Annual Report by Investment Company (Form N-CSR)

 

WESTERN ASSET
INFLATION-LINKED INCOME FUND (WIA)  

 

 

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 and at least 60% of its total managed assets in U.S. Treasury Inflation Protected Securities (TIPS). The Fund may also invest up to 40% of its total managed assets in non-U.S. dollar investments.

 

Letter from the president	III
Fund overview	1
Fund at a glance	9
Fund performance	10
Consolidated schedule of investments	12
Consolidated statement of assets and liabilities	23
Consolidated statement of operations	24
Consolidated statements of changes in net assets	25
Consolidated statement of cash flows	26
Consolidated financial highlights	28
Notes to consolidated financial statements	29
Report of independent registered public accounting firm	48
Additional information	49
Annual principal executive officer and principal financial officer certifications	56
Other shareholder communications regarding accounting matters	57
Summary of information regarding the Fund	58
Dividend reinvestment plan	73
Important tax information	74

 

Dear Shareholder,

We are pleased to provide the annual report of Western Asset Inflation-Linked Income Fund for the twelve-month reporting period ended November 30, 2025. Please read on for a detailed look at prevailing economic and market conditions during the Fund's reporting period and to learn how those conditions have affected Fund performance.

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:

We look forward to helping you meet your financial goals.

Sincerely,

 

Jane Trust, CFA

President and Chief Executive Officer

December 31, 2025 

Q. What is the Fund's investment strategy?

A. 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 assetsi in inflation-linked securities and at least 60% of its total managed assets in TIPSii. The Fund may also invest up to 40% of its total managed assets in non-U.S. dollar investments, which gives the Fund flexibility to invest up to 40% of its total managed assets in non-U.S. dollar inflation-linked securities (no more than 20% of its non-U.S. dollar exposure may be unhedged). The Fund may invest no more than 10% of its total managed assets in investments rated below investment grade at the time of purchase (or, if unrated, assets of comparable quality as determined by management). The Fund may engage in currency strategies, using instruments such as currency forwards, futures and options, to take long and short foreign currency positions subject to a limit of exposure from such strategies to 40% of total managed assets. This capacity is in addition to the capacity to have 20% unhedged exposure to non-U.S. dollar currencies through the purchase of fixed income securities. The Fund may utilize commodity-related strategies for up to 10% of its total managed assets. Exposure to commodities is expected to be achieved using a variety of instruments, such as futures contracts, options and other derivatives, or through investments in exchange-traded products that offer exposure to commodities. The Fund does not expect to hold physical commodities.

Each of the foregoing policies is a non-fundamental policy that may be changed without shareholder approval. The Fund also has the following non-fundamental policy, which, to the extent required by applicable law, may only be changed after notice to shareholders: under normal market conditions, the Fund will invest at least 80% of its total managed assets in inflation-protected securities and non-inflation-protected securities and instruments with the potential to enhance the Fund's income. To the extent permitted by the foregoing policies, the Fund may invest in emerging markets debt securities.

Reverse repurchase agreements and other forms of leverage will not exceed 38% of the Fund's total managed assets. To the extent the Fund covers its commitments under these transactions, investment in these transactions will not be considered leverage for purposes of the Fund's policy on the amount of leverage it may incur. The Fund currently expects that the average effective duration of its portfolio will range between zero and fifteen years, although this target duration may change from time to time. The Fund may enter into credit default swap contracts, interest rate swap contracts and total return swap contracts for investment purposes, to manage its credit risk or to add leverage. There can be no assurance that the Fund will achieve its investment objectives.

The Fund seeks to offer an inflation hedge through investments in global inflation-linked securities, and primarily in TIPS. The Fund also seeks to offer shareholders certain additional advantages through the ability to invest in other fixed income asset classes, which may result in higher total returns and higher distribution rates. These asset classes

include select investments in high-yield and investment-grade credit, emerging markets and structured products.

At Western Asset Management Company, LLC (Western Asset), the Fund's investment adviser, we utilize a fixed income team approach, with decisions derived from interaction among various investment management sector specialists. The sector teams are comprised of Western Asset's senior portfolio management personnel, research analysts and an in-house economist. Under this team approach, management of client fixed income portfolios will reflect a consensus of interdisciplinary views within the Western Asset organization. The individuals responsible for development of investment strategy, day-to-day portfolio management, oversight and coordination of the Fund are Michael C. Buchanan and Frederick Marki.

Q. What were the overall market conditions during the Fund's reporting period?

A. The overall U.S. fixed income market experienced periods of volatility but generated a solid return over the twelve months ended November 30, 2025. The market was driven by several factors, including mixed economic data, moderating but "sticky" inflation, shifting U.S. Federal Reserve (Fed) monetary policy, trade tensions between the U.S. and its trading partners, a 43-day government shutdown that ended in November 2025, and several geopolitical issues.

Looking back, the Fed lowered interest rates in September 2024 (the first reduction since 2020) and again in November and December 2024. The December reduction put the federal funds target rate at 4.25%-4.50%, the lowest level since December 2022. The Fed then remained on hold at its first five meetings in 2025, as it weighed the impact of the U.S. President's tariffs on the economy and inflation. Then, as expected, the Fed lowered rates at both its September and October 2025 meetings, citing concerns over the labor market.

Both short- and long-term U.S. Treasury yields declined during the reporting period. The two-year U.S. Treasury yield began the period at 4.13% and ended at 3.47%, whereas the ten-year U.S. Treasury yield began the period at 4.18% and ended at 4.02%.

Inflation remained higher than the Fed's preferred 2% target during the reporting period. For the twelve months ended November 30, 2025, the seasonally unadjusted rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (CPI-U)iii, was 2.7%. The CPI-U less food and energy was 2.6% over the same time frame. TIPS, as measured by the Bloomberg U.S. TIPS Indexiv, returned 5.74% during the reporting period.

Q. How did we respond to these changing market conditions?

A. A number of adjustments were made to the Fund's portfolio during the reporting period. The Fund trimmed but maintained a modest overweight duration stance versus the benchmark, mostly in the long end of the yield curve which, in turn, reduced the Fund's yield curve flattener positioning.

During the reporting period, the Fund reduced but maintained its overweight exposure to investment-grade corporate credit and emerging markets. The Fund generally maintained its modest overweight exposures to structured products.

The Fund employed interest rate futures and swaps to manage its yield curve positioning and interest rate risk. In aggregate, the use of these instruments contributed to performance. Futures on commodities, which were used to manage the Fund's commodity exposure, contributed to performance. Index credit default swaps were employed to achieve a synthetic exposure to corporate bonds and, in aggregate, contributed to performance. Finally, the Fund used foreign exchange forwards and futures to hedge positions, as well as to take outright positions in a variety of emerging and developed market currencies. These instruments were net detractors from performance.

Leverage was used to enhance the Fund's yield. The Fund ended the reporting period with leverage as a percentage of total assets of roughly 29% versus 34% when the period began. The use of leverage contributed to performance during the reporting period.

Performance review

For the twelve months ended November 30, 2025, Western Asset Inflation-Linked Income Fund returned 7.58% based on its net asset value (NAV)v and 9.39% 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 Indexvi and the Bloomberg U.S. Government Inflation-Linked All Maturities Indexvii, returned 6.69% and 5.58%, respectively, for the same period. The Bloomberg World Government Inflation-Linked All Maturities Indexviii and the Fund's Custom Benchmarkix returned 5.25% and 5.62%, 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 twelve-month period, the Fund made distributions to shareholders totaling $0.62 per share of which $0.23 will be treated as a return of capital for tax purposes.* The performance table shows the Fund's twelve-month total return based on its NAV and market price as of November 30, 2025. Past performance is no guarantee of future results.

*

For the tax character of distributions paid during the fiscal year ended November 30, 2025, please refer to page 46 of this report.

 

Performance Snapshot as of November 30, 2025
Price Per Share	12-Month Total Return**
$9.21 (NAV)	7.58 %†
$8.41 (Market Price)	9.39 %‡

All figures represent past performance and are not a guarantee of future results.

** 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, at NAV.

‡ Total return assumes the reinvestment of all distributions, including returns of capital, in additional shares in accordance with the Fund's Dividend Reinvestment Plan.

One of the distinguishing features of closed-end funds compared to other investment vehicles is the ability to trade at a premium or discount to NAV. Since the Fund is listed on the NYSE, the share price may trade above (premium) or below (discount) its NAV. Whereas the NAV is reflective of the Fund's underlying investments, the share price is reflective of the overall supply and demand in the marketplace. Historically, the majority of closed-end funds have traded at a discount to NAV. This Fund is no exception to this phenomenon. We believe the Fund's discount may be driven by a number of factors, including the overall closed-end fund market, current distribution rate and muted demand for inflation-linked investment products. While there are actions that may temporarily reduce the discount to NAV, which the Board regularly evaluates, we believe that if investor demand for inflation-linked investments increases, that development, among other factors, may help reduce the Fund's share price discount to NAV over time. Western Asset continues to believe the Fund offers investors the opportunity for long-term inflation protection while providing a source of diversification for investors' fixed income portfolios.

Q. What were the leading contributors to performance?

A. The Fund's exposure to emerging markets was one of the major contributors as U.S. dollar-denominated spreads tightened and certain foreign exchange positions were rewarded. Exposure to corporate credit (both investment-grade and high-yield) and structured products also contributed to performance as spreads tightened over the reporting period. The Fund's yield curve positioning was additive as the curve steepened. Exposure to commodities also added to performance. In addition, the Fund's tactical Treasury exposure was beneficial as breakeven inflation rates fluctuated during the reporting period.

Q. What were the leading detractors from performance?

A. Duration positioning slightly detracted primarily due to rising rates at the end of 2024.

Looking for additional information?

The Fund is traded under the symbol "WIA" and its closing market price is available in most newspapers under the NYSE listings. The daily NAV is available online under the symbol "XWIAX" 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 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,

Western Asset Management Company, LLC

December 16, 2025 

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 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 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).

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. For more information on Fund risks, see Summary of information regarding the Fund - Principal Risk Factors in this report.

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.

Portfolio holdings and breakdowns are as of November 30, 2025 and are subject to change and may not be representative of the portfolio managers' current or future investments. Please refer to pages 12 through 22 for a list and percentage breakdown of the Fund's holdings.

The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional. The Fund's top five sector holdings (as a percentage of net assets) as of November 30, 2025, were: U.S. treasury inflation protected securities (110.7%), corporate bonds & notes (8.2%), collateralized mortgage obligations (7.7%), non-U.S. treasury inflation protected securities (2.6%) and sovereign bonds (1.6%). The Fund's portfolio composition is subject to change at any time.

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.

The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.

 Important data provider notices and terms available at www.franklintempletondatasources.com.

Investment breakdown (%) as a percent of total investments

 

 

Net Asset Value
Average annual total returns1
Twelve Months Ended 11/30/25	7.58 %
Five Years Ended 11/30/25	0.61
Ten Years Ended 11/30/25	3.15
Cumulative total returns1
11/30/15 through 11/30/25	36.41 %

 

Market Price
Average annual total returns2
Twelve Months Ended 11/30/25	9.39 %
Five Years Ended 11/30/25	1.36
Ten Years Ended 11/30/25	4.63
Cumulative total returns2
11/30/15 through 11/30/25	57.29 %

All figures represent past performance and are not a guarantee of future results. 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. 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. 

1	Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value.
2	Assumes the reinvestment of all distributions, including returns of capital, if any, in additional shares in accordance with the Fund's Dividend Reinvestment Plan.

Historical performance

Value of $10,000 invested in

Western Asset Inflation-Linked Income Fund vs. Bloomberg U.S. Government Inflation-Linked 1-10 Year Index and Bloomberg U.S. Government Inflation-Linked All Maturities Index† - November 2015 - November 2025

 

All figures represent past performance and are not a guarantee of future results. 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. 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.

(Percentages shown based on Fund net assets)  

Security		Rate	Maturity Date	Face Amount†	Value
U.S. Treasury Inflation Protected Securities - 110.7%
U.S. Treasury Bonds, Inflation Indexed		2.000%	1/15/26	9,818,760	$9,809,292   (a)
U.S. Treasury Bonds, Inflation Indexed		2.375%	1/15/27	3,221,200	3,256,793
U.S. Treasury Bonds, Inflation Indexed		2.500%	1/15/29	13,615,290	14,130,691
U.S. Treasury Bonds, Inflation Indexed		3.875%	4/15/29	44,454,375	48,214,121   (a)
U.S. Treasury Bonds, Inflation Indexed		2.125%	2/15/40	5,109,282	5,142,645   (b)
U.S. Treasury Bonds, Inflation Indexed		2.125%	2/15/41	2,224,755	2,218,042   (c)
U.S. Treasury Bonds, Inflation Indexed		0.750%	2/15/42	4,312,260	3,425,846
U.S. Treasury Bonds, Inflation Indexed		1.375%	2/15/44	5,574,560	4,768,040
U.S. Treasury Bonds, Inflation Indexed		0.750%	2/15/45	16,689,530	12,467,484
U.S. Treasury Bonds, Inflation Indexed		0.250%	2/15/50	11,622,820	6,899,317   (a)
U.S. Treasury Bonds, Inflation Indexed		0.125%	2/15/52	4,667,080	2,547,950
U.S. Treasury Notes, Inflation Indexed		0.625%	1/15/26	2,733,880	2,727,438
U.S. Treasury Notes, Inflation Indexed		0.125%	4/15/26	8,669,570	8,615,650   (a)
U.S. Treasury Notes, Inflation Indexed		0.125%	10/15/26	13,193,682	13,082,077   (a)
U.S. Treasury Notes, Inflation Indexed		0.125%	4/15/27	17,255,400	16,957,328   (a)
U.S. Treasury Notes, Inflation Indexed		1.625%	10/15/27	5,482,250	5,539,040
U.S. Treasury Notes, Inflation Indexed		0.500%	1/15/28	3,950,280	3,889,665
U.S. Treasury Notes, Inflation Indexed		0.875%	1/15/29	11,576,880	11,445,100
U.S. Treasury Notes, Inflation Indexed		1.625%	10/15/29	5,161,200	5,242,472
U.S. Treasury Notes, Inflation Indexed		0.125%	1/15/30	1,262,420	1,203,910
U.S. Treasury Notes, Inflation Indexed		1.625%	4/15/30	5,101,650	5,164,138
U.S. Treasury Notes, Inflation Indexed		1.125%	10/15/30	5,020,600	4,984,239
U.S. Treasury Notes, Inflation Indexed		0.125%	1/15/32	8,201,970	7,565,902   (a)
U.S. Treasury Notes, Inflation Indexed		1.125%	1/15/33	13,084,680	12,696,854   (a)
U.S. Treasury Notes, Inflation Indexed		1.750%	1/15/34	10,988,952	11,054,278
U.S. Treasury Notes, Inflation Indexed		2.125%	1/15/35	9,159,791	9,432,929
U.S. Treasury Notes, Inflation Indexed		1.875%	7/15/35	5,057,650	5,104,825
Total U.S. Treasury Inflation Protected Securities (Cost - $244,641,265)					237,586,066
Corporate Bonds & Notes - 8.2%
Communication Services - 0.0%††
Wireless Telecommunication Services - 0.0%††
T-Mobile USA Inc., Senior Notes		3.750%	4/15/27	40,000	39,825
Consumer Discretionary - 0.7%
Hotels, Restaurants & Leisure - 0.7%
Sands China Ltd., Senior Notes		5.400%	8/8/28	600,000	609,824
Sands China Ltd., Senior Notes		2.850%	3/8/29	200,000	188,833
Sands China Ltd., Senior Notes		4.375%	6/18/30	420,000	410,957
Sands China Ltd., Senior Notes		3.250%	8/8/31	400,000	367,036
Total Consumer Discretionary					1,576,650

(Percentages shown based on Fund net assets)

Security		Rate	Maturity Date	Face Amount†	Value
Energy - 4.0%
Oil, Gas & Consumable Fuels - 4.0%
BP Capital Markets America Inc., Senior Notes		3.633%	4/6/30	190,000	$187,010
Columbia Pipelines Holding Co. LLC, Senior Notes		6.042%	8/15/28	440,000	458,273   (d)
Energy Transfer LP, Senior Notes		5.250%	4/15/29	430,000	442,629
Enterprise Products Operating LLC, Senior Notes		3.125%	7/31/29	1,170,000	1,135,501
EOG Resources Inc., Senior Notes		4.375%	4/15/30	40,000	40,370
EQT Corp., Senior Notes		5.000%	1/15/29	440,000	446,291
Occidental Petroleum Corp., Senior Notes		3.000%	2/15/27	810,000	800,632
Occidental Petroleum Corp., Senior Notes		6.200%	3/15/40	660,000	675,455
ONEOK Inc., Senior Notes		5.800%	11/1/30	410,000	433,090
Petrobras Global Finance BV, Senior Notes		5.999%	1/27/28	510,000	523,731
QazaqGaz NC JSC, Senior Notes		4.375%	9/26/27	1,600,000	1,591,576   (d)
Targa Resources Corp., Senior Notes		4.200%	2/1/33	470,000	451,382
Williams Cos. Inc., Senior Notes		5.750%	6/24/44	1,340,000	1,356,769
Total Energy					8,542,709
Financials - 0.4%
Financial Services - 0.4%
ILFC E-Capital Trust II, Ltd. GTD		6.520%	12/21/65	1,010,000	861,457   (d)(e)
Health Care - 0.5%
Pharmaceuticals - 0.5%
Bausch Health Americas Inc., Senior Notes		8.500%	1/31/27	970,000	969,286   (d)
Industrials - 1.0%
Aerospace & Defense - 1.0%
General Dynamics Corp., Senior Notes		4.250%	4/1/40	10,000	9,309
General Dynamics Corp., Senior Notes		4.250%	4/1/50	2,560,000	2,226,413
Total Industrials					2,235,722
Information Technology - 0.2%
Semiconductors & Semiconductor Equipment - 0.2%
Broadcom Inc., Senior Notes		3.137%	11/15/35	370,000	324,195   (d)
Materials - 1.4%
Metals & Mining - 1.4%
Antofagasta PLC, Senior Notes		2.375%	10/14/30	550,000	498,517   (d)
Glencore Finance Canada Ltd., Senior Notes		5.550%	10/25/42	950,000	932,505   (d)
Glencore Funding LLC, Senior Notes		4.000%	3/27/27	200,000	199,755   (d)
Glencore Funding LLC, Senior Notes		3.875%	10/27/27	800,000	796,880   (d)
Yamana Gold Inc., Senior Notes		4.625%	12/15/27	670,000	673,798
Total Materials					3,101,455
Total Corporate Bonds & Notes (Cost - $18,001,216)					17,651,299

(Percentages shown based on Fund net assets)

Security		Rate	Maturity Date	Face Amount†	Value
Collateralized Mortgage Obligations(f) - 7.7%
Alternative Loan Trust, 2007-12T1 A3		6.000%	6/25/37	1,083,515	$479,955
Angel Oak Mortgage Trust, 2023-1 A1		4.750%	9/26/67	186,335	185,923   (d)
BANK, 2021-BN32 XA, IO		0.868%	4/15/54	2,594,947	74,223   (e)
Benchmark Mortgage Trust, 2021-B29 XA, IO		1.123%	9/15/54	4,162,337	147,439   (e)
BOCA Commercial Mortgage Trust, 2024-BOCA A (1 mo. Term SOFR + 1.921%)		5.880%	8/15/41	390,000	391,103   (d)(e)
BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%)		8.065%	2/15/39	469,000	469,631   (d)(e)
BX Commercial Mortgage Trust, 2025-SPOT E (1 mo. Term SOFR + 3.690%)		7.649%	4/15/40	997,306	1,005,463   (d)(e)
BX Trust, 2021-ARIA D (1 mo. Term SOFR + 2.010%)		5.969%	10/15/36	850,000	849,847   (d)(e)
BX Trust, 2022-CLS A		5.760%	10/13/27	460,000	462,459   (d)
BXMT Ltd., 2020-FL2 A (1 mo. Term SOFR + 1.264%)		5.227%	2/15/38	54,076	53,937   (d)(e)
CD Mortgage Trust, 2017-CD5 A4		3.431%	8/15/50	300,000	295,360
Chase Mortgage Finance Trust, 2007-A1 2A3		5.888%	2/25/37	942	894   (e)
Citigroup Commercial Mortgage Trust, 2016-C3 A3		2.896%	11/15/49	101,598	100,524
Citigroup Commercial Mortgage Trust, 2023- SMRT A		6.015%	10/12/40	200,000	206,120   (d)(e)
CRSO Trust, 2023-BRND A		7.121%	7/10/40	430,000	448,413
CSMC Trust, 2019-NQM1 A1		3.656%	10/25/59	47,982	47,600   (d)
Extended Stay America Trust, 2025-ESH A (1 mo. Term SOFR + 1.300%)		5.259%	10/15/42	200,000	200,588   (d)(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4057 UI, IO		3.000%	5/15/27	3,258	1
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Trust, 2022-DNA3 M1B (30 Day Average SOFR + 2.900%)		6.972%	4/25/42	600,000	616,192   (d)(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Trust, 2022-DNA4 M1B (30 Day Average SOFR + 3.350%)		7.422%	5/25/42	370,000	382,426   (d)(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Trust, 2024-DNA1 M2 (30 Day Average SOFR + 1.950%)		6.022%	2/25/44	460,000	463,570   (d)(e)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Trust, 2024-DNA2 A1 (30 Day Average SOFR + 1.250%)		5.322%	5/25/44	287,694	289,285   (d)(e)

(Percentages shown based on Fund net assets)

Security		Rate	Maturity Date	Face Amount†	Value
Collateralized Mortgage Obligations(f) - continued
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Trust, 2025-DNA1 M2 (30 Day Average SOFR + 1.350%)		5.422%	1/25/45	340,000	$338,716   (d)(e)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2016-1 M2		3.750%	9/25/55	244,156	225,585   (d)(e)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2019-1 M		4.750%	7/25/58	357,881	351,445   (d)(e)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2022-1 M		4.500%	11/25/61	460,000	429,531   (d)(e)
Federal National Mortgage Association (FNMA) - CAS, 2019-R05 1B1 (30 Day Average SOFR + 4.214%)		8.286%	7/25/39	247,431	251,545   (d)(e)
Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1B1 (30 Day Average SOFR + 3.364%)		7.436%	1/25/40	350,000	357,236   (d)(e)
Federal National Mortgage Association (FNMA) - CAS, 2021-R01 1B1 (30 Day Average SOFR + 3.100%)		7.172%	10/25/41	330,000	335,845   (d)(e)
Federal National Mortgage Association (FNMA) - CAS, 2023-R06 1M2 (30 Day Average SOFR + 2.700%)		6.772%	7/25/43	320,000	329,344   (d)(e)
Federal National Mortgage Association (FNMA) - CAS, 2024-R02 1M2 (30 Day Average SOFR + 1.800%)		5.872%	2/25/44	250,000	251,310   (d)(e)
Government National Mortgage Association (GNMA), 2012-152 IO, IO		0.694%	1/16/54	1,115,197	33,174   (e)
Government National Mortgage Association (GNMA), 2014-47 IA, IO		0.164%	2/16/48	88,129	357   (e)
Government National Mortgage Association (GNMA), 2014-50 IO, IO		0.587%	9/16/55	480,392	11,163   (e)
Government National Mortgage Association (GNMA), 2014-169 IO, IO		0.588%	10/16/56	4,984,504	108,951   (e)
Government National Mortgage Association (GNMA), 2015-101 IO, IO		0.253%	3/16/52	3,486,986	24,392   (e)
Government National Mortgage Association (GNMA), 2015-183 IO, IO		0.435%	9/16/57	4,823,674	106,226   (e)
GSR Mortgage Loan Trust, 2004-11 1A1		6.297%	9/25/34	18,005	18,196   (e)
Home RE Ltd., 2023-1 M2 (30 Day Average SOFR + 6.000%)		10.072%	10/25/33	290,000	310,957   (d)(e)
MHC Commercial Mortgage Trust, 2021-MHC A (1 mo. Term SOFR + 0.915%)		4.874%	4/15/38	55,527	55,527   (d)(e)

(Percentages shown based on Fund net assets)

Security		Rate	Maturity Date	Face Amount†	Value
Collateralized Mortgage Obligations(f) - continued
MRCD Mortgage Trust, 2019-PARK A		2.718%	12/15/36	850,000	$751,009   (d)
New Residential Mortgage Loan Trust, 2014-1A A		3.750%	1/25/54	207,673	203,173   (d)(e)
NYC Commercial Mortgage Trust, 2025-28L F		8.130%	11/5/38	750,000	752,526   (d)(e)
OBX Trust, 2025-NQM4 A3		5.755%	2/25/55	587,570	590,784   (d)
PRKCM Trust, 2021-AFC1 A1		1.510%	8/25/56	563,060	480,913   (d)(e)
PRKCM Trust, 2023-AFC1 A1		6.598%	2/25/58	388,636	388,786   (d)
PRPM Trust, 2024-NQM4 A1		5.674%	12/26/69	213,066	214,526   (d)
RAMP Trust, 2004-SL4 A5		7.500%	7/25/32	28,872	8,785
SREIT Trust, 2021-PALM B (1 mo. Term SOFR + 0.924%)		4.883%	10/15/34	830,000	828,075   (d)(e)
Towd Point Mortgage Trust, 2020-2 A1A		1.636%	4/25/60	593,179	546,688   (d)(e)
Towd Point Mortgage Trust, 2020-2 M1B		3.000%	4/25/60	250,000	201,376   (d)(e)
Verus Securitization Trust, 2022-1 B1		4.007%	1/25/67	350,000	283,097   (d)(e)
Verus Securitization Trust, 2023-8 B1		8.079%	12/25/68	290,000	294,683   (d)(e)
Verus Securitization Trust, 2024-8 A3		5.872%	10/25/69	283,233	284,840   (d)
Total Collateralized Mortgage Obligations (Cost - $17,610,267)					16,539,714
Non-U.S. Treasury Inflation Protected Securities - 2.6%
Brazil - 2.1%
Brazil Notas do Tesouro Nacional Serie B, Notes		6.000%	5/15/29	12,031,897  BRL	2,144,207
Brazil Notas do Tesouro Nacional Serie B, Notes		6.000%	8/15/50	13,698,555  BRL	2,289,098
Total Brazil					4,433,305
Mexico - 0.5%
Mexican Udibonos, Bonds		4.000%	11/30/28	21,536,863  MXN	1,185,409
Total Non-U.S. Treasury Inflation Protected Securities (Cost - $6,861,828)					5,618,714
Sovereign Bonds - 1.6%
Mexico - 0.7%
Mexico Government International Bond, Senior Notes		5.850%	7/2/32	1,480,000	1,525,288
Nigeria - 0.1%
Nigeria Government International Bond, Senior Notes		6.500%	11/28/27	200,000	201,807   (d)
Peru - 0.3%
Peruvian Government International Bond, Senior Notes		5.500%	3/30/36	500,000	514,100
Peruvian Government International Bond, Senior Notes		3.300%	3/11/41	200,000	156,270
Total Peru					670,370

(Percentages shown based on Fund net assets)

Security		Rate	Maturity Date	Face Amount†	Value
Supranational - 0.5%
Inter-American Development Bank, Senior Notes		7.350%	10/6/30	90,000,000  INR	$1,032,438
Total Sovereign Bonds (Cost - $3,420,577)					3,429,903
Mortgage-Backed Securities - 0.1%
FHLMC - 0.0%††
Federal Home Loan Mortgage Corp. (FHLMC)		6.000%	12/1/52	54,294	56,266
FNMA - 0.1%
Federal National Mortgage Association (FNMA)		6.500%	11/1/52	65,719	69,261
Total Mortgage-Backed Securities (Cost - $123,071)					125,527
Total Investments before Short-Term Investments (Cost - $290,658,224)					280,951,223
Short-Term Investments - 9.6%
Repurchase Agreements - 7.8%
Morgan Stanley & Co. repurchase agreement dated 11/30/25; Proceeds at maturity - $1,066,471; (Fully collateralized by U.S. Treasury Bills, 0.125% due 10/15/26; Market value - $1,060,355)		4.430%	12/5/25	1,061,377	1,061,377
Morgan Stanley & Co. repurchase agreement dated 11/30/25; Proceeds at maturity - $7,408,103; (Fully collateralized by U.S. Treasury Bills, 0.125% due 4/15/26; Market value - $7,382,693)		4.430%	12/5/25	7,372,720	7,372,720
Morgan Stanley & Co. repurchase agreement dated 11/30/25; Proceeds at maturity - $8,275,032; (Fully collateralized by U.S. Treasury Bills, 2.000% due 1/15/26; Market value - $8,172,183)		4.430%	12/5/25	8,235,509	8,235,509
Total Repurchase Agreements (Cost - $16,669,606)					16,669,606
				Shares
Money Market Funds - 1.8%
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $3,954,018)		3.957%		3,954,018	3,954,018   (g)(h)
Total Short-Term Investments (Cost - $20,623,624)					20,623,624
Total Investments - 140.5% (Cost - $311,281,848)					301,574,847
Liabilities in Excess of Other Assets - (40.5)%					(86,881,314 )
Total Net Assets - 100.0%					$214,693,533

 

†	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 centrally cleared swap contracts.
(c)	All or a portion of this security is held at the broker as collateral for open futures contracts.
(d)	Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.
(e)	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)	Rate shown is one-day yield as of the end of the reporting period.
(h)	In this instance, as defined in the Investment Company Act of 1940, an "Affiliated Company" represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At November 30, 2025, the total market value of investments in Affiliated Companies was $3,954,018 and the cost was $3,954,018 (Note 8).

 

Abbreviation(s) used in this schedule:
BRL	-	Brazilian Real
CAS	-	Connecticut Avenue Securities
GTD	-	Guaranteed
INR	-	Indian Rupee
IO	-	Interest Only
JSC	-	Joint Stock Company
MXN	-	Mexican Peso
REMIC	-	Real Estate Mortgage Investment Conduit
SOFR	-	Secured Overnight Financing Rate

At November 30, 2025, 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.	4.480%	6/5/2025	12/5/2025	$87,828,806	U.S. Treasury Inflation Protected Securities Cash	$97,123,303 630,000
				$87,828,806		$97,753,303

 

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

At November 30, 2025, 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	72	6/26	$17,371,951	$17,361,000	$(10,951 )
Copper	14	5/26	1,770,507	1,861,125	90,618
U.S. Treasury 5-Year Notes	95	3/26	10,386,492	10,427,735	41,243
					120,910
Contracts to Sell:
U.S. Treasury Ultra Long- Term Bonds	59	3/26	7,052,242	7,135,313	(83,071 )
Net unrealized appreciation on open futures contracts					$37,839

 

Abbreviation(s) used in this table:
SOFR	-	Secured Overnight Financing Rate

At November 30, 2025, the Fund had the following open forward foreign currency contracts:  

Currency Purchased		Currency Sold		Counterparty	Settlement Date	Unrealized Appreciation (Depreciation)
BRL	12,200,000	USD	2,287,300	JPMorgan Chase & Co.	12/2/25	$(4,118 )
USD	2,266,121	BRL	12,200,000	JPMorgan Chase & Co.	12/2/25	(17,061 )
USD	1,089,087	MXN	20,214,865	Bank of America N.A.	1/16/26	(9,706 )
USD	1,076,716	INR	96,104,489	Citibank N.A.	1/16/26	5,218
Net unrealized depreciation on open forward foreign currency contracts						$(25,667 )

 

Abbreviation(s) used in this table:
BRL	-	Brazilian Real
INR	-	Indian Rupee
MXN	-	Mexican Peso
USD	-	United States Dollar

At November 30, 2025, the Fund had the following open swap contracts:  

CENTRALLY CLEARED INTEREST RATE SWAPS
	Notional Amount	Termination Date	Payments Made by the Fund†	Payments Received by the Fund†	Market Value	Upfront Premiums Paid (Received)	Unrealized Depreciation
	$4,670,000	11/21/30	2.452%**	CPURNSA**	$(9,728)	$-	$(9,728)

 

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.45 Index	$6,516,000	12/20/30	5.000% quarterly	$485,175	$479,445	$5,730
Markit CDX.NA.IG.45 Index	14,101,000	12/20/30	1.000% quarterly	317,182	311,630	5,552
Total	$20,617,000			$802,357	$791,075	$11,282

 

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.	$2,642,000	1/8/26	Daily SOFR Compound + 1.100%**	JPEIFNTR^**	$171,637	-	$171,637

 

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 41 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
CPURNSA	3.241%
Daily SOFR Compound	4.120%

 

Abbreviation(s) used in this table:
CPURNSA	-	U.S. CPI Urban Consumers NSA Index
JPEIFNTR	-	Western Asset Management Emerging Markets Frontier Custom Basket
SOFR	-	Secured Overnight Financing Rate

The following table provides information about the underlying components of the JPEIFNTR total return swap, as of

year end. 

Security	Face Amount	Value	Weight
Angolan Government International Bond, 9.125% due 11/26/49	$12,070,000	$10,244,412	5.49%
Argentine Republic Government International Bond, 3.500% due 7/9/41	8,080,000	5,385,320	2.89%
Argentine Republic Government International Bond, 5.000% due 1/9/38	8,650,000	6,452,900	3.46%
Bahamas Government International Bond, 8.250% due 6/24/36	6,200,000	6,717,700	3.60%
Benin Government International Bond, 7.960% due 2/13/38	4,860,000	4,938,295	2.65%
Costa Rica Government International Bond, 6.550% due 4/3/34	5,810,000	6,250,107	3.35%
Dominican Republic International Bond, 4.500% due 1/30/30	9,540,000	9,274,073	4.97%
Ecuador Government International Bond, 6.900% due 7/31/35	9,150,000	7,814,100	4.19%

Security	Face Amount	Value	Weight
Egypt Government International Bond, 5.800% due 9/30/27	$5,270,000	$5,296,350	2.84%
Egypt Government International Bond, 7.903% due 2/21/48	4,170,000	3,667,015	1.97%
El Salvador Government International Bond, 7.125% due 1/20/50	7,580,000	6,810,630	3.65%
Ethiopia International Bond, 6.625% due 12/11/26(a)	10,970,000	11,447,538	6.14%
Ghana Government International Bond, 5.000% due 7/3/29	2,716,043	2,654,932	1.42%
Ghana Government International Bond, 5.000% due 7/3/35	3,905,715	3,454,130	1.85%
Guatemala Government Bond, 5.375% due 4/24/32	4,940,000	4,957,290	2.66%
Ivory Coast Government International Bond, 7.625% due 1/30/33	10,570,000	11,024,510	5.91%
Jordan Government International Bond, 7.500% due 1/13/29	4,710,000	4,945,265	2.65%
Mozambique International Bond, 9.000% due 9/15/31	5,550,000	4,709,508	2.53%
Nigeria Government International Bond, 7.375% due 9/28/33	13,830,000	13,585,209	7.29%
Paraguay Government International Bond, 6.100% due 8/11/44	5,750,000	5,928,250	3.18%
Petroleos de Venezuela SA, 5.375% due 4/12/27(a)	34,000,000	7,963,980	4.27%
Provincia de Buenos Aires/Government Bonds, 6.625% due 9/1/37	5,319,673	3,510,353	1.88%
Republic of Kenya Government International Bond, 6.300% due 1/23/34	12,750,000	11,104,358	5.96%
Republic of Uzbekistan International Bond, 3.900% due 10/19/31	3,810,000	3,493,770	1.87%
Senegal Government International Bond, 6.250% due 5/23/33	3,780,000	2,305,800	1.24%
Senegal Government International Bond, 6.750% due 3/13/48	3,230,000	1,811,836	0.97%
Sri Lanka Government International Bond, 3.100% due 1/15/30	2,330,000	2,193,113	1.18%
Sri Lanka Government International Bond, 3.350% due 3/15/33	1,693,000	1,467,831	0.79%
Sri Lanka Government International Bond, 3.600% due 6/15/35	3,080,000	2,337,335	1.25%
Sri Lanka Government International Bond, 3.600% due 5/15/36	793,000	720,837	0.39%
Sri Lanka Government International Bond, 3.600% due 2/15/38	1,587,000	1,453,692	0.78%
Sri Lanka Government International Bond, 4.000% due 4/15/28	890,914	621,145	0.33%
Ukraine Government International Bond, 0.000% due 2/1/30	537,010	297,772	0.16%
Ukraine Government International Bond, 0.000% due 2/1/34	2,006,721	917,071	0.49%
Ukraine Government International Bond, 0.000% due 2/1/35	1,695,820	954,747	0.51%
Ukraine Government International Bond, 0.000% due 2/1/36	1,413,184	792,796	0.43%
Ukraine Government International Bond, 4.500% due 2/1/34	3,870,000	2,263,950	1.21%
Ukraine Government International Bond, 4.500% due 2/1/35	2,380,000	1,370,880	0.74%
Ukraine Government International Bond, 4.500% due 2/1/36	1,966,168	1,115,800	0.60%
Zambia Government International Bond, 0.500% due 12/31/53	3,525,852	2,422,930	1.30%
Zambia Government International Bond, 5.750% due 6/30/33	2,655,488	1,784,304	0.96%
Total		$186,461,834	100.00%

 

Assets:
Investments in unaffiliated securities, at value (Cost - $307,327,830)	$297,620,829
Investments in affiliated securities, at value (Cost - $3,954,018)	3,954,018
Foreign currency, at value (Cost - $635,011)	632,291
Interest receivable	1,437,202
Deposits with brokers for open reverse repurchase agreements	630,000
OTC swaps, at value (premiums paid - $0)	171,637
Deposits with brokers for open futures contracts	165,242
Foreign currency collateral for open futures contracts, at value (Cost - $129,156)	141,999
Receivable from brokers - net variation margin on open futures contracts	48,105
Dividends receivable from affiliated investments	10,941
Receivable from brokers - net variation margin on centrally cleared swap contracts	10,938
Deposits with brokers for centrally cleared swap contracts	7,868
Unrealized appreciation on forward foreign currency contracts	5,218
Prepaid expenses	2,100
Total Assets	304,838,388
Liabilities:
Payable for open reverse repurchase agreements (Note 3)	87,828,806
Interest expense payable	1,956,435
Investment management fee payable	86,684
Unrealized depreciation on forward foreign currency contracts	30,885
Payable for open OTC swap contracts	22,589
Administration fee payable	12,440
Trustees' fees payable	831
Due to custodian	82
Accrued expenses	206,103
Total Liabilities	90,144,855
Total Net Assets	$214,693,533
Net Assets:
Common shares, no par value, unlimited number of shares authorized, 23,322,256 shares issued and outstanding	$289,689,490
Total distributable earnings (loss)	(74,995,957 )
Total Net Assets	$214,693,533
Shares Outstanding	23,322,256
Net Asset Value	$9.21

 

Investment Income:
Interest	$14,228,880
Dividends from affiliated investments	248,077
Less: Foreign taxes withheld	(1,271 )
Total Investment Income	14,475,686
Expenses:
Interest expense (Note 3)	4,614,213
Investment management fee (Note 2)	1,095,889
Administration fees (Note 2)	156,555
Fund accounting fees	90,071
Audit and tax fees	68,636
Shareholder reports	52,181
Legal fees	50,306
Transfer agent fees	49,639
Stock exchange listing fees	12,497
Commodity pool reports	12,000
Trustees' fees	6,541
Insurance	1,990
Miscellaneous expenses	17,591
Total Expenses	6,228,109
Less: Fee waivers and/or expense reimbursements (Note 2)	(6,326 )
Net Expenses	6,221,783
Net Investment Income	8,253,903
Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, 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	(10,035,026 )
Futures contracts	3,252,455
Swap contracts	643,559
Forward foreign currency contracts	(636,215 )
Foreign currency transactions	25,864
Net Realized Loss	(6,749,363 )
Change in Net Unrealized Appreciation (Depreciation) From:
Investments in unaffiliated securities	13,301,697
Futures contracts	591,572
Swap contracts	(44,876 )
Forward foreign currency contracts	26,376
Foreign currencies	33,480
Change in Net Unrealized Appreciation (Depreciation)	13,908,249
Net Gain on Investments, Futures Contracts, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions	7,158,886
Increase in Net Assets From Operations	$15,412,789

 

For the Years Ended November 30,	2025	2024
Operations:
Net investment income	$8,253,903	$4,784,861
Net realized loss	(6,749,363 )	(2,000,514 )
Change in net unrealized appreciation (depreciation)	13,908,249	9,916,308
Increase in Net Assets From Operations	15,412,789	12,700,655
Distributions to Shareholders From (Note 1):
Total distributable earnings	(9,031,115 )	(10,767,821 )
Return of capital	(5,382,039 )	(3,225,533 )
Decrease in Net Assets From Distributions to Shareholders	(14,413,154 )	(13,993,354 )
Increase (Decrease) in Net Assets	999,635	(1,292,699 )
Net Assets:
Beginning of year	213,693,898	214,986,597
End of year	$214,693,533	$213,693,898

 

Increase (Decrease) in Cash:
Cash Flows from Operating Activities:
Net increase in net assets resulting from operations	$15,412,789
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) by operating activities:
Purchases of portfolio securities	(84,743,854 )
Sales of portfolio securities	129,551,661
Net purchases, sales and maturities of short-term investments	(14,461,569 )
Net inflation adjustment	(8,239,811 )
Net amortization of premium (accretion of discount)	1,053,606
Decrease in security litigation proceeds receivable	822
Increase in interest receivable	(22,151 )
Decrease in receivable from brokers - net variation margin on centrally cleared swap contracts	4,535
Increase in prepaid expenses	(107 )
Decrease in dividends receivable from affiliated investments	363
Increase in receivable from brokers - net variation margin on open futures contracts	(48,105 )
Decrease in investment management fee payable	(6,179 )
Decrease in Trustees' fees payable	(10 )
Decrease in administration fee payable	(862 )
Increase in interest expense payable	649,153
Decrease in payable to brokers - net variation margin on open futures contracts	(112,376 )
Increase in payable for open OTC swap contracts	12,854
Increase in accrued expenses	24,455
Net realized loss on investments	10,035,026
Change in net unrealized appreciation (depreciation) of investments, OTC swap contracts and forward foreign currency contracts	(13,433,543 )
Net Cash Provided in Operating Activities*	35,676,697
Cash Flows from Financing Activities:
Distributions paid on common stock	(14,413,154 )
Increase in due to custodian	82
Decrease in payable for open reverse repurchase agreements	(23,238,208 )
Net Cash Used by Financing Activities	(37,651,280 )
Net Decrease in Cash and Restricted Cash	(1,974,583 )
Cash and restricted cash at beginning of year	3,551,983
Cash and restricted cash at end of year	$1,577,400

 

*	Included in operating expenses is $3,965,060 paid for interest on borrowings.

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.  

	November 30, 2025
Cash	$632,291
Restricted cash	945,109
Total cash and restricted cash shown in the Consolidated Statement of Cash Flows	$1,577,400

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.

 

For a share of common stock outstanding throughout each year ended November 30:
	20251	20241	20231	20221	20211
Net asset value, beginning of year	$9.16	$9.22	$10.36	$14.66	$14.23
Income (loss) from operations:
Net investment income	0.35	0.21	0.28	1.10	0.86
Net realized and unrealized gain (loss)	0.32	0.33	(0.30 )	(3.42 )	0.44
Total income (loss) from operations	0.67	0.54	(0.02)	(2.32)	1.30
Less distributions from:
Net investment income	(0.39 )	(0.46 )	(1.12 )	(1.37 )	(0.01 )
Net realized gains	-	-	-	(0.61 )	(0.89 )
Return of capital	(0.23 )	(0.14 )	-	-	-
Total distributions	(0.62 )	(0.60 )	(1.12 )	(1.98 )	(0.90 )
Anti-dilutive impact of tender offer	-	-	-	-	0.03 2
Net asset value, end of year	$9.21	$9.16	$9.22	$10.36	$14.66
Market price, end of year	$8.41	$8.28	$7.96	$8.99	$14.09
Total return, based on NAV3,4	7.58 %	5.97 %	(0.22 )%	(17.37 )%	9.68 %
Total return, based on Market Price5	9.39 %	11.94 %	0.99 %	(24.30 )%	14.29 %
Net assets, end of year (millions)	$215	$214	$215	$242	$342
Ratios to average net assets:
Gross expenses	2.92 %	4.01 %	4.27 %	1.62 %	0.83 %
Net expenses6,7	2.91	4.00	4.27	1.61	0.83
Net investment income	3.87	2.20	2.90	9.12	5.96
Portfolio turnover rate	28 %	13 %	18 %	30 %	26 %

 

1	Per share amounts have been calculated using the average shares method.
2	The tender offer was completed at a price of $13.99 for 5,830,564 shares and $81,569,590 for the year ended November 30, 2021.
3	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.
4	The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of future results.
5	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.
6	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.
7	Reflects fee waivers and/or expense reimbursements.

1. Organization and significant accounting policies

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

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

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

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:

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	-	$237,586,066	-	$237,586,066
Corporate Bonds & Notes	-	17,651,299	-	17,651,299
Collateralized Mortgage Obligations	-	16,539,714	-	16,539,714
Non-U.S. Treasury Inflation Protected Securities	-	5,618,714	-	5,618,714
Sovereign Bonds	-	3,429,903	-	3,429,903
Mortgage-Backed Securities	-	125,527	-	125,527
Total Long-Term Investments	-	280,951,223	-	280,951,223
Short-Term Investments†:
Repurchase Agreements	-	16,669,606	-	16,669,606
Money Market Funds	$3,954,018	-	-	3,954,018
Total Short-Term Investments	3,954,018	16,669,606	-	20,623,624
Total Investments	$3,954,018	$297,620,829	-	$301,574,847

ASSETS (cont'd)
Description	Quoted Prices (Level 1)	Other Significant Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)	Total
Other Financial Instruments:
Futures Contracts††	$131,861	-	-	$131,861
Forward Foreign Currency Contracts††	-	$5,218	-	5,218
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection††	-	11,282	-	11,282
OTC Total Return Swaps	-	171,637	-	171,637
Total Other Financial Instruments	$131,861	$188,137	-	$319,998
Total	$4,085,879	$297,808,966	-	$301,894,845
LIABILITIES
Description	Quoted Prices (Level 1)	Other Significant Observable Inputs (Level 2)	Significant Unobservable Inputs (Level 3)	Total
Other Financial Instruments:
Futures Contracts††	$94,022	-	-	$94,022
Forward Foreign Currency Contracts††	-	$30,885	-	30,885
Centrally Cleared Interest Rate Swaps††	-	9,728	-	9,728
Total	$94,022	$40,613	-	$134,635

 

†	See Consolidated Schedule of Investments for additional detailed categorizations.
††	Reflects the unrealized appreciation (depreciation) of the instruments.

(b) 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.

(c) 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.

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.

(d) 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 November 30, 2025, the total notional value of all credit default swaps to sell protection was $20,617,000. 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 year ended November 30, 2025, 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 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, the Fund will receive a payment from the counterparty. To the extent it is less, the Fund will make a payment to the counterparty.

(e) 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.

(f) Repurchase agreements. The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund's holding period. When entering into repurchase agreements, it is the Fund's policy that its custodian or a third party custodian, acting on the Fund's behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.

(g) 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 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.

(h) 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.

(i) 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.

(j) 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.

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.

(k) 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.

(l) 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 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.

(m) 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 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 November 30, 2025, the Fund held forward foreign currency contracts with credit related contingent features which had a liability position of $30,885. 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.

At November 30, 2025, the Fund held non-cash collateral from JPMorgan Chase & Co. Inc. in the amount of $151,023. This amount could be used to reduce the Fund's exposure to the counterparty in the event of default.

(n) 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.

(o) 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, 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 2025 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.

(p) Compensating balance arrangements. The Fund had an arrangement with its custodian bank whereby a portion of the custodian's fees was paid indirectly by credits earned on the Fund's cash on deposit with the bank. Effective April 1, 2025, any cash on deposit with the bank will earn interest and be recognized as interest income on the Consolidated Statement of Operations.

(q) 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 (the "Code"), as amended, 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.

(r) 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. During the current year, the Fund had no reclassifications.

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 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.

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 year ended November 30, 2025, fees waived and/or expenses reimbursed amounted to $6,326, 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.

3. Investments

During the year ended November 30, 2025, 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	$8,610,180	$76,133,674
Sales	24,407,573	105,144,088

At November 30, 2025, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were as follows:
 

	Cost/Premiums Paid (Received)	Gross Unrealized Appreciation	Gross Unrealized Depreciation	Net Unrealized Appreciation (Depreciation)
Securities	$311,493,134	$1,983,556	$(11,901,843)	$(9,918,287)
Futures contracts	-	131,861	(94,022)	37,839
Forward foreign currency contracts	-	5,218	(30,885)	(25,667)
Swap contracts	791,075	182,919	(9,728)	173,191

Transactions in reverse repurchase agreements for the Fund during the year ended November 30, 2025, were as follows:
 

Average Daily Balance*	Weighted Average Interest Rate*	Maximum Amount Outstanding
$99,430,846	4.577%	$111,067,014

 

* Averages based on the number of days that the Fund had reverse repurchase agreements outstanding.

Interest rates on reverse repurchase agreements ranged from 4.480% to 5.160% during the year ended November 30, 2025. Interest expense incurred on reverse repurchase agreements totaled $4,614,213.

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 November 30, 2025.
 

ASSET DERIVATIVES1
	Interest Rate Risk	Foreign Exchange Risk	Credit Risk	Commodity Risk	Market Risk	Total
Futures contracts2	$41,243	-	-	$90,618	-	$131,861
Forward foreign currency contracts	-	$5,218	-	-	-	5,218
OTC swap contracts3	-	-	-	-	$171,637	171,637
Centrally cleared swap contracts4	-	-	$11,282	-	-	11,282
Total	$41,243	$5,218	$11,282	$90,618	$171,637	$319,998

 

LIABILITY DERIVATIVES1
	Interest Rate Risk	Foreign Exchange Risk	Total
Futures contracts2	$94,022	-	$94,022
Forward foreign currency contracts	-	$30,885	30,885
Centrally cleared swap contracts4	9,728	-	9,728
Total	$103,750	$30,885	$134,635

 

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.

The following tables provide information about the effect of derivatives and hedging activities on the Fund's Consolidated Statement of Operations for the year ended November 30, 2025. 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	$671,863	$162,513	-	$2,418,079	-	$3,252,455
Swap contracts	(5,460 )	-	$410,654	-	$238,365	643,559
Forward foreign currency contracts	-	(636,215 )	-	-	-	(636,215 )
Total	$666,403	$(473,702 )	$410,654	$2,418,079	$238,365	$3,259,799

 

CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED
	Interest Rate Risk	Foreign Exchange Risk	Credit Risk	Commodity Risk	Market Risk	Total
Futures contracts	$309,604	-	-	$281,968	-	$591,572
Swap contracts	(9,728 )	-	$(140,618 )	-	$105,470	(44,876 )
Forward foreign currency contracts	-	$26,376	-	-	-	26,376
Total	$299,876	$26,376	$(140,618 )	$281,968	$105,470	$573,072

During the year ended November 30, 2025, the volume of derivative activity for the Fund was as follows:
 

	Average Market Value*
Futures contracts (to buy)	$31,396,883
Futures contracts (to sell)	18,413,346
Forward foreign currency contracts (to buy)	5,968,049
Forward foreign currency contracts (to sell)	8,669,649
	Average Notional Balance**
Interest rate swap contracts	$2,171,538
Credit default swap contracts (sell protection)	19,286,231
Total return swap contracts	2,424,231

 

*	Based on the average of the market values at each month-end during the period.
**	Based on the average of the notional amounts at each month-end during the period.

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 November 30, 2025.
 

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.	-	$(9,706)	$(9,706)	-	$(9,706)
Citibank N.A.	$5,218	-	5,218	-	5,218
JPMorgan Chase & Co.	171,637	(21,179)	150,458	$(151,023)	(565)
Total	$176,855	$(30,885)	$145,970	$(151,023)	$(5,053)

 

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. Tender offer

On November 24, 2020, the Fund announced that the Board had approved a cash tender offer for up to 20% of the Fund's outstanding common shares (the "Shares") at a price per Share equal to 99% of the Fund's net asset value per Share as of the business day immediately following the expiration date of the tender offer. On November 25, 2020, the Fund commenced its tender offer. On December 28, 2020, the tender offer expired. Pursuant to the terms of the tender offer, the Fund repurchased Shares tendered and accepted in the tender offer in exchange for cash. On December 30, 2020, the Fund announced the final results of the tender offer. A total of 20,871,974 Shares were duly tendered and not withdrawn. Because the number of Shares tendered exceeded 5,830,564 Shares, the tender offer was oversubscribed. Therefore, in accordance with the terms and conditions specified in the tender offer, the Fund purchased Shares from all tendering shareholders on a pro rata basis, disregarding fractions. Payment for such shares was made on December 31, 2020. The purchase price of properly tendered Shares was $13.99 per Share, equal to 99% of the per Share net asset value of $14.13 as of the close of the regular trading session on the New York Stock Exchange on December 29, 2020. Shares that were not tendered remain outstanding.

6. Distributions subsequent to November 30, 2025

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
12/23/2025	12/31/2025	$0.0520
1/23/2026	1/30/2026	$0.0520
2/20/2026	2/27/2026	$0.0520

7. 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 years ended November 30, 2025, and November 30, 2024, the Fund did not repurchase any shares.

8. 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 year ended November 30, 2025. The following transactions were effected in such company for the year ended November 30, 2025.
 

	Affiliate Value at November 30, 2024	Purchased		Sold
		Cost	Shares	Proceeds	Shares
Western Asset Premier Institutional Government Reserves, Premium Shares	$6,162,056	$114,669,848	114,669,848	$116,877,886	116,877,886

 

(cont'd)	Realized Gain (Loss)	Dividend Income	Net Increase (Decrease) in Unrealized Appreciation (Depreciation)	Affiliate Value at November 30, 2025
Western Asset Premier Institutional Government Reserves, Premium Shares	-	$248,077	-	$3,954,018

9. Income tax information and distributions to shareholders

The tax character of distributions paid during the fiscal years ended November 30, was as follows:
 

	2025	2024
Distributions paid from:
Ordinary income	$9,031,115	$10,767,821
Tax return of capital	5,382,039	3,225,533
Total distributions paid	$14,413,154	$13,993,354

As of November 30, 2025, the components of distributable earnings (loss) on a tax basis were as follows:
 

Deferred capital losses*	$(64,134,943)
Other book/tax temporary differences(a)	(1,138,110)
Unrealized appreciation (depreciation)(b)	(9,722,904)
Total distributable earnings (loss) - net	$(74,995,957)

 

*	These capital losses have been deferred in the current year as either short-term or long-term losses. The losses will be deemed to occur on the first day of the next taxable year in the same character as they were originally deferred and will be available to offset future taxable capital gains.
(a)	Other book/tax temporary differences are attributable to the tax deferral of losses on straddles, the realization for tax purposes of unrealized gains (losses) on futures and foreign currency contracts.
(b)	The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable to the tax deferral of losses on wash sales and the investment in the Subsidiary.

10. Recent accounting pronouncement

In December 2023, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2023-09, Income Taxes (Topic 740) - Improvements to Income Tax Disclosures. The amendments enhance income tax disclosures by requiring greater disaggregation in the rate reconciliation and income taxes paid by jurisdiction, while removing certain disclosure requirements. The ASU is effective for annual periods beginning after December 15, 2024, with early adoption permitted. Management is currently evaluating the impact and believes that the adoption of the ASU will not have a material impact on the financial statements.

11. 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.

To the Board of Trustees and Shareholders of Western Asset Inflation-Linked Income Fund

Opinion on the Financial Statements

We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Western Asset Inflation-Linked Income Fund and its subsidiary (the "Fund") as of November 30, 2025, the related consolidated statements of operations and cash flows for the year ended November 30, 2025, the consolidated statement of changes in net assets for each of the two years in the period ended November 30, 2025, including the related notes, and the consolidated financial highlights for each of the five years in the period ended November 30, 2025 (collectively referred to as the "consolidated financial statements"). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of November 30, 2025, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period ended November 30, 2025 and the financial highlights for each of the five years in the period ended November 30, 2025 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These consolidated financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of November 30, 2025 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Baltimore, Maryland
January 22, 2026

We have served as the auditor of one or more investment companies in the Franklin Templeton Group of Funds since 1948.

The business and affairs of Western Asset Inflation-Linked Income Fund (the "Fund") are conducted by management under the supervision and subject to the direction of its Board of Trustees. The business address of each Trustee is c/o Jane Trust, Franklin Templeton, One Madison Avenue, 17th Floor, New York, NY 10010.

Information pertaining to the Trustees and officers of the Fund is set forth below. The Fund's annual proxy statement includes additional information about Trustees and is available,

without charge, upon request by calling the Fund at 1-888-777-0102. 

Independent Trustees†
Robert Abeles, Jr.
Year of birth	1945
Position(s) held with Fund	Trustee and Member of Audit, Executive and Contracts, Investment and Performance and Governance and Nominating Committees and Chair of Audit Committee, Class II
Term of office1 and year service began2	Since 2013
Principal occupation(s) during the past five years	Board Member of Excellent Education Development (since 2012); Senior Vice President Emeritus (since 2016) and formerly, Senior Vice President, Finance and Chief Financial Officer (2009 to 2016) at University of Southern California; and formerly, Board Member of Great Public Schools Now (2018 to 2022)
Number of portfolios in fund complex3 overseen by Trustee (including the Fund)4	49
Other Trusteeships held by Trustee during the past five years	None
Jane F. Dasher
Year of birth	1949
Position(s) held with Fund	Trustee and Member of Audit, Executive and Contracts, Investment and Performance and Governance and Nominating Committees, Class II
Term of office1 and year service began2	Since 1999
Principal occupation(s) during the past five years	Director (since 2022) and formerly, Chief Financial Officer, Long Light Capital, LLC, formerly known as Korsant Partners, LLC (a family investment company) (since 1997)
Number of portfolios in fund complex3 overseen by Trustee (including the Fund)4	49
Other Trusteeships held by Trustee during the past five years	Formerly, Director, Visual Kinematics, Inc. (2018 to 2022)

Independent Trustees† (cont'd)
Jaynie Miller Studenmund
Year of birth	1954
Position(s) held with Fund	Trustee and Member of Audit, Executive and Contracts, Investment and Performance and Governance and Nominating Committees and Chair of Governance and Nominating Committee, Class III
Term of office1 and year service began2	Since 2004
Principal occupation(s) during the past five years	Corporate Board Member and Advisor (since 2004); formerly, Chief Operating Officer of Overture Services, Inc. (publicly traded internet company that created search engine marketing) (2001 to 2004); President and Chief Operating Officer, PayMyBills (internet innovator in bill presentment/payment space) (1999 to 2001); and Executive vice president for consumer and business banking for three national financial institutions (1984 to 1997)
Number of portfolios in fund complex3 overseen by Trustee (including the Fund)4	49
Other Trusteeships held by Trustee during the past five years	Director of Pacific Premier Bancorp Inc. and Pacific Premier Bank (since 2019); formerly, Director of EXL (operations management and analytics company) (2018 to 2025); Director of LifeLock, Inc. (identity theft protection company) (2015 to 2017); Director of CoreLogic, Inc. (information, analytics and business services company) (2012 to 2021); and Director of Pinnacle Entertainment, Inc. (gaming and hospitality company) (2012 to 2018)
Peter J. Taylor
Year of birth	1958
Position(s) held with Fund	Trustee and Member of Audit, Executive and Contracts, Investment and Performance and Governance and Nominating Committees, and Coordinator of Alternative Investments, Class III
Term of office1 and year service began2	Since 2019
Principal occupation(s) during the past five years	Retired; formerly, President, ECMC Foundation (nonprofit organization) (2014 to 2023); and Executive Vice President and Chief Financial Officer for University of California system (2009 to 2014)
Number of portfolios in fund complex3 overseen by Trustee (including the Fund)4	49
Other Trusteeships held by Trustee during the past five years	Director of Pacific Mutual Holding Company (since 2016);6 Ralph M. Parson Foundation (since 2015); Edison International (since 2011); formerly, Director of 23andMe, Inc. (genetics and health care services company) (2021 to 2024); Member of the Board of Trustees of California State University system (2015 to 2022); and Kaiser Family Foundation (2012 to 2022)

 

Interested Trustee
Ronald L. Olson7
Year of birth	1941
Position(s) held with Fund	Trustee and Member of Investment and Performance Committee, Class I
Term of office1 and year service began2	Since 2005
Principal occupation(s) during the past five years	Partner of Munger, Tolles & Olson LLP (a law partnership) (since 1968)
Number of portfolios in fund complex3 overseen by Trustee (including the Fund)4	49
Other Trusteeships held by Trustee during the past five years	Director of Andersen Group Inc. (professional services company) (since 2025); formerly, Director of Berkshire Hathaway, Inc. (1997 to 2025); Director of Provivi, Inc. (2017 to 2024)

 

Interested Trustee and Officer
Jane Trust, CFA8
Year of birth	1962
Position(s) held with Fund	Trustee and Member of Investment and Performance Committee, President and Chief Executive Officer, Class II
Term of office1 and year service began2	Since 2015
Principal occupation(s) during the past five years	Senior Vice President, Fund Board Management, Franklin Templeton (since 2020); Officer and/or Trustee/Director of 118 funds associated with FTFA or its affiliates (since 2015); Trustee of Putnam Family of Funds consisting of 105 portfolios; President and Chief Executive Officer of FTFA (since 2015); formerly, Senior Managing Director (2018 to 2020) and Managing Director (2016 to 2018) of Legg Mason & Co., LLC ("Legg Mason & Co."); and Senior Vice President of FTFA (2015)
Number of portfolios in fund complex3 overseen by Trustee (including the Fund)4	Trustee/Director of Franklin Templeton funds consisting of 118 portfolios; Trustee of Putnam Family of Funds consisting of 105 portfolios
Other Trusteeships held by Trustee during the past five years	None

 

Additional Officers
Ted P. Becker
Franklin Templeton One Madison Avenue, 17th Floor, New York, NY 10010
Year of birth	1951
Position(s) held with Fund	Chief Compliance Officer
Term of office1 and year service began2	Since 2007
Principal occupation(s) during the past five years	Vice President, Global Compliance of Franklin Templeton (since 2020); Chief Compliance Officer of FTFA (since 2006); Chief Compliance Officer of certain funds associated with Legg Mason & Co. or its affiliates (since 2006); formerly, Director of Global Compliance at Legg Mason (2006 to 2020); Managing Director of Compliance of Legg Mason & Co. (2005 to 2020)