HTML

NPORT-EX 2 LMF7200LM022822.htm HTML

WESTERN ASSET INFLATION-LINKED INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
U.S. TREASURY INFLATION PROTECTED SECURITIES - 120.1%
U.S. Treasury Bonds, Inflation Indexed		2.000	%		1/15/26		35,117,500	$	40,135,578	^(a)
U.S. Treasury Bonds, Inflation Indexed		2.375	%		1/15/27		5,530,000		6,579,465
U.S. Treasury Bonds, Inflation Indexed		1.750	%		1/15/28		13,308,200		15,657,446	^(a)
U.S. Treasury Bonds, Inflation Indexed		2.500	%		1/15/29		13,102,571		16,427,215
U.S. Treasury Bonds, Inflation Indexed		3.875	%		4/15/29		38,158,650		52,005,424	^(a)
U.S. Treasury Bonds, Inflation Indexed		2.125	%		2/15/40		4,514,720		6,602,182	^(b)
U.S. Treasury Bonds, Inflation Indexed		2.125	%		2/15/41		1,909,680		2,808,257	^(c)
U.S. Treasury Bonds, Inflation Indexed		0.750	%		2/15/42		11,968,345		14,296,009
U.S. Treasury Bonds, Inflation Indexed		1.375	%		2/15/44		23,925,400		32,161,656	^(a)
U.S. Treasury Bonds, Inflation Indexed		0.250	%		2/15/50		943,454		1,043,428
U.S. Treasury Notes, Inflation Indexed		0.125	%		4/15/22		38,977,940		39,429,877	^(a)
U.S. Treasury Notes, Inflation Indexed		0.125	%		7/15/22		33,946,640		34,992,030	^(a)
U.S. Treasury Notes, Inflation Indexed		0.125	%		1/15/23		12,078,700		12,539,614
U.S. Treasury Notes, Inflation Indexed		0.625	%		4/15/23		33,672,900		35,350,061	^(a)
U.S. Treasury Notes, Inflation Indexed		0.625	%		1/15/24		4,779,520		5,080,789
U.S. Treasury Notes, Inflation Indexed		0.500	%		4/15/24		6,743,184		7,175,652
U.S. Treasury Notes, Inflation Indexed		0.625	%		1/15/26		37,300,797		40,575,938	^(a)
U.S. Treasury Notes, Inflation Indexed		0.125	%		4/15/26		3,189,330		3,404,090
U.S. Treasury Notes, Inflation Indexed		0.125	%		10/15/26		6,121,740		6,580,819

TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $345,918,131)									372,845,530

CORPORATE BONDS & NOTES - 11.9%
COMMUNICATION SERVICES - 0.0%††
Wireless Telecommunication Services - 0.0%††
T-Mobile USA Inc., Senior Secured Notes		3.750	%		4/15/27		40,000		41,560

CONSUMER DISCRETIONARY - 0.5%
Hotels, Restaurants & Leisure - 0.5%
Sands China Ltd., Senior Notes		5.400	%		8/8/28		600,000		590,754
Sands China Ltd., Senior Notes		2.850	%		3/8/29		200,000		168,480	^(d)
Sands China Ltd., Senior Notes		4.375	%		6/18/30		420,000		387,450
Sands China Ltd., Senior Notes		3.250	%		8/8/31		400,000		326,000	^(d)

TOTAL CONSUMER DISCRETIONARY									1,472,684

ENERGY - 5.1%
Energy Equipment & Services - 0.0%††
Halliburton Co., Senior Notes		3.800	%		11/15/25		3,000		3,142

Oil, Gas & Consumable Fuels - 5.1%
Apache Corp., Senior Notes		4.250	%		1/15/44		440,000		393,485
BP Capital Markets America Inc., Senior Notes		3.633	%		4/6/30		300,000		312,687
Chevron USA Inc., Senior Notes		3.900	%		11/15/24		200,000		210,486

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - continued
Enterprise Products Operating LLC, Senior Notes		3.125	%		7/31/29		1,170,000	$	1,183,782
EOG Resources Inc., Senior Notes		4.375	%		4/15/30		40,000		44,209
EOG Resources Inc., Senior Notes		4.950	%		4/15/50		120,000		146,094
Exxon Mobil Corp., Senior Notes		4.327	%		3/19/50		3,500,000		3,965,557
Exxon Mobil Corp., Senior Notes		3.452	%		4/15/51		330,000		326,790
Gazprom PJSC Via Gaz Capital SA, Senior Notes		5.150	%		2/11/26		1,430,000		708,290	^(d)
KazTransGas JSC, Senior Notes		4.375	%		9/26/27		1,600,000		1,606,090	^(d)
MEG Energy Corp., Secured Notes		6.500	%		1/15/25		4,000		4,067	^(d)
Occidental Petroleum Corp., Senior Notes		5.550	%		3/15/26		110,000		118,356
Occidental Petroleum Corp., Senior Notes		3.000	%		2/15/27		810,000		791,220
Occidental Petroleum Corp., Senior Notes		6.200	%		3/15/40		1,330,000		1,482,119
Petrobras Global Finance BV, Senior Notes		5.999	%		1/27/28		1,470,000		1,551,923
Range Resources Corp., Senior Notes		5.000	%		3/15/23		673,000		681,345
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		1,340,000		1,578,055
YPF SA, Senior Notes		8.500	%		7/28/25		800,000		639,520	^(e)

Total Oil, Gas & Consumable Fuels									15,744,075

TOTAL ENERGY									15,747,217

FINANCIALS - 1.4%
Banks - 1.1%
JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%)		3.109	%		4/22/51		430,000		398,012	^(f)
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%)		5.013	%		4/4/51		2,440,000		3,011,450	^(f)

Total Banks									3,409,462

Diversified Financial Services - 0.3%
ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.800%)		3.620	%		12/21/65		1,010,000		868,600	^(d)(f)

TOTAL FINANCIALS									4,278,062

HEALTH CARE - 1.2%
Pharmaceuticals - 1.2%
Bausch Health Americas Inc., Senior Notes		9.250	%		4/1/26		1,390,000		1,439,664	^(d)
Bausch Health Americas Inc., Senior Notes		8.500	%		1/31/27		970,000		983,580	^(d)
Bausch Health Cos. Inc., Senior Notes		9.000	%		12/15/25		1,280,000		1,321,453	^(d)

TOTAL HEALTH CARE									3,744,697

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
INDUSTRIALS - 0.9%
Aerospace & Defense - 0.9%
General Dynamics Corp., Senior Notes		4.250	%		4/1/40		10,000	$	11,187
General Dynamics Corp., Senior Notes		4.250	%		4/1/50		2,560,000		2,946,104

TOTAL INDUSTRIALS									2,957,291

INFORMATION TECHNOLOGY - 0.1%
Semiconductors & Semiconductor Equipment - 0.1%
Broadcom Inc., Senior Notes		3.137	%		11/15/35		370,000		343,054	^(d)

MATERIALS - 2.7%
Metals & Mining - 2.7%
Anglo American Capital PLC, Senior Notes		4.000	%		9/11/27		800,000		840,001	^(d)
Antofagasta PLC, Senior Notes		2.375	%		10/14/30		550,000		494,469	^(d)
Barrick Gold Corp., Senior Notes		5.250	%		4/1/42		170,000		199,486
Barrick North America Finance LLC, Senior Notes		5.750	%		5/1/43		530,000		661,188
BHP Billiton Finance USA Ltd., Senior Notes		5.000	%		9/30/43		810,000		979,339
Glencore Finance Canada Ltd., Senior Notes		5.550	%		10/25/42		1,170,000		1,350,484	^(d)
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		370,000		382,754	^(d)
Glencore Funding LLC, Senior Notes		4.000	%		3/27/27		200,000		207,488	^(d)
Glencore Funding LLC, Senior Notes		3.875	%		10/27/27		800,000		826,305	^(d)
Southern Copper Corp., Senior Notes		5.250	%		11/8/42		1,370,000		1,597,119
Yamana Gold Inc., Senior Notes		4.625	%		12/15/27		670,000		702,312

TOTAL MATERIALS									8,240,945

TOTAL CORPORATE BONDS & NOTES (Cost - $36,354,636)									36,825,510

COLLATERALIZED MORTGAGE OBLIGATIONS^(g)- 8.0%
Alternative Loan Trust, 2007-12T1 A3		6.000	%		6/25/37		1,244,823		836,591
AOA Mortgage Trust, 2021-1177 A (1 mo. USD LIBOR + 0.874%)		1.066	%		10/15/38		720,000		709,581	^(d)(f)
AREIT Trust, 2021-CRE5 A (1 mo. USD LIBOR + 1.080%)		1.271	%		7/17/26		760,000		757,460	^(d)(f)
BANK, 2021-BN32 XA, IO		0.783	%		4/15/54		2,625,709		143,555	^(f)
Bear Stearns ARM Trust, 2004-9 24A1		2.737	%		11/25/34		7,224		7,081	^(f)
Benchmark Mortgage Trust, 2021-B29 XA, IO		1.048	%		9/15/54		4,244,071		303,393	^(d)(f)
Benchmark Mortgage Trust, 2021-B31 A5		2.669	%		12/15/54		170,000		166,728
BHMS, 2018-ATLS D (1 mo. USD LIBOR + 2.250%)		2.441	%		7/15/35		2,520,000		2,475,205	^(d)(f)
BX Commercial Mortgage Trust, 2021-XL2 D (1 mo. USD LIBOR + 1.397%)		1.588	%		10/15/38		860,000		841,262	^(d)(f)
BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%)		4.156	%		2/15/39		670,000		664,668	^(d)(f)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS^(g)- continued
BX Trust, 2021-ARIA D (1 mo. USD LIBOR + 1.895%)		2.086	%		10/15/36		850,000	$	827,706	^(d)(f)
BXMT Ltd., 2020-FL2 A (30 Day Average SOFR + 1.014%)		1.063	%		2/15/38		660,000		655,678	^(d)(f)
Chase Mortgage Finance Trust, 2007-A1 2A3		2.460	%		2/25/37		1,972		1,979	^(f)
CSMC Trust, 2014-11R 9A2 (1 mo. USD LIBOR + 0.140%)		0.382	%		10/27/36		1,914,457		1,661,049	^(d)(f)
CSMC Trust, 2019-NQM1 A1, Step bond (2.656% to 11/25/23 then 3.656%)		2.656	%		10/25/59		315,124		314,619	^(d)
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K721 X1, IO		0.314	%		8/25/22		106,723,128		117,908	^(f)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4057 UI, IO		3.000	%		5/15/27		324,534		12,696
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4085 IO, IO		3.000	%		6/15/27		886,731		38,537
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA1 B1 (1 mo. USD LIBOR + 2.300%)		2.487	%		1/25/50		440,000		423,180	^(d)(f)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA2 M2 (1 mo. USD LIBOR + 1.850%)		2.037	%		2/25/50		399,562		401,128	^(d)(f)
Federal National Mortgage Association (FNMA) - CAS, 2014-C04 1M2 (1 mo. USD LIBOR + 4.900%)		5.087	%		11/25/24		343,890		356,621	^(d)(f)
Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1B1 (1 mo. USD LIBOR + 4.850%)		5.037	%		10/25/29		590,000		621,192	^(d)(f)
Federal National Mortgage Association (FNMA) - CAS, 2017-C03 1M2 (1 mo. USD LIBOR + 3.000%)		3.187	%		10/25/29		981,518		1,002,956	^(d)(f)
Federal National Mortgage Association (FNMA) - CAS, 2017-C07 1B1 (1 mo. USD LIBOR + 4.000%)		4.187	%		5/25/30		440,000		450,547	^(d)(f)
Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1M2 (1 mo. USD LIBOR + 2.050%)		2.237	%		1/25/40		85,342		85,283	^(d)(f)
Government National Mortgage Association (GNMA), 2011-142 IO, IO		0.000	%		9/16/46		1,374,309		14	^(f)

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS^(g)- continued
Government National Mortgage Association (GNMA), 2012-44 IO, IO		0.029	%		3/16/49		362,704	$	186	^(f)
Government National Mortgage Association (GNMA), 2012-112 IO, IO		0.132	%		2/16/53		949,060		4,145	^(f)
Government National Mortgage Association (GNMA), 2012-152 IO, IO		0.605	%		1/16/54		2,201,317		42,781	^(f)
Government National Mortgage Association (GNMA), 2013-145 XI, IO		0.001	%		9/16/44		9,554		4
Government National Mortgage Association (GNMA), 2014-47 IA, IO		0.143	%		2/16/48		132,401		1,315	^(f)
Government National Mortgage Association (GNMA), 2014-50 IO, IO		0.599	%		9/16/55		710,358		21,202	^(f)
Government National Mortgage Association (GNMA), 2014-169 IO, IO		0.643	%		10/16/56		6,226,015		173,884	^(f)
Government National Mortgage Association (GNMA), 2015-101 IO, IO		0.355	%		3/16/52		6,041,184		107,557	^(f)
Government National Mortgage Association (GNMA), 2015-183 IO, IO		0.559	%		9/16/57		6,630,751		217,892	^(f)
GSR Mortgage Loan Trust, 2004-11 1A1		2.988	%		9/25/34		41,122		42,415	^(f)
Hawaii Hotel Trust, 2019-MAUI F (1 mo. USD LIBOR + 2.750%)		2.941	%		5/15/38		170,000		166,378	^(d)(f)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFL (1 mo. USD LIBOR + 3.000%)		3.126	%		1/16/37		980,600		946,793	^(d)(f)
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX		4.688	%		1/16/37		2,270,000		2,125,785	^(d)(f)
Merrill Lynch Mortgage Investors Trust, 2004-A1 2A1		2.234	%		2/25/34		3,950		4,051	^(f)
MRCD Mortgage Trust, 2019-PARK A		2.718	%		12/15/36		850,000		843,889	^(d)
Natixis Commercial Mortgage Securities Trust, 2019-TRUE A (1 mo. USD LIBOR + 2.011%, 3.511% floor)		3.511	%		4/18/24		2,050,000		2,045,346	^(d)(f)
New Residential Mortgage Loan Trust, 2014-1A A		3.750	%		1/25/54		398,760		409,228	^(d)(f)
Nomura Resecuritization Trust, 2015-4R 2A2 (1 mo. USD LIBOR + 0.306%)		0.388	%		10/26/36		2,328,756		2,109,976	^(d)(f)
PRKCM Trust, 2021-AFC1 A1		1.510	%		8/25/56		890,792		858,799	^(d)(f)
RAMP Trust, 2004-SL4 A5		7.500	%		7/25/32		35,891		19,941
SREIT Trust, 2021-PALM B (1 mo. USD LIBOR + 0.810%)		1.001	%		10/15/34		830,000		808,411	^(d)(f)

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $27,107,441)									24,826,595

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE

NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 4.2%
Brazil - 1.7%
Brazil Notas do Tesouro Nacional Serie B, Notes		6.000	%		8/15/50		27,198,105	^BRL	$	5,477,912

Canada - 1.0%
Canadian Government Real Return Bond		1.500	%		12/1/44		1,856,048	^CAD		1,814,358
Canadian Government Real Return Bond		0.500	%		12/1/50		1,617,651	^CAD		1,310,725

Total Canada										3,125,083

Mexico - 1.2%
Mexican Udibonos		2.000	%		6/9/22		75,015,712	^MXN		3,646,172

Russia - 0.3%
Russian Federal Inflation Linked Bond - OFZ		2.500	%		2/2/28		268,543,124	^RUB		856,250

TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES (Cost - $18,645,128)										13,105,417

SOVEREIGN BONDS - 3.9%
Brazil - 0.2%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/23		2,920,000	^BRL		556,275
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		965,000	^BRL		179,131

Total Brazil										735,406

Chile - 0.9%
Bonos de la Tesoreria de la Republica en pesos, Bonds		5.000	%		3/1/35		2,330,000,000	^CLP		2,709,319

Indonesia - 1.4%
Indonesia Government International Bond, Senior Notes		4.750	%		7/18/47		400,000			433,392	^(d)
Indonesia Government International Bond, Senior Notes		4.350	%		1/11/48		290,000			296,860
Indonesia Treasury Bond		7.000	%		5/15/27		49,188,000,000	^IDR		3,639,608

Total Indonesia										4,369,860

Mexico - 0.8%
Mexican Bonos, Bonds		8.000	%		11/7/47		21,750,000	^MXN		1,040,910
Mexico Government International Bond, Senior Notes		4.500	%		4/22/29		1,480,000			1,575,142

Total Mexico										2,616,052

Nigeria - 0.1%
Nigeria Government International Bond, Senior Notes		6.500	%		11/28/27		200,000			191,109	^(d)

Russia - 0.2%
Russian Federal Bond - OFZ		7.050	%		1/19/28		103,953,000	^RUB		517,202

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND

(Percentages shown based on Fund net assets)


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
United Arab Emirates - 0.3%
Abu Dhabi Government International Bond, Senior Notes		3.875	%		4/16/50		960,000	$	1,031,025	^(d)

TOTAL SOVEREIGN BONDS (Cost - $14,555,480)									12,169,973

ASSET-BACKED SECURITIES - 1.6%
Countrywide Home Equity Loan Trust, 2005-C 2A (1 mo. USD LIBOR + 0.180%)		0.371	%		7/15/35		264,021		257,487	^(f)
Countrywide Home Equity Loan Trust, 2006-I 2A (1 mo. USD LIBOR + 0.140%)		0.331	%		1/15/37		419,481		402,821	^(f)
First Franklin Mortgage Loan Trust, 2006- FF15 A5 (1 mo. USD LIBOR + 0.160%)		0.347	%		11/25/36		535,458		529,896	^(f)
Greystone CRE Notes Ltd., 2021-FL3 A (1 mo. USD LIBOR + 1.020%)		1.211	%		7/15/39		1,020,000		1,014,925	^(d)(f)
Morgan Stanley ABS Capital I Inc. Trust, 2004-HE7 M1 (1 mo. USD LIBOR + 0.900%)		1.087	%		8/25/34		626,569		619,330	^(f)
Saxon Asset Securities Trust, 2006-3 A4 (1 mo. USD LIBOR + 0.240%)		0.427	%		10/25/46		1,110,000		1,019,050	^(f)
Towd Point Mortgage Trust, 2015-2 1B3		3.316	%		11/25/60		950,000		946,645	^(d)(f)
Towd Point Mortgage Trust, 2020-2 M1B		3.000	%		4/25/60		250,000		248,955	^(d)(f)

TOTAL ASSET-BACKED SECURITIES (Cost - $5,031,323)									5,039,109

MORTGAGE-BACKED SECURITIES - 0.3%
FNMA - 0.3%
Federal National Mortgage Association (FNMA)		2.680	%		1/1/35-2/1/35		300,000		303,101
Federal National Mortgage Association (FNMA)		2.790	%		1/1/35		465,430		477,789	^(f)

TOTAL MORTGAGE-BACKED SECURITIES (Cost - $769,003)									780,890

U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.0%††
U.S. Government Obligations - 0.0%††
U.s. Treasury Notes (Cost - $88,678)		1.375	%		11/15/31		90,000		86,295

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $448,469,820)									465,679,319


						SHARES
SHORT-TERM INVESTMENTS - 1.3%
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $4,135,533)		0.010	%				4,135,533		4,135,533	^(h)

TOTAL INVESTMENTS - 151.3% (Cost - $452,605,353)									469,814,852
Liabilities in Excess of Other Assets - (51.3)%									(159,290,988	)

TOTAL NET ASSETS - 100.0%								$	310,523,864

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022

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

††	Represents less than 0.1%.

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

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

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

(d)

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

(e)

Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

(f)

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(g)

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

(h)

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 February 28, 2022, the total market value of investments in Affiliated Companies was $4,135,533 and the cost was $4,135,533 (Note 2).

Abbreviation(s) used in this schedule:


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

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022

At February 28, 2022, the Fund had the following open reverse repurchase agreements:

Counterparty

Rate

Effective
Date

Maturity
Date

Face Amount of
Reverse
Repurchase
Agreements

Asset Class of Collateral*

Collateral
Value**

Morgan Stanley & Co. Inc.

0.140%

9/10/2021

3/9/2022

166,387,500

U.S. Treasury Inflation Protected Securities

168,526,890

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

**	Including accrued interest.

At February 28, 2022, the Fund had the following open futures contracts:


	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy:
90-Day Eurodollar		296		12/23	$	73,240,847	$	72,412,700	$	(828,147	)
Brent Crude		96		4/22		7,889,321		9,129,600		1,240,279
Copper		74		5/22		8,359,410		8,240,825		(118,585	)
Euro		29		3/22		4,111,486		4,069,606		(41,880	)
Gold 100 Ounce		74		4/22		13,503,178		14,065,180		562,002
Japanese Yen		35		3/22		3,856,861		3,809,313		(47,548	)
Mexican Peso		97		3/22		2,252,032		2,358,555		106,523
Russian Ruble		7		3/22		222,442		154,000		(68,442	)
U.S. Treasury 5-Year Notes		481		6/22		56,599,491		56,893,281		293,790
U.S. Treasury 10-Year Notes		984		6/22		124,193,267		125,398,500		1,205,233
WTI Crude		56		7/22		4,744,460		4,859,680		115,220

										2,418,445

Contracts to Sell:
British Pound		33		3/22		2,722,418		2,766,844		(44,426	)
U.S. Treasury Long-Term Bonds		219		6/22		33,936,416		34,314,562		(378,146	)
U.S. Treasury Ultra Long-Term Bonds		84		6/22		15,700,005		15,618,750		81,255
WTI Crude		53		3/22		4,750,189		5,073,160		(322,971	)
										(664,288	)

Net unrealized appreciation on open futures contracts									$	1,754,157

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022

At February 28, 2022, the Fund had the following open forward foreign currency contracts:


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
RUB	10,000,000		USD	127,129	Citibank N.A.		3/15/22	$	(35,754	)
RUB	10,000,000		USD	123,499	Goldman Sachs Group Inc.		3/15/22		(32,123	)
BRL	23,740,000		USD	4,063,677	Citibank N.A.		4/19/22		482,770
IDR	1,139,999,213		USD	78,613	Citibank N.A.		4/19/22		464
INR	219,765,423		USD	2,916,014	Citibank N.A.		4/19/22		(17,330	)
USD	3,484,460		CLP	3,021,201,024	Citibank N.A.		4/19/22		(270,630	)
USD	3,529,520		EUR	3,118,609	Citibank N.A.		4/19/22		25,876
USD	16,339		MXN	340,000	Citibank N.A.		4/19/22		(115	)
USD	2,072,691		MXN	43,130,000	Citibank N.A.		4/19/22		(14,553	)
USD	2,768,952		MXN	58,040,000	Citibank N.A.		4/19/22		(39,850	)
GBP	1,928,058		USD	2,614,163	Goldman Sachs Group Inc.		4/19/22		(27,085	)
RUB	377,880,432		USD	4,902,699	Goldman Sachs Group Inc.		4/19/22		(1,560,818	)
AUD	145,262		USD	104,149	JPMorgan Chase & Co.		4/19/22		1,434
USD	776,356		MXN	16,111,722	JPMorgan Chase & Co.		4/19/22		(3,358	)
BRL	14,657,790		USD	2,523,290	Morgan Stanley & Co. Inc.		4/19/22		283,823
COP	19,717,872,601		USD	4,780,554	Morgan Stanley & Co. Inc.		4/19/22		199,927
MXN	3,225,554		USD	155,518	Morgan Stanley & Co. Inc.		4/19/22		580
USD	3,180,133		CAD	4,047,196	Morgan Stanley & Co. Inc.		4/19/22		(13,391	)
USD	863,954		JPY	99,967,625	Morgan Stanley & Co. Inc.		4/19/22		(6,566	)
MYR	11,350,000		USD	2,712,067	Morgan Stanley & Co. Inc.		4/20/22		(13,498	)

Total								$	(1,040,197	)

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

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

WESTERN ASSET INFLATION-LINKED INCOME FUND


Consolidated schedule of investments (unaudited) (cont’d)		February 28, 2022

At February 28, 2022, 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)
	$	21,580,000		3/22/23	2.570%*		CPURNSA*		—	$	1,478,375
		7,110,000		4/7/25	0.802%*		CPURNSA*	$	45,882		1,066,422
		21,580,000		3/22/26	CPURNSA*		2.504%*		—		(1,795,988	)

Total	$	50,270,000						$	45,882	$	748,809


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 DEPRECIATION
Markit CDX.NA.HY.37 Index	$	9,464,000		12/20/26	5.000% quarterly	$	526,548	$	829,149	$	(302,601	)
Markit CDX.NA.IG.37 Index		72,062,000		12/20/26	1.000% quarterly		1,056,934		1,604,942		(548,008	)

Total	$	81,526,000				$	1,583,482	$	2,434,091	$	(850,609	)

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

2	The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

†	Percentage shown is an annual percentage rate.

*	One time payment made at termination date.

Abbreviation(s) used in this table:


CPURNSA		— U.S. CPI Urban Consumers NSA Index

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

See Notes to Consolidated Schedule of Investments.

Western Asset Inflation-Linked Income Fund 2022 Quarterly Report

Notes to Consolidated Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset Inflation-Linked Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as a diversified, closed-end management investment company. The Fund commenced operations on September 26, 2003.

The Fund’s primary investment objective is to provide current income for its shareholders. Capital appreciation, when consistent with current income, is a secondary investment objective. Under normal market conditions and at the time of purchase, the Fund will invest at least 80% of its total managed assets in inflation-linked securities and at least 60% of its total managed assets in U.S. Treasury Inflation Protected Securities (“TIPS”). The Fund may also invest up to 40% of its total managed assets in non-U.S. dollar investments. The Fund can invest no more than 10% of its total managed assets in securities rated below investment grade at the time of purchase (or, if unrated, assets of comparable quality as determined by management). If a security is rated by multiple nationally recognized statistical rating organizations (“NRSROs”) and receives different ratings, the Fund will treat the security as being rated in the highest rating category received from an NRSRO.

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

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are

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

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

The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Global 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 generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

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

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		—	$	372,845,530		—	$	372,845,530
Corporate Bonds & Notes		—		36,825,510		—		36,825,510
Collateralized Mortgage Obligations		—		24,826,595		—		24,826,595
Non-U.S. Treasury Inflation Protected Securities		—		13,105,417		—		13,105,417
Sovereign Bonds		—		12,169,973		—		12,169,973
Asset-Backed Securities		—		5,039,109		—		5,039,109
Mortgage-Backed Securities		—		780,890		—		780,890
U.S. Government & Agency Obligations		—		86,295		—		86,295

Total Long-Term Investments		—		465,679,319		—		465,679,319

Short-Term Investments†	$	4,135,533		—		—		4,135,533

Total Investments	$	4,135,533	$	465,679,319		—	$	469,814,852

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


ASSETS (cont’d)
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Futures Contracts††	$	3,604,302		—		—	$	3,604,302
Forward Foreign Currency Contracts††		—	$	994,874		—		994,874
Centrally Cleared Interest Rate Swaps††		—		2,544,797		—		2,544,797

Total Other Financial Instruments	$	3,604,302	$	3,539,671		—	$	7,143,973

Total	$	7,739,835	$	469,218,990		—	$	476,958,825


LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Futures Contracts††	$	1,850,145		—		—	$	1,850,145
Forward Foreign Currency Contracts††		—	$	2,035,071		—		2,035,071
Centrally Cleared Interest Rate Swaps††		—		1,795,988		—		1,795,988
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection††		—		850,609		—		850,609

Total	$	1,850,145	$	4,681,668		—	$	6,531,813

†	See Consolidated Schedule of Investments for additional detailed categorizations.

††	Reflects the unrealized appreciation (depreciation) of the instruments.

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

2. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended February 28, 2022. The following transactions were effected in such company for the period ended February 28, 2022.


	Affiliate Value at November 30, 2021		Purchased				Sold
	Affiliate Value at November 30, 2021		Cost		Shares		Cost		Shares
Western Asset Premier Institutional Government Reserves, Premium Shares	$	4,624,134	$	54,884,705		54,884,705	$	55,373,306		55,373,306

(cont’d)	Realized Gain (Loss)		Dividend Income				Net Increase (Decrease) in Unrealized Appreciation (Depreciation)		Affiliate Value at February 28, 2022
Western Asset Premier Institutional Government Reserves, Premium Shares		—	$	154				—	$	4,135,533