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WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited)    February 29, 2020

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		     VALUE  
U.S. TREASURY INFLATION PROTECTED SECURITIES - 111.5%

 

       

U.S. Treasury Bonds, Inflation Indexed

      2.375 %      1/15/25        10,906,240     $ 12,387,333  

U.S. Treasury Bonds, Inflation Indexed

      2.000 %      1/15/26        145,488,810       165,833,010 (a) 

U.S. Treasury Bonds, Inflation Indexed

      2.375 %      1/15/27        6,371,300       7,571,046  

U.S. Treasury Bonds, Inflation Indexed

      3.625 %      4/15/28        15,888,100       20,958,797 (a) 

U.S. Treasury Bonds, Inflation Indexed

      2.500 %      1/15/29        17,869,717       22,350,241  

U.S. Treasury Bonds, Inflation Indexed

      3.875 %      4/15/29        99,261,295       137,215,463 (a) 

U.S. Treasury Bonds, Inflation Indexed

      2.125 %      2/15/40        8,322,510       11,852,713  

U.S. Treasury Bonds, Inflation Indexed

      2.125 %      2/15/41        13,377,330       19,263,308  

U.S. Treasury Bonds, Inflation Indexed

      1.375 %      2/15/44        55,174,604       72,141,501 (a) 

U.S. Treasury Bonds, Inflation Indexed

      0.750 %      2/15/45        27,194,448       31,591,990  

U.S. Treasury Bonds, Inflation Indexed

      1.000 %      2/15/48        3,126,240       3,908,190  

U.S. Treasury Bonds, Inflation Indexed

      0.250 %      2/15/50        5,697,321       5,980,667  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/20        26,335,920       26,393,376  

U.S. Treasury Notes, Inflation Indexed

      1.125 %      1/15/21        5,873,600       5,935,872  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/21        43,370,000       43,433,322 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.625 %      7/15/21        22,803,200       23,137,980 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.125 %      1/15/22        37,240,136       37,519,868  

U.S. Treasury Notes, Inflation Indexed

      0.125 %      4/15/22        87,808,446       88,480,305 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.125 %      7/15/22        64,957,950       65,903,854 (a) 

U.S. Treasury Notes, Inflation Indexed

      0.125 %      1/15/23        13,760,388       13,942,127 (b)  

U.S. Treasury Notes, Inflation Indexed

      0.625 %      1/15/26        55,437,178       58,663,538  
         

 

 

  

TOTAL U.S. TREASURY INFLATION PROTECTED SECURITIES
(Cost - $814,978,553)

 

        874,464,501  
         

 

 

  
NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 9.7%

 

       

Brazil - 2.9%

          

Brazil Notas do Tesouro Nacional Serie B, Notes

      6.000 %      8/15/30        27,259,369 BRL      7,704,751  

Brazil Notas do Tesouro Nacional Serie B, Notes

      6.000 %      8/15/50        47,910,407 BRL      15,454,967  
         

 

 

  

Total Brazil

             23,159,718  
         

 

 

  

Italy - 4.1%

          

Italy Buoni Poliennali Del Tesoro

      3.100 %      9/15/26        24,230,468 EUR      31,931,352 (c) 
         

 

 

  

Mexico - 1.4%

          

Mexican Udibonos

      2.000 %      6/9/22        226,132,060 MXN      11,124,592  
         

 

 

  

Russia - 0.5%

          

Russian Federal Inflation Linked Bond - OFZ

      2.500 %      2/2/28        267,982,500 RUB      3,934,396  
         

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

    

 

   Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report      

 

1

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		     VALUE  

Uruguay - 0.8%

          

Uruguay Government International Bond

      4.250 %      4/5/27        235,479,768 UYU    $ 6,318,654  
         

 

 

  

TOTAL NON-U.S. TREASURY INFLATION PROTECTED SECURITIES
(Cost - $75,317,997)

 

          76,468,712  
         

 

 

  
COLLATERALIZED MORTGAGE OBLIGATIONS(d) - 9.2%          

Acuity Funding Trust, 2020-CRE1A

      3.645 %      7/15/21        2,910,000       2,909,704 (e)(f)(g) 

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

      2.240 %      9/29/36        13,453,172       12,112,550 (e)(h) 

Banc of America Funding Trust, 2015-R2 5A2

      2.322 %      9/29/36        8,443,835       6,808,941 (e)(h) 

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

      3.909 %      7/15/35        4,220,000       4,204,034 (e)(h) 

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

      2.560 %      2/16/37        1,310,000       1,311,541 (e)(h) 

Credit Suisse Commercial Mortgage Trust, 2006-C5 AJ

      5.373 %      12/15/39        1,288,902       636,842  

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

      4.000 %      8/25/56        3,690,000       3,768,401 (e)(h) 

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

      4.000 %      8/25/56        5,170,000       5,321,602 (e)(h) 

Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 M2 (1 mo. USD LIBOR + 3.450%)

      5.077 %      10/25/29        2,660,000       2,836,151 (h) 

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

      5.777 %      2/25/30        2,950,000       3,213,211 (e)(h) 

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

      3.727 %      10/25/39        2,860,000       2,867,419 (e)(h) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-CB19 AJ

      5.941 %      2/12/49        2,256,717       927,825 (h)  

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ

      6.517 %      2/15/51        41,982       40,080 (h)  

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

      4.177 %      1/16/37        4,650,000       4,665,999 (e)(h)(i) 

 

See Notes to Consolidated Schedule of Investments.

 

 

    

 

2

       Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

SECURITY

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

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

      4.677 %      1/16/37        4,656,000      $ 4,673,473 (e)(h)(i) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX

      4.688 %      1/16/37        4,570,000        4,774,395 (e)(h)(i) 

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

      0.600 %      1/16/37        13,600,000        36,706 (e)(h)(i) 

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

      5.523 %      9/25/36        2,738,424        834,473 (h)  

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

      3.348 %      6/25/37        87,100        66,169 (h)  

MRCD Mortgage Trust, 2019-PARK A

      2.718 %      12/15/36        2,530,000        2,642,193 (e) 

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

      3.669 %      4/18/24        5,700,000        5,714,176 (e)(h) 

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

      3.053 %      2/25/46        1,973,946        1,893,345 (h) 
          

 

 

  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost - $66,612,582)

              72,259,230  
          

 

 

  
CORPORATE BONDS & NOTES - 8.5%           
ENERGY - 4.7%           

Energy Equipment & Services - 0.1%

           

Halliburton Co., Senior Notes

      3.800 %      11/15/25        500,000        548,838  
          

 

 

  

Oil, Gas & Consumable Fuels - 4.6%

           

Apache Corp., Senior Notes

      5.250 %      2/1/42        910,000        940,722  

Apache Corp., Senior Notes

      4.250 %      1/15/44        2,630,000        2,343,002  

Continental Resources Inc., Senior Notes

      4.900 %      6/1/44        2,250,000        1,990,779  

Enterprise Products Operating LLC, Senior Notes

      3.125 %      7/31/29        3,380,000        3,539,672  

Gazprom OAO Via Gaz Capital SA, Senior Notes

      5.150 %      2/11/26        3,720,000        4,123,453 (e) 

KazTransGas JSC, Senior Notes

      4.375 %      9/26/27        4,000,000        4,279,624 (e) 

MEG Energy Corp., Secured Notes

      6.500 %      1/15/25        26,000        25,626 (e)  

Noble Energy Inc., Senior Notes

      3.900 %      11/15/24        500,000        532,289  

Noble Energy Inc., Senior Notes

      4.950 %      8/15/47        3,210,000        3,383,228  

Oasis Petroleum Inc., Senior Notes

      6.875 %      3/15/22        400,000        315,000  

 

See Notes to Consolidated Schedule of Investments.

 

    

 

   Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report      

 

3

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		      VALUE  

Oil, Gas & Consumable Fuels - (continued)

           

Oasis Petroleum Inc., Senior Notes

      6.875 %      1/15/23        490,000      $ 380,975  

Occidental Petroleum Corp., Senior Notes

      5.550 %      3/15/26        330,000        374,389  

Occidental Petroleum Corp., Senior Notes

      6.200 %      3/15/40        2,690,000        3,171,230  

Petrobras Global Finance BV, Senior Notes

      5.999 %      1/27/28        3,690,000        4,187,596  

Range Resources Corp., Senior Notes

      5.000 %      3/15/23        900,000        654,471  

Whiting Petroleum Corp., Senior Notes

      5.750 %      3/15/21        1,860,000        1,073,685  

Whiting Petroleum Corp., Senior Notes

      6.250 %      4/1/23        1,100,000        497,750  

Williams Cos. Inc., Senior Notes

      5.750 %      6/24/44        2,350,000        2,787,408  

YPF SA, Senior Notes

      8.500 %      7/28/25        1,700,000        1,442,306 (c) 
          

 

 

  

Total Oil, Gas & Consumable Fuels

              36,043,205  
          

 

 

  

TOTAL ENERGY

              36,592,043  
          

 

 

  
FINANCIALS - 1.0%           

Banks - 0.7%

           

Barclays Bank PLC, Subordinated Notes

      7.625 %      11/21/22        5,060,000        5,641,242  
          

 

 

  

Diversified Financial Services - 0.2%

           

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

      4.150 %      12/21/65        2,084,000        1,705,619 (e)(h) 
          

 

 

  

Insurance - 0.1%

           

Ambac Assurance Corp., Subordinated Notes

      5.100 %      6/7/20        48,492        71,909 (e)  

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

      6.945 %      2/12/23        190,730        193,589 (e)(h) 
          

 

 

  

Total Insurance

              265,498  
          

 

 

  

TOTAL FINANCIALS

              7,612,359  
          

 

 

  
HEALTH CARE - 1.2%           

Health Care Equipment & Supplies - 0.1%

 

        

Immucor Inc., Senior Notes

      11.125 %      2/15/22        1,180,000        1,171,518 (e) 
          

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

    

 

4

       Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		     VALUE  

Pharmaceuticals - 1.1%

          

Bausch Health Americas Inc., Senior Notes

      9.250 %      4/1/26        2,870,000     $ 3,212,018 (e) 

Bausch Health Americas Inc., Senior Notes

      8.500 %      1/31/27        1,970,000       2,170,645 (e) 

Bausch Health Cos. Inc., Senior Notes

      9.000 %      12/15/25        2,620,000       2,923,815 (e) 
         

 

 

  

Total Pharmaceuticals

             8,306,478  
         

 

 

  

TOTAL HEALTH CARE

             9,477,996  
         

 

 

  
MATERIALS - 1.6%          

Metals & Mining - 1.6%

          

Alcoa Nederland Holding BV, Senior Notes

      6.125 %      5/15/28        1,470,000       1,511,380 (e) 

Anglo American Capital PLC, Senior Notes

      4.000 %      9/11/27        1,630,000       1,786,997 (e) 

ArcelorMittal SA, Senior Notes

      6.125 %      6/1/25        720,000       834,004  

Glencore Funding LLC, Senior Notes

      4.125 %      3/12/24        750,000       800,875 (e)  

Glencore Funding LLC, Senior Notes

      4.000 %      3/27/27        500,000       541,383 (e)  

Glencore Funding LLC, Senior Notes

      3.875 %      10/27/27        1,630,000       1,722,115 (e) 

Southern Copper Corp., Senior Notes

      5.250 %      11/8/42        3,440,000       4,012,544  

Yamana Gold Inc., Senior Notes

      4.625 %      12/15/27        1,360,000       1,501,909  
         

 

 

  

TOTAL MATERIALS

             12,711,207  
         

 

 

  

TOTAL CORPORATE BONDS & NOTES
(Cost - $63,408,174)

             66,393,605  
         

 

 

  
SOVEREIGN BONDS - 7.0%          

Argentina - 0.3%

          

Argentina POM Politica Monetaria,

          

Bonds (Argentina Central Bank 7 Day

          

Repo Reference Rate)

      51.226 %      6/21/20        276,920,000 ARS      2,287,776 (f)(h) 

Argentine Bonos del Tesoro, Bonds

      16.000 %      10/17/23        40,060,000 ARS      205,374 (f)  
         

 

 

  

Total Argentina

             2,493,150  
         

 

 

  

Brazil - 0.2%

          

Brazil Notas do Tesouro Nacional Serie F, Notes

      10.000 %      1/1/21        1,900,000 BRL       445,024  

Brazil Notas do Tesouro Nacional Serie F, Notes

      10.000 %      1/1/23        4,090,000 BRL       1,025,134  

Brazil Notas do Tesouro Nacional Serie F, Notes

      10.000 %      1/1/27        570,000 BRL       151,656  
         

 

 

  

Total Brazil

             1,621,814  
         

 

 

  

Chile - 0.9%

          

Bonos de la Tesoreria de la Republica en pesos, Bonds

      5.000 %      3/1/35        4,785,000,000 CLP      6,656,918  
         

 

 

  

Ecuador - 0.4%

          

Ecuador Government International Bond, Senior Notes

      10.500 %      3/24/20        3,120,000       3,094,890 (e) 
         

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

    

 

   Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report      

 

5

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

SECURITY

    RATE     MATURITY
DATE		      FACE
AMOUNT†		     VALUE  

Indonesia - 1.7%

          

Indonesia Government International Bond, Senior Notes

      3.850 %      7/18/27        400,000     $ 432,368 (e) 

Indonesia Government International Bond, Senior Notes

      3.500 %      1/11/28        1,790,000       1,895,786  

Indonesia Government International Bond, Senior Notes

      5.125 %      1/15/45        430,000       536,536 (e)  

Indonesia Government International Bond, Senior Notes

      4.750 %      7/18/47        880,000       1,058,982 (e) 

Indonesia Government International Bond, Senior Notes

      4.350 %      1/11/48        2,010,000       2,276,417  

Indonesia Treasury Bond, Senior Notes

      7.000 %      5/15/27        100,812,000,000 IDR      7,142,387  
         

 

 

  

Total Indonesia

             13,342,476  
         

 

 

  

Mexico - 2.4%

          

Mexican Bonos, Bonds

      8.000 %      11/7/47        51,280,000 MXN       2,877,484  

Mexican Bonos, Senior Notes

      7.750 %      11/13/42        217,320,000 MXN       11,822,702  

Mexico Government International Bond, Senior Notes

      4.500 %      4/22/29        3,720,000       4,211,040  
         

 

 

  

Total Mexico

             18,911,226  
         

 

 

  

Nigeria - 0.0%

          

Nigeria Government International Bond, Senior Notes

      6.500 %      11/28/27        280,000       279,245 (e)  
         

 

 

  

Qatar - 0.6%

          

Qatar Government International Bond, Senior Notes

      4.000 %      3/14/29        3,770,000       4,274,803 (e) 
         

 

 

  

Russia - 0.5%

          

Russian Federal Bond - OFZ

      7.050 %      1/19/28        250,000,000 RUB      3,926,808  
         

 

 

  

TOTAL SOVEREIGN BONDS
(Cost - $63,367,057)

             54,601,330  
         

 

 

  
ASSET-BACKED SECURITIES - 0.6%          

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

      2.027 %      9/25/46        45,966       44,319 (h)  

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

      2.859 %      10/15/37        4,705,728       4,661,725 (e)(h) 

Security National Mortgage Loan Trust, 2006-3A A2

      5.830 %      1/25/37        63,778       63,773 (e)(h)  
         

 

 

  

TOTAL ASSET-BACKED SECURITIES
(Cost - $4,357,617)

             4,769,817  
         

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

 

    

 

6

       Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

SECURITY

   EXPIRATION
DATE		     CONTRACTS     NOTIONAL
AMOUNT†		     VALUE  
PURCHASED OPTIONS - 0.0%        
EXCHANGE-TRADED PURCHASED OPTIONS - 0.0%

 

      

U.S. Treasury 2-Year Notes Futures, Put @ $105.75
(Cost - $21,695)

     5/22/20       1,250       2,500,000     $ 19,533  
       

 

 

  

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $1,088,063,675)

 

         1,148,976,728  
       

 

 

  
    RATE     MATURITY
DATE		     FACE
AMOUNT†		        
SHORT-TERM INVESTMENTS - 1.3%        
SOVEREIGN BONDS - 0.3%        

Argentina Treasury Bills
(Cost - $5,887,000)

     (31.652 )%      7/29/20       154,500,000 ARS      2,185,469 (f)(j)  
       

 

 

  
                SHARES        
MONEY MARKET FUNDS - 1.0%        

Dreyfus Government Cash Management, Institutional Shares
(Cost - $8,041,880)

     1.491 %        8,041,880       8,041,880  
       

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost - $13,928,880)

           10,227,349  
       

 

 

  

TOTAL INVESTMENTS - 147.8%
(Cost - $1,101,992,555)

           1,159,204,077  

Liabilities in Excess of Other Assets - (47.8)%

           (374,984,245 ) 
       

 

 

  

TOTAL NET ASSETS - 100.0%

         $ 784,219,832  
       

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

    

 

   Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report      

 

7

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

†

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

 

(a)

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

 

(b)

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

 

(c)

Security is exempt from registration under 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.

 

(d)

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.

 

(e)

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.

 

(f)

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

 

(g)

Security is valued using significant unobservable inputs (Note 1).

 

(h)

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.

 

(i)

Securities traded on a when-issued or delayed delivery basis.

 

(j)

Rate shown represents yield-to-maturity.

 

Abbreviations used in this schedule:
ARS    — Argentine Peso
BRL    — Brazilian Real
CAS    — Connecticut Avenue Securities
CLP    — Chilean Peso
CMT    — Constant Maturity Treasury
EUR    — Euro
GTD    — Guaranteed
IDR    — Indonesian Rupiah
IO    — Interest Only
JSC    — Joint Stock Company
LIBOR    — London Interbank Offered Rate
MXN    — Mexican Peso
RUB    — Russian Ruble
USD    — United States Dollar
UYU    — Uruguayan Peso

 

See Notes to Consolidated Schedule of Investments.

 

 

    

 

8

       Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

At February 29, 2020, the Fund had the following open reverse repurchase agreements:

 

Counterparty

    Rate     Effective
Date		      Maturity
Date		     Face Amount
of Reverse
Repurchase
Agreements		     

Asset Class of

Collateral*

    Collateral
Value		  
Credit Suisse      2.600 %      4/8/2019        TBD **    $ 20,137,500     

U.S. Treasury Inflation Protected

Securities

    $ 22,136,648  
Morgan Stanley & Co. Inc.      1.830 %      12/13/2019        6/12/2020       343,720,000     

U.S. Treasury Inflation Protected

Securities

      356,060,942  
         

 

 

        

 

 

  
          $ 363,857,500         $ 378,197,590  
         

 

 

        

 

 

  

 

*

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

 

**

TBD — To Be Determined; These reverse repurchase agreements have no maturity dates because they are renewed daily and can be terminated by either the Fund or the counterparty in accordance with the terms of the agreements. The rates for these agreements are variable. The rate disclosed is the rate as of February 29, 2020.

 

SCHEDULE OF WRITTEN OPTIONS               
EXCHANGE-TRADED WRITTEN OPTIONS               

SECURITY

    EXPIRATION
DATE		      STRIKE
PRICE		      CONTRACTS      NOTIONAL
AMOUNT		      VALUE  
U.S. Treasury 10-Year Notes Futures, Put      3/27/20        $129.50        273        $273,000        $(4,265)  
U.S. Treasury 10-Year Notes Futures, Put      3/27/20        130.00        251        251,000        (7,844)  
              

 

 

  
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS
(Premiums received - $252,218)

 

       $ (12,109 ) 
              

 

 

  

At February 29, 2020, 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

      1,340        6/20      $ 329,249,189      $ 331,532,750      $ 2,283,561  

90-Day Eurodollar

      78        3/21        19,187,189        19,344,975        157,786  

Copper

      338        5/20        21,856,770        21,463,000        (393,770 ) 

Euro

      94        3/20        13,109,483        12,971,412        (138,071 ) 

Gold 100 Ounce

      114        4/20        17,159,565        17,860,380        700,815  

Mexican Peso

      86        3/20        2,210,415        2,173,220        (37,195 ) 

Silver

      102        5/20        9,002,265        8,393,070        (609,195 ) 

U.S. Treasury 2-Year Notes

      1,255        6/20        272,042,714        274,001,798        1,959,084  

U.S. Treasury 5-Year Notes

      1,286        6/20        155,501,373        157,856,500        2,355,127  

WTI Crude

      283        9/20        14,648,787        12,865,180        (1,783,607 ) 
              

 

 

  
                 4,494,535  
              

 

 

  

 

See Notes to Consolidated Schedule of Investments.

 

    

 

   Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report      

 

9

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

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

British Pound

      67        3/20      $ 5,534,032      $ 5,359,162      $ 174,870  

Euro-Bund

      122        3/20        23,183,296        23,900,650        (717,354 ) 

Euro-Bund

      108        6/20        20,659,443        20,827,695        (168,252 ) 

U.S. Treasury 10-Year Notes

      114        6/20        15,152,006        15,361,500        (209,494 ) 

U.S. Treasury Long-Term Bonds

      1,422        6/20        236,351,883        242,095,500        (5,743,617 ) 

U.S. Treasury Ultra Long- Term Bonds

      668        6/20        133,988,351        138,610,000        (4,621,649 ) 
              

 

 

  
                 (11,285,496 ) 
              

 

 

  
Net unrealized depreciation on open futures contracts

 

          $ (6,790,961 ) 
              

 

 

  

At February 29, 2020, the Fund had the following open forward foreign currency contracts:

 

Currency
Purchased		      Currency
Sold		     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation)		  
USD      2,021,449        MXN        38,000,000      Bank of America N.A.      4/17/20      $ 106,222  
USD      6,384,892        MXN        120,700,000      Bank of America N.A.      4/17/20        301,526  
IDR      52,969,535,174        USD        3,764,715      Barclays Bank PLC      4/17/20        (141,776 ) 
INR      1,036,321,925        USD        14,237,831      Barclays Bank PLC      4/17/20        (4,368 ) 
MYR      49,281,000        USD        12,031,788      Barclays Bank PLC      4/17/20        (353,406 ) 
USD      109,108        EUR        100,000      BNP Paribas SA      4/17/20        (1,624 ) 
USD      110,957        EUR        100,000      BNP Paribas SA      4/17/20        225  
USD      12,390,776        EUR        11,100,000      BNP Paribas SA      4/17/20        99,546  
USD      25,182,900        EUR        22,556,500      BNP Paribas SA      4/17/20        205,683  
BRL      40,440,000        USD        9,889,949      Citibank N.A.      4/17/20        (870,713 ) 
BRL      45,628,380        USD        11,130,230      Citibank N.A.      4/17/20        (953,843 ) 
COP      82,621,685,652        USD        25,119,846      Citibank N.A.      4/17/20        (1,707,764 ) 
GBP      4,241,448        USD        5,569,187      Citibank N.A.      4/17/20        (123,759 ) 
USD      41,726        AUD        60,000      Citibank N.A.      4/17/20        2,598  
USD      110,202        EUR        100,000      Citibank N.A.      4/17/20        (529 ) 
USD      1,555,752        EUR        1,390,976      Citibank N.A.      4/17/20        15,500  
JPY      897,550,000        USD        8,325,758      Goldman Sachs Group Inc.      4/17/20        18,600  
RUB      2,101,159,580        USD        33,932,360      Goldman Sachs Group Inc.      4/17/20        (2,805,587 ) 
USD      6,234,724        EUR        5,580,370      Goldman Sachs Group Inc.      4/17/20        55,480  
USD      5,123,279        MXN        97,802,368      Goldman Sachs Group Inc.      4/17/20        193,970  
USD      438,291        AUD        636,486      JPMorgan Chase & Co.      4/17/20        23,215  

 

See Notes to Consolidated Schedule of Investments.

 

 

    

 

10

       Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report  

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

Currency
Purchased		      Currency
Sold		     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation)		  
USD      110,962        EUR        100,000      JPMorgan Chase & Co.      4/17/20      $ 231  
USD      16,764,491        TWD        499,498,000      JPMorgan Chase & Co.      4/17/20        237,038  
                 

 

 

  

Total

                  $ (5,703,535 ) 
                 

 

 

  

 

Abbreviations used in this table:
AUD    — Australian Dollar
BRL    — Brazilian Real
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
TWD    — Taiwan Dollar
USD    — United States Dollar

At February 29, 2020, 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
(DEPRECIATION)		  
  $39,783,000        8/31/23      2.500% semi-annually    3-Month LIBOR quarterly    $ (2,481 )    $ (2,144,664 ) 

 

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.IG.33 Index   $ 42,285,000       12/20/24     1.000% quarterly   $ 656,897     $ 771,413     $ (114,516 ) 

 

See Notes to Consolidated Schedule of Investments.

 

    

 

   Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report      

 

11

WESTERN ASSET INFLATION-LINKED OPPORTUNITIES & INCOME FUND

 

Consolidated schedule of investments (unaudited) (cont’d)    February 29, 2020

 

1

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

 

2

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

 

3

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

 

†

Percentage shown is an annual percentage rate.

 

Abbreviations used in this table:
LIBOR    — London Interbank Offered Rate

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

 

See Notes to Consolidated Schedule of Investments.

 

 

    

 

12

       Western Asset Inflation-Linked Opportunities & Income Fund 2020 Quarterly Report  

Notes to Consolidated Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

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

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

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

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

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services 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

 

    

 

    

 

13

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

 

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

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

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

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

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

 

 

    

 

14

    

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

 

generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

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

 

  •  

Level 1 – quoted prices in active markets for identical investments

 

  •  

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

 

  •  

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

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

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

 

ASSETS

  

DESCRIPTION

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

Long-Term Investments†:

            

U.S. Treasury Inflation Protected Securities

      —        $ 874,464,501        —        $ 874,464,501  

Non-U.S. Treasury Inflation Protected Securities

      —          76,468,712        —          76,468,712  

Collateralized Mortgage Obligations

      —          69,349,526      $ 2,909,704        72,259,230  

Corporate Bonds & Notes

      —          66,393,605        —          66,393,605  

Sovereign Bonds

      —          54,601,330        —          54,601,330  

Asset-Backed Securities

      —          4,769,817        —          4,769,817  

Purchased Options

    $ 19,533        —        —          19,533  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Long-Term Investments

      19,533        1,146,047,491        2,909,704        1,148,976,728  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments†:

            

Sovereign Bonds

      —          2,185,469        —          2,185,469  

Money Market Funds

      8,041,880        —          —          8,041,880  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Short-Term Investments

      8,041,880        2,185,469        —          10,227,349  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments

    $ 8,061,413      $ 1,148,232,960      $ 2,909,704      $ 1,159,204,077  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

    

 

    

 

15

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

 

ASSETS (cont’d)

  

DESCRIPTION

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

Other Financial Instruments:

            

Futures Contracts

    $ 7,631,243        —          —        $ 7,631,243  

Forward Foreign Currency Contracts

      —        $ 1,259,834        —          1,259,834  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Other Financial Instruments

    $ 7,631,243      $ 1,259,834        —        $ 8,891,077  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 15,692,656      $ 1,149,492,794      $ 2,909,704      $ 1,168,095,154  
  

 

 

     

 

 

     

 

 

     

 

 

  

LIABILITIES

  

DESCRIPTION

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

Other Financial Instruments:

            

Written Options

    $ 12,109        —          —        $ 12,109  

Futures Contracts

      14,422,204        —          —          14,422,204  

Forward Foreign Currency Contracts

      —        $ 6,963,369        —          6,963,369  

Centrally Cleared Interest Rate Swaps

      —          2,144,664        —          2,144,664  

Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection

      —          114,516        —          114,516  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 14,434,313      $ 9,222,549        —        $ 23,656,862  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

†

See Consolidated Schedule of Investments for additional detailed categorizations.

 

 

    

 

16