-Bund Futures, Put		8/25/23		133.000	EUR		79		7,900,000	EUR		(100,758	)
Japanese Yen Futures, Call		8/4/23	$	71.500			26		32,500			(4,550	)
Japanese Yen Futures, Call		8/4/23		72.000			52		65,000			(3,900	)
SOFR 1-Year Mid-Curve Futures, Call		12/15/23		96.750			50		125,000			(16,250	)
SOFR 1-Year Mid-Curve Futures, Call		12/15/23		97.000			1,432		3,580,000			(331,150	)
SOFR 1-Year Mid-Curve Futures, Put		10/13/23		96.250			328		820,000			(442,800	)
SOFR 1-Year Mid-Curve Futures, Put		10/13/23		96.500			328		820,000			(598,600	)
SOFR 1-Year Mid-Curve Futures, Put		12/15/23		95.250			332		830,000			(130,725	)
SOFR 1-Year Mid-Curve Futures, Put		12/15/23		95.375			760		1,900,000			(365,750	)
U.S. Treasury 2-Year Notes Futures, Call		8/25/23		101.750			418		836,000			(124,094	)
U.S. Treasury 2-Year Notes Futures, Call		8/25/23		102.000			678		1,356,000			(105,937	)
U.S. Treasury 5-Year Notes Futures, Call		8/4/23		107.250			105		105,000			(13,945	)
U.S. Treasury 5-Year Notes Futures, Call		8/25/23		107.250			574		574,000			(224,219	)
U.S. Treasury 5-Year Notes Futures, Call		8/25/23		107.500			52		52,000			(15,438	)
U.S. Treasury 5-Year Notes Futures, Call		8/25/23		108.000			86		86,000			(14,781	)
U.S. Treasury 5-Year Notes Futures, Call		8/25/23		108.750			104		104,000			(7,313	)
U.S. Treasury 5-Year Notes Futures, Call		8/25/23		109.000			1,199		1,199,000			(65,571	)
U.S. Treasury 5-Year Notes Futures, Call		8/25/23		109.500			361		361,000			(11,281	)
U.S. Treasury 5-Year Notes Futures, Call		9/22/23		108.000			395		395,000			(234,531	)
U.S. Treasury 5-Year Notes Futures, Call		9/22/23		109.000			617		617,000			(183,172	)
U.S. Treasury 5-Year Notes Futures, Put		8/25/23		107.000			208		208,000			(139,750	)
U.S. Treasury 5-Year Notes Futures, Put		8/25/23		107.500			365		365,000			(356,445	)
U.S. Treasury 6 to 7-Year Notes Futures, Call		8/4/23		112.250			105		105,000			(11,484	)
U.S. Treasury 10-Year Notes Futures, Call		8/25/23		112.000			54		54,000			(28,688	)
U.S. Treasury 10-Year Notes Futures, Call		8/25/23		112.250			235		235,000			(102,812	)
U.S. Treasury 10-Year Notes Futures, Call		8/25/23		113.000			1,123		1,123,000			(263,203	)
U.S. Treasury 10-Year Notes Futures, Call		8/25/23		113.500			416		416,000			(65,000	)
U.S. Treasury 10-Year Notes Futures, Call		8/25/23		114.000			390		390,000			(36,563	)
U.S. Treasury 10-Year Notes Futures, Call		9/22/23		113.000			210		210,000			(154,219	)
U.S. Treasury 10-Year Notes Futures, Put		8/25/23		112.000			11		11,000			(12,375	)
U.S. Treasury 10-Year Notes Futures, Put		8/25/23		112.500			131		131,000			(190,359	)

See Notes to Schedule of Investments.

    22     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

EXCHANGE-TRADED WRITTEN OPTIONS - (continued)

SECURITY		EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Treasury Long-Term Bonds Futures, Call			8/4/23	$	126.500			52		52,000	$	(4,875	)
U.S. Treasury Long-Term Bonds Futures, Call			8/25/23		128.000			99		99,000		(30,938	)
U.S. Treasury Long-Term Bonds Futures, Call			8/25/23		129.000			313		313,000		(58,687	)
U.S. Treasury Long-Term Bonds Futures, Call			8/25/23		130.000			131		131,000		(14,328	)
U.S. Treasury Long-Term Bonds Futures, Put			8/25/23		123.000			78		78,000		(70,688	)
U.S. Treasury Long-Term Bonds Futures, Put			8/25/23		124.000			78		78,000		(98,719	)
U.S. Treasury Long-Term Bonds Futures, Put			8/25/23		126.000			208		208,000		(487,500	)
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $12,538,440)												(10,899,974	)
OTC Written Options
	COUNTERPARTY
U.S. Dollar/Brazilian Real, Put	Goldman Sachs Group Inc.		8/17/23		4.798	BRL		4,200,000		4,200,000		(74,870	)
U.S. Dollar/Mexican Peso, Put	Goldman Sachs Group Inc.		8/23/23		17.930	MXN		4,180,000		4,180,000		(284,656	)
U.S. Dollar/Mexican Peso, Put	Morgan Stanley & Co. Inc.		8/24/23		17.760	MXN		4,180,000		4,180,000		(241,724	)
U.S. Dollar/South African Rand, Put	Goldman Sachs Group Inc.		8/9/23		18.210	ZAR		5,130,000		5,130,000		(119,382	)
TOTAL OTC WRITTEN OPTIONS (Premiums received - $229,845)												(720,632	)
TOTAL WRITTEN OPTIONS (Premiums received - $12,768,285)											$	(11,620,606	)

† Notional amount denominated in U.S. dollars, unless otherwise noted.

Abbreviation(s) used in this schedule:

BRL	— Brazilian Real
EUR	— Euro
MXN	— Mexican Peso
SOFR	— Secured Overnight Financing Rate
ZAR	— South African Rand

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         23

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

At July 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:
3-Month EURIBOR		469		12/23	$	124,007,754	$	123,907,974	$	(99,780	)
3-Month SOFR		417		6/24		99,040,926		98,870,700		(170,226	)
3-Month SOFR		1,015		3/25		244,268,226		243,270,125		(998,101	)
3-Month SONIA		690		3/24		209,474,550		208,504,752		(969,798	)
Australian Dollar		141		9/23		9,493,773		9,487,890		(5,883	)
British Pound		138		9/23		10,834,266		11,075,362		241,096
Japanese Yen		688		9/23		62,197,395		60,905,200		(1,292,195	)
Mexican Peso		372		9/23		10,673,360		11,022,360		349,000
U.S. Treasury 2-Year Notes		3,667		9/23		747,705,008		744,515,594		(3,189,414	)
U.S. Treasury 5-Year Notes		4,381		9/23		469,102,964		467,979,778		(1,123,186	)
U.S. Treasury Long-Term Bonds		3,603		9/23		456,422,689		448,348,313		(8,074,376	)
U.S. Treasury Ultra Long- Term Bonds		408		9/23		55,041,439		53,945,250		(1,096,189	)
United Kingdom Long Gilt Bonds		110		9/23		13,480,157		13,570,528		90,371
										(16,338,681	)
Contracts to Sell:
30-Day Federal Funds		1,373		8/23		541,685,743		541,648,922		36,821
3-Month SOFR		930		12/23		220,997,897		219,921,750		1,076,147
3-Month SOFR		1,772		3/24		422,234,979		419,188,750		3,046,229
Canadian Dollar		254		9/23		19,110,588		19,290,030		(179,442	)
Euro		230		9/23		31,655,269		31,695,438		(40,169	)
Euro-Bund		53		9/23		7,730,493		7,750,376		(19,883	)
Japanese 10-Year Bonds		170		9/23		176,746,874		175,419,112		1,327,762
U.S. Treasury 10-Year Notes		5,589		9/23		629,889,163		622,649,531		7,239,632
U.S. Treasury Ultra 10-Year Notes		2,485		9/23		296,813,882		290,706,184		6,107,698
										18,594,795
Net unrealized appreciation on open futures contracts									$	2,256,114

Abbreviation(s) used in this table:
EURIBOR	— Euro Interbank Offered Rate
SOFR	— Secured Overnight Financing Rate
SONIA	— Sterling Overnight Index Average

See Notes to Schedule of Investments.

    24     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

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

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	1,379,035		RUB	99,980,000	Goldman Sachs Group Inc.		9/20/23	$	308,622
USD	1,925,025		INR	158,294,843	JPMorgan Chase & Co.		9/20/23		3,632
USD	808,503		PLN	3,290,906	Bank of America N.A.		10/20/23		(9,880	)
USD	12,397,845		PLN	51,080,360	Bank of America N.A.		10/20/23		(304,825	)
USD	9,455,640		TWD	293,266,675	Bank of America N.A.		10/20/23		33,012
AUD	28,147,900		USD	18,784,383	BNP Paribas SA		10/20/23		174,354
CAD	28,209,412		USD	21,285,308	BNP Paribas SA		10/20/23		130,418
KRW	11,152,452,000		USD	8,610,004	BNP Paribas SA		10/20/23		180,218
NOK	92,743,746		USD	8,727,591	BNP Paribas SA		10/20/23		443,861
USD	10,842,591		MXN	188,435,566	Goldman Sachs Group Inc.		10/20/23		(243,461	)
CNY	32,753,339		USD	4,579,606	JPMorgan Chase & Co.		10/20/23		43,576
USD	4,578,965		CNY	32,753,340	JPMorgan Chase & Co.		10/20/23		(44,217	)
USD	4,257,354		HUF	1,531,923,787	JPMorgan Chase & Co.		10/20/23		(20,218	)
USD	24,544,635		IDR	370,525,809,496	JPMorgan Chase & Co.		10/20/23		(13,880	)
USD	4,407,406		ZAR	83,623,911	JPMorgan Chase & Co.		10/20/23		(234,340	)
BRL	34,801,033		USD	7,032,216	Morgan Stanley & Co. Inc.		10/20/23		230,037
CNH	252		USD	35	Morgan Stanley & Co. Inc.		10/20/23		0	(a)
EUR	546,000		USD	606,583	Morgan Stanley & Co. Inc.		10/20/23		(3,879	)
EUR	9,763,746		USD	10,780,542	Morgan Stanley & Co. Inc.		10/20/23		(2,792	)
GBP	2,079,000		USD	2,687,149	Morgan Stanley & Co. Inc.		10/20/23		(18,483	)
INR	16,662,835		USD	202,413	Morgan Stanley & Co. Inc.		10/20/23		(352	)
INR	1,647,279,185		USD	19,933,194	Morgan Stanley & Co. Inc.		10/20/23		42,428
JPY	92,808,000		USD	669,981	Morgan Stanley & Co. Inc.		10/20/23		(9,303	)
MYR	19,306,351		USD	4,182,938	Morgan Stanley & Co. Inc.		10/20/23		122,247
USD	35		CNH	252	Morgan Stanley & Co. Inc.		10/20/23		(1	)
USD	1,242,274		GBP	973,000	Morgan Stanley & Co. Inc.		10/20/23		(6,698	)
USD	24,767,506		GBP	19,281,947	Morgan Stanley & Co. Inc.		10/20/23		16,625
USD	14,126,764		INR	1,163,000,000	Morgan Stanley & Co. Inc.		10/20/23		23,722
USD	615,057		JPY	83,839,000	Morgan Stanley & Co. Inc.		10/20/23		18,227
USD	31,396,486		JPY	4,374,993,626	Morgan Stanley & Co. Inc.		10/20/23		251,946
USD	1,768,942		INR	145,990,809	JPMorgan Chase & Co.		12/20/23		2,597
Net unrealized appreciation on open forward foreign currency contracts								$	1,113,193

(a) Amount represents less than $1.

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         25

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

Abbreviation(s) used in this table:
AUD	— Australian Dollar
BRL	— Brazilian Real
CAD	— Canadian Dollar
CNH	— Chinese Offshore Yuan
CNY	— Chinese Yuan Renminbi
EUR	— Euro
GBP	— British Pound
HUF	— Hungarian Forint
IDR	— Indonesian Rupiah
INR	— Indian Rupee
JPY	— Japanese Yen
KRW	— South Korean Won
MXN	— Mexican Peso
MYR	— Malaysian Ringgit
NOK	— Norwegian Krone
PLN	— Polish Zloty
RUB	— Russian Ruble
TWD	— Taiwan Dollar
USD	— United States Dollar
ZAR	— South African Rand

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

OTC INTEREST RATE SWAPS
SWAP COUNTERPARTY	NOTIONAL AMOUNT*			TERMINATION DATE		PAYMENTS MADE BY THE FUND†	PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE		UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED APPRECIATION
Bank of America N.A.		122,898,368	BRL		1/4/27	BRL-CDI**	11.993%**	$	816,145		—	$	816,145
BNP Paribas SA		142,015,300	BRL		1/2/29	BRL-CDI**	12.610%**		1,834,019		—		1,834,019
JPMorgan Chase & Co.		4,588,200	BRL		1/2/29	BRL-CDI**	12.893%**		67,153		—		67,153
Total								$	2,717,317		—	$	2,717,317

CENTRALLY CLEARED INTEREST RATE SWAPS

NOTIONAL AMOUNT*

TERMINATION DATE

PAYMENTS MADE BY THE FUND†

PAYMENTS RECEIVED BY THE FUND†

MARKET VALUE

UPFRONT PREMIUMS PAID (RECEIVED)

UNREALIZED APPRECIATION (DEPRECIATION)

144,900,000

6/4/24

Daily SOFR Compound**

4.600%**

$(1,016,333)

$

2,839

$

(1,019,172

)

See Notes to Schedule of Investments.

    26     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

CENTRALLY CLEARED INTEREST RATE SWAPS (cont’d)
	NOTIONAL AMOUNT*			TERMINATION DATE		PAYMENTS MADE BY THE FUND†	PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
		538,736,000			3/1/25	Daily SOFR Compound annually	3.550% annually	$	(6,234,011	)	$	(24,191	)	$	(6,209,820	)
		141,542,000			6/15/25	4.230% annually	Daily SOFR Compound annually		1,426,448			33,070			1,393,378
		200,460,000			6/21/25	Daily SOFR Compound annually	3.400% annually		(1,737,829	)		(9,910	)		(1,727,919	)
		170,428,000			10/13/25	Daily SOFR Compound**	1.396%**		(4,018,619	)		—			(4,018,619	)
		23,033,000			11/30/27	Daily SOFR Compound annually	2.980% annually		(935,310	)		4,252			(939,562	)
		115,446,000			11/30/27	Daily SOFR Compound annually	3.450% annually		(2,605,471	)		(544,962	)		(2,060,509	)
		9,466,000			4/30/29	3.270% annually	Daily SOFR Compound annually		307,289			227,948			79,341
		28,259,000			6/30/29	3.850% annually	Daily SOFR Compound annually		61,250			(14,603	)		75,853
		54,546,000			5/15/32	3.220% annually	Daily SOFR Compound annually		2,042,669			1,327,229			715,440
		228,101,667	MXN		10/25/32	28-Day MXN TIIE - Banxico every 28 days	9.260% every 28 days		848,715			—			848,715
		165,225,000	MXN		3/1/33	28-Day MXN TIIE - Banxico every 28 days	8.450% every 28 days		105,925			—			105,925
		86,740,000			2/15/48	2.600% annually	Daily SOFR Compound annually		12,458,455			5,816,195			6,642,260
		6,113,000			2/15/48	3.050% annually	Daily SOFR Compound annually		432,277			111,622			320,655

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         27

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 31, 2023

CENTRALLY CLEARED INTEREST RATE SWAPS (cont’d)
	NOTIONAL AMOUNT*		TERMINATION DATE		PAYMENTS MADE BY THE FUND†		PAYMENTS RECEIVED BY THE FUND†		MARKET VALUE		UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
		9,268,000		5/15/48		3.150% annually		Daily SOFR Compound annually	$	499,630		(2,767,325	)	$	3,266,955
		10,840,000		4/21/52		2.500% annually		Daily SOFR Compound annually		1,740,827		22,058			1,718,769
Total									$	3,375,912	$	4,184,222		$	(808,310	)

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		IMPLIED CREDIT SPREAD AT JULY 31, 20233	PERIODIC PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION
Teva Pharmaceutical Finance Netherlands III BV, 3.150%, due 10/1/26	$	3,270,000		6/20/26	1.651%	1.000% quarterly	$	(56,528	)	$	(186,196	)	$	129,668

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		PERIODIC PAYMENTS RECEIVED BY THE FUND†	MARKET VALUE4		UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED APPRECIATION
Markit CDX.NA.IG.40 Index	$	109,056,000		6/20/28	1.000% quarterly	$	1,754,113	$	798,275	$	955,838

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION5
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		PERIODIC PAYMENTS MADE BY THE FUND†	MARKET VALUE4			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED DEPRECIATION
Markit CDX.NA.HY.40 Index	$	29,551,600		6/20/28	5.000% quarterly	$	(1,038,253	)	$	(152,642	)	$	(885,611	)

See Notes to Schedule of Investments.

    28     Western Asset Macro Opportunities Fund 2023 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 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 Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads 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. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.

⁴ 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.

⁵ If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive 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 the underlying securities comprising the referenced index.

† Percentage shown is an annual percentage rate.

* Notional amount denominated in U.S. dollars, unless otherwise noted.

** One time payment made at termination date.

Abbreviation(s) used in this table:

BRL	— Brazilian Real
BRL-CDI	— Brazil Cetip InterBank Deposit Rate
MXN	— Mexican Peso
SOFR	— Secured Overnight Financing Rate
TIIE	— Tasa de Intere’s Interbancaria de Equilibrio (Equilibrium Interbanking Interest Rate)

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2023 Quarterly Report         29

Notes to Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset Macro Opportunities Fund (the “Fund”) is a separate non-diversified investment series of Western Asset Funds, Inc. (the “Corporation”). The Corporation, a Maryland corporation, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

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 currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.

Pursuant to policies adopted by the Board of Directors, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager 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 manager and the Board of Directors. When determining the reliability of third

30

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

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 Directors, 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 Directors quarterly.

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

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

• Level 1 – 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)

31

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

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

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

ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Long-Term Investments†:
Corporate Bonds & Notes		—	$	136,553,903		—	$	136,553,903
Sovereign Bonds		—		136,411,258		—		136,411,258
U.S. Government & Agency Obligations		—		66,955,876		—		66,955,876
Mortgage-Backed Securities		—		29,788,008		—		29,788,008
Collateralized Mortgage Obligations		—		26,572,802		—		26,572,802
Asset-Backed Securities		—		22,345,730		—		22,345,730
Senior Loans		—		5,831,489		—		5,831,489
Convertible Bonds & Notes		—		3,362,562		—		3,362,562
Purchased Options:
Exchange-Traded Purchased Options	$	2,980,980		—		—		2,980,980
OTC Purchased Options		—		41,874		—		41,874
Municipal Bonds		—		2,519,644		—		2,519,644
Common Stocks:
Energy		313,420		—		—		313,420
Financials		—		578,709		—		578,709
Warrants		—		21,012		—		21,012
Total Long-Term Investments		3,294,400		430,982,867		—		434,277,267
Short-Term Investments†		11,719,612		—		—		11,719,612
Total Investments	$	15,014,012	$	430,982,867		—	$	445,996,879

32

Notes to 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††	$	19,514,756		—		—	$	19,514,756
Forward Foreign Currency Contracts††		—	$	2,025,522		—		2,025,522
OTC Interest Rate Swaps		—		2,717,317		—		2,717,317
Centrally Cleared Interest Rate Swaps††		—		15,167,291		—		15,167,291
Centrally Cleared Credit Default Swaps on Corporate Issues - Sell Protection††		—		129,668		—		129,668
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection††		—		955,838		—		955,838
Total Other Financial Instruments	$	19,514,756	$	20,995,636		—	$	40,510,392
Total	$	34,528,768	$	451,978,503		—	$	486,507,271

LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Written Options:
Exchange-Traded Written Options	$	10,899,974		—		—	$	10,899,974
OTC Written Options		—	$	720,632		—		720,632
Futures Contracts††		17,258,642		—		—		17,258,642
Forward Foreign Currency Contracts††		—		912,329		—		912,329
Centrally Cleared Interest Rate Swaps††		—		15,975,601		—		15,975,601
Centrally Cleared Credit Default Swaps on Credit Indices - Buy Protection††		—		885,611		—		885,611
Total	$	28,158,616	$	18,494,173		—	$	46,652,789

† See 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

33

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

or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended July 31, 2023. The following transactions were effected in such company for the period ended July 31, 2023.

	Affiliate Value at October 31, 2022		Purchased				Sold
			Cost		Shares		Proceeds		Shares
Western Asset Premier Institutional Government Reserves, Premium Shares	$	12,836,917	$	421,192,843		421,192,843	$	422,310,148		422,310,148

(cont’d)	Realized Gain (Loss)		Dividend Income		Net Increase (Decrease) in Unrealized Appreciation (Depreciation)		Affiliate Value at July 31, 2023
Western Asset Premier Institutional Government Reserves, Premium Shares		—	$	544,441		—	$	11,719,612

34