UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21477
(Exact name of registrant as specified in charter)
One Madison Avenue, 17th Floor, New York, NY 10010
(Address of principal executive offices) (Zip code)
Marc A. De Oliveira
Franklin Templeton
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-888-777-0102
Date of fiscal year end: November 30
Date of reporting period:
| ITEM 1. | REPORT TO STOCKHOLDERS. |
(a) The Report to Shareholders is filed herewith
Semi-Annual
Report
May 31, 2026
WESTERN ASSET
INFLATION-LINKED OPPORTUNITIES & INCOME FUND (WIW)
INFLATION-LINKED OPPORTUNITIES & INCOME FUND (WIW)
If you need assistance
accessing this content, please reach out to your sales representative or send an email to accessibility@franklintempleton.com.
Managed
Distribution Policy: The
Fund’s Board of Trustees (the “Board”) has authorized a
managed distribution plan pursuant to which the Fund makes monthly distributions to shareholders
at a fixed rate of $0.0625 per common share, which rate may be adjusted from time
to time by the Fund’s Board (the “Plan”). The Plan is intended to provide shareholders with
a constant, but not guaranteed, fixed minimum rate of distribution each month. The Fund
is managed with a goal of generating as much of the distribution as possible from net ordinary
income and short-term capital gains that is consistent with the Fund’s investment strategy
and risk profile. To the extent that sufficient distributable income is not available on
a monthly basis, the Fund will distribute long-term capital gains and/or return of capital in
order to maintain its managed distribution rate. A return of capital may occur, for example,
when some or all of the money that was invested in the Fund is paid back to shareholders.
A return of capital distribution does not necessarily reflect the Fund’s investment
performance and should not be confused with “yield” or “income”. Even though the
Fund may realize current year capital gains, such gains may be offset, in whole or in part,
by the Fund’s capital loss carryovers from prior years.
The Board may amend the terms of
the Plan or terminate the Plan at any time without prior notice
to the Fund’s shareholders; however, at this time there are no reasonably foreseeable circumstances
that might cause the termination of the Plan. The amendment or termination of
the Plan could have an adverse effect on the market price of the Fund’s common shares. The
Plan is subject to the periodic review by the Board to determine if an adjustment should be
made.
Shareholders should not draw any
conclusions about the Fund’s investment performance from
the amount of the current distribution or from the terms of the Fund’s Plan. The Fund will
send a Form 1099-DIV to shareholders for the calendar year that will describe how to
report the Fund’s
distributions for federal income tax purposes.
Fund objectives
The Fund’s primary investment
objective is to provide current income. 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.
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.
What’s inside
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III
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IV
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2
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18
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Western
Asset Inflation-Linked Opportunities & Income Fund
II
Letter
from the president
Dear Shareholder,
We are pleased to provide the semi-annual
report of Western Asset Inflation-Linked Opportunities
& Income Fund for the six-month reporting period ended May 31, 2026. Please
read on for Fund performance information during the Fund’s reporting period.
Special shareholder notices
Effective May 1, 2026, the named
portfolio management team responsible for the day-to-day
oversight of the Fund is as follows: Michael Buchanan, Amit Chopra, Frederick Marki, Nicholas
Mastroianni, Mark Lindbloom and Rafael Zielonka.
Effective December 31, 2026, Frederick
Marki will no longer be a member of the portfolio management
team for the Fund.
As always, we remain committed to
providing you with excellent service and a full spectrum
of investment choices. We also remain committed to supplementing the support you
receive from your financial advisor. One way we accomplish this is through our website, www.franklintempleton.com.
Here you can gain immediate access to market and investment
information, including:
•
Fund
prices and performance,
•
Market
insights and commentaries from our portfolio managers, and
•
A
host of educational resources.
We look forward to helping you meet
your financial goals.
Sincerely,
Jane
Trust, CFA
President and Chief Executive Officer
President and Chief Executive Officer
June 30, 2026
III
Western
Asset Inflation-Linked Opportunities & Income Fund
Performance
review
For the six
months ended May 31, 2026, Western Asset Inflation-Linked Opportunities & Income
Fund returned 2.07% based on its net asset value (NAV)i
and 0.55% based on its New York Stock Exchange (NYSE)
market price per share. The Fund’s unmanaged benchmarks,
the Bloomberg U.S. Government Inflation-Linked 1-10 Year Indexii
and the Bloomberg U.S. Government Inflation-Linked All
Maturities Indexiii,
returned 1.68% and 1.17%, respectively, for the same period.
The Bloomberg World Government Inflation-Linked All Maturities
Indexiv
and the Fund’s Custom Benchmarkv
returned 2.08% and 1.25%, respectively, over the same
time frame.
The Fund has adopted a managed distribution
policy. Pursuant to this policy, the Fund intends to make
regular monthly distributions to common shareholders at a fixed rate per common
share, which rate may be adjusted from time to time by the Fund’s Board. This policy
has no impact on the Fund’s investment strategy and may reduce the Fund’s NAV. The Fund’s
investment adviser believes the policy helps maintain the Fund’s competitiveness and may
benefit the Fund’s market price and premium/discount to the Fund’s NAV.
During the six-month period, the
Fund made distributions to shareholders totaling $0.38 per share.
As of May 31, 2026, the Fund estimates that 32% of the distributions were sourced from
net investment income and 68% constituted a return of capital.*
The performance table shows the Fund’s six-month
total return based on its NAV and market price as of May
31, 2026. Past performance is no guarantee of future results.
|
Performance
Snapshot as of May 31, 2026 (unaudited)
| |
|
Price
Per Share |
6-Month
Total
Return** |
|
$9.56
(NAV) |
2.07
%†
|
|
$8.51
(Market Price) |
0.55
%‡
|
All figures represent past performance and are
not a guarantee of future results. Performance figures for periods shorter
than one year represent cumulative figures and are not annualized.
** Total returns are based on changes in NAV or
market price, respectively. Returns reflect the deduction of all Fund
expenses, including management fees, operating expenses, and other Fund expenses.
Returns do not reflect the deduction of brokerage commissions or taxes that investors may
pay on distributions or the sale of shares.
† Total return assumes the reinvestment of
all distributions, including returns of capital, if any, at NAV.
‡ Total return assumes the reinvestment of
all distributions, including returns of capital, if any, in additional
shares in accordance with the Fund’s Dividend Reinvestment Plan.
*
These
estimates are not for tax purposes. The Fund will issue a Form 1099 with final composition of the distributions
for tax purposes after year-end. A return of capital is not taxable and results in a reduction in the tax
basis of a shareholder’s investment. For more information about a distribution’s composition, please refer to the
Fund’s distribution press release or, if applicable, the Section 19 notice located in the press release section of
our website, www.franklintempleton.com.
Western
Asset Inflation-Linked Opportunities & Income Fund
IV
Performance
review (cont’d)
Looking for additional information?
The Fund is traded under the symbol
“WIW” and its closing market price is available in most
newspapers under the NYSE listings. The daily NAV is available online under the symbol
“XWIWX” on most financial websites. Barron’s
and The Wall Street Journal’s
Monday edition both carry closed-end fund tables that
provide additional information. In addition, the Fund
issues a quarterly press release that can be found on most major financial
websites as well as www.franklintempleton.com.
In a continuing effort to provide
information concerning the Fund, shareholders may call 1-888-777-0102
(toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for
the Fund’s current NAV, market price and other information.
Thank you for your investment in
the Western Asset Inflation-Linked Opportunities & Income
Fund. As always, we appreciate that you have chosen us to manage your assets and we
remain focused on achieving the Fund’s investment goals.
Sincerely,
Jane
Trust, CFA
President and Chief Executive Officer
President and Chief Executive Officer
June 30, 2026
RISKS: The
Fund is a diversified closed-end management investment company designed primarily
as a long-term investment and not as a trading vehicle. The Fund is not intended to be a
complete investment program and, due to the uncertainty inherent in all investments, there can be
no assurance that the Fund will achieve its investment objectives. The Fund’s common shares are
traded on the NYSE. Similar to stocks, the Fund’s share price will fluctuate with market conditions
and, at the time of sale, may be worth more or less than the original investment. Shares
of closed-end funds often trade at a discount to their net asset value. Diversification does
not assure against market loss. Bonds are subject to a variety of risks, including interest rate,
credit and inflation risks. As interest rates rise, bond prices fall, reducing the value of a fixed
income investment’s price. The Fund is subject to the additional risks associated with inflation
protected securities, including liquidity risk, prepayment risk, extension risk and deflation
risk. Investments in foreign companies, including emerging markets, involve risks beyond
those inherent solely in domestic investments. Leverage may cause a fund to be more volatile
than if the fund had not been leveraged, which may increase the risk of investment loss. Derivatives,
such as options, futures, forwards and swaps, can be illiquid, create counterparty risk,
may disproportionately increase losses, and may have a potentially large impact on Fund performance.
To the extent that the Fund invests in asset-backed, mortgage-backed or mortgage-related
securities, its exposure to prepayment and extension risks may be greater than if it invested
in other fixed income securities. International investments are subject to currency
V
Western
Asset Inflation-Linked Opportunities & Income Fund
fluctuations, as well
as social, economic and political risks. These risks are magnified in emerging
markets. Emerging market countries tend to have economic, political and legal systems that
are less developed and are less stable than those of more developed countries.
An investment in the Fund is subject to the
following additional risks. Lower grade securities, or equivalent
unrated securities, which are commonly known as “junk bonds,” typically entail greater
potential price volatility and may be less liquid than higher rated securities. The Fund may
have to apply a greater degree of judgment in establishing a price for lower grade securities for
purposes of valuing fund shares. Changes in economic conditions or developments regarding the
individual issuer are more likely to cause price volatility and weaken the capacity of such securities
to make principal and interest payments than is the case for higher grade securities. Lower
grade securities are regarded as having predominantly speculative characteristics with respect
to the issuer’s capacity to pay interest and repay principal. These securities may also be more
susceptible to real or perceived adverse economic and competitive industry conditions than higher
rated securities. Lower grade and unrated securities are generally issued by less creditworthy
issuers that may have a larger amount of outstanding debt relative to their assets than
issuers of higher-grade securities. In the event of an issuer’s bankruptcy, claims of other creditors
may have priority over the claims of lower grade security holders, leaving few or no assets
available to repay lower grade security holders. The Fund may incur expenses to the extent
necessary to seek recovery upon default or to negotiate new terms with a defaulting issuer.
Lower grade securities frequently have redemption features that permit an issuer to repurchase
the security from the Fund before it matures. If the issuer redeems lower grade securities,
the Fund may have to invest the proceeds in securities with lower yields and may lose income.
Lower grade and unrated securities involve the risk that the Fund’s investment adviser may
not accurately evaluate the security’s comparative rating. Analysis of the creditworthiness of
issuers of lower grade and unrated securities may be more complex than for issuers of higher-quality
securities. To the extent that the Fund holds lower grade and/or unrated securities, the Fund’s
success in achieving its investment objectives may depend more heavily on the Fund’s investment
adviser’s credit analysis than if the Fund held exclusively higher-quality and rated securities.
If changes in the currency exchange rates do not occur as anticipated, the Fund may lose
money on currency transactions. The Fund’s ability to use currency transactions successfully depends
on a number of factors, including the currency transactions being available at prices that
are not too costly, the availability of liquid markets and the ability of the Fund to accurately predict
the direction of changes in currency exchange rates. Currency exchange rates may be volatile.
Currency transactions are subject to counterparty risk, which is the risk that the other party
in the transaction will not fulfill its contractual obligation. 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. The Fund and the Subsidiary are deemed “commodity pools”
and the investment adviser is considered a “commodity pool operator” with respect to the Fund
under the Commodity Exchange Act. The investment adviser, directly or through its affiliates,
is therefore subject to dual regulation by the Securities and Exchange Commission (the SEC)
and the Commodity Futures Trading Commission (the CFTC).
Western
Asset Inflation-Linked Opportunities & Income Fund
VI
Performance
review (cont’d)
The regulatory requirements
governing the use of commodity futures (which include futures on broad-based
securities indexes, interest rate futures and currency futures), options on commodity
futures, certain swaps or certain other investments could change at any time. Investments
by the Fund in commodity-linked derivatives may subject the Fund to greater volatility
than investments in traditional securities. The value of commodity-linked derivatives may
be affected by changes in overall market movements, commodity index volatility, prolonged or
intense speculation by investors, changes in interest rates or factors affecting a particular industry
or commodity, such as drought, floods, other weather phenomena, livestock disease, embargoes,
tariffs and international economic, political and regulatory developments. By investing
in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary’s
investments. The investments held by the Subsidiary are generally similar to those that
are permitted to be held by the Fund and are subject to the same risks that apply to similar investments
if held directly by the Fund. The Subsidiary is not registered as an investment company
and is not subject to all of the investor protections of the Investment Company Act of 1940
(the 1940 Act). Changes in the laws of the United States and/or the Cayman Islands could adversely
affect the Fund. For example, the Cayman Islands does not currently impose any income,
corporate or capital gains tax, estate duty, inheritance tax, gift tax or withholding tax on the
Subsidiary. If Cayman Islands law changes such that the Subsidiary must pay Cayman Islands taxes,
shareholders would likely suffer decreased investment returns. The Fund’s exposure to commodities
markets, including through the Subsidiary, may be limited by its intention to qualify as
a regulated investment company for U.S. federal income tax purposes and may interfere with its
ability to qualify as such. The market values of securities or other assets will fluctuate, sometimes
sharply and unpredictably, due to changes in general market conditions, overall economic
trends or events, governmental actions or intervention, actions taken by the U.S. Federal
Reserve or foreign central banks, market disruptions caused by trade disputes or other factors,
political developments, armed conflicts, economic sanctions and countermeasures in response
to sanctions, major cybersecurity events, investor sentiment, the global and domestic effects
of a pandemic, and other factors that may or may not be related to the issuer of the security
or other asset. The Fund may also invest in money market funds, including funds affiliated
with the Fund’s investment adviser.
This material is not intended as a recommendation
or as investment advice of any kind, including in connection with
rollovers, transfers, and distributions. Such material is not provided in a fiduciary capacity,
may not be relied upon for or in connection with the making of investment decisions, and does
not constitute a solicitation of an offer to buy or sell securities. All content has been provided for
informational or educational purposes only and is not intended to be and should not be construed as
legal or tax advice and/or a legal opinion. Always consult a financial, tax and/or legal professional
regarding your specific situation.
All investments are subject to risk
including the possible loss of principal. Past performance is no guarantee
of future results. All index performance reflects no deduction for fees, expenses or taxes. Please
note that an investor cannot invest directly in an index.
VII
Western
Asset Inflation-Linked Opportunities & Income Fund
i
Net
asset value (NAV) is calculated by subtracting total liabilities, including liabilities associated with financial leverage
(if any), from the closing value of all securities held by the Fund (plus all other assets) and dividing the result
(total net assets) by the total number of the common shares outstanding. The NAV fluctuates with changes
in the market prices of securities in which the Fund has invested. However, the price at which an investor may
buy or sell shares of the Fund is the Fund’s market price as determined by supply of and demand for the Fund’s shares.
ii
The
Bloomberg U.S. Government Inflation-Linked 1-10 Year Index measures the performance of the intermediate U.S.
Treasury Inflation-Protected Securities (TIPS) market.
iii
The
Bloomberg U.S. Government Inflation-Linked All Maturities Index measures the performance of the U.S. TIPS market.
The index includes TIPS with one or more years remaining maturity with total outstanding issue size of $500
million or more.
iv
The
Bloomberg World Government Inflation-Linked All Maturities Index measures the performance of the major government
inflation-linked bond markets.
v
The
Custom Benchmark is comprised of 90% Bloomberg U.S. Government Inflation-Linked All Maturities Index, 5% Bloomberg
U.S. Credit Index and 5% JPMorgan Emerging Markets Bond Index Plus (EMBI+). The Bloomberg U.S. Credit
Index is an index composed of corporate and non-corporate debt issues that are investment grade (rated Baa3/BBB-
or higher). The EMBI+ is a total return index that tracks the traded market for U.S. dollar-denominated Brady
and other similar sovereign restructured bonds traded in the emerging markets.
Important data provider
notices and terms available at www.franklintempletondatasources.com.
Western
Asset Inflation-Linked Opportunities & Income Fund
VIII
(This
page intentionally left blank.)
Fund
at a glance† (unaudited)
Investment
breakdown (%) as a percent of total investments
†
The
bar graph above represents the composition of the Fund’s investments as of May 31, 2026, and November
30, 2025, and does not include derivatives, such as futures contracts, forward foreign currency contracts
and swap contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments
is subject to change at any time.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
1
Consolidated
schedule of investments (unaudited)
May 31, 2026
Western
Asset Inflation-Linked Opportunities & Income Fund
(Percentages shown
based on Fund net assets)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
U.S.
Treasury Inflation Protected Securities — 108.6% | |||||
|
U.S.
Treasury Bonds, Inflation Indexed |
2.375%
|
1/15/27
|
3,274,880
|
$3,304,123
(a)
| |
|
U.S.
Treasury Bonds, Inflation Indexed |
3.625%
|
4/15/28
|
20,416,300
|
21,258,168
| |
|
U.S.
Treasury Bonds, Inflation Indexed |
2.500%
|
1/15/29
|
30,760,400
|
31,638,472
(a)
| |
|
U.S.
Treasury Bonds, Inflation Indexed |
3.875%
|
4/15/29
|
106,460,040
|
113,660,939
(a)
| |
|
U.S.
Treasury Bonds, Inflation Indexed |
2.125%
|
2/15/40
|
8,861,124
|
8,701,896
| |
|
U.S.
Treasury Bonds, Inflation Indexed |
0.750%
|
2/15/42
|
14,613,700
|
11,325,601
| |
|
U.S.
Treasury Bonds, Inflation Indexed |
1.375%
|
2/15/44
|
18,844,238
|
15,642,490
(b)
| |
|
U.S.
Treasury Bonds, Inflation Indexed |
0.750%
|
2/15/45
|
53,006,562
|
38,252,183
(c)
| |
|
U.S.
Treasury Bonds, Inflation Indexed |
0.250%
|
2/15/50
|
45,210,880
|
25,786,662
| |
|
U.S.
Treasury Bonds, Inflation Indexed |
0.125%
|
2/15/52
|
22,300,936
|
11,682,111
| |
|
U.S.
Treasury Notes, Inflation Indexed |
0.125%
|
10/15/26
|
33,352,668
|
33,442,507
(a)
| |
|
U.S.
Treasury Notes, Inflation Indexed |
0.125%
|
4/15/27
|
54,967,910
|
54,428,789
(a)
| |
|
U.S.
Treasury Notes, Inflation Indexed |
1.625%
|
10/15/27
|
17,835,520
|
17,989,747
| |
|
U.S.
Treasury Notes, Inflation Indexed |
0.500%
|
1/15/28
|
14,725,810
|
14,531,104
| |
|
U.S.
Treasury Notes, Inflation Indexed |
1.250%
|
4/15/28
|
16,513,500
|
16,472,705
| |
|
U.S.
Treasury Notes, Inflation Indexed |
0.875%
|
1/15/29
|
18,308,640
|
18,066,482
| |
|
U.S.
Treasury Notes, Inflation Indexed |
1.625%
|
10/15/29
|
12,593,280
|
12,700,871
(a)
| |
|
U.S.
Treasury Notes, Inflation Indexed |
0.125%
|
1/15/30
|
1,283,460
|
1,223,267
| |
|
U.S.
Treasury Notes, Inflation Indexed |
1.625%
|
4/15/30
|
15,559,950
|
15,615,078
(a)
| |
|
U.S.
Treasury Notes, Inflation Indexed |
1.125%
|
10/15/30
|
14,291,900
|
14,094,700
| |
|
U.S.
Treasury Notes, Inflation Indexed |
0.125%
|
7/15/31
|
7,392,240
|
6,887,015
| |
|
U.S.
Treasury Notes, Inflation Indexed |
0.125%
|
1/15/32
|
23,228,985
|
21,345,658
| |
|
U.S.
Treasury Notes, Inflation Indexed |
1.125%
|
1/15/33
|
39,908,160
|
38,372,654
(a)(c)
| |
|
U.S.
Treasury Notes, Inflation Indexed |
1.750%
|
1/15/34
|
36,524,160
|
36,266,051
| |
|
U.S.
Treasury Notes, Inflation Indexed |
2.125%
|
1/15/35
|
33,064,660
|
33,522,507
| |
|
U.S.
Treasury Notes, Inflation Indexed |
1.875%
|
7/15/35
|
19,539,410
|
19,411,449
| |
|
| |||||
|
Total
U.S. Treasury Inflation Protected Securities (Cost — $660,326,972) |
635,623,229
| ||||
|
Corporate
Bonds & Notes — 7.9% | |||||
|
Communication
Services — 0.1% | |||||
|
Media
— 0.1% | |||||
|
DirecTV
Financing LLC/DirecTV Financing
Co-Obligor
Inc., Senior Secured Notes |
9.250%
|
6/1/32
|
380,000
|
390,374
(d)
| |
|
Wireless
Telecommunication Services — 0.0%†† | |||||
|
T-Mobile
USA Inc., Senior Notes |
3.750%
|
4/15/27
|
100,000
|
99,623
| |
|
| |||||
|
Total
Communication Services |
489,997
| ||||
|
Consumer
Discretionary — 1.0% | |||||
|
Broadline
Retail — 0.3% | |||||
|
Prosus
NV, Senior Notes |
3.061%
|
7/13/31
|
1,900,000
|
1,731,734
(d)
| |
See
Notes to Consolidated Financial Statements.
2
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Western
Asset Inflation-Linked Opportunities & Income Fund
(Percentages shown
based on Fund net assets)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
| |||||
|
Hotels,
Restaurants & Leisure — 0.7% | |||||
|
Sands
China Ltd., Senior Notes |
5.400%
|
8/8/28
|
2,480,000
|
$2,511,139
| |
|
Sands
China Ltd., Senior Notes |
2.850%
|
3/8/29
|
200,000
|
190,577
| |
|
Sands
China Ltd., Senior Notes |
4.375%
|
6/18/30
|
600,000
|
586,566
| |
|
Sands
China Ltd., Senior Notes |
3.250%
|
8/8/31
|
600,000
|
551,897
| |
|
Total
Hotels, Restaurants & Leisure |
3,840,179
| ||||
|
| |||||
|
Total
Consumer Discretionary |
5,571,913
| ||||
|
Energy
— 2.8% | |||||
|
Oil,
Gas & Consumable Fuels — 2.8% | |||||
|
BP
Capital Markets America Inc., Senior Notes |
3.633%
|
4/6/30
|
270,000
|
262,377
| |
|
Columbia
Pipelines Holding Co. LLC, Senior
Notes
|
6.042%
|
8/15/28
|
1,230,000
|
1,265,048
(d)
| |
|
Ecopetrol
SA, Senior Notes |
4.625%
|
11/2/31
|
1,900,000
|
1,710,108
| |
|
Energy
Transfer LP, Senior Notes |
5.250%
|
4/15/29
|
1,200,000
|
1,221,232
| |
|
Enterprise
Products Operating LLC, Senior Notes |
3.125%
|
7/31/29
|
2,880,000
|
2,772,622
| |
|
EOG
Resources Inc., Senior Notes |
4.375%
|
4/15/30
|
70,000
|
69,701
| |
|
EQT
Corp., Senior Notes |
5.000%
|
1/15/29
|
1,240,000
|
1,250,873
| |
|
Occidental
Petroleum Corp., Senior Notes |
6.200%
|
3/15/40
|
1,420,000
|
1,496,633
| |
|
ONEOK
Inc., Senior Notes |
5.800%
|
11/1/30
|
1,180,000
|
1,224,931
| |
|
Petrobras
Global Finance BV, Senior Notes |
5.999%
|
1/27/28
|
1,410,000
|
1,436,826
| |
|
Targa
Resources Corp., Senior Notes |
4.200%
|
2/1/33
|
1,300,000
|
1,237,227
| |
|
Williams
Cos. Inc., Senior Notes |
5.750%
|
6/24/44
|
2,350,000
|
2,329,361
| |
|
| |||||
|
Total
Energy |
16,276,939
| ||||
|
Financials
— 0.3% | |||||
|
Financial
Services — 0.3% | |||||
|
ILFC
E-Capital Trust II, Ltd. GTD |
6.630%
|
12/21/65
|
2,084,000
|
1,830,608
(d)(e)
| |
|
| |||||
|
Health
Care — 0.3% | |||||
|
Pharmaceuticals
— 0.3% | |||||
|
Bausch
Health Americas Inc., Senior Notes |
8.500%
|
1/31/27
|
1,970,000
|
1,956,676
(d)
| |
|
| |||||
|
Industrials
— 0.5% | |||||
|
Aerospace
& Defense — 0.5% | |||||
|
General
Dynamics Corp., Senior Notes |
4.250%
|
4/1/40
|
30,000
|
26,969
| |
|
General
Dynamics Corp., Senior Notes |
4.250%
|
4/1/50
|
3,470,000
|
2,930,384
| |
|
| |||||
|
Total
Industrials |
2,957,353
| ||||
|
Information
Technology — 0.1% | |||||
|
IT
Services — 0.1% | |||||
|
Core
Scientific Finance I LLC, Senior Secured
Notes
|
7.750%
|
5/15/31
|
480,000
|
491,134
(d)
| |
See
Notes to Consolidated Financial Statements.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
3
Consolidated
schedule of investments (unaudited) (cont’d)
May 31, 2026
Western
Asset Inflation-Linked Opportunities & Income Fund
(Percentages shown
based on Fund net assets)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
| |||||
|
Semiconductors
& Semiconductor Equipment — 0.0%†† | |||||
|
Broadcom
Inc., Senior Notes |
3.137%
|
11/15/35
|
400,000
|
$340,877
(d)
| |
|
| |||||
|
Total
Information Technology |
832,011
| ||||
|
Materials
— 2.1% | |||||
|
Metals
& Mining — 2.1% | |||||
|
Antofagasta
PLC, Senior Notes |
2.375%
|
10/14/30
|
1,110,000
|
1,002,920
(d)
| |
|
Capstone
Copper Corp., Senior Notes |
6.750%
|
3/31/33
|
1,960,000
|
2,000,062
(d)
| |
|
Corp.
Nacional del Cobre de Chile, Senior Notes |
5.529%
|
1/30/37
|
910,000
|
901,401
(d)
| |
|
First
Quantum Minerals Ltd., Senior Notes |
8.000%
|
3/1/33
|
1,770,000
|
1,857,105
(d)
| |
|
First
Quantum Minerals Ltd., Senior Notes |
7.250%
|
2/15/34
|
680,000
|
698,820
(d)
| |
|
Glencore
Finance Canada Ltd., Senior Notes |
5.550%
|
10/25/42
|
2,330,000
|
2,283,400
(d)
| |
|
Glencore
Funding LLC, Senior Notes |
4.000%
|
3/27/27
|
500,000
|
498,932
(d)
| |
|
Glencore
Funding LLC, Senior Notes |
3.875%
|
10/27/27
|
1,630,000
|
1,618,662
(d)
| |
|
Yamana
Gold Inc., Senior Notes |
4.625%
|
12/15/27
|
1,360,000
|
1,359,717
| |
|
| |||||
|
Total
Materials |
12,221,019
| ||||
|
Real
Estate — 0.1% | |||||
|
Specialized
REITs — 0.1% | |||||
|
Meridian
Arc Holdco LLC, Senior Secured Notes |
6.250%
|
4/30/31
|
720,000
|
724,091
(d)
| |
|
| |||||
|
Utilities
— 0.6% | |||||
|
Electric
Utilities — 0.6% | |||||
|
Comision
Federal de Electricidad, Senior Notes |
6.045%
|
1/28/34
|
1,480,000
|
1,453,730
(d)
| |
|
Constellation
Energy Generation LLC, Senior
Notes
|
6.125%
|
1/15/34
|
1,590,000
|
1,695,368
| |
|
Talen
Energy Supply LLC, Senior Notes |
6.375%
|
5/1/33
|
320,000
|
319,020
(d)
| |
|
| |||||
|
Total
Utilities |
3,468,118
| ||||
|
Total
Corporate Bonds & Notes (Cost — $46,983,292) |
46,328,725
| ||||
|
Collateralized
Mortgage Obligations(f)
— 7.7% | |||||
|
Angel
Oak Mortgage Trust, 2023-1 A1 |
4.750%
|
9/26/67
|
1,484,758
|
1,481,977
(d)
| |
|
Banc
of America Funding Trust, 2015-R2 5A2 |
2.848%
|
9/29/36
|
3,401,905
|
2,835,149
(d)(e)
| |
|
BANK5,
2026-5YR22 A3 |
5.713%
|
6/15/59
|
1,270,000
|
1,314,567
(g)
| |
|
BDS
LLC, 2026-FL17 A (1 mo. Term SOFR +
1.350%)
|
5.000%
|
5/19/43
|
900,000
|
900,799
(d)(e)
| |
|
Benchmark
Mortgage Trust, 2021-B29 XA, IO |
0.988%
|
9/15/54
|
7,848,784
|
250,237
(e)
| |
|
BOCA
Commercial Mortgage Trust, 2025-BOCA
A
(1 mo. Term SOFR + 1.600%) |
5.227%
|
12/15/42
|
1,080,000
|
1,083,044
(d)(e)
| |
|
BX
Commercial Mortgage Trust, 2025-COPT A (1
mo.
Term SOFR + 1.750%) |
5.377%
|
8/15/42
|
1,490,000
|
1,495,153
(d)(e)
| |
|
BX
Commercial Mortgage Trust, 2025-SPOT E (1
mo.
Term SOFR + 3.690%) |
7.317%
|
4/15/40
|
2,719,926
|
2,730,507
(d)(e)
| |
See
Notes to Consolidated Financial Statements.
4
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Western
Asset Inflation-Linked Opportunities & Income Fund
(Percentages shown
based on Fund net assets)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized
Mortgage Obligations(f)
— continued | |||||
|
BXMT
Ltd., 2020-FL2 A (1 mo. Term SOFR +
1.264%)
|
4.892%
|
2/15/38
|
33,826
|
$33,893
(d)(e)
| |
|
Citigroup
Commercial Mortgage Trust, 2023-
SMRT
A |
5.820%
|
6/12/40
|
570,000
|
580,311
(d)(e)
| |
|
CRSO
Trust, 2023-BRND A |
7.121%
|
7/10/40
|
750,000
|
768,699
| |
|
Extended
Stay America Trust, 2025-ESH A (1
mo.
Term SOFR + 1.300%) |
4.927%
|
10/15/42
|
548,986
|
550,350
(d)(e)
| |
|
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
Structured Agency Credit Risk Trust,
2022-DNA5
M1B (30 Day Average SOFR +
4.500%)
|
8.112%
|
6/25/42
|
1,820,000
|
1,885,883
(d)(e)
| |
|
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
Structured Agency Credit Risk Trust,
2023-DNA1
M1A (30 Day Average SOFR +
2.100%)
|
5.708%
|
3/25/43
|
344,052
|
348,045
(d)(e)
| |
|
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
Structured Agency Credit Risk Trust,
2024-DNA1
M2 (30 Day Average SOFR +
1.950%)
|
5.562%
|
2/25/44
|
1,850,000
|
1,869,793
(d)(e)
| |
|
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
Structured Agency Credit Risk Trust,
2026-DNA2
B1 (30 Day Average SOFR +
2.100%)
|
5.712%
|
3/25/46
|
1,470,000
|
1,487,663
(d)(e)
| |
|
Federal
Home Loan Mortgage Corp. (FHLMC)
REMIC,
Structured Agency Credit Risk Trust,
2026-HQA1
M2 (30 Day Average SOFR +
1.500%)
|
5.143%
|
5/25/46
|
1,570,000
|
1,572,527
(d)(e)
| |
|
Federal
Home Loan Mortgage Corp. (FHLMC)
Seasoned
Credit Risk Transfer Trust, 2016-1 M2 |
3.750%
|
9/25/55
|
732,715
|
678,609
(d)(e)
| |
|
Federal
National Mortgage Association (FNMA)
—
CAS, 2019-R05 1B1 (30 Day Average SOFR +
4.214%)
|
7.827%
|
7/25/39
|
333,272
|
334,814
(d)(e)
| |
|
Federal
National Mortgage Association (FNMA)
—
CAS, 2020-R01 1B1 (30 Day Average SOFR +
3.364%)
|
6.977%
|
1/25/40
|
1,660,000
|
1,681,465
(d)(e)
| |
|
Federal
National Mortgage Association (FNMA)
—
CAS, 2021-R01 1B2 (30 Day Average SOFR +
6.000%)
|
9.612%
|
10/25/41
|
1,540,000
|
1,567,664
(d)(e)
| |
|
Federal
National Mortgage Association (FNMA)
—
CAS, 2023-R02 1B1 (30 Day Average SOFR +
5.550%)
|
9.162%
|
1/25/43
|
480,000
|
511,671
(d)(e)
| |
See
Notes to Consolidated Financial Statements.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
5
Consolidated
schedule of investments (unaudited) (cont’d)
May 31, 2026
Western
Asset Inflation-Linked Opportunities & Income Fund
(Percentages shown
based on Fund net assets)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
Collateralized
Mortgage Obligations(f)
— continued | |||||
|
Federal
National Mortgage Association (FNMA)
—
CAS, 2023-R05 1M2 (30 Day Average SOFR
+
3.100%) |
6.712%
|
6/25/43
|
550,000
|
$569,044
(d)(e)
| |
|
Federal
National Mortgage Association (FNMA)
—
CAS, 2023-R06 1M2 (30 Day Average SOFR
+
2.700%) |
6.312%
|
7/25/43
|
790,000
|
810,425
(d)(e)
| |
|
Federal
National Mortgage Association (FNMA)
—
CAS, 2024-R02 1M2 (30 Day Average SOFR
+
1.800%) |
5.412%
|
2/25/44
|
500,000
|
503,938
(d)(e)
| |
|
GS
Mortgage Securities Trust, 2020-GC45 A5 |
2.911%
|
2/13/53
|
380,000
|
357,154
| |
|
JPMorgan
Mortgage Trust, 2025-NQM5 A1 |
4.879%
|
5/25/66
|
1,534,065
|
1,523,645
(d)(e)
| |
|
MF1
LLC, 2022-FL9 A (1 mo. Term SOFR +
2.150%)
|
5.763%
|
6/19/37
|
1,376,275
|
1,376,720
(d)(e)
| |
|
MRCD
Mortgage Trust, 2019-PARK A |
2.718%
|
12/15/36
|
1,520,000
|
1,375,600
(d)
| |
|
MSWF
Commercial Mortgage Trust, 2023-1 A4 |
5.472%
|
5/15/56
|
330,000
|
339,096
| |
|
New
Residential Mortgage Loan Trust, 2026-
NQM3
A3 |
5.189%
|
2/25/66
|
1,541,091
|
1,523,915
(d)
| |
|
NYC
Commercial Mortgage Trust, 2025-28L F |
8.130%
|
11/5/38
|
2,000,000
|
1,997,847
(d)(e)
| |
|
OBX
Trust, 2023-NQM3 A1 |
5.949%
|
2/25/63
|
1,109,484
|
1,106,965
(d)
| |
|
OBX
Trust, 2024-NQM17 A3 |
6.015%
|
11/25/64
|
1,009,637
|
1,016,491
(d)
| |
|
OBX
Trust, 2025-NQM4 A3 |
5.755%
|
2/25/55
|
1,085,543
|
1,088,462
(d)
| |
|
PRKCM
Trust, 2023-AFC1 A1 |
6.598%
|
2/25/58
|
824,354
|
823,402
(d)
| |
|
PRKCM
Trust, 2024-HOME1 A1 |
6.431%
|
5/25/59
|
849,881
|
857,392
(d)
| |
|
PRPM
Trust, 2024-NQM4 A1 |
5.674%
|
12/26/69
|
492,044
|
494,249
(d)
| |
|
SLG
Office Trust, 2026-OMA A |
4.965%
|
4/15/41
|
1,460,000
|
1,463,906
(d)(e)
| |
|
SMRT,
2022-MINI A (1 mo. Term SOFR +
1.000%)
|
4.628%
|
1/15/39
|
390,000
|
389,941
(d)(e)
| |
|
SWCH
Commercial Mortgage Trust, 2025-DATA
A
(1 mo. Term SOFR + 1.443%) |
5.070%
|
2/15/42
|
300,000
|
298,530
(d)(e)
| |
|
UBS
Commercial Mortgage Trust, 2017-C7 A3 |
3.418%
|
12/15/50
|
261,106
|
258,114
| |
|
Verus
Securitization Trust, 2022-1 B1 |
4.007%
|
1/25/67
|
920,000
|
730,620
(d)(e)
| |
|
Wells
Fargo Commercial Mortgage Trust, 2021-
C59
XA, IO |
1.464%
|
4/15/54
|
3,792,711
|
196,444
(e)
| |
|
| |||||
|
Total
Collateralized Mortgage Obligations (Cost — $44,819,419) |
45,064,720
| ||||
|
Non-U.S.
Treasury Inflation Protected Securities — 3.6% | |||||
|
Brazil
— 2.8% | |||||
|
Brazil
Notas do Tesouro Nacional Serie B, Notes |
6.000%
|
5/15/29
|
35,267,962
BRL
|
6,683,369
| |
|
Brazil
Notas do Tesouro Nacional Serie B, Notes |
6.000%
|
8/15/30
|
38,919,301
BRL
|
7,226,472
| |
|
Brazil
Notas do Tesouro Nacional Serie B, Notes |
6.000%
|
8/15/50
|
14,152,473
BRL
|
2,415,463
| |
|
Total
Brazil |
16,325,304
| ||||
See
Notes to Consolidated Financial Statements.
6
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Western
Asset Inflation-Linked Opportunities & Income Fund
(Percentages shown
based on Fund net assets)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
| |||||
|
Mexico
— 0.8% | |||||
|
Mexican
Udibonos, Bonds
|
4.000%
|
11/30/28
|
86,965,458
MXN
|
$5,025,295
| |
|
| |||||
|
Total
Non-U.S. Treasury Inflation Protected Securities (Cost — $24,451,216) |
21,350,599
| ||||
|
Sovereign
Bonds — 2.1% | |||||
|
Ecuador
— 0.1% | |||||
|
Ecuador
Government International Bond, Senior
Notes
|
8.750%
|
1/29/34
|
690,000
|
701,040
(d)
| |
|
Mexico
— 1.4% | |||||
|
Mexican
Bonos, Senior Notes |
7.750%
|
11/13/42
|
88,280,000
MXN
|
4,322,166
| |
|
Mexico
Government International Bond, Senior
Notes
|
5.850%
|
7/2/32
|
3,720,000
|
3,741,204
| |
|
Total
Mexico |
8,063,370
| ||||
|
Nigeria
— 0.0%†† | |||||
|
Nigeria
Government International Bond, Senior
Notes
|
6.500%
|
11/28/27
|
280,000
|
284,053
(d)
| |
|
Peru
— 0.3% | |||||
|
Peruvian
Government International Bond, Senior
Notes
|
5.500%
|
3/30/36
|
1,380,000
|
1,396,905
| |
|
Peruvian
Government International Bond, Senior
Notes
|
3.300%
|
3/11/41
|
150,000
|
116,445
| |
|
Total
Peru |
1,513,350
| ||||
|
Supranational
— 0.3% | |||||
|
Inter-American
Development Bank, Senior
Notes
|
7.350%
|
10/6/30
|
167,000,000
INR
|
1,733,478
| |
|
| |||||
|
Total
Sovereign Bonds (Cost — $13,255,419) |
12,295,291
| ||||
|
Senior
Loans — 1.6% | |||||
|
Communication
Services — 0.1% | |||||
|
Media
— 0.1% | |||||
|
Nexstar
Media Inc., Term Loan B7 (1 mo. Term
SOFR
+ 2.750%)
|
6.370%
|
3/18/33
|
744,857
|
746,138
(e)(h)(i)
| |
|
| |||||
|
Consumer
Discretionary — 0.1% | |||||
|
Specialty
Retail — 0.1% | |||||
|
Harbor
Freight Tools USA Inc., Initial Term Loan
(1
mo. Term SOFR + 2.250%)
|
5.870%
|
6/11/31
|
577,104
|
576,599
(e)(h)(i)
| |
|
| |||||
|
Financials
— 0.6% | |||||
|
Capital
Markets — 0.1% | |||||
|
Focus
Financial Partners LLC, Incremental Term
Loan
B (1 mo. Term SOFR + 2.500%)
|
6.120%
|
9/15/31
|
578,546
|
569,998
(e)(h)(i)
| |
See
Notes to Consolidated Financial Statements.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
7
Consolidated
schedule of investments (unaudited) (cont’d)
May 31, 2026
Western
Asset Inflation-Linked Opportunities & Income Fund
(Percentages shown
based on Fund net assets)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
| |||||
|
Financial
Services — 0.1% | |||||
|
Jane
Street Group LLC, Extended Term Loan (3
mo.
Term SOFR + 2.000%)
|
5.666%
|
12/15/31
|
598,421
|
$595,821
(e)(h)(i)
| |
|
Insurance
— 0.4% | |||||
|
AmWINS
Group Inc., 2026 Refinancing Term
Loan
(1 mo. Term SOFR + 2.000%) |
5.620%
|
1/30/32
|
768,056
|
767,207
(e)(h)(i)
| |
|
Asurion
LLC, New Term Loan B14 (1 mo. Term
SOFR
+ 3.750%) |
7.413%
|
2/23/33
|
610,000
|
596,211
(e)(h)(i)
| |
|
HUB
International Ltd., 2025 Incremental Term
Loan
(3 mo. Term SOFR + 2.250%) |
5.922%
|
6/20/30
|
79,764
|
80,031
(e)(h)(i)
| |
|
Sedgwick
Claims Management Services Inc.,
2024
Term Loan (1 mo. Term SOFR + 2.500%) |
6.120%
|
7/31/31
|
598,492
|
598,696
(e)(h)(i)
| |
|
Truist
Insurance Holdings LLC, 2024 Term Loan B
(3
mo. Term SOFR + 2.750%) |
6.450%
|
5/6/31
|
40,000
|
39,714
(e)(h)(i)
| |
|
Total
Insurance |
2,081,859
| ||||
|
| |||||
|
Total
Financials |
3,247,678
| ||||
|
Health
Care — 0.3% | |||||
|
Health
Care Technology — 0.1% | |||||
|
AthenaHealth
Group Inc., Fourth Amendment
Term
Loan (3 mo. Term SOFR + 3.250%)
|
6.858%
|
2/17/32
|
538,640
|
536,367
(e)(h)(i)
| |
|
Pharmaceuticals
— 0.2% | |||||
|
Gainwell
Acquisition Corp., Term Loan B (3 mo.
Term
SOFR + 4.100%)
|
7.800%
|
10/1/27
|
1,226,763
|
1,207,748
(e)(h)(i)
| |
|
| |||||
|
Total
Health Care |
1,744,115
| ||||
|
Industrials
— 0.0%†† | |||||
|
Professional
Services — 0.0%†† | |||||
|
CoreLogic
Inc., First Lien Initial Term Loan (1 mo.
Term
SOFR + 3.614%)
|
7.235%
|
6/2/28
|
79,791
|
79,193
(e)(h)(i)
| |
|
| |||||
|
Information
Technology — 0.3% | |||||
|
Software
— 0.3% | |||||
|
Cloud
Software Group Inc., Tenth Amendment
Term
Loan B2 (3 mo. Term SOFR + 3.250%) |
6.950%
|
3/21/31
|
616,892
|
581,421
(e)(h)(i)
| |
|
Cloudera
Inc., Term Loan (1 mo. Term SOFR +
3.850%)
|
7.470%
|
10/8/28
|
548,568
|
469,437
(e)(h)(i)
| |
|
UKG
Inc., Term Loan B (3 mo. Term SOFR +
2.250%)
|
5.913%
|
2/10/31
|
608,471
|
588,875
(e)(h)(i)
| |
|
| |||||
|
Total
Information Technology |
1,639,733
| ||||
See
Notes to Consolidated Financial Statements.
8
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Western
Asset Inflation-Linked Opportunities & Income Fund
(Percentages shown
based on Fund net assets)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount†
|
Value
|
|
| |||||
|
Materials
— 0.2% | |||||
|
Containers
& Packaging — 0.2% | |||||
|
Clydesdale
Acquisition Holdings Inc., 2025
Incremental
Closing Date Term Loan B (1 mo.
Term
SOFR + 3.250%)
|
6.870%
|
4/1/32
|
1,137,136
|
$1,077,510
(e)(h)(i)
| |
|
| |||||
|
Total
Senior Loans (Cost — $9,179,961) |
9,110,966
| ||||
|
Asset-Backed
Securities — 0.1% | |||||
|
Origen
Manufactured Housing Contract Trust,
2007-B
A1 (1 mo. Term SOFR + 1.314%) |
4.942%
|
10/15/37
|
21,473
|
21,477
(d)(e)
| |
|
RASC
Trust, 2006-KS1 M3 (1 mo. Term SOFR +
0.534%)
|
4.329%
|
2/25/36
|
430,152
|
421,878
(e)
| |
|
| |||||
|
Total
Asset-Backed Securities (Cost — $437,961) |
443,355
| ||||
|
Total
Investments before Short-Term Investments (Cost — $799,454,240) |
770,216,885
| ||||
|
|
|
|
|
Shares
|
|
|
Short-Term
Investments — 1.4% | |||||
|
Western
Asset Premier Institutional
Government
Reserves, Premium Shares
(Cost
— $8,191,301)
|
3.568%
|
|
8,191,301
|
8,191,301
(j)(k)
| |
|
Total
Investments — 133.0% (Cost — $807,645,541) |
778,408,186
| ||||
|
Liabilities
in Excess of Other Assets — (33.0)% |
(193,191,852
) | ||||
|
Total
Net Assets — 100.0% |
$585,216,334
| ||||
See
Notes to Consolidated Financial Statements.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
9
Consolidated
schedule of investments (unaudited) (cont’d)
May 31, 2026
Western
Asset Inflation-Linked Opportunities & Income Fund
|
†
|
Face
amount denominated in U.S. dollars, unless otherwise noted. |
|
††
|
Represents
less than 0.1%. |
|
(a)
|
All
or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements. |
|
(b)
|
All
or a portion of this security is held at the broker as collateral for open futures contracts. |
|
(c)
|
All
or a portion of this security is held at the broker as collateral for open centrally cleared swap 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)
|
Variable
rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate
securities
are not based on a published reference rate and spread but are determined by the issuer or agent and
are
based on current market conditions. These securities do not indicate a reference rate and spread in their
description
above. |
|
(f)
|
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. |
|
(g)
|
Securities
traded on a when-issued or delayed delivery basis. |
|
(h)
|
Interest
rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to
multiple
contracts under the same loan. |
|
(i)
|
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.
|
|
(j)
|
Rate
shown is one-day yield as of the end of the reporting period.
|
|
(k)
|
In
this instance, as defined in the Investment Company Act of 1940, as amended (the “1940
Act”),
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 May 31, 2026, the total market value of
investments
in Affiliated Companies was $8,191,301 and the cost was $8,191,301 (Note
7). |
|
Abbreviation(s)
used in this schedule: | ||
|
BRL
|
—
|
Brazilian
Real |
|
CAS
|
—
|
Connecticut
Avenue Securities |
|
GTD
|
—
|
Guaranteed
|
|
INR
|
—
|
Indian
Rupee |
|
IO
|
—
|
Interest
Only |
|
MXN
|
—
|
Mexican
Peso |
|
REMIC
|
—
|
Real
Estate Mortgage Investment Conduit |
|
SOFR
|
—
|
Secured
Overnight Financing Rate |
See
Notes to Consolidated Financial Statements.
10
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Western
Asset Inflation-Linked Opportunities & Income Fund
At May 31, 2026,
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. |
3.900%
|
12/5/2025
|
6/5/2026
|
$197,293,637
|
U.S.
Treasury Inflation Protected
Securities
Cash
|
$200,146,647
3,030,000
|
|
|
|
|
|
$197,293,637
|
|
$203,176,647
|
|
*
|
Refer
to the Consolidated Schedule of Investments for positions held at the counterparty as collateral for reverse
repurchase
agreements. |
|
**
|
Including
accrued interest. |
At May 31, 2026, 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
SOFR |
141
|
6/26
|
$34,020,071
|
$33,970,425
|
$(49,646
) |
|
Australian
Dollar |
30
|
9/26
|
2,142,062
|
2,150,100
|
8,038
|
|
U.S.
Treasury 5-Year Notes |
126
|
9/26
|
13,455,792
|
13,508,578
|
52,786
|
|
|
|
|
|
|
11,178
|
|
Contracts
to Sell: |
|
|
|
|
|
|
U.S.
Treasury 10-Year Notes |
62
|
9/26
|
6,757,913
|
6,809,344
|
(51,431
) |
|
U.S.
Treasury Ultra Long-
Term
Bonds |
92
|
9/26
|
10,364,744
|
10,525,375
|
(160,631
) |
|
|
|
|
|
|
(212,062
) |
|
Net
unrealized depreciation on open futures contracts |
$(200,884
) | ||||
|
Abbreviation(s)
used in this table: | ||
|
SOFR
|
—
|
Secured
Overnight Financing Rate |
At May 31, 2026, the Fund had the
following open forward foreign currency contracts:
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
| ||
|
BRL
|
26,884,082
|
USD
|
5,316,317
|
Citibank
N.A. |
6/2/26
|
$9,064
|
|
USD
|
5,058,202
|
BRL
|
26,884,082
|
Citibank
N.A. |
6/2/26
|
(267,178
) |
|
BRL
|
34,130,191
|
USD
|
6,749,232
|
JPMorgan
Chase & Co. |
6/2/26
|
11,507
|
|
BRL
|
61,014,273
|
USD
|
12,067,696
|
JPMorgan
Chase & Co. |
6/2/26
|
18,423
|
|
USD
|
6,458,791
|
BRL
|
34,130,191
|
JPMorgan
Chase & Co. |
6/2/26
|
(301,948
) |
See
Notes to Consolidated Financial Statements.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
11
Consolidated
schedule of investments (unaudited) (cont’d)
May 31, 2026
Western
Asset Inflation-Linked Opportunities & Income Fund
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
| ||
|
USD
|
12,065,549
|
BRL
|
61,014,273
|
JPMorgan
Chase & Co. |
6/2/26
|
$(20,571
) |
|
INR
|
18,460,480
|
USD
|
193,101
|
Bank
of America N.A. |
7/16/26
|
262
|
|
INR
|
18,639,499
|
USD
|
196,910
|
Bank
of America N.A. |
7/16/26
|
(1,672
) |
|
USD
|
2,303,220
|
INR
|
217,400,962
|
Citibank
N.A. |
7/16/26
|
26,071
|
|
ZAR
|
49,134,342
|
USD
|
2,886,612
|
Goldman
Sachs Group Inc. |
7/16/26
|
131,629
|
|
USD
|
7,313,300
|
MXN
|
130,992,904
|
Morgan
Stanley & Co. Inc. |
7/16/26
|
(211,763
) |
|
USD
|
11,802,285
|
BRL
|
61,014,273
|
JPMorgan
Chase & Co. |
9/2/26
|
(16,107
) |
|
Net
unrealized depreciation on open forward foreign currency contracts |
$(622,283
) | |||||
|
Abbreviation(s)
used in this table: | ||
|
BRL
|
—
|
Brazilian
Real |
|
INR
|
—
|
Indian
Rupee |
|
MXN
|
—
|
Mexican
Peso |
|
USD
|
—
|
United
States Dollar |
|
ZAR
|
—
|
South
African Rand |
At May 31, 2026, the Fund had the
following open swap contracts:
|
CENTRALLY
CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1
| ||||||
|
Reference
Entity |
Notional
Amount2
|
Termination
Date
|
Periodic
Payments
Received
by
the
Fund†
|
Market
Value3
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
|
|
Markit
CDX.NA.HY.46 Index |
$23,703,570
|
6/20/31
|
5.000%
quarterly |
$1,964,635
|
$911,367
|
$1,053,268
|
|
Markit
CDX.NA.IG.46 Index |
23,605,000
|
6/20/31
|
1.000%
quarterly |
528,999
|
379,156
|
149,843
|
|
Total
|
$47,308,570
|
|
|
$2,493,634
|
$1,290,523
|
$1,203,111
|
|
OTC
TOTAL RETURN SWAPS | |||||||
|
Swap
Counterparty
|
Notional
Amount
|
Termination
Date
|
Periodic
Payments
Made
by
the
Fund†
|
Periodic
Payments
Received
by
the
Fund‡
|
Market
Value
|
Upfront
Premiums
Paid
(Received)
|
Unrealized
Appreciation
|
|
JPMorgan
Chase
& Co. |
$8,078,970
|
7/9/26
|
Daily
SOFR
Compound
+
1.100%**
|
JPEIFNTR^**
|
$528,977
|
—
|
$528,977
|
See
Notes to Consolidated Financial Statements.
12
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Western
Asset Inflation-Linked Opportunities & Income Fund
|
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. |
|
‡
|
Periodic
payments made/received by the Fund are based on the total return of the referenced entity. |
|
^
|
Custom
emerging markets debt basket is comprised of 42 bonds in the Sovereign Frontier sector. |
|
**
|
One
time payment made at termination date. |
Reference rate(s) and their value(s)
as of period end used in this table:
|
Reference
Index |
Reference
Rate
|
|
Daily
SOFR Compound |
3.630%
|
|
Abbreviation(s)
used in this table: | ||
|
JPEIFNTR
|
—
|
Western
Asset Management Emerging Markets Frontier Custom Basket |
|
SOFR
|
—
|
Secured
Overnight Financing Rate |
See
Notes to Consolidated Financial Statements.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
13
Consolidated
schedule of investments (unaudited) (cont’d)
May 31, 2026
Western
Asset Inflation-Linked Opportunities & Income Fund
The following
table provides information about the underlying components of the JPEIFNTR total
return swap,
as of period end.
|
Security
|
Face
Amount
|
Value
|
Weight
|
|
Angolan
Government International Bond, 9.125% due 11/26/49 |
$12,431,227
|
$11,848,513
|
6.08%
|
|
Argentine
Republic Government International Bond, 3.500%
due
7/9/41 |
8,269,000
|
5,936,232
|
3.04%
|
|
Argentine
Republic Government International Bond, 5.000%
due
1/9/38 |
7,303,000
|
5,877,655
|
3.01%
|
|
Bahamas
Government International Bond, 8.250% due 6/24/36 |
6,521,000
|
7,288,848
|
3.74%
|
|
Benin
Government International Bond, 7.960% due 2/13/38 |
5,468,000
|
5,768,029
|
2.96%
|
|
Costa
Rica Government International Bond, 6.550% due 4/3/34 |
7,054,000
|
7,501,929
|
3.85%
|
|
Dominican
Republic International Bond, 4.500% due 1/30/30 |
9,696,025
|
9,376,929
|
4.81%
|
|
Ecuador
Government International Bond, 6.900% due 7/31/35 |
7,778,430
|
7,139,374
|
3.66%
|
|
Ecuador
Government International Bond, 8.750% due 1/29/34 |
2,617,500
|
2,655,428
|
1.36%
|
|
Egypt
Government International Bond, 5.800% due 9/30/27 |
3,806,000
|
3,813,155
|
1.95%
|
|
Egypt
Government International Bond, 7.903% due 2/21/48 |
4,478,882
|
3,997,850
|
2.05%
|
|
El
Salvador Government International Bond, 7.125% due
1/20/50
|
6,460,563
|
5,881,309
|
3.02%
|
|
Ethiopia
International Bond, 6.625% due 12/11/27(a)
|
6,384,935
|
6,503,256
|
3.33%
|
|
Ghana
Government International Bond, 5.000% due 7/3/29 |
2,981,000
|
2,561,538
|
1.31%
|
|
Ghana
Government International Bond, 5.000% due 7/3/35 |
4,267,000
|
3,993,571
|
2.05%
|
|
Guatemala
Government Bond, 5.375% due 4/24/32 |
6,704,000
|
6,737,520
|
3.45%
|
|
Ivory
Coast Government International Bond, 6.750% due
2/25/41
|
8,650,370
|
8,266,510
|
4.24%
|
|
Ivory
Coast Government International Bond, 7.625% due
1/30/33
|
5,402,221
|
5,764,170
|
2.96%
|
|
Jordan
Government International Bond, 7.500% due 1/13/29 |
3,562,465
|
3,727,229
|
1.91%
|
|
Mozambique
International Bond, 9.000% due 9/15/31 |
4,420,000
|
3,842,262
|
1.97%
|
|
Nigeria
Government International Bond, 7.375% due 9/28/33 |
11,573,319
|
11,895,404
|
6.10%
|
|
Paraguay
Government International Bond, 6.100% due 8/11/44 |
4,634,861
|
4,683,434
|
2.40%
|
|
Petroleos
de Venezuela SA, 5.375% due 4/12/27(a)
|
25,262,896
|
9,423,937
|
4.83%
|
|
Provincia
de Buenos Aires/Government Bonds, 6.625% due
9/1/37
|
4,768,517
|
3,405,226
|
1.75%
|
|
Republic
of Kenya Government International Bond, 6.300% due
1/23/34
|
5,530,744
|
4,998,299
|
2.56%
|
|
Republic
of South Africa Government International Bond,
5.000%
due 10/12/46 |
9,040,433
|
7,051,538
|
3.62%
|
|
Republic
of Uzbekistan International Bond, 3.900% due
10/19/31
|
6,082,293
|
5,651,667
|
2.90%
|
|
Senegal
Government International Bond, 6.250% due 5/23/33 |
3,222,000
|
1,683,495
|
0.86%
|
|
Senegal
Government International Bond, 6.750% due 3/13/48 |
6,888,000
|
3,495,660
|
1.79%
|
|
Sri
Lanka Government International Bond, 3.100% due 1/15/30 |
2,528,000
|
2,477,440
|
1.27%
|
See
Notes to Consolidated Financial Statements.
14
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Western
Asset Inflation-Linked Opportunities & Income Fund
|
Security
|
Face
Amount
|
Value
|
Weight
|
|
Sri
Lanka Government International Bond, 3.350% due 3/15/33 |
$2,245,000
|
$2,059,787
|
1.06%
|
|
Sri
Lanka Government International Bond, 3.600% due 6/15/35 |
3,195,000
|
2,544,019
|
1.30%
|
|
Sri
Lanka Government International Bond, 3.600% due 5/15/36 |
1,067,000
|
1,037,657
|
0.53%
|
|
Sri
Lanka Government International Bond, 3.600% due 2/15/38 |
1,582,000
|
1,540,473
|
0.79%
|
|
Sri
Lanka Government International Bond, 4.000% due 4/15/28 |
730,384
|
370,407
|
0.19%
|
|
Ukraine
Government International Bond, 0.000% due 2/1/34 |
2,109,000
|
1,120,934
|
0.57%
|
|
Ukraine
Government International Bond, 0.000% due 2/1/35 |
1,806,000
|
1,043,868
|
0.54%
|
|
Ukraine
Government International Bond, 0.000% due 2/1/36 |
1,815,000
|
1,047,255
|
0.54%
|
|
Ukraine
Government International Bond, 4.500% due 2/1/34 |
3,163,000
|
2,166,655
|
1.11%
|
|
Ukraine
Government International Bond, 4.500% due 2/1/35 |
3,132,788
|
2,114,632
|
1.08%
|
|
Ukraine
Government International Bond, 4.500% due 2/1/36 |
1,641,000
|
1,091,265
|
0.56%
|
|
Zambia
Government International Bond, 0.500% due 12/31/53 |
7,139,384
|
5,647,610
|
2.90%
|
|
Total
|
|
$195,031,969
|
100.00%
|
(a)
The
coupon payment on this security is currently in default as of May 31, 2026.
See
Notes to Consolidated Financial Statements.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
15
Consolidated
statement of assets and liabilities
(unaudited)
May 31, 2026
|
Assets:
|
|
|
Investments
in unaffiliated securities, at value (Cost — $799,454,240) |
$770,216,885
|
|
Investments
in affiliated securities, at value (Cost — $8,191,301) |
8,191,301
|
|
Foreign
currency, at value (Cost — $2,663,564) |
2,740,289
|
|
Interest
receivable |
3,860,785
|
|
Deposits
with brokers for open reverse repurchase agreements |
3,030,000
|
|
Deposits
with brokers for open futures contracts |
590,986
|
|
OTC
swaps, at value (premiums paid — $0) |
528,977
|
|
Principal
paydown receivable |
286,177
|
|
Deposits
with brokers for OTC derivatives |
210,000
|
|
Unrealized
appreciation on forward foreign currency contracts |
196,956
|
|
Receivable
from brokers — net variation margin on open futures contracts |
176,811
|
|
Dividends
receivable from affiliated investments |
24,166
|
|
Deposits
with brokers for centrally cleared swap contracts |
20,720
|
|
Receivable
from brokers — net variation margin on centrally cleared swap contracts |
11,358
|
|
Foreign
currency collateral for open futures contracts, at value (Cost — $769) |
854
|
|
Prepaid
expenses |
18,381
|
|
Total
Assets |
790,104,646
|
|
Liabilities:
|
|
|
Payable
for open reverse repurchase agreements (Note
3) |
197,293,637
|
|
Interest
expense payable |
3,804,479
|
|
Payable
for securities purchased |
2,459,725
|
|
Unrealized
depreciation on forward foreign currency contracts |
819,239
|
|
Investment
management fee payable |
231,886
|
|
Payable
for open OTC swap contracts |
59,427
|
|
Administration
fee payable |
33,233
|
|
Trustees’
fees payable |
593
|
|
Accrued
expenses |
186,093
|
|
Total
Liabilities |
204,888,312
|
|
Total
Net Assets |
$585,216,334
|
|
Net
Assets: |
|
|
Common
shares, no par value, unlimited number of shares authorized, 61,184,134 shares
issued
and outstanding |
$790,399,186
|
|
Total
distributable earnings (loss)
|
(205,182,852
) |
|
Total
Net Assets |
$585,216,334
|
|
Shares
Outstanding |
61,184,134
|
|
Net
Asset Value |
$9.56
|
See
Notes to Consolidated Financial Statements.
16
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Consolidated
statement of operations (unaudited)
For the Six Months Ended May 31,
2026
|
Investment
Income: |
|
|
Interest
|
$19,991,999
|
|
Dividends
from affiliated investments |
170,269
|
|
Less:
Foreign taxes withheld |
(1,852
) |
|
Total
Investment Income |
20,160,416
|
|
Expenses:
|
|
|
Interest
expense (Note
3) |
3,922,898
|
|
Investment
management fee (Note
2) |
1,373,595
|
|
Administration
fees (Note
2) |
196,228
|
|
Shareholder
reports |
48,245
|
|
Fund
accounting fees |
47,321
|
|
Audit
and tax fees |
34,247
|
|
Legal
fees |
30,218
|
|
Transfer
agent fees |
24,525
|
|
Stock
exchange listing fees |
15,653
|
|
Custody
fees |
10,763
|
|
Trustees’
fees |
8,617
|
|
Commodity
pool reports |
5,984
|
|
Insurance
|
2,879
|
|
Miscellaneous
expenses |
9,740
|
|
Total
Expenses |
5,730,913
|
|
Less:
Fee waivers and/or expense reimbursements (Note
2) |
(5,658
) |
|
Net
Expenses |
5,725,255
|
|
Net
Investment Income |
14,435,161
|
|
Realized
and Unrealized Gain (Loss) on Investments, Futures Contracts, Written Options, Swap
Contracts,
Forward Foreign Currency Contracts and Foreign Currency Transactions
(Notes
1, 3 and 4): | |
|
Net
Realized Gain (Loss) From: |
|
|
Investment
transactions in unaffiliated securities |
37,834
|
|
Futures
contracts |
3,239,617
|
|
Written
options |
48,505
|
|
Swap
contracts |
354,960
|
|
Forward
foreign currency contracts |
(648,239
) |
|
Foreign
currency transactions |
77,408
|
|
Net
Realized Gain
|
3,110,085
|
|
Change
in Net Unrealized Appreciation (Depreciation) From: |
|
|
Investments
in unaffiliated securities |
(5,974,724
) |
|
Futures
contracts |
(384,450
) |
|
Swap
contracts |
1,217,573
|
|
Forward
foreign currency contracts |
(514,892
) |
|
Foreign
currencies |
53,029
|
|
Change
in Net Unrealized Appreciation (Depreciation)
|
(5,603,464
) |
|
Net
Loss on Investments, Futures Contracts, Written Options, Swap Contracts,
Forward
Foreign Currency Contracts and Foreign Currency Transactions
|
(2,493,379
) |
|
Increase
in Net Assets From Operations |
$11,941,782
|
See
Notes to Consolidated Financial Statements.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
17
Consolidated
statements of changes in net assets
|
For
the Six Months Ended May 31, 2026 (unaudited)
and
the Year Ended November 30, 2025 |
2026
|
2025
|
|
Operations:
|
|
|
|
Net
investment income
|
$14,435,161
|
$25,349,680
|
|
Net
realized gain (loss)
|
3,110,085
|
(30,811,807
) |
|
Change
in net unrealized appreciation (depreciation)
|
(5,603,464
) |
49,131,222
|
|
Increase
in Net Assets From Operations |
11,941,782
|
43,669,095
|
|
Distributions
to Shareholders From (Note
1): |
|
|
|
Total
distributable earnings |
(22,944,050
) |
(25,482,670
) |
|
Return
of capital |
—
|
(20,038,326
) |
|
Decrease
in Net Assets From Distributions to Shareholders |
(22,944,050
) |
(45,520,996
) |
|
Decrease
in Net Assets |
(11,002,268
) |
(1,851,901
) |
|
Net
Assets: |
|
|
|
Beginning
of period |
596,218,602
|
598,070,503
|
|
End
of period |
$585,216,334
|
$596,218,602
|
See
Notes to Consolidated Financial Statements.
18
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Consolidated
statement of cash flows (unaudited)
For the Six Months Ended May 31,
2026
|
Increase
(Decrease) in Cash: |
|
|
Cash
Flows from Operating Activities: |
|
|
Net
increase in net assets resulting from operations |
$11,941,782
|
|
Adjustments
to reconcile net increase in net assets resulting from operations to net cash
provided
(used) by operating activities: |
|
|
Purchases
of portfolio securities |
(111,896,464
) |
|
Sales
of portfolio securities |
128,057,207
|
|
Net
purchases, sales and maturities of short-term investments |
40,762,113
|
|
Net
inflation adjustment |
(11,882,330
) |
|
Net
amortization of premium (accretion of discount) |
925,304
|
|
Increase
in interest receivable |
(70,192
) |
|
Decrease
in receivable from brokers — net variation margin on centrally cleared swap
contracts
|
42,318
|
|
Increase
in prepaid expenses |
(12,825
) |
|
Decrease
in other receivables |
15,738
|
|
Increase
in dividends receivable from affiliated investments |
(7,249
) |
|
Increase
in principal paydown receivable |
(286,177
) |
|
Increase
in receivable from brokers — net variation margin on open futures contracts |
(66,356
) |
|
Increase
in payable for securities purchased |
2,459,725
|
|
Decrease
in investment management fee payable |
(7,619
) |
|
Decrease
in Trustees’ fees payable |
(194
) |
|
Decrease
in administration fee payable |
(1,071
) |
|
Decrease
in interest expense payable |
(935,435
) |
|
Decrease
in payable for open OTC swap contracts |
(4,074
) |
|
Decrease
in accrued expenses |
(67,361
) |
|
Net
realized gain on investments |
(37,834
) |
|
Change
in net unrealized appreciation (depreciation) of investments, OTC swap contracts
and
forward foreign currency contracts |
6,443,134
|
|
Net
Cash Provided in Operating Activities* |
65,372,140
|
|
Cash
Flows from Financing Activities: |
|
|
Distributions
paid on common stock |
(22,944,050
) |
|
Decrease
in payable for open reverse repurchase agreements |
(40,602,673
) |
|
Net
Cash Used by Financing Activities |
(63,546,723
) |
|
Net
Increase in Cash and Restricted Cash |
1,825,417
|
|
Cash
and restricted cash at beginning of period |
4,767,432
|
|
Cash
and restricted cash at end of period |
$6,592,849
|
|
*
|
Included
in operating expenses is $4,928,333 paid for interest on borrowings. |
See
Notes to Consolidated Financial Statements.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
19
Consolidated
statement of cash flows (unaudited)
(cont’d)
For the Six Months Ended May 31,
2026
The following
table provides a reconciliation of cash (including foreign currency) and restricted cash reported within
the Consolidated Statement of Assets and Liabilities that sums to the total of such amounts shown on the
Consolidated
Statement of Cash Flows.
|
|
May
31, 2026 |
|
Cash
|
$2,740,289
|
|
Restricted
cash |
3,852,560
|
|
Total
cash and restricted cash shown in the Consolidated Statement of Cash Flows |
$6,592,849
|
Restricted cash consists of cash
that has been segregated to cover the Fund’s collateral or margin obligations under
derivative contracts and for reverse repurchase agreements. It is separately reported on the Consolidated Statement
of Assets and Liabilities as Deposits with brokers.
See
Notes to Consolidated Financial Statements.
20
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Consolidated financial
highlights
|
For
a share of common stock outstanding throughout each year ended November 30,
unless
otherwise noted: | ||||||
|
|
20261,2
|
20251
|
20241
|
20231
|
20221
|
20211
|
|
Net
asset value, beginning of period |
$9.74
|
$9.77
|
$9.92
|
$10.98
|
$14.59
|
$13.65
|
|
Income
(loss) from operations: | ||||||
|
Net
investment income |
0.24
|
0.41
|
0.28
|
0.36
|
1.16
|
0.88
|
|
Net
realized and unrealized gain (loss) |
(0.04
) |
0.30
|
0.30
|
(0.34
) |
(3.38
) |
0.48
|
|
Total
income (loss) from operations |
0.20
|
0.71
|
0.58
|
0.02
|
(2.22)
|
1.36
|
|
Less
distributions from: |
|
|
|
|
|
|
|
Net
investment income |
(0.38
)3
|
(0.41
) |
(0.67
) |
(1.08
) |
(1.05
) |
(0.31
) |
|
Net
realized gains |
—
|
—
|
—
|
—
|
(0.34
) |
(0.11
) |
|
Return
of capital |
—
|
(0.33
) |
(0.06
) |
—
|
—
|
—
|
|
Total
distributions |
(0.38
) |
(0.74
) |
(0.73
) |
(1.08
) |
(1.39
) |
(0.42
) |
|
Net
asset value, end of period |
$9.56
|
$9.74
|
$9.77
|
$9.92
|
$10.98
|
$14.59
|
|
Market
price, end of period |
$8.51
|
$8.84
|
$8.69
|
$8.51
|
$9.54
|
$13.51
|
|
Total
return, based on NAV4,5
|
2.07
% |
7.63
% |
5.93
% |
0.17
% |
(16.15
)% |
10.09
% |
|
Total
return, based on Market Price6
|
0.55
% |
10.76
% |
11.05
% |
0.57
% |
(20.42
)% |
17.88
% |
|
Net
assets, end of period (millions) |
$585
|
$596
|
$598
|
$607
|
$672
|
$893
|
|
Ratios
to average net assets: | ||||||
|
Gross
expenses7
|
1.95
%8
|
2.59
% |
3.57
% |
4.10
% |
1.49
% |
0.71
% |
|
Net
expenses7,9,10
|
1.95
8
|
2.59
|
3.57
|
4.10
|
1.49
|
0.71
|
|
Net
investment income |
4.92
8
|
4.26
|
2.83
|
3.42
|
9.32
|
6.19
|
|
Portfolio
turnover rate |
14
% |
28
% |
13
% |
16
% |
28
% |
26
% |
See
Notes to Consolidated Financial Statements.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
21
Consolidated financial
highlights (cont’d)
|
1
|
Per
share amounts have been calculated using the average shares method. |
|
2
|
For
the six months ended May 31, 2026 (unaudited). |
|
3
|
The
actual source of the Fund’s current fiscal year distributions may be from net investment income, realized
capital
gains, return of capital or a combination thereof. Shareholders will be informed of the tax characteristics of
the
distributions after the close of the fiscal year. |
|
4
|
Performance
figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements.
In
the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total
return
would have been lower. Past performance is no guarantee of future results. Total returns for periods of less
than
one year are not annualized. |
|
5
|
The
total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of
future
results. Total returns for periods of less than one year are not annualized. |
|
6
|
The
total return calculation assumes that distributions are reinvested in accordance with the Fund’s dividend
reinvestment
plan. Past performance is no guarantee of future results. Total returns for periods of less than one
year
are not annualized. |
|
7
|
Includes
expenses related to borrowings of 1.34%, 1.95%, 2.86%, 3.11%, 0.61% and 0.03% for the six months
ended
May 31, 2026 and years ended November 30, 2025, 2024, 2023, 2022 and 2021, respectively. |
|
8
|
Annualized.
|
|
9
|
The
investment adviser has agreed to waive the Fund’s management fee to an extent sufficient to offset the net
management
fee payable in connection with any investment in an affiliated money market fund. |
|
10
|
Reflects
fee waivers and/or expense reimbursements. |
See
Notes to Consolidated Financial Statements.
22
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Notes
to consolidated financial statements
(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. These financial statements are consolidated
financial statements of the Fund and the Subsidiary. All interfund transactions have
been eliminated in consolidation.
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. Estimates and assumptions
are required to be made regarding assets, liabilities and changes in net assets resulting
from operations when financial statements are prepared. Changes in the economic environment,
financial markets and any other parameters used in determining these estimates
could cause actual results to differ. Subsequent events have been evaluated through
the date the financial statements were issued.
(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
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
23
Notes
to consolidated financial statements
(unaudited) (cont’d)
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 adviser to be unreliable, the market price may be determined by the adviser 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”).
Pursuant to policies adopted by
the Board, the Fund’s adviser has been designated as the valuation
designee and is responsible for the oversight of the daily valuation process. The Fund’s
adviser 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 adviser
and the Board. 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.
24
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
For each portfolio
security that has been fair valued pursuant to the policies adopted by the Board,
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 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)
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 |
—
|
$635,623,229
|
—
|
$635,623,229
|
|
Corporate
Bonds & Notes |
—
|
46,328,725
|
—
|
46,328,725
|
|
Collateralized
Mortgage
Obligations
|
—
|
45,064,720
|
—
|
45,064,720
|
|
Non-U.S.
Treasury Inflation
Protected
Securities |
—
|
21,350,599
|
—
|
21,350,599
|
|
Sovereign
Bonds |
—
|
12,295,291
|
—
|
12,295,291
|
|
Senior
Loans |
—
|
9,110,966
|
—
|
9,110,966
|
|
Asset-Backed
Securities |
—
|
443,355
|
—
|
443,355
|
|
Total
Long-Term Investments |
—
|
770,216,885
|
—
|
770,216,885
|
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
25
Notes
to consolidated financial statements
(unaudited) (cont’d)
|
ASSETS (cont’d)
| ||||
|
Description
|
Quoted
Prices
(Level
1) |
Other
Significant
Observable
Inputs
(Level
2) |
Significant
Unobservable
Inputs
(Level
3) |
Total
|
|
Short-Term
Investments† |
$8,191,301
|
—
|
—
|
$8,191,301
|
|
Total
Investments |
$8,191,301
|
$770,216,885
|
—
|
$778,408,186
|
|
Other
Financial Instruments: |
|
|
|
|
|
Futures
Contracts†† |
$60,824
|
—
|
—
|
$60,824
|
|
Forward
Foreign Currency
Contracts††
|
—
|
$196,956
|
—
|
196,956
|
|
Centrally
Cleared Credit
Default
Swaps on Credit
Indices
— Sell Protection†† |
—
|
1,203,111
|
—
|
1,203,111
|
|
OTC
Total Return Swaps |
—
|
528,977
|
—
|
528,977
|
|
Total
Other Financial
Instruments
|
$60,824
|
$1,929,044
|
—
|
$1,989,868
|
|
Total
|
$8,252,125
|
$772,145,929
|
—
|
$780,398,054
|
|
LIABILITIES
| ||||
|
Description
|
Quoted
Prices
(Level
1) |
Other
Significant
Observable
Inputs
(Level
2) |
Significant
Unobservable
Inputs
(Level
3) |
Total
|
|
Other
Financial Instruments: |
|
|
|
|
|
Futures
Contracts†† |
$261,708
|
—
|
—
|
$261,708
|
|
Forward
Foreign Currency
Contracts††
|
—
|
$819,239
|
—
|
819,239
|
|
Total
|
$261,708
|
$819,239
|
—
|
$1,080,947
|
|
†
|
See
Consolidated Schedule of Investments for additional detailed categorizations. |
|
††
|
Reflects
the unrealized appreciation (depreciation) of the instruments. |
(b) Written
options. The
Fund may write option contracts generally to gain or reduce exposure
to certain types of investments or market factors or as a means of attempting to enhance
returns. When the Fund writes an option, an amount equal to the premium received
by the Fund is recorded as a liability, the value of which is marked-to-market daily to
reflect the current market value of the option written. If the option expires, the premium received
is recorded as a realized gain. When a written call option is exercised, the difference
between the premium received plus the option exercise price and the Fund’s basis
in the underlying security (in the case of a covered written call option), or the cost to purchase
the underlying security (in the case of an uncovered written call option), including brokerage
commission, is recognized as a realized gain or loss. When a written put option is exercised,
the amount of the premium received is subtracted from the cost of the security purchased
by the Fund from the exercise of the written put option to form the Fund’s basis in
the underlying security purchased. The writer or buyer of an option traded on an exchange
can liquidate the position before the exercise of the option by entering into a
26
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Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
closing transaction.
The cost of a closing transaction is deducted from the original premium received
resulting in a realized gain or loss to the Fund.
The risk in writing a covered call
option is that the Fund may forego the opportunity of profit if
the market price of the underlying security increases and the option is exercised. The risk in
writing a put option is that the Fund may incur a loss if the market price of the underlying security
decreases and the option is exercised. The risk in writing an uncovered call option is
that the Fund is exposed to the risk of loss if the market price of the underlying security increases.
In addition, there is the risk that the Fund may not be able to enter into a closing transaction
because of an illiquid secondary market.
(c) Futures
contracts. The
Fund uses futures contracts generally to gain exposure to, or hedge
against, changes in interest rates or gain exposure to, or hedge against, changes in certain
asset classes. A futures contract represents a commitment for the future purchase or
sale of an asset at a specified price on a specified date.
Upon entering into a futures contract,
the Fund is required to deposit cash or securities with a
broker in an amount equal to a certain percentage of the contract amount. This is known as
the ‘‘initial margin’’ and subsequent payments (‘‘variation margin’’) are made or received
by the Fund each day, depending on the daily fluctuation
in the value of the contract. For certain futures, including
foreign denominated futures, variation margin is not settled daily, but
is recorded as a net variation margin payable or receivable. The daily changes in contract
value are recorded as unrealized appreciation or depreciation in the Consolidated Statement
of Operations and the Fund recognizes a realized gain or loss when the contract is
closed.
Futures contracts involve, to varying
degrees, risk of loss in excess of the amounts reflected in
the financial statements. In addition, there is the risk that the Fund may not be able to enter
into a closing transaction because of an illiquid secondary market.
(d) Forward
foreign currency contracts. The
Fund enters into a forward foreign currency contract
to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated
securities or to facilitate settlement of a foreign currency denominated portfolio
transaction. A forward foreign currency contract is an agreement between two parties
to buy and sell a currency at a set price with delivery and settlement at a future date.
The contract is marked-to-market daily and the change in value is recorded by the Fund as
an unrealized gain or loss. When a forward foreign currency contract is closed, through
either delivery or offset by entering into another forward foreign currency contract, the
Fund recognizes a realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value of the contract at the time it is closed.
Non-deliverable forward foreign
currency exchange contracts are settled with the counterparty
in cash without the delivery of foreign currency.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
27
Notes
to consolidated financial statements
(unaudited) (cont’d)
Forward foreign
currency contracts involve elements of market risk in excess of the amounts reflected
on the Consolidated Statement of Assets and Liabilities. The Fund bears the risk of
an unfavorable change in the foreign exchange rate underlying the forward foreign currency
contract. Risks may also arise upon entering into these contracts from the potential
inability of the counterparties to meet the terms of their contracts.
(e) Swap
agreements. The
Fund invests in swaps for the purpose of managing its exposure
to interest rate, credit or market risk, or for other purposes, including to increase the
Fund’s return. The use of swaps involves risks that are different from those associated with
other portfolio transactions. Swap agreements are privately negotiated in the over-the-counter
market and may be entered into as a bilateral contract (“OTC Swaps”) or centrally cleared
(“Centrally Cleared Swaps”). Unlike Centrally Cleared Swaps, the Fund has credit exposure
to the counterparties of OTC Swaps.
In a Centrally Cleared Swap, immediately
following execution of the swap, the swap agreement is
submitted to a clearinghouse or central counterparty (the “CCP”) and the CCP becomes
the ultimate counterparty of the swap agreement. The Fund is required to interface
with the CCP through a broker, acting in an agency capacity. All payments are settled
with the CCP through the broker. Upon entering into a Centrally Cleared Swap, the Fund
is required to deposit initial margin with the broker in the form of cash or securities.
Swap contracts are marked-to-market
daily and changes in value are recorded as unrealized appreciation
(depreciation). The daily change in valuation of Centrally Cleared Swaps, if any,
is recorded as a net receivable or payable for variation margin on the Consolidated Statement
of Assets and Liabilities. Gains or losses are realized upon termination of the swap
agreement. Collateral, in the form of restricted cash or securities, may be required to be
held in segregated accounts with the Fund’s custodian in compliance with the terms of the
swap contracts. Securities posted as collateral for swap contracts are identified in the Consolidated
Schedule of Investments and restricted cash, if any, is identified on the Consolidated
Statement of Assets and Liabilities. Risks may exceed amounts recorded in the
Consolidated Statement of Assets and Liabilities. These risks include changes in the returns
of the underlying instruments, failure of the counterparties to perform under the contracts’
terms, and the possible lack of liquidity with respect to the swap agreements.
OTC Swap payments received or made
at the beginning of the measurement period are reflected
as a premium or deposit, respectively, on the Consolidated Statement of Assets and
Liabilities. These upfront payments are amortized over the life of the swap and are recognized
as realized gain or loss in the Consolidated Statement of Operations. Net periodic
payments received or paid by the Fund are recognized as a realized gain or loss in the
Consolidated Statement of Operations.
The Fund’s maximum exposure
in the event of a defined credit event on a credit default swap
to sell protection is the notional amount. As of May 31, 2026, the total notional value
28
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
of all credit
default swaps to sell protection was $47,308,570. This amount would be offset by
the value of the swap’s reference entity, upfront premiums received on the swap and any amounts
received from the settlement of a credit default swap where the Fund bought protection
for the same referenced security/entity.
For average notional amounts of
swaps held during the six months
ended May 31, 2026, see Note 4.
Credit default
swaps
The Fund enters into credit default
swap (“CDS”) contracts for investment purposes, to manage
its credit risk or to add leverage. CDS agreements involve one party making a stream
of payments to another party in exchange for the right to receive a specified return in
the event of a default by a third party, typically corporate or sovereign issuers, on a specified
obligation, or in the event of a write-down, principal shortfall, interest shortfall or default
of all or part of the referenced entities comprising a credit index. The Fund may use a
CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund
has exposure to an issuer) or to take an active long or short position with respect to the
likelihood of a particular issuer’s default. As a seller of protection, the Fund generally receives
an upfront payment or a stream of payments throughout the term of the swap, provided
that there is no credit event. If the Fund is a seller of protection and a credit event occurs,
as defined under the terms of that particular swap agreement, the maximum potential
amount of future payments (undiscounted) that the Fund could be required to make
under a CDS agreement would be an amount equal to the notional amount of the agreement.
These amounts of potential payments will be partially offset by any recovery of values
from the respective referenced obligations. As a seller of protection, the Fund effectively
adds leverage to its portfolio because, in addition to its total net assets, the Fund
is subject to investment exposure on the notional amount of the swap. As a buyer of protection,
the Fund generally receives an amount up to the notional value of the swap if a credit
event occurs.
Implied spreads are the theoretical
prices a lender receives for credit default protection. When
spreads rise, market perceived credit risk rises and when spreads fall, market perceived
credit risk falls. The implied credit spread of a particular referenced entity reflects the
cost of buying/selling protection and may include upfront payments required to enter into
the agreement. Wider credit spreads and decreasing market values, 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. Credit spreads utilized in determining the period end
market value of CDS agreements on corporate or sovereign issues are disclosed in the Consolidated
Schedule of Investments and serve as an indicator of the current status of the payment/performance
risk and represent the likelihood or risk of default for credit derivatives.
For CDS agreements on asset-backed securities and credit indices, the quoted
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
29
Notes
to consolidated financial statements
(unaudited) (cont’d)
market prices
and resulting values, particularly in relation to the notional amount of the contract
as well as the annual payment rate, serve as an indication of the current status of the
payment/performance risk.
The Fund’s maximum risk of
loss from counterparty risk, as the protection buyer, is the fair value
of the contract (this risk is mitigated by the posting of collateral by the counterparty to the
Fund to cover the Fund’s exposure to the counterparty). As the protection seller, the Fund’s
maximum risk is the notional amount of the contract. CDS are considered to have credit
risk-related contingent features since they require payment by the protection seller to the
protection buyer upon the occurrence of a defined credit event.
Entering into a CDS agreement involves,
to varying degrees, elements of credit, market and documentation
risk in excess of the related amounts recognized on the Consolidated Statement
of Assets and Liabilities. Such risks involve the possibility that there will be no liquid
market for these agreements, that the counterparty to the agreement may default on its
obligation to perform or disagree as to the meaning of the contractual terms in the agreement,
and that there will be unfavorable changes in net interest rates.
Interest rate
swaps
The Fund enters into interest rate
swap contracts to manage its exposure to interest rate risk.
Interest rate swaps are agreements between two parties to exchange cash flows based
on a notional principal amount. The Fund may elect to pay a fixed rate and receive a floating
rate, receive a fixed rate and pay a floating rate, or pay and receive a floating rate, on
a notional principal amount. Interest rate swaps are marked-to-market daily based upon quotations
from market makers and the change in value, if any, is recorded as an unrealized appreciation
or depreciation in the Consolidated Statement of Operations. When a swap contract
is terminated early, the Fund records a realized gain or loss equal to the difference between
the original cost and the settlement amount of the closing transaction.
The risks of interest rate swaps
include changes in market conditions that will affect the value
of the contract or changes in the present value of the future cash flow streams and the
possible inability of the counterparty to fulfill its obligations under the agreement. The Fund’s
maximum risk of loss from counterparty credit risk is the discounted net value of the cash
flows to be received from the counterparty over the contract’s remaining life, to the extent
that amount is positive. This risk is mitigated by the posting of collateral by the counterparty
to the Fund to cover the Fund’s exposure to the counterparty.
Total return
swaps
The Fund enters into total return
swaps for investment purposes. Total return swaps are agreements
to exchange the return generated by one instrument for the return generated by another
instrument. For example, the agreement to pay a predetermined or fixed interest rate
in exchange for a market-linked return based on a notional amount. To the extent the total
return of a referenced index or instrument exceeds the offsetting interest obligation,
30
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
the Fund will
receive a payment from the counterparty. To the extent it is less, the Fund will make
a payment to the counterparty.
(f) Loan
participations. The
Fund may invest in loans arranged through private negotiation between
one or more financial institutions. The Fund’s investment in any such loan may be in
the form of a participation in or an assignment of the loan. In connection with purchasing participations,
the Fund generally will have no right to enforce compliance by the borrower with
the terms of the loan agreement related to the loan, or any rights of offset against the borrower
and the Fund may not benefit directly from any collateral supporting the loan in which
it has purchased the participation.
The Fund assumes the credit risk
of the borrower, the lender that is selling the participation and
any other persons interpositioned between the Fund and the borrower. In the event of the
insolvency of the lender selling the participation, the Fund may be treated as a general creditor
of the lender and may not benefit from any offset between the lender and the borrower.
(g) Stripped
securities. The
Fund may invest in ‘‘Stripped Securities,’’ a term used collectively
for components, or strips, of fixed income securities. Stripped Securities can be principal
only securities (“PO”), which are debt obligations that have been stripped of unmatured
interest coupons, or interest only securities (“IO”), which are unmatured interest coupons
that have been stripped from debt obligations. The market value of Stripped Securities
will fluctuate in response to changes in economic conditions, rates of pre-payment,
interest rates and the market’s perception of the securities. However, fluctuations in
response to interest rates may be greater in Stripped Securities than for debt obligations of
comparable maturities that pay interest currently. The amount of fluctuation may increase
with a longer period of maturity.
The yield to maturity on IO’s
is sensitive to the rate of principal repayments (including prepayments)
on the related underlying debt obligation and principal payments may have a material
effect on yield to maturity. If the underlying debt obligation experiences greater than
anticipated prepayments of principal, the Fund may not fully recoup its initial investment
in IO’s.
(h) Reverse
repurchase agreements. The
Fund may enter into reverse repurchase agreements. Under
the terms of a typical reverse repurchase agreement, a fund sells a security
subject to an obligation to repurchase the security from the buyer at an agreed upon
time and price. In the event the buyer of securities under a reverse repurchase agreement
files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement
may be restricted pending a determination by the counterparty, or its trustee or receiver,
whether to enforce the Fund’s obligation to repurchase the securities. In entering into
reverse repurchase agreements, the Fund will pledge cash, U.S. government securities or
other liquid debt obligations at least equal in value to its obligations with respect to
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
31
Notes
to consolidated financial statements
(unaudited) (cont’d)
reverse repurchase
agreements or will take other actions permitted by law to cover its obligations.
If the market value of the collateral declines during the period, the Fund may be required
to post additional collateral to cover its obligation. Cash collateral that has been pledged
to cover obligations of the Fund under reverse repurchase agreements, if any, will be
reported separately in the Consolidated Statement of Assets and Liabilities. Securities pledged
as collateral are noted in the Consolidated Schedule of Investments. Interest payments
made on reverse repurchase agreements are recognized as a component of “Interest
expense” on the Consolidated Statement of Operations. In periods of increased demand
for the security, the Fund may receive a fee for use of the security by the counterparty,
which may result in interest income to the Fund.
(i) Securities
traded on a when-issued and delayed delivery basis. The
Fund may trade securities on a when-issued or delayed
delivery basis. In when-issued and delayed delivery transactions,
the securities are purchased or sold by the Fund with payment and delivery
taking place in the future in order to secure what is considered to be an advantageous
price and yield to the Fund at the time of entering into the transaction.
Purchasing such securities involves
risk of loss if the value of the securities declines prior to settlement.
These securities are subject to market fluctuations and their current value is determined
in the same manner as for other securities.
(j) Inflation-indexed
bonds. Inflation-indexed
bonds are fixed income securities whose principal value
or interest rate is periodically adjusted according to the rate of inflation. As the
index measuring inflation changes, the principal value or interest rate of inflation-indexed
bonds will be adjusted accordingly. Inflation adjustments to the principal amount of inflation-indexed
bonds are reflected as an increase or decrease to investment income on the
Consolidated Statement of Operations. Repayment of the original bond principal upon maturity
(as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed
bonds. For bonds that do not provide a similar guarantee, the adjusted principal value
of the bond repaid at maturity may be less than the original principal.
(k) Cash
flow information. The
Fund invests in securities and distributes dividends from net
investment income and net realized gains, which are paid in cash and may be reinvested
at the discretion of shareholders. These activities are reported in the Consolidated
Statements of Changes in Net Assets and additional information on cash receipts
and cash payments is presented in the Consolidated Statement of Cash Flows.
(l) Foreign
currency translation. Investment
securities and other assets and liabilities denominated
in foreign currencies are translated into U.S. dollar amounts based upon prevailing
exchange rates on the date of valuation. Purchases and sales of investment securities
and income and expense items denominated in foreign currencies are translated into
U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such
transactions.
32
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
The Fund does not
isolate that portion of the results of operations resulting from fluctuations
in foreign exchange rates on investments from the fluctuations arising from changes
in market prices of securities held. Such fluctuations are included with the net realized
and unrealized gain or loss on investments.
Net realized foreign exchange gains
or losses arise from sales of foreign currencies, including
gains and losses on forward foreign currency contracts, currency gains or losses realized
between the trade and settlement dates on securities transactions, and the difference
between the amounts of dividends, interest, and foreign withholding taxes recorded
on the Fund’s books and the U.S. dollar equivalent of the amounts actually received
or paid. Net unrealized foreign exchange gains and losses arise from changes in the
values of assets and liabilities, other than investments in securities, on the date of valuation,
resulting from changes in exchange rates.
Foreign security and currency transactions
may involve certain considerations and risks not typically
associated with those of U.S. dollar denominated transactions as a result of, among
other factors, the possibility of lower levels of governmental supervision and regulation
of foreign securities markets and the possibility of political or economic instability.
(m) Credit
and market risk. The
Fund invests in high-yield and emerging market instruments
that are subject to certain credit and market risks. The yields of high-yield and emerging
market debt obligations reflect, among other things, perceived credit and market risks.
The Fund’s investments in securities rated below investment grade typically involve risks
not associated with higher rated securities including, among others, greater risk related
to timely and ultimate payment of interest and principal, greater market price volatility
and less liquid secondary market trading. The consequences of political, social, economic
or diplomatic changes may have disruptive effects on the market prices of investments
held by the Fund. The Fund’s investments in non-U.S. dollar denominated securities
may also result in foreign currency losses caused by devaluations and exchange rate
fluctuations.
Investments in securities that are
collateralized by real estate mortgages are subject to certain
credit and liquidity risks. When market conditions result in an increase in default rates
of the underlying mortgages and the foreclosure values of underlying real estate properties
are materially below the outstanding amount of these underlying mortgages, collection
of the full amount of accrued interest and principal on these investments may be doubtful.
Such market conditions may significantly impair the value and liquidity of these investments
and may result in a lack of correlation between their credit ratings and values.
(n) Foreign
investment risks. The
Fund’s investments in foreign securities may involve risks
not present in domestic investments. Since securities may be denominated in foreign currencies,
may require settlement in foreign currencies or may pay interest or dividends in
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
33
Notes
to consolidated financial statements
(unaudited) (cont’d)
foreign currencies,
changes in the relationship of these foreign currencies to the U.S. dollar can
significantly affect the value of the investments and earnings of the Fund. Foreign investments
may also subject the Fund to foreign government exchange restrictions, expropriation,
taxation or other political, social or economic developments, all of which affect
the market and/or credit risk of the investments.
(o) Counterparty
risk and credit-risk-related contingent features of derivative instruments. The
Fund may invest in certain securities or engage in other transactions, where
the Fund is exposed to counterparty credit risk in addition to broader market risks. The
Fund may invest in securities of issuers, which may also be considered counterparties as
trading partners in other transactions. This may increase the risk of loss in the event of default
or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual
obligations. The Fund’s investment adviser attempts to mitigate counterparty risk
by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or
limiting the amount of its net exposure to each individual counterparty based on its assessment
and (iii) requiring collateral from the counterparty for certain transactions. Market
events and changes in overall economic conditions may impact the assessment of such
counterparty risk by the investment adviser. In addition, declines in the values of underlying
collateral received may expose the Fund to increased risk of loss.
With exchange traded and centrally
cleared derivatives, there is less counterparty risk to the
Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees
against a possible default. The clearinghouse stands between the buyer and the seller
of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While
offset rights may exist under applicable law, the Fund does not have a contractual right
of offset against a clearing broker or clearinghouse in the event of a default of the clearing
broker or clearinghouse.
The Fund has entered into master
agreements, such as an International Swaps and Derivatives
Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement,
with certain of its derivative counterparties that govern over-the-counter (“OTC”)
derivatives and provide for general obligations, representations, agreements, collateral
posting terms, netting provisions in the event of default or termination and credit related
contingent features. The credit related contingent features include, but are not limited
to, a percentage decrease in the Fund’s net assets or net asset value per share over a
specified period of time. If these credit related contingent features were triggered, the derivatives
counterparty could terminate the positions and demand payment or require additional
collateral.
Under an ISDA Master Agreement,
the Fund may, under certain circumstances, offset with the
counterparty certain derivative financial instruments’ payables and/or receivables with collateral
held and/or posted and create one single net payment. However, absent an event of
default by the counterparty or a termination of the agreement, the terms of the ISDA
34
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Master Agreements
do not result in an offset of reported amounts of financial assets and financial
liabilities in the Consolidated Statement of Assets and Liabilities across transactions
between the Fund and the applicable counterparty. The enforceability of the right
to offset may vary by jurisdiction.
Collateral requirements differ by
type of derivative. Collateral or margin requirements are set
by the broker or exchange clearinghouse for exchange traded derivatives while collateral
terms are contract specific for OTC traded derivatives. Cash collateral that has been
pledged to cover obligations of the Fund under derivative contracts, if any, will be reported
separately in the Consolidated Statement of Assets and Liabilities. Securities pledged
as collateral, if any, for the same purpose are noted in the Consolidated Schedule of
Investments.
As of May 31, 2026, the Fund held
forward foreign currency contracts with credit related contingent
features which had a liability position of $819,239. If a contingent feature in the master
agreements would have been triggered, the Fund would have been required to pay this
amount to its derivatives counterparties. As of May 31, 2026, the Fund had posted with its
counterparties cash and/or securities as collateral to cover the net liability of these derivatives
amounting to $210,000, which could be used to reduce the required payment.
At May 31, 2026, the Fund held non-cash
collateral from JPMorgan Chase & Co. in the amount
of $155,867. This amount could be used to reduce the Fund’s exposure to the counterparty
in the event of default.
(p) Security
transactions and investment income. Security
transactions are accounted for on a trade date basis.
Interest income (including interest income from payment-in-kind securities)
is recorded on the accrual basis. Amortization of premiums and accretion of discounts
on debt securities are recorded to interest income over the lives of the respective securities,
except for premiums on certain callable debt securities, which are amortized to the
earliest call date. Paydown gains and losses on mortgage- and asset-backed securities are
recorded as adjustments to interest income. Dividend income is recorded on the ex-dividend
date for dividends received in cash and/or securities. Foreign dividend income is
recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence
of a dividend declaration after exercising reasonable due diligence. The cost of investments
sold is determined by use of the specific identification method. To the extent any
issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional
interest income accruals and consider the realizability of interest accrued up to the
date of default or credit event.
(q) Distributions
to shareholders. Distributions
from net investment income of the Fund, if any, are declared
and paid on a monthly basis. Distributions of net realized gains, if any, are
declared at least annually. Pursuant to its Managed Distribution Policy, the Fund intends to
make regular monthly distributions to shareholders at a fixed rate per common share,
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
35
Notes
to consolidated financial statements
(unaudited) (cont’d)
which rate may
be adjusted from time to time by the Board. The actual source of the Fund’s monthly
distributions may be from net investment income, realized capital gains, return of capital
or a combination thereof. Under the Fund’s Managed Distribution Policy, if, for any monthly
distribution, the value of the Fund’s net investment income and net realized capital gain
is less than the amount of the distribution, the difference will be distributed from the Fund’s
net assets (and may constitute a “return of capital”). Shareholders will be informed of
the tax characteristics of the distributions after the close of the 2026 fiscal year. The Board
may modify, terminate or suspend the Managed Distribution Policy at any time, including
when certain events would make part of the return of capital taxable to shareholders.
Any such modification, termination or suspension could have an adverse effect
on the market price of the Fund’s shares. Distributions to shareholders of the Fund are recorded
on the ex-dividend date and are determined in accordance with income tax regulations,
which may differ from GAAP.
(r) Federal
and other taxes. It
is the Fund’s policy to comply with the federal income and excise
tax requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable
to regulated investment companies. Accordingly, the Fund intends to distribute its
taxable income and net realized gains, if any, to shareholders in accordance with timing requirements
imposed by the Code. Therefore, no federal or state income tax provision is required
in the Fund’s financial statements.
Management has analyzed the Fund’s
tax positions taken on income tax returns for all open tax
years and has concluded that as of November 30, 2025, no provision for income tax is required
in the Fund’s financial statements. The Fund’s federal and state income and federal excise
tax returns for the prior three fiscal years are subject to examination by the Internal Revenue
Service and state departments of revenue.
Under the applicable foreign tax
laws, a withholding tax may be imposed on interest, dividends
and capital gains at various rates. In some cases, the Fund may be entitled to reclaim
all or a portion of such taxes, and such reclaim amounts, if any, are reflected as a dividend
receivable in the Statement of Assets and Liabilities and dividend income in the Statement
of Operations. In many cases, however, the Fund may not receive such amounts for
an extended period of time, depending on the country of investment.
(s) Reclassification. GAAP
requires that certain components of net assets be reclassified to
reflect permanent differences between financial and tax reporting. These reclassifications
have no effect on net assets or net asset value per share.
2. Investment
management agreement and other transactions with affiliates
The Fund has entered into an Investment
Management Agreement with Western Asset Management Company,
LLC (“Western Asset” or the “Investment Adviser”), which provides for
payment of a monthly fee computed at the annual rate of 0.35% of the Fund’s average weekly
assets. “Average weekly assets” means the average weekly value of the total
36
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
assets of the
Fund (including any assets attributable to leverage) minus accrued liabilities (other
than liabilities representing leverage). For purposes of calculating “average weekly assets,”
liabilities associated with any instrument or transactions used by the Investment Adviser
to leverage the Fund’s portfolio (whether or not such instruments or transactions are treated
as derivative instruments or transactions) are not considered a liability.
During periods when the Fund is
using leverage, the fee paid to the Investment Adviser for advisory
services will be higher than if the Fund did not use leverage because the fee paid will
be calculated on the basis of the Fund’s average weekly assets, which includes the assets
attributable to leverage.
Western Asset Management Company
Pte. Ltd. (“Western Asset Singapore”), Western Asset
Management Company Limited (“Western Asset London”) and Western Asset Management
Company Ltd (“Western Asset Japan” and together with Western Asset Singapore
and Western Asset London, the “Non-U.S. Advisers”) are also the Fund’s investment
advisers. Western Asset Singapore, Western Asset London and Western Asset Japan
provide certain advisory services to the Fund relating to currency transactions and investment
in non-U.S. denominated securities. Western Asset Singapore, Western Asset London
and Western Asset Japan do not receive any compensation from the Fund.
Effective June 30, 2026, Western
Asset Japan will cease to serve as an investment adviser to
the Fund.
Franklin Templeton Fund Adviser,
LLC (“FTFA”
or the “Administrator”), an affiliate of the Investment
Adviser, provides certain administrative, accounting, shareholder servicing and corporate
secretarial and related functions pursuant to an Administrative Services Agreement
with the Fund. The Fund pays the Administrator a monthly fee at the annual rate of
0.05% of the Fund’s average weekly assets.
The Investment Adviser has agreed
to waive the Fund’s management fee to an extent sufficient
to offset the net management fee payable in connection with any investment in an
affiliated money market fund (the “affiliated
money market fund waiver”).
During the six months ended May
31, 2026, fees waived and/or expenses reimbursed amounted
to $5,658, all of which was an affiliated money market fund waiver.
Western Asset, Western Asset Singapore,
Western Asset London, Western Asset Japan and FTFA are
indirect, wholly-owned subsidiaries of Franklin Resources, Inc.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
37
Notes
to consolidated financial statements
(unaudited) (cont’d)
3. Investments
During the six months ended
May 31, 2026, the aggregate cost of purchases and proceeds from
sales of investments (excluding short-term investments) and U.S. Government & Agency
Obligations were as follows:
|
|
Investments
|
U.S.
Government &
Agency
Obligations |
|
Purchases
|
$38,703,377
|
$73,193,087
|
|
Sales
|
20,980,581
|
107,076,626
|
At May 31, 2026, the aggregate cost
of investments and the aggregate gross unrealized appreciation
and depreciation of investments for federal income tax purposes were substantially
as follows:
|
|
Cost/Premiums
Paid
(Received) |
Gross
Unrealized
Appreciation
|
Gross
Unrealized
Depreciation
|
Net
Unrealized
Appreciation
(Depreciation)
|
|
Securities
|
$808,951,113
|
$3,733,272
|
$(34,276,199)
|
$(30,542,927)
|
|
Futures
contracts |
—
|
60,824
|
(261,708)
|
(200,884)
|
|
Forward
foreign currency contracts |
—
|
196,956
|
(819,239)
|
(622,283)
|
|
Swap
contracts |
1,290,523
|
1,732,088
|
—
|
1,732,088
|
Transactions in reverse repurchase
agreements for the Fund during the six months
ended May 31, 2026, were as follows:
|
Average
Daily
Balance*
|
Weighted
Average
Interest
Rate* |
Maximum
Amount
Outstanding
|
|
$198,186,004
|
3.915%
|
$237,896,310
|
|
* Averages
based on the number of days that the Fund had reverse repurchase agreements outstanding. |
Interest rates on reverse repurchase
agreements ranged from 3.900% to 4.480% during the six months
ended May 31, 2026. Interest expense incurred on reverse repurchase agreements
totaled $3,922,898.
38
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
4. Derivative
instruments and hedging activities
Below is a table, grouped by derivative
type, that provides information about the fair value and
the location of derivatives within the Consolidated Statement of Assets and Liabilities at
May 31, 2026.
|
ASSET
DERIVATIVES1 |
|||||
|
|
Interest
Rate
Risk |
Foreign
Exchange
Risk |
Credit
Risk
|
Market
Risk
|
Total
|
|
Futures
contracts2
|
$52,786
|
$8,038
|
—
|
—
|
$60,824
|
|
Forward
foreign currency contracts |
—
|
196,956
|
—
|
—
|
196,956
|
|
OTC
swap contracts3
|
—
|
—
|
—
|
$528,977
|
528,977
|
|
Centrally
cleared swap contracts4
|
—
|
—
|
$1,203,111
|
—
|
1,203,111
|
|
Total
|
$52,786
|
$204,994
|
$1,203,111
|
$528,977
|
$1,989,868
|
|
LIABILITY
DERIVATIVES1 |
|||
|
|
Interest
Rate
Risk |
Foreign
Exchange
Risk |
Total
|
|
Futures
contracts2
|
$261,708
|
—
|
$261,708
|
|
Forward
foreign currency contracts |
—
|
$819,239
|
819,239
|
|
Total
|
$261,708
|
$819,239
|
$1,080,947
|
|
1
|
Generally,
the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for
liability
derivatives is payables/net unrealized depreciation. |
|
2
|
Includes
cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Consolidated
Schedule
of Investments. Only net variation margin is reported within the receivables and/or payables on the
Consolidated
Statement of Assets and Liabilities. |
|
3
|
Values
include premiums paid (received) on swap contracts which are shown separately in the Consolidated
Statement
of Assets and Liabilities. |
|
4
|
Includes
cumulative unrealized appreciation (depreciation) of centrally cleared swap contracts as reported in the
Consolidated
Schedule of Investments. Only net variation margin is reported within the receivables and/or
payables
on the Consolidated Statement of Assets and Liabilities. |
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
39
Notes
to consolidated financial statements
(unaudited) (cont’d)
The following
tables provide information about the effect of derivatives and hedging activities
on the Fund’s Consolidated Statement of Operations for the six months
ended May 31, 2026. The first table provides additional
detail about the amounts and sources of gains (losses)
realized on derivatives during the period. The second table provides additional
information about the change in net unrealized appreciation (depreciation) resulting
from the Fund’s derivatives and hedging activities during the period.
|
AMOUNT
OF NET REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED | ||||||
|
|
Interest
Rate
Risk |
Foreign
Exchange
Risk |
Credit
Risk
|
Commodity
Risk
|
Market
Risk
|
Total
|
|
Futures
contracts |
$612,677
|
$23,305
|
—
|
$2,603,635
|
—
|
$3,239,617
|
|
Written
options |
48,505
|
—
|
—
|
—
|
—
|
48,505
|
|
Swap
contracts |
207,042
|
—
|
$(294,928
) |
—
|
$442,846
|
354,960
|
|
Forward
foreign
currency
contracts |
—
|
(648,239
) |
—
|
—
|
—
|
(648,239
) |
|
Total
|
$868,224
|
$(624,934
) |
$(294,928
) |
$2,603,635
|
$442,846
|
$2,994,843
|
|
CHANGE
IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | ||||||
|
|
Interest
Rate
Risk |
Foreign
Exchange
Risk |
Credit
Risk
|
Commodity
Risk
|
Market
Risk
|
Total
|
|
Futures
contracts |
$(133,579
) |
$8,038
|
—
|
$(258,909
) |
—
|
$(384,450
) |
|
Swap
contracts |
27,039
|
—
|
$1,144,052
|
—
|
$46,482
|
1,217,573
|
|
Forward
foreign
currency
contracts |
—
|
(514,892
) |
—
|
—
|
—
|
(514,892
) |
|
Total
|
$(106,540
) |
$(506,854
) |
$1,144,052
|
$(258,909
) |
$46,482
|
$318,231
|
During the six months
ended May 31, 2026, the volume of derivative activity for the Fund was
as follows:
|
|
Average
Market
Value*
|
|
Written
options† |
$4,896
|
|
Futures
contracts (to buy) |
95,164,646
|
|
Futures
contracts (to sell) |
25,813,478
|
|
Forward
foreign currency contracts (to buy) |
9,461,685
|
|
Forward
foreign currency contracts (to sell) |
25,973,692
|
|
|
Average
Notional
Balance**
|
|
Interest
rate swap contracts† |
$14,881,429
|
|
Credit
default swap contracts (sell protection) |
69,355,244
|
|
Total
return swap contracts |
7,962,563
|
|
*
|
Based
on the average of the market values at each month-end during the period. |
|
†
|
At
May 31, 2026, there were no open positions held in this derivative. |
|
**
|
Based
on the average of the notional amounts at each month-end during the period. |
40
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
The following
table presents the Fund’s OTC derivative assets and liabilities by counterparty net
of amounts available for offset under an ISDA Master Agreement and net of the related collateral
pledged (received) by the Fund as of May 31, 2026.
|
Counterparty
|
Gross
Assets
Subject
to
Master
Agreements1
|
Gross
Liabilities
Subject
to
Master
Agreements1
|
Net
Assets
(Liabilities)
Subject
to
Master
Agreements
|
Collateral
Pledged
(Received)2,3
|
Net
Amount4,5
|
|
Bank
of America N.A. |
$262
|
$(1,672)
|
$(1,410)
|
—
|
$(1,410)
|
|
Citibank
N.A. |
35,135
|
(267,178)
|
(232,043)
|
$210,000
|
(22,043)
|
|
Goldman
Sachs Group Inc. |
131,629
|
—
|
131,629
|
—
|
131,629
|
|
JPMorgan
Chase & Co. |
558,907
|
(338,626)
|
220,281
|
(155,867)
|
64,414
|
|
Morgan
Stanley & Co. Inc. |
—
|
(211,763)
|
(211,763)
|
—
|
(211,763)
|
|
Total
|
$725,933
|
$(819,239)
|
$(93,306)
|
$54,133
|
$(39,173)
|
|
1
|
Absent
an event of default or early termination, derivative assets and liabilities are presented gross and not
offset
in the Consolidated Statement of Assets and Liabilities. |
|
2
|
Gross
amounts are not offset in the Consolidated Statement of Assets and Liabilities. |
|
3
|
In
some instances, the actual collateral received and/or pledged may be more than the amount shown here due
to
overcollateralization. |
|
4
|
Net
amount may also include forward foreign currency exchange contracts that are not required to be
collateralized.
|
|
5
|
Represents
the net amount receivable (payable) from (to) the counterparty in the event of default. |
5. Distributions
subsequent to May
31, 2026
The following distributions have
been declared by the Board and are payable subsequent to the
period end of this report:
|
Record
Date |
Payable
Date |
Amount
|
|
6/23/2026
|
6/30/2026
|
$0.0625
|
|
7/24/2026
|
7/31/2026
|
$0.0625
|
|
8/24/2026
|
8/31/2026
|
$0.0625
|
6. Share
repurchase program
On March 2, 2016, the Fund announced
that the Board had authorized the Fund to repurchase
in the open market up to approximately 10% of the Fund’s outstanding common shares
when the Fund’s shares are trading at a discount to net asset value. The Board has directed
management of the Fund to repurchase the Fund’s common shares at such times and
in such amounts as management reasonably believes may enhance shareholder value. The
Fund is under no obligation to purchase shares at any specific discount levels or in any specific
amounts. During the six months ended May 31, 2026, and the year ended November
30, 2025, the Fund did not repurchase any shares.
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
41
Notes
to consolidated financial statements
(unaudited) (cont’d)
7. 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 six months
ended May 31, 2026. The following transactions were effected
in such company for the six months
ended May 31, 2026.
|
|
Affiliate
Value at
November 30, 2025
|
Purchased
|
Sold
| ||
|
Cost
|
Shares
|
Proceeds
|
Shares
| ||
|
Western
Asset
Premier
Institutional
Government
Reserves,
Premium
Shares
|
$6,001,049
|
$166,353,834
|
166,353,834
|
$164,163,582
|
164,163,582
|
|
(cont’d)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease)
in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
May 31,
2026
|
|
Western
Asset Premier
Institutional
Government
Reserves,
Premium
Shares |
—
|
$170,269
|
—
|
$8,191,301
|
8. Deferred
capital losses
As of November 30, 2025, the Fund
had deferred capital losses of $166,373,878, which have
no expiration date, that will be available to offset future taxable capital gains.
9. Operating
segments
The Fund operates as a single operating
segment, which is an investment portfolio. A management
group assigned to the Fund within the Fund’s investment manager serves as the
Chief Operating Decision Maker (“CODM”) and is responsible for evaluating the Fund’s operating
results and allocating resources in accordance with the Fund’s investment strategy.
Internal reporting provided to the CODM aligns with the accounting policies and measurement
principles used in the financial statements.
For information regarding segment
assets, segment profit or loss, and significant expenses, refer
to the Consolidated Statement of Assets and Liabilities and the Consolidated Statement
of Operations, along with the related Notes to Consolidated Financial Statements.
The Fund’s Consolidated Schedule of Investments provides details of the Fund’s investments
that generate returns such as interest, dividends, and realized and unrealized gains
or losses. Performance metrics, including portfolio turnover and expense ratios, are disclosed
in the Consolidated Financial Highlights.
42
Western
Asset Inflation-Linked Opportunities & Income Fund 2026 Semi-Annual Report
Board
approval of management and
subadvisory agreements (unaudited)
The Executive
and Contracts Committee of the Board of Trustees (the “Executive and Contracts
Committee”) considered the Investment Management Agreement between the Fund
and Western Asset Management Company, LLC (“Western Asset”) and the following subadvisory
agreements with respect to the Fund (collectively, the “Agreements”): (i) a subadvisory
agreement between Western Asset and Western Asset Management Company Limited
(“WAML”) with respect to the Fund and (ii) a subadvisory agreement between Western
Asset and Western Asset Management Company Pte. Ltd. in Singapore (“Western Singapore”
and together with WAML, the “Non-U.S. Advisers,” and together with Western Asset,
the “Advisers”) with respect to the Fund at a meeting held on April 22, 2026. At an in-person
meeting held on May 19, 2026, the Executive and Contracts Committee reported to
the full Board of Trustees their considerations and recommendation with respect to the Agreements,
and the Board of Trustees, including a majority of the Independent Trustees, considered
and approved renewal of the Agreements.
The Trustees noted that although
Western Asset’s business is operated through separate legal
entities, such as the Non-U.S. Advisers, senior investment personnel at Western Asset have
supervisory oversight responsibility over the investment decisions made by the Non-U.S.
Advisers. Therefore, in connection with their deliberations noted below, the Trustees primarily
focused on the information provided by Western Asset when considering the approval
of the Agreements between Western Asset and the Non-U.S. Advisers.
In arriving at their decision to
approve the renewal of the Agreements, the Trustees met with
representatives of the Advisers, including relevant investment advisory personnel; considered
a variety of information prepared by the Advisers, materials provided by Broadridge
and advice and materials provided by counsel to the Independent Trustees; reviewed
performance and expense information for peer groups of comparable funds and certain
other comparable products available from Western Asset or affiliates of Western Asset,
including separate accounts managed by Western Asset; and requested and reviewed
additional information as necessary. These reviews were in addition to information
obtained by the Trustees at their regular quarterly meetings (and various committee
meetings) with respect to the Fund’s performance and other relevant matters, such
as information on public trading in the Fund’s shares and differences between the Fund’s
share price and net asset value per share, and related discussions with the Advisers’ personnel.
The information received and considered by the Board both in conjunction with the
May meeting and at prior meetings was both written and oral.
As part of their review, the Trustees
examined the Advisers’ ability to provide high quality investment
management services to the Fund. The Trustees considered the investment philosophy
and research and decision-making processes of the Advisers; the experience of their
key advisory personnel responsible for management of the Fund; the ability of the Advisers
to attract and retain capable research and advisory personnel; the risks to the
Western
Asset Inflation-Linked Opportunities & Income Fund
43
Board
approval of management and
subadvisory agreements (unaudited) (cont’d)
Advisers associated
with sponsoring the Fund (such as entrepreneurial, operational, reputational,
litigation and regulatory risk), as well as the Advisers’ risk management processes);
the capability and integrity of the Advisers’ senior management and staff; and the
level of skill required to manage the Fund. In addition, the Trustees reviewed the quality of
the Advisers’ services with respect to regulatory compliance and compliance with the investment
policies of the Fund, and conditions that might affect the Advisers’ ability to provide
high quality services to the Fund in the future, including their business reputations, financial
conditions and operational stabilities. Based on the foregoing, the Trustees concluded
that the Advisers’ investment process, research capabilities and philosophy were well
suited to the Fund given its investment objectives and policies, and that the Advisers would
be able to meet any reasonably foreseeable obligations under the Agreements.
The Board reviewed the qualifications,
backgrounds and responsibilities of the Advisers’ senior
personnel and the team of investment professionals primarily responsible for the day-to-day
portfolio management of the Fund. The Board also considered, based on its knowledge
of the Advisers and their affiliates, the financial resources of Franklin Resources,
Inc., the parent organization of the Advisers. The Board recognized the importance
of having a fund manager with significant resources.
In reviewing the quality of the
services provided to the Fund, the Trustees also reviewed a comparison
of the performance of the Fund to the performance of a group of closed-end bond
funds and the Bloomberg U.S. Government Inflation-Linked 1-10 Year Index (the “Index”).
The Trustees noted that the performance of the Fund exceeded the performance of its
peer group average for the 1, 3, and 10-year periods ended December 31, 2025 and trailed
the performance of its peer group average for the 5-year period ended December 31, 2025.
The Board noted that the Fund’s performance exceeded the performance of the Index for
the 1-year period ended December 31, 2025, approximately matched the performance of the
Index for the 3- and 10-year periods ended December 31, 2025, and trailed the performance
of the Index for the 5-year period ended December 31, 2025. The Trustees considered
the factors involved in the Fund’s performance relative to the performance of the Index
and peer group. The Board noted the information provided by Broadridge and management
regarding the limited number of closed-end BBB-rated corporate debt Treasury Inflation-Protected
Securities (TIPS) funds available to use for comparison purposes. The Board
discussed the reasons for the Fund’s underperformance and the steps the Advisers were
taking to improve the Fund’s performance. The Trustees concluded that the Advisers’ management
of the Fund would continue to be in the best interests of the shareholders.
The Trustees also considered the
management fee and total expenses payable by the Fund. They
reviewed information concerning management fees paid to investment advisers of similarly
managed funds as well as fees paid by Western Asset’s other clients, including separate
accounts managed by Western Asset. The Trustees also noted that the Fund does
44
Western
Asset Inflation-Linked Opportunities & Income Fund
not pay any
management fees directly to any of the Non-U.S. Advisers because Western Asset
pays the Non-U.S. Advisers for services provided to the Fund out of the management fee
Western Asset receives from the Fund. The Trustees noted that, when measured as a percentage
of net assets (including assets attributable to leverage) for its most recently completed
fiscal year, the Fund’s advisory fee paid to Western Asset was below the median of
the advisory fees paid by funds in its peer group and that the Fund’s total expenses were below
the median in its peer group. The Trustees also noted that, when measured as a percentage
of net assets (net of leverage) for its most recently completed fiscal year, the Fund’s
advisory fee paid to Western Asset was below the median of the advisory fees of the funds
in its peer group and that the Fund’s total expenses were below the median of the total
expenses of the funds in its peer group. The Trustees noted that Western Asset manages
one other account with a similar investment strategy to the Fund and it has the same
management fee rate as the Fund. The Trustees further noted that Western Asset does
not manage open-end funds or separate accounts with similar investment strategies to
the Fund.
The Trustees further evaluated the
benefits of the advisory relationship to the Advisers, including,
among others, the profitability of the relationship to the Advisers; the direct and indirect
benefits that the Advisers may receive from their relationships with the Fund, including
the “fallout benefits,” such as reputational value derived from serving as investment
adviser to the Fund; and the affiliation between the Advisers and Franklin Templeton
Fund Adviser, LLC, the Fund’s administrator, and certain other service providers for
the Fund. In that connection, the Board considered that the ancillary benefits that the Advisers
receive were reasonable. The Trustees noted that Western Asset does not have soft
dollar arrangements.
Finally, the Trustees considered,
in light of the profitability information provided by Western Asset,
the extent to which economies of scale would be realized by the Advisers as the assets
of the Fund grow. The Trustees concluded that because the Fund is a closed-end fund and
does not make a continuous offer of its securities, the Fund’s size was relatively fixed and
it would be unlikely that the Advisers would realize economies of scale from the Fund’s growth.
In their deliberations with respect
to these matters, the Independent Trustees were advised by
their independent counsel, who is independent, within the meaning of the Securities and Exchange
Commission rules regarding the independence of counsel, of the Advisers. The Independent
Trustees weighed the foregoing matters in light of the advice given to them by their
independent counsel as to the law applicable to the review of investment advisory contracts.
In arriving at a decision, the Trustees, including the Independent Trustees, did not identify
any single matter as all-important or controlling, and each Trustee may have attributed
different weight to the various factors in evaluating the Agreements. The
Western
Asset Inflation-Linked Opportunities & Income Fund
45
Board
approval of management and
subadvisory agreements (unaudited) (cont’d)
foregoing summary
does not detail all the matters considered. The Trustees judged the terms
and conditions of the Agreements, including the investment advisory fees, in light of all
of the surrounding circumstances.
Based upon their review, the Trustees,
including all of the Independent Trustees, determined,
in the exercise of their business judgment, that they were satisfied with the quality
of investment advisory services being provided by the Advisers; that the fees to be paid
to the Advisers under the Agreements were fair and reasonable given the scope and quality
of the services rendered by the Advisers; and that approval of the Agreements was in
the best interest of the Fund and its shareholders.
46
Western
Asset Inflation-Linked Opportunities & Income Fund
Additional
shareholder information (unaudited)
Results of annual meeting
of shareholders
The Annual Meeting of Shareholders
of Western Asset Inflation-Linked Opportunities & Income
Fund was held on May 21, 2026 for the purpose of considering and voting upon the proposals
presented at the Meeting. The following table provides information concerning the
matters voted upon at the Meeting:
Election of Trustees
|
Nominees
|
FOR
|
WITHHELD
|
ABSTAIN
|
|
Susan
B. Kerley |
48,118,357
|
5,851,449
|
0
|
|
Michael
Larson
|
48,262,195
|
5,707,611
|
0
|
|
Avedick
B. Poladian
|
49,875,768
|
4,094,038
|
0
|
At the Meeting, Messrs. Larson and
Poladian and Ms. Kerley were each duly elected by the shareholders
to serve as Class I Trustees of the Fund until the 2029 Annual Meeting of Shareholders,
or until their successors have been duly elected and qualified or until their resignation
or are otherwise removed.
At May 31, 2026, in addition to
Messrs. Larson and Poladian and Ms. Kerley, the other Trustees
of the Fund were as follows: Robert Abeles, Jr., Jane F. Dasher, Anita L. DeFrantz, William
E. B. Siart, Jaynie Miller Studenmund, Peter J. Taylor and Jane Trust.
Western
Asset Inflation-Linked Opportunities & Income Fund
47
Dividend
reinvestment plan (unaudited)
The Fund and
Computershare Inc. (“Agent”), as the Transfer Agent and Registrar of WIW, offer
a convenient way to add shares of WIW to your account. WIW offers to all common shareholders
a Dividend Reinvestment Plan (“Plan”). Under the Plan, cash distributions (e.g., dividends
and capital gains) on the common shares are automatically invested in shares of WIW
unless the shareholder elects otherwise by contacting the Agent at the address set forth
below.
As a participant in the Dividend
Reinvestment Plan, you will automatically receive your dividend
or net capital gains distribution in newly issued shares of WIW, if the market price of
the shares on the date of the distribution is at or above the net asset value (NAV) of the shares,
minus estimated brokerage commissions that would be incurred upon the purchase of
common shares on the open market. The number of shares to be issued to you will be determined
by dividing the amount of the cash distribution to which you are entitled (net of any
applicable withholding taxes) by the greater of the NAV per share on such date or 95% of
the market price of a share on such date. If the market price of a share on such distribution
date is below the NAV, less estimated brokerage commissions that would be incurred
upon the purchase of common shares on the open market, the Agent will, as agent for
the participants, buy shares of WIW through a broker on the open market. All common shares
acquired on your behalf through the Plan will be automatically credited to an account
maintained on the books of the Agent.
Additional information regarding the plan
WIW will pay all costs applicable
to the Plan, except for brokerage commissions for open market
purchases by the Agent under the Plan, which will be charged to participants. All shares
acquired through the Plan receive voting rights and are eligible for any share split, share
dividend, or other rights accruing to shareholders that the Board of Trustees may declare.
You may terminate participation
in the Plan at any time by giving notice to the Agent. Such termination
will be effective prior to the record date next succeeding the receipt of such instructions
or by a later date of termination specified in such instructions. Upon termination,
a participant will receive a certificate for the full shares credited to his or her account
or may request the sale of all or part of such shares. Fractional shares credited to a terminating
account will be paid for in cash at the current market price at the time of termination.
Dividends and other distributions
invested in additional shares under the Plan are subject to income
tax just as if they had been received in cash. After year end, dividends paid on the accumulated
shares will be included in the Form 1099-DIV information return to the Internal Revenue
Service and only one Form 1099-DIV will be sent to participants each year.
Inquiries regarding the Plan, as
well as notices of termination, should be directed to Computershare
Inc., P.O. Box 43006 Providence, RI 02940-3078. Investor Relations telephone
number 1-888-888-0151.
48
Western
Asset Inflation-Linked Opportunities & Income Fund
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Western Asset
Inflation-Linked
Opportunities & Income Fund
Trustees
Robert Abeles, Jr.
Jane F. Dasher
Anita L. DeFrantz
Susan B. Kerley
Michael Larson
Ronald L. Olson*
Avedick B. Poladian
William
E.B. Siart
Chair
Chair
Jaynie M. Studenmund
Peter J. Taylor
Jane Trust
Officers
Jane
Trust
President and Chief Executive Officer
President and Chief Executive Officer
Christopher
Berarducci
Treasurer and Principal Financial
Officer
Treasurer and Principal Financial
Officer
Ted
P. Becker
Chief Compliance Officer
Chief Compliance Officer
Marc
A. De Oliveira
Secretary and Chief Legal Officer
Secretary and Chief Legal Officer
Thomas
C. Mandia
Senior Vice President
Senior Vice President
Jeanne
M. Kelly
Senior Vice President
Senior Vice President
Western Asset Inflation-Linked
Opportunities & Income Fund
One
Madison Avenue
17th Floor
New York, NY 10010
17th Floor
New York, NY 10010
Investment advisers
Western Asset Management Company,
LLC
Western Asset Management Company
Limited
Western Asset Management Company
Pte. Ltd.
Western Asset Management Company
Ltd**
Administrator
Franklin Templeton Fund Adviser,
LLC
Custodian
The Bank of New York Mellon
Transfer agent
Computershare
Inc.
P.O. Box 43006
Providence, RI 02940-3078
P.O. Box 43006
Providence, RI 02940-3078
Independent
registered public accounting firm
PricewaterhouseCoopers
LLP
Baltimore, MD 21202
Baltimore, MD 21202
Legal counsel
Ropes
& Gray LLP
1211 Avenue of the Americas
New York, NY 10036
1211 Avenue of the Americas
New York, NY 10036
New York Stock Exchange
Symbol
WIW
*
Effective May 21, 2026, Mr. Olson retired as a Trustee of the Fund.
**
Effective
June 30, 2026, Western Asset Japan will cease to serve as an investment adviser to the Fund.
Western Asset Inflation-Linked
Opportunities & Income Fund
Western
Asset Inflation-Linked Opportunities & Income Fund
One Madison Avenue
17th Floor
New York, NY 10010
One Madison Avenue
17th Floor
New York, NY 10010
Notice is hereby given in accordance
with Section 23(c) of the Investment Company Act of 1940,
as amended, that from time to time the Fund may purchase,
at market prices, its common shares.
The Fund files its complete schedule
of portfolio holdings with the Securities and Exchange
Commission (“SEC”) for the first and third quarters of
each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Forms
N-PORT are available on the SEC’s website at www.sec.gov. To obtain
information on Form N-PORT, shareholders can call the Fund at 1-888-777-0102.
Information on how the Fund voted
proxies relating to portfolio securities during the prior
12-month period ended June 30th of each year and a description
of the policies and procedures that the Fund uses to determine how
to vote proxies related to portfolio transactions are available (1) without
charge, upon request, by calling 1-888-777-0102, (2) at www.franklintempleton.com
and (3) on the SEC’s website at www.sec.gov.
Quarterly performance, semi-annual
and annual reports, current net asset value and other
information regarding the Fund may be found on Franklin Templeton’s website,
which can be accessed at www.franklintempleton.com. Any reference
to Franklin Templeton’s website in this report is intended to allow investors
public access to information regarding the Fund and does not, and is
not intended to, incorporate Franklin Templeton’s website in this report.
This report is transmitted to the
shareholders of Western Asset Inflation-Linked Opportunities
& Income Fund for their information. This is not a prospectus,
circular or representation intended for use in the purchase of shares
of the Fund or any securities mentioned in this report.
Computershare
Inc.
P.O. Box 43006
Providence, RI 02940-3078
P.O. Box 43006
Providence, RI 02940-3078
90327-S 7/26
(b) Not applicable
| ITEM 2. | CODE OF ETHICS. |
Not applicable.
| ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable.
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
| ITEM 6. | SCHEDULE OF INVESTMENTS. |
| (a) | Please see schedule of investments contained in the Financial Statements and Financial Highlights included under Item 1 of this Form N-CSR. |
| (b) | Not applicable. |
| ITEM 7. | FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 8. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 9. | PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 10. | REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 11. | STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT. |
The information is disclosed as part of the Financial Statements included in Item 1 of this Form N-CSR, as applicable.
| ITEM 12. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 13. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 14. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
| ITEM 15. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that would require disclosure herein.
| ITEM 16. | CONTROLS AND PROCEDURES. |
| (a) | The Registrants acknowledge the Staff’s comment. In future filings on Form N-CSR, the certifications required by Rule 30a-2 and Item 19(a)(3) will include the designations “principal executive officer” and “principal financial officer” in the signature blocks, reflecting the capacity in which each signatory executes the certification, in conformity with the language of the Rule and Form N-CSR. The Registrants may also include each signatory’s actual title with respect to the Funds alongside the required designation. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected or are likely to materially affect the Registrant’s internal control over financial reporting. |
| ITEM 17. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 18. | RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
| (a) | Not applicable. |
| (b) | Not applicable. |
| ITEM 19. | EXHIBITS. |
(a) (1) Not applicable.
Exhibit 99.CODE ETH
(a) (3) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
Western Asset Inflation-Linked Opportunities & Income Fund
| By: | /s/ Jane Trust | |
| Jane Trust | ||
| Chief Executive Officer | ||
| Date: | July 30, 2026 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Jane Trust | |
| Jane Trust | ||
| Chief Executive Officer | ||
| Date: | July 30, 2026 | |
| By: | /s/ Christopher Berarducci | |
| Christopher Berarducci | ||
| Principal Financial Officer | ||
| Date: | July 30, 2026 |