UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number
811-21403
Western Asset Inflation-Linked Income Fund
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 47th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Marc A. De Oliveira
Franklin Templeton
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code:
1-888-777-0102
Date of fiscal year end: November 30
Date of reporting period: May 31, 2024
ITEM 1. | REPORT TO STOCKHOLDERS. |
The Semi-Annual Report to Stockholders is filed herewith.
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.
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President and Chief Executive Officer
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Performance Snapshot as of May 31, 2024 (unaudited) | |
Price Per Share | 6-Month Total Return** |
$9.26 (NAV) | 3.72 %† |
$8.06 (Market Price) | 5.08 %‡ |
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President and Chief Executive Officer
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1
Security | Rate | Maturity Date | Face Amount† | Value | |
U.S. Treasury Inflation Protected Securities — 131.7% | |||||
U.S. Treasury Bonds, Inflation Indexed | 2.000% | 1/15/26 | 31,472,800 | $31,126,848 (a) | |
U.S. Treasury Bonds, Inflation Indexed | 2.375% | 1/15/27 | 3,097,540 | 3,095,444 | |
U.S. Treasury Bonds, Inflation Indexed | 2.500% | 1/15/29 | 13,092,660 | 13,293,542 | |
U.S. Treasury Bonds, Inflation Indexed | 3.875% | 4/15/29 | 42,747,975 | 46,111,977 (a) | |
U.S. Treasury Bonds, Inflation Indexed | 2.125% | 2/15/40 | 6,502,725 | 6,421,784 (b) | |
U.S. Treasury Bonds, Inflation Indexed | 2.125% | 2/15/41 | 2,139,345 | 2,112,553 (c) | |
U.S. Treasury Bonds, Inflation Indexed | 0.750% | 2/15/42 | 7,602,320 | 5,922,705 | |
U.S. Treasury Bonds, Inflation Indexed | 1.375% | 2/15/44 | 13,535,414 | 11,582,501 | |
U.S. Treasury Bonds, Inflation Indexed | 0.750% | 2/15/45 | 13,396,135 | 10,005,701 | |
U.S. Treasury Bonds, Inflation Indexed | 0.250% | 2/15/50 | 9,718,800 | 5,898,707 (a) | |
U.S. Treasury Bonds, Inflation Indexed | 0.125% | 2/15/52 | 5,609,900 | 3,159,180 | |
U.S. Treasury Bonds, Inflation Indexed | 1.500% | 2/15/53 | 1,891,296 | 1,582,189 | |
U.S. Treasury Notes, Inflation Indexed | 0.125% | 10/15/24 | 12,173,600 | 12,069,218 (a) | |
U.S. Treasury Notes, Inflation Indexed | 0.250% | 1/15/25 | 6,593,350 | 6,470,318 (a) | |
U.S. Treasury Notes, Inflation Indexed | 0.125% | 4/15/25 | 19,346,880 | 18,832,418 | |
U.S. Treasury Notes, Inflation Indexed | 0.125% | 10/15/25 | 13,842,895 | 13,394,980 (a) | |
U.S. Treasury Notes, Inflation Indexed | 0.625% | 1/15/26 | 39,158,061 | 37,886,675 (a) | |
U.S. Treasury Notes, Inflation Indexed | 0.125% | 4/15/26 | 14,291,640 | 13,645,806 | |
U.S. Treasury Notes, Inflation Indexed | 0.125% | 10/15/26 | 9,258,219 | 8,800,270 (a) | |
U.S. Treasury Notes, Inflation Indexed | 0.125% | 4/15/27 | 8,849,600 | 8,301,700 (a) | |
U.S. Treasury Notes, Inflation Indexed | 0.500% | 1/15/28 | 3,798,660 | 3,569,021 | |
U.S. Treasury Notes, Inflation Indexed | 0.125% | 1/15/30 | 1,213,960 | 1,088,082 | |
U.S. Treasury Notes, Inflation Indexed | 0.125% | 1/15/32 | 7,887,110 | 6,791,336 (a) | |
U.S. Treasury Notes, Inflation Indexed | 1.125% | 1/15/33 | 11,219,271 | 10,339,691 (a) | |
U.S. Treasury Notes, Inflation Indexed | 1.750% | 1/15/34 | 3,048,210 | 2,945,875 | |
Total U.S. Treasury Inflation Protected Securities (Cost — $304,335,975) | 284,448,521 | ||||
Corporate Bonds & Notes — 13.4% | |||||
Communication Services — 0.0%†† | |||||
Wireless Telecommunication Services — 0.0%†† | |||||
T-Mobile USA Inc., Senior Notes | 3.750% | 4/15/27 | 40,000 | 38,368 | |
Consumer Discretionary — 0.7% | |||||
Hotels, Restaurants & Leisure — 0.7% | |||||
Sands China Ltd., Senior Notes | 5.400% | 8/8/28 | 600,000 | 590,738 | |
Sands China Ltd., Senior Notes | 2.850% | 3/8/29 | 200,000 | 175,667 | |
Sands China Ltd., Senior Notes | 4.625% | 6/18/30 | 420,000 | 388,601 | |
Sands China Ltd., Senior Notes | 3.250% | 8/8/31 | 400,000 | 336,408 | |
Total Consumer Discretionary | 1,491,414 |
2
Security | Rate | Maturity Date | Face Amount† | Value | |
Energy — 6.3% | |||||
Energy Equipment & Services — 0.0%†† | |||||
Halliburton Co., Senior Notes | 3.800% | 11/15/25 | 3,000 | $2,931 | |
Oil, Gas & Consumable Fuels — 6.3% | |||||
Apache Corp., Senior Notes | 4.250% | 1/15/44 | 440,000 | 321,022 | |
BP Capital Markets America Inc., Senior Notes | 3.633% | 4/6/30 | 300,000 | 278,432 | |
Chevron USA Inc., Senior Notes | 3.900% | 11/15/24 | 200,000 | 198,708 | |
Columbia Pipelines Holding Co. LLC, Senior Notes | 6.042% | 8/15/28 | 440,000 | 448,168 (d) | |
Energy Transfer LP, Senior Notes | 5.250% | 4/15/29 | 430,000 | 427,724 | |
Enterprise Products Operating LLC, Senior Notes | 3.125% | 7/31/29 | 1,170,000 | 1,069,180 | |
EOG Resources Inc., Senior Notes | 4.375% | 4/15/30 | 40,000 | 38,733 | |
EOG Resources Inc., Senior Notes | 4.950% | 4/15/50 | 120,000 | 110,855 | |
EQT Corp., Senior Notes | 5.000% | 1/15/29 | 440,000 | 428,606 | |
Exxon Mobil Corp., Senior Notes | 4.327% | 3/19/50 | 3,500,000 | 2,966,795 | |
Exxon Mobil Corp., Senior Notes | 3.452% | 4/15/51 | 330,000 | 238,320 | |
Occidental Petroleum Corp., Senior Notes | 5.550% | 3/15/26 | 110,000 | 109,929 | |
Occidental Petroleum Corp., Senior Notes | 3.000% | 2/15/27 | 810,000 | 757,646 | |
Occidental Petroleum Corp., Senior Notes | 6.200% | 3/15/40 | 1,330,000 | 1,341,164 | |
ONEOK Inc., Senior Notes | 5.800% | 11/1/30 | 410,000 | 417,677 | |
Petrobras Global Finance BV, Senior Notes | 5.999% | 1/27/28 | 510,000 | 507,151 | |
QazaqGaz NC JSC, Senior Notes | 4.375% | 9/26/27 | 1,600,000 | 1,507,637 (d) | |
Targa Resources Corp., Senior Notes | 4.200% | 2/1/33 | 470,000 | 422,001 | |
Williams Cos. Inc., Senior Notes | 5.750% | 6/24/44 | 1,340,000 | 1,317,093 | |
YPF SA, Senior Notes | 8.500% | 7/28/25 | 800,000 | 789,879 (e) | |
Total Oil, Gas & Consumable Fuels | 13,696,720 | ||||
Total Energy | 13,699,651 | ||||
Financials — 1.6% | |||||
Banks — 1.2% | |||||
JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%) | 3.109% | 4/22/51 | 430,000 | 292,611 (f) | |
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. Term SOFR + 4.502%) | 5.013% | 4/4/51 | 2,440,000 | 2,226,372 (f) | |
Total Banks | 2,518,983 | ||||
Financial Services — 0.4% | |||||
ILFC E-Capital Trust II, Ltd. GTD (3 mo. Term SOFR + 2.062%) | 7.395% | 12/21/65 | 1,010,000 | 827,019 (d)(f) | |
Total Financials | 3,346,002 |
3
Security | Rate | Maturity Date | Face Amount† | Value | |
Health Care — 1.0% | |||||
Pharmaceuticals — 1.0% | |||||
Bausch Health Americas Inc., Senior Notes | 9.250% | 4/1/26 | 1,520,000 | $1,417,742 (d) | |
Bausch Health Americas Inc., Senior Notes | 8.500% | 1/31/27 | 970,000 | 703,662 (d) | |
Total Health Care | 2,121,404 | ||||
Industrials — 1.0% | |||||
Aerospace & Defense — 1.0% | |||||
General Dynamics Corp., Senior Notes | 4.250% | 4/1/40 | 10,000 | 8,804 | |
General Dynamics Corp., Senior Notes | 4.250% | 4/1/50 | 2,560,000 | 2,149,717 | |
Total Industrials | 2,158,521 | ||||
Information Technology — 0.1% | |||||
Semiconductors & Semiconductor Equipment — 0.1% | |||||
Broadcom Inc., Senior Notes | 3.137% | 11/15/35 | 370,000 | 294,259 (d) | |
Materials — 2.7% | |||||
Metals & Mining — 2.7% | |||||
Anglo American Capital PLC, Senior Notes | 4.000% | 9/11/27 | 800,000 | 764,900 (d) | |
Antofagasta PLC, Senior Notes | 2.375% | 10/14/30 | 550,000 | 455,044 (d) | |
Barrick North America Finance LLC, Senior Notes | 5.750% | 5/1/43 | 530,000 | 533,923 | |
BHP Billiton Finance USA Ltd., Senior Notes | 5.000% | 9/30/43 | 810,000 | 754,879 | |
Glencore Finance Canada Ltd., Senior Notes | 5.550% | 10/25/42 | 1,170,000 | 1,098,358 (d) | |
Glencore Funding LLC, Senior Notes | 4.000% | 3/27/27 | 200,000 | 192,779 (d) | |
Glencore Funding LLC, Senior Notes | 3.875% | 10/27/27 | 800,000 | 759,542 (d) | |
Southern Copper Corp., Senior Notes | 5.250% | 11/8/42 | 700,000 | 649,582 | |
Yamana Gold Inc., Senior Notes | 4.625% | 12/15/27 | 670,000 | 647,912 | |
Total Materials | 5,856,919 | ||||
Total Corporate Bonds & Notes (Cost — $32,781,188) | 29,006,538 | ||||
Collateralized Mortgage Obligations(g) — 8.1% | |||||
Alternative Loan Trust, 2007-12T1 A3 | 6.000% | 6/25/37 | 1,090,477 | 498,091 | |
Angel Oak Mortgage Trust, 2023-1 A1 | 4.750% | 9/26/67 | 224,222 | 217,644 (d) | |
BANK, 2021-BN32 XA, IO | 0.771% | 4/15/54 | 2,610,491 | 95,001 (f) | |
Benchmark Mortgage Trust, 2021-B29 XA, IO | 1.029% | 9/15/54 | 4,199,526 | 197,685 (f) | |
BHMS, 2018-ATLS D (1 mo. Term SOFR + 2.547%) | 7.864% | 7/15/35 | 1,250,000 | 1,228,389 (d)(f) | |
BX Commercial Mortgage Trust, 2022-LP2 G (1 mo. Term SOFR + 4.106%) | 9.423% | 2/15/39 | 529,789 | 527,472 (d)(f) | |
BX Commercial Mortgage Trust, 2023-VLT2 A (1 mo. Term SOFR + 2.281%) | 7.598% | 6/15/40 | 180,000 | 179,905 (d)(f) | |
BX Trust, 2021-ARIA D (1 mo. Term SOFR + 2.010%) | 7.327% | 10/15/36 | 850,000 | 836,360 (d)(f) |
4
Security | Rate | Maturity Date | Face Amount† | Value | |
Collateralized Mortgage Obligations(g) — continued | |||||
BX Trust, 2022-CLS A | 5.760% | 10/13/27 | 460,000 | $456,657 (d) | |
BXMT Ltd., 2020-FL2 A (1 mo. Term SOFR + 1.014%) | 6.335% | 2/15/38 | 333,587 | 321,236 (d)(f) | |
CD Mortgage Trust, 2017-CD5 A4 | 3.431% | 8/15/50 | 300,000 | 279,537 | |
Chase Mortgage Finance Trust, 2007-A1 2A3 | 5.623% | 2/25/37 | 1,232 | 1,126 (f) | |
Citigroup Commercial Mortgage Trust, 2016-C3 A3 | 2.896% | 11/15/49 | 105,057 | 98,934 | |
Citigroup Commercial Mortgage Trust, 2023- SMRT A | 5.820% | 10/12/40 | 200,000 | 201,260 (d)(f) | |
CRSO Trust, 2023-BRND A | 7.121% | 7/10/40 | 430,000 | 445,235 (d) | |
CSMC Trust, 2019-NQM1 A1 | 3.656% | 10/25/59 | 103,804 | 100,856 (d) | |
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through Certificates, K115 X1, IO | 1.322% | 6/25/30 | 1,587,927 | 100,229 (f) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4057 UI, IO | 3.000% | 5/15/27 | 98,212 | 1,916 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4085 IO, IO | 3.000% | 6/15/27 | 289,573 | 6,860 | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA1 B1 (30 Day Average SOFR + 2.414%) | 7.738% | 1/25/50 | 440,000 | 450,560 (d)(f) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA3 M1B (30 Day Average SOFR + 2.900%) | 8.224% | 4/25/42 | 600,000 | 624,601 (d)(f) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2022-DNA4 M1B (30 Day Average SOFR + 3.350%) | 8.674% | 5/25/42 | 240,000 | 252,539 (d)(f) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2024-DNA1 M2 (30 Day Average SOFR + 1.950%) | 7.274% | 2/25/44 | 460,000 | 466,544 (d)(f) | |
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2024-DNA2 A1 (30 Day Average SOFR + 1.250%) | 6.574% | 5/25/44 | 340,000 | 340,780 (d)(f) | |
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2019-1 M | 4.750% | 7/25/58 | 453,889 | 430,135 (d)(f) |
5
Security | Rate | Maturity Date | Face Amount† | Value | |
Collateralized Mortgage Obligations(g) — continued | |||||
Federal National Mortgage Association (FNMA) — CAS, 2017-C07 1B1 (30 Day Average SOFR + 4.114%) | 9.438% | 5/25/30 | 440,000 | $479,632 (d)(f) | |
Federal National Mortgage Association (FNMA) — CAS, 2019-R03 1B1 (30 Day Average SOFR + 4.214%) | 9.538% | 9/25/31 | 217,473 | 232,578 (d)(f) | |
Federal National Mortgage Association (FNMA) — CAS, 2019-R05 1B1 (30 Day Average SOFR + 4.214%) | 9.538% | 7/25/39 | 305,390 | 320,270 (d)(f) | |
Federal National Mortgage Association (FNMA) — CAS, 2020-R01 1B1 (30 Day Average SOFR + 3.364%) | 8.688% | 1/25/40 | 350,000 | 365,573 (d)(f) | |
Federal National Mortgage Association (FNMA) — CAS, 2021-R01 1B1 (30 Day Average SOFR + 3.100%) | 8.424% | 10/25/41 | 330,000 | 339,907 (d)(f) | |
Federal National Mortgage Association (FNMA) — CAS, 2022-R07 1M1 (30 Day Average SOFR + 2.950%) | 8.274% | 6/25/42 | 226,826 | 234,795 (d)(f) | |
Federal National Mortgage Association (FNMA) — CAS, 2024-R02 1M2 (30 Day Average SOFR + 1.800%) | 7.124% | 2/25/44 | 250,000 | 252,517 (d)(f) | |
Government National Mortgage Association (GNMA), 2011-142 IO, IO | 0.000% | 9/16/46 | 1,084,770 | 11 (f) | |
Government National Mortgage Association (GNMA), 2012-44 IO, IO | 0.030% | 3/16/49 | 104,344 | 8 (f) | |
Government National Mortgage Association (GNMA), 2012-112 IO, IO | 0.108% | 2/16/53 | 631,887 | 2,129 (f) | |
Government National Mortgage Association (GNMA), 2012-152 IO, IO | 0.612% | 1/16/54 | 1,700,762 | 35,543 (f) | |
Government National Mortgage Association (GNMA), 2014-47 IA, IO | 0.154% | 2/16/48 | 98,292 | 328 (f) | |
Government National Mortgage Association (GNMA), 2014-50 IO, IO | 0.627% | 9/16/55 | 531,780 | 13,063 (f) | |
Government National Mortgage Association (GNMA), 2014-169 IO, IO | 0.603% | 10/16/56 | 5,245,883 | 118,168 (f) | |
Government National Mortgage Association (GNMA), 2015-101 IO, IO | 0.268% | 3/16/52 | 3,781,736 | 34,203 (f) | |
Government National Mortgage Association (GNMA), 2015-183 IO, IO | 0.444% | 9/16/57 | 5,004,963 | 110,106 (f) | |
GSR Mortgage Loan Trust, 2004-11 1A1 | 5.971% | 9/25/34 | 19,893 | 19,583 (f) |
6
Security | Rate | Maturity Date | Face Amount† | Value | |
Collateralized Mortgage Obligations(g) — continued | |||||
Hawaii Hotel Trust, 2019-MAUI F (1 mo. Term SOFR + 2.797%) | 8.364% | 5/15/38 | 170,000 | $168,725 (d)(f) | |
Home RE Ltd., 2023-1 M2 (30 Day Average SOFR + 6.000%) | 11.324% | 10/25/33 | 290,000 | 312,320 (d)(f) | |
JPMorgan Chase Commercial Mortgage Securities Trust, 2020-NNN GFX | 4.688% | 1/16/37 | 2,270,000 | 760,450 (d)(f) | |
MHC Commercial Mortgage Trust, 2021-MHC A (1 mo. Term SOFR + 0.915%) | 6.232% | 4/15/38 | 377,495 | 375,575 (d)(f) | |
MRCD Mortgage Trust, 2019-PARK A | 2.718% | 12/15/36 | 850,000 | 758,731 (d) | |
New Residential Mortgage Loan Trust, 2014-1A A | 3.750% | 1/25/54 | 272,134 | 252,053 (d)(f) | |
PRKCM Trust, 2021-AFC1 A1 | 1.510% | 8/25/56 | 676,922 | 545,785 (d)(f) | |
PRKCM Trust, 2023-AFC1 A1 | 6.598% | 2/25/58 | 575,240 | 575,250 (d) | |
RAMP Trust, 2004-SL4 A5 | 7.500% | 7/25/32 | 31,084 | 12,270 | |
SREIT Trust, 2021-PALM B (1 mo. Term SOFR + 0.924%) | 6.241% | 10/15/34 | 830,000 | 818,771 (d)(f) | |
Towd Point Mortgage Trust, 2015-2 1B3 | 3.715% | 11/25/60 | 950,000 | 816,863 (d)(f) | |
Towd Point Mortgage Trust, 2020-2 A1A | 1.636% | 4/25/60 | 737,786 | 650,780 (d)(f) | |
Towd Point Mortgage Trust, 2020-2 M1B | 3.000% | 4/25/60 | 250,000 | 191,276 (d)(f) | |
Verus Securitization Trust, 2023-8 B1 | 8.145% | 12/25/68 | 290,000 | 289,391 (d)(f) | |
Total Collateralized Mortgage Obligations (Cost — $20,894,074) | 17,446,206 | ||||
Non-U.S. Treasury Inflation Protected Securities — 3.4% | |||||
Brazil — 1.8% | |||||
Brazil Notas do Tesouro Nacional Serie B, Notes | 6.000% | 5/15/29 | 5,285,856 BRL | 1,001,210 | |
Brazil Notas do Tesouro Nacional Serie B, Notes | 6.000% | 8/15/50 | 15,557,963 BRL | 2,929,781 | |
Total Brazil | 3,930,991 | ||||
United Kingdom — 0.6% | |||||
United Kingdom Inflation-Linked Gilt, Bonds | 0.125% | 3/22/68 | 1,533,580 GBP | 1,226,043 (e) | |
Uruguay — 1.0% | |||||
Uruguay Government International Bond, Senior Notes | 3.875% | 7/2/40 | 80,724,057 UYU | 2,230,112 | |
Total Non-U.S. Treasury Inflation Protected Securities (Cost — $8,822,005) | 7,387,146 | ||||
Sovereign Bonds — 2.7% | |||||
Brazil — 0.1% | |||||
Brazil Notas do Tesouro Nacional Serie F, Notes | 10.000% | 1/1/27 | 965,000 BRL | 179,563 |
7
Security | Rate | Maturity Date | Face Amount† | Value | |
Chile — 1.0% | |||||
Bonos de la Tesoreria de la Republica en pesos, Bonds | 5.000% | 3/1/35 | 2,060,000,000 CLP | $2,057,453 | |
Mexico — 1.0% | |||||
Mexican Bonos, Bonds | 8.000% | 11/7/47 | 16,190,000 MXN | 794,390 | |
Mexico Government International Bond, Senior Notes | 4.500% | 4/22/29 | 1,480,000 | 1,416,056 | |
Total Mexico | 2,210,446 | ||||
Nigeria — 0.1% | |||||
Nigeria Government International Bond, Senior Notes | 6.500% | 11/28/27 | 200,000 | 186,998 (d) | |
Supranational — 0.5% | |||||
Inter-American Development Bank, Senior Notes | 7.350% | 10/6/30 | 90,000,000 INR | 1,084,427 | |
Total Sovereign Bonds (Cost — $7,086,050) | 5,718,887 | ||||
Asset-Backed Securities — 0.4% | |||||
Countrywide Home Equity Loan Trust, 2005-C 2A (1 mo. Term SOFR + 0.294%) | 5.611% | 7/15/35 | 149,526 | 142,793 (f) | |
Countrywide Home Equity Loan Trust, 2006-I 2A (1 mo. Term SOFR + 0.254%) | 5.571% | 1/15/37 | 249,264 | 225,805 (f) | |
Morgan Stanley ABS Capital Inc. Trust, 2004- HE7 M1 (1 mo. Term SOFR + 1.014%) | 6.339% | 8/25/34 | 494,524 | 485,795 (f) | |
Total Asset-Backed Securities (Cost — $875,724) | 854,393 | ||||
Mortgage-Backed Securities — 0.1% | |||||
FHLMC — 0.0%†† | |||||
Federal Home Loan Mortgage Corp. (FHLMC) | 6.000% | 12/1/52 | 74,989 | 75,825 | |
FNMA — 0.1% | |||||
Federal National Mortgage Association (FNMA) | 6.500% | 11/1/52 | 83,822 | 86,079 | |
Total Mortgage-Backed Securities (Cost — $163,025) | 161,904 | ||||
Total Investments before Short-Term Investments (Cost — $374,958,041) | 345,023,595 | ||||
Shares | |||||
Short-Term Investments — 3.1% | |||||
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost — $6,715,804) | 5.262% | 6,715,804 | 6,715,804 (h)(i) | ||
Total Investments — 162.9% (Cost — $381,673,845) | 351,739,399 | ||||
Liabilities in Excess of Other Assets — (62.9)% | (135,796,987 ) | ||||
Total Net Assets — 100.0% | $215,942,412 |
8
† | 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) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees. |
(f) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(g) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
(h) | Rate shown is one-day yield as of the end of the reporting period. |
(i) | 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 May 31, 2024, the total market value of investments in Affiliated Companies was $6,715,804 and the cost was $6,715,804 (Note 8). |
Abbreviation(s) used in this schedule: | ||
BRL | — | Brazilian Real |
CAS | — | Connecticut Avenue Securities |
CD | — | Certificate of Deposit |
CLP | — | Chilean Peso |
GBP | — | British Pound |
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 |
UYU | — | Uruguayan Peso |
9
Counterparty | Rate | Effective Date | Maturity Date | Face Amount of Reverse Repurchase Agreements | Asset Class of Collateral* | Collateral Value** |
Morgan Stanley & Co. Inc. | 5.480% | 12/5/2023 | 6/5/2024 | $122,661,546 | U.S. Treasury Inflation Protected Securities Cash | $125,970,377 1,615,074 |
Morgan Stanley & Co. Inc. | 5.480% | 1/12/2024 | 6/5/2024 | 6,486,490 | U.S. Treasury Inflation Protected Securities Cash | 6,628,483 85,407 |
Morgan Stanley & Co. Inc. | 5.480% | 2/8/2024 | 6/5/2024 | 11,887,292 | U.S. Treasury Inflation Protected Securities Cash | 12,009,262 156,519 |
$141,035,328 | $146,465,122 |
* | Refer to the Consolidated Schedule of Investments for positions held at the counterparty as collateral for reverse repurchase agreements. |
** | Including accrued interest. |
Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation (Depreciation) | |
Contracts to Buy: | |||||
Copper | 56 | 9/24 | $6,264,891 | $6,454,700 | $189,809 |
Copper | 14 | 12/24 | 1,668,744 | 1,620,500 | (48,244 ) |
WTI Crude | 14 | 11/24 | 1,054,793 | 1,052,380 | (2,413 ) |
139,152 | |||||
Contracts to Sell: | |||||
U.S. Treasury 10-Year Notes | 17 | 9/24 | 1,855,816 | 1,849,547 | 6,269 |
U.S. Treasury Long-Term Bonds | 62 | 9/24 | 7,254,076 | 7,195,875 | 58,201 |
U.S. Treasury Ultra Long-Term Bonds | 37 | 9/24 | 4,584,756 | 4,530,187 | 54,569 |
119,039 | |||||
Net unrealized appreciation on open futures contracts | $258,191 |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
EUR | 497,085 | USD | 541,948 | Bank of America N.A. | 7/19/24 | $(1,373 ) |
10
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||
JPY | 43,636,635 | USD | 291,877 | BNP Paribas SA | 7/19/24 | $(12,298 ) |
USD | 426,125 | EUR | 399,658 | BNP Paribas SA | 7/19/24 | (8,499 ) |
AUD | 9,217,474 | USD | 6,023,287 | Citibank N.A. | 7/19/24 | 118,476 |
INR | 170,167,778 | USD | 2,037,254 | Citibank N.A. | 7/19/24 | (1,836 ) |
USD | 1,315,731 | AUD | 1,982,478 | Citibank N.A. | 7/19/24 | (5,228 ) |
USD | 1,319,710 | AUD | 2,014,788 | Citibank N.A. | 7/19/24 | (22,778 ) |
USD | 1,334,087 | GBP | 1,063,426 | Citibank N.A. | 7/19/24 | (21,320 ) |
USD | 766,626 | JPY | 117,018,777 | Citibank N.A. | 7/19/24 | 16,889 |
MYR | 8,757,521 | USD | 1,847,968 | Goldman Sachs Group Inc. | 7/19/24 | 18,424 |
MXN | 99,776,086 | USD | 6,003,917 | JPMorgan Chase & Co. | 7/19/24 | (169,151 ) |
USD | 25,388 | IDR | 415,428,793 | JPMorgan Chase & Co. | 7/19/24 | (156 ) |
BRL | 2,943,359 | USD | 576,135 | Morgan Stanley & Co. Inc. | 7/19/24 | (18,308 ) |
JPY | 274,084,254 | USD | 1,759,764 | Morgan Stanley & Co. Inc. | 7/19/24 | (3,711 ) |
USD | 2,187,889 | CLP | 2,055,477,440 | Morgan Stanley & Co. Inc. | 7/19/24 | (49,758 ) |
Net unrealized depreciation on open forward foreign currency contracts | $(160,627 ) |
Abbreviation(s) used in this table: | ||
AUD | — | Australian Dollar |
BRL | — | Brazilian Real |
CLP | — | Chilean Peso |
EUR | — | Euro |
GBP | — | British Pound |
IDR | — | Indonesian Rupiah |
INR | — | Indian Rupee |
JPY | — | Japanese Yen |
MXN | — | Mexican Peso |
MYR | — | Malaysian Ringgit |
USD | — | United States Dollar |
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.42 Index | $6,516,000 | 6/20/29 | 5.000% quarterly | $441,492 | $437,680 | $3,812 |
Markit CDX.NA.IG.42 Index | 42,541,000 | 6/20/29 | 1.000% quarterly | 954,016 | 906,724 | 47,292 |
Total | $49,057,000 | $1,395,508 | $1,344,404 | $51,104 |
11
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 Depreciation |
JPMorgan Chase & Co. | $2,125,000 | 8/1/24 | Daily SOFR Compound + 1.100% quarterly | JPEIFNTR quarterly^ | $(22,432) | — | $(22,432) |
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 31 bonds in the Sovereign Frontier sector. |
Reference Index | Reference Rate |
Daily SOFR Compound | 5.340% |
Abbreviation(s) used in this table: | ||
JPEIFNTR | — | Western Asset Management Emerging Markets Frontier Custom Basket |
SOFR | — | Secured Overnight Financing Rate |
12
Assets: | |
Investments in unaffiliated securities, at value (Cost — $374,958,041) | $345,023,595 |
Investments in affiliated securities, at value (Cost — $6,715,804) | 6,715,804 |
Foreign currency, at value (Cost — $602,343) | 601,094 |
Receivable for securities sold | 3,135,671 |
Deposits with brokers for open reverse repurchase agreements | 1,857,000 |
Interest receivable | 1,624,023 |
Deposits with brokers for centrally cleared swap contracts | 1,530,868 |
Deposits with brokers for open futures contracts | 466,883 |
Unrealized appreciation on forward foreign currency contracts | 153,789 |
Foreign currency collateral for open futures contracts, at value (Cost — $129,156) | 132,784 |
Deposits with brokers for OTC derivatives | 100,000 |
Dividends receivable from affiliated investments | 26,338 |
Receivable from brokers — net variation margin on centrally cleared swap contracts | 20,757 |
Prepaid expenses | 7,728 |
Total Assets | 361,396,334 |
Liabilities: | |
Payable for open reverse repurchase agreements (Note 3) | 141,035,328 |
Interest expense payable | 3,687,760 |
Unrealized depreciation on forward foreign currency contracts | 314,416 |
Payable to brokers — net variation margin on open futures contracts | 164,579 |
Investment management fee payable | 105,297 |
OTC swaps, at value (premiums paid — $0) | 22,432 |
Administration fee payable | 15,132 |
Payable for open OTC swap contracts | 11,384 |
Trustees’ fees payable | 635 |
Accrued expenses | 96,959 |
Total Liabilities | 145,453,922 |
Total Net Assets | $215,942,412 |
Net Assets: | |
Common shares, no par value, unlimited number of shares authorized, 23,322,256 shares issued and outstanding | $298,297,062 |
Total distributable earnings (loss) | (82,354,650 ) |
Total Net Assets | $215,942,412 |
Shares Outstanding | 23,322,256 |
Net Asset Value | $9.26 |
13
Investment Income: | |
Interest | $7,492,210 |
Dividends from affiliated investments | 156,557 |
Total Investment Income | 7,648,767 |
Expenses: | |
Interest expense (Note 3) | 3,929,405 |
Investment management fee (Note 2) | 627,262 |
Administration fees (Note 2) | 89,609 |
Fund accounting fees | 45,103 |
Audit and tax fees | 32,200 |
Transfer agent fees | 29,383 |
Legal fees | 25,371 |
Shareholder reports | 23,241 |
Trustees’ fees | 8,759 |
Stock exchange listing fees | 6,256 |
Commodity pool reports | 6,002 |
Insurance | 1,366 |
Custody fees | 1,227 |
Miscellaneous expenses | 7,115 |
Total Expenses | 4,832,299 |
Less: Fee waivers and/or expense reimbursements (Note 2) | (2,750 ) |
Net Expenses | 4,829,549 |
Net Investment Income | 2,819,218 |
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 | (450,043 ) |
Futures contracts | 113,365 |
Swap contracts | 1,263,376 |
Forward foreign currency contracts | 693,283 |
Foreign currency transactions | (14,308 ) |
Net Realized Gain | 1,605,673 |
Change in Net Unrealized Appreciation (Depreciation) From: | |
Investments in unaffiliated securities | 3,215,977 |
Futures contracts | 1,126,268 |
Swap contracts | (392,626 ) |
Forward foreign currency contracts | (408,928 ) |
Foreign currencies | (13,090 ) |
Change in Net Unrealized Appreciation (Depreciation) | 3,527,601 |
Net Gain on Investments, Futures Contracts, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions | 5,133,274 |
Increase in Net Assets From Operations | $7,952,492 |
14
For the Six Months Ended May 31, 2024 (unaudited) and the Year Ended November 30, 2023 | 2024 | 2023 |
Operations: | ||
Net investment income | $2,819,218 | $6,578,869 |
Net realized gain (loss) | 1,605,673 | (5,491,139 ) |
Change in net unrealized appreciation (depreciation) | 3,527,601 | (1,677,785 ) |
Increase (Decrease) in Net Assets From Operations | 7,952,492 | (590,055 ) |
Distributions to Shareholders From (Note 1): | ||
Total distributable earnings | (6,996,677 ) | (26,120,927 ) |
Decrease in Net Assets From Distributions to Shareholders | (6,996,677 ) | (26,120,927 ) |
Increase (Decrease) in Net Assets | 955,815 | (26,710,982 ) |
Net Assets: | ||
Beginning of period | 214,986,597 | 241,697,579 |
End of period | $215,942,412 | $214,986,597 |
15
Increase (Decrease) in Cash: | |
Cash Flows from Operating Activities: | |
Net increase in net assets resulting from operations | $7,952,492 |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) by operating activities: | |
Purchases of portfolio securities | (31,962,916 ) |
Sales of portfolio securities | 36,589,466 |
Net purchases, sales and maturities of short-term investments | 1,196,594 |
Net inflation adjustment | (4,651,961 ) |
Net amortization of premium (accretion of discount) | 1,048,367 |
Securities litigation proceeds | 1,499 |
Increase in receivable for securities sold | (3,135,671 ) |
Increase in interest receivable | (19,731 ) |
Increase in receivable from brokers — net variation margin on centrally cleared swap contracts | (7,658 ) |
Increase in prepaid expenses | (4,879 ) |
Decrease in dividends receivable from affiliated investments | 5,534 |
Increase in investment management fee payable | 4,495 |
Decrease in Trustees’ fees payable | (296 ) |
Increase in administration fee payable | 660 |
Increase in interest expense payable | 1,809,254 |
Decrease in accrued expenses | (54,211 ) |
Increase in payable to brokers — net variation margin on futures contracts | 34,290 |
Increase in payable for open OTC swap contracts | 11,384 |
Net realized loss on investments | 450,043 |
Change in net unrealized appreciation (depreciation) of investments, OTC swap contracts and forward foreign currency contracts | (2,784,617 ) |
Net Cash Provided in Operating Activities* | 6,482,138 |
Cash Flows from Financing Activities: | |
Distributions paid on common stock | (6,996,677 ) |
Increase in payable for open reverse repurchase agreements | 1,000,925 |
Net Cash Used by Financing Activities | (5,995,752 ) |
Net Increase in Cash and Restricted Cash | 486,386 |
Cash and restricted cash at beginning of period | 4,202,243 |
Cash and restricted cash at end of period | $4,688,629 |
* | Included in operating expenses is $2,120,151 paid for interest on borrowings. |
16
May 31, 2024 | |
Cash | $601,094 |
Restricted cash | 4,087,535 |
Total cash and restricted cash shown in the Consolidated Statement of Cash Flows | $4,688,629 |
17
For a share of common stock outstanding throughout each year ended November 30, unless otherwise noted: | ||||||
20241,2 | 20231 | 20221 | 20211 | 20201 | 20191 | |
Net asset value, beginning of period | $9.22 | $10.36 | $14.66 | $14.23 | $13.21 | $12.35 |
Income (loss) from operations: | ||||||
Net investment income | 0.12 | 0.28 | 1.10 | 0.86 | 0.29 | 0.32 |
Net realized and unrealized gain (loss) | 0.22 | (0.30 ) | (3.42 ) | 0.44 | 1.11 | 0.95 |
Total income (loss) from operations | 0.34 | (0.02) | (2.32) | 1.30 | 1.40 | 1.27 |
Less distributions from: | ||||||
Net investment income | (0.30 )3 | (1.12 ) | (1.37 ) | (0.01 ) | (0.12 ) | (0.41 ) |
Net realized gains | — | — | (0.61 ) | (0.89 ) | (0.26 ) | — |
Total distributions | (0.30 ) | (1.12 ) | (1.98 ) | (0.90 ) | (0.38 ) | (0.41 ) |
Anti-dilutive impact of tender offer | — | — | — | 0.03 4 | — | — |
Net asset value, end of period | $9.26 | $9.22 | $10.36 | $14.66 | $14.23 | $13.21 |
Market price, end of period | $8.06 | $7.96 | $8.99 | $14.09 | $13.17 | $11.96 |
Total return, based on NAV5,6 | 3.72 % | (0.22 )% | (17.37 )% | 9.68 % | 10.88 % | 10.43 % |
Total return, based on Market Price7 | 5.08 % | 0.99 % | (24.30 )% | 14.29 % | 13.70 % | 16.03 % |
Net assets, end of period (millions) | $216 | $215 | $242 | $342 | $415 | $385 |
Ratios to average net assets: | ||||||
Gross expenses | 4.45 %8 | 4.27 % | 1.62 % | 0.83 % | 1.31 % | 1.93 % |
Net expenses9 | 4.45 8,10 | 4.27 10 | 1.61 10 | 0.83 10 | 1.31 | 1.93 |
Net investment income | 2.59 8 | 2.90 | 9.12 | 5.96 | 2.20 | 2.46 |
Portfolio turnover rate | 9 % | 18 % | 30 % | 26 % | 47 % | 38 % |
1 | Per share amounts have been calculated using the average shares method. |
2 | For the six months ended May 31, 2024 (unaudited). |
3 | The actual source of the Fund’s current fiscal year distributions may be from net investment income, realized capital gains, return of capital or a combination thereof. Shareholders will be informed of the tax characteristics of the distributions after the close of the fiscal year. |
4 | 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. |
5 | Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
6 | The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
7 | The total return calculation assumes that distributions are reinvested in accordance with the Fund’s dividend reinvestment plan. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. |
8 | Annualized. |
9 | The investment adviser has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. |
10 | Reflects fee waivers and/or expense reimbursements. |
18
19
20
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 | — | $284,448,521 | — | $284,448,521 |
Corporate Bonds & Notes | — | 29,006,538 | — | 29,006,538 |
Collateralized Mortgage Obligations | — | 17,446,206 | — | 17,446,206 |
Non-U.S. Treasury Inflation Protected Securities | — | 7,387,146 | — | 7,387,146 |
Sovereign Bonds | — | 5,718,887 | — | 5,718,887 |
Asset-Backed Securities | — | 854,393 | — | 854,393 |
Mortgage-Backed Securities | — | 161,904 | — | 161,904 |
Total Long-Term Investments | — | 345,023,595 | — | 345,023,595 |
Short-Term Investments† | $6,715,804 | — | — | 6,715,804 |
Total Investments | $6,715,804 | $345,023,595 | — | $351,739,399 |
21
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†† | $308,848 | — | — | $308,848 |
Forward Foreign Currency Contracts†† | — | $153,789 | — | 153,789 |
Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection†† | — | 51,104 | — | 51,104 |
Total Other Financial Instruments | $308,848 | $204,893 | — | $513,741 |
Total | $7,024,652 | $345,228,488 | — | $352,253,140 |
LIABILITIES | ||||
Description | Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
Other Financial Instruments: | ||||
Futures Contracts†† | $50,657 | — | — | $50,657 |
Forward Foreign Currency Contracts†† | — | $314,416 | — | 314,416 |
OTC Total Return Swaps | — | 22,432 | — | 22,432 |
Total | $50,657 | $336,848 | — | $387,505 |
† | See Consolidated Schedule of Investments for additional detailed categorizations. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
22
23
24
25
26
27
28
29
30
Investments | U.S. Government & Agency Obligations | |
Purchases | $4,014,667 | $27,948,249 |
Sales | 3,481,738 | 33,107,728 |
Cost/Premiums Paid (Received) | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Securities | $381,673,845 | $627,426 | $(30,561,872) | $(29,934,446) |
Futures contracts | — | 308,848 | (50,657) | 258,191 |
Forward foreign currency contracts | — | 153,789 | (314,416) | (160,627) |
Swap contracts | 1,344,404 | 51,104 | (22,432) | 28,672 |
Average Daily Balance* | Weighted Average Interest Rate* | Maximum Amount Outstanding |
$141,024,468 | 5.481% | $141,074,010 |
* Averages based on the number of days that the Fund had reverse repurchase agreements outstanding. |
31
ASSET DERIVATIVES1 | |||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Commodity Risk | Total | |
Futures contracts2 | $119,039 | — | — | $189,809 | $308,848 |
Forward foreign currency contracts | — | $153,789 | — | — | 153,789 |
Centrally cleared swap contracts3 | — | — | $51,104 | — | 51,104 |
Total | $119,039 | $153,789 | $51,104 | $189,809 | $513,741 |
LIABILITY DERIVATIVES1 | ||||
Interest Rate Risk | Foreign Exchange Risk | Commodity Risk | Total | |
Futures contracts2 | — | — | $50,657 | $50,657 |
Forward foreign currency contracts | — | $314,416 | — | 314,416 |
OTC swap contracts4 | $22,432 | — | — | 22,432 |
Total | $22,432 | $314,416 | $50,657 | $387,505 |
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 | 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. |
4 | Values include premiums paid (received) on swap contracts which are shown separately in the Consolidated Statement of Assets and Liabilities. |
AMOUNT OF NET REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED | |||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Commodity Risk | Total | |
Futures contracts | $(288,518 ) | $(195,181 ) | — | $597,064 | $113,365 |
Swap contracts | (11,383 ) | — | $1,274,759 | — | 1,263,376 |
Forward foreign currency contracts | — | 693,283 | — | — | 693,283 |
Total | $(299,901 ) | $498,102 | $1,274,759 | $597,064 | $2,070,024 |
32
CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | |||||
Interest Rate Risk | Foreign Exchange Risk | Credit Risk | Commodity Risk | Total | |
Futures contracts | $276,487 | $33,759 | — | $816,022 | $1,126,268 |
Swap contracts | (22,432 ) | — | $(370,194 ) | — | (392,626 ) |
Forward foreign currency contracts | — | (408,928 ) | — | — | (408,928 ) |
Total | $254,055 | $(375,169 ) | $(370,194 ) | $816,022 | $324,714 |
Average Market Value | |
Futures contracts (to buy) | $15,817,506 |
Futures contracts (to sell) | 13,553,540 |
Forward foreign currency contracts (to buy) | 17,441,487 |
Forward foreign currency contracts (to sell) | 6,043,354 |
Average Notional Balance | |
Credit default swap contracts (sell protection) | $53,709,229 |
Total return swap contracts | 607,143 |
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. | — | $(1,373) | $(1,373) | — | $(1,373) |
BNP Paribas SA | — | (20,797) | (20,797) | — | (20,797) |
Citibank N.A. | $135,365 | (51,162) | 84,203 | — | 84,203 |
Goldman Sachs Group Inc. | 18,424 | — | 18,424 | — | 18,424 |
JPMorgan Chase & Co. | — | (191,739) | (191,739) | $10,000 | (181,739) |
Morgan Stanley & Co. Inc. | — | (71,777) | (71,777) | 71,777 | — |
Total | $153,789 | $(336,848) | $(183,059) | $81,777 | $(101,282) |
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. |
33
Record Date | Payable Date | Amount |
6/21/2024 | 6/28/2024 | $0.0500 |
7/24/2024 | 7/31/2024 | $0.0500 |
8/23/2024 | 8/30/2024 | $0.0500 |
34
Affiliate Value at November 30, 2023 | Purchased | Sold | |||
Cost | Shares | Proceeds | Shares | ||
Western Asset Premier Institutional Government Reserves, Premium Shares | $7,912,398 | $54,809,155 | 54,809,155 | $56,005,749 | 56,005,749 |
(cont’d) | Realized Gain (Loss) | Dividend Income | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at May 31, 2024 |
Western Asset Premier Institutional Government Reserves, Premium Shares | — | $156,557 | — | $6,715,804 |
35
36
37
38
39
Nominees | FOR | WITHHELD |
William E.B. Siart | 12,969,496 | 8,279,370 |
Jaynie Miller Studenmund | 12,759,533 | 8,489,333 |
Peter J. Taylor | 12,993,814 | 8,255,052 |
40
41
Chairman
President and Chief Executive Officer
Treasurer and Principal Financial
Officer
Chief Compliance Officer
Secretary and Chief Legal Officer
Senior Vice President
Senior Vice President
47th Floor
New York, NY 10018
P.O. Box 43006
Providence, RI 02940-3078
Baltimore, MD 21202
1211 Avenue of the Americas
New York, NY 10036
Your Privacy and the Security of Your Personal Information is Very Important to Us
620 Eighth Avenue
47th Floor
New York, NY 10018
P.O. Box 43006
Providence, RI 02940-3078
ITEM 2. | CODE OF ETHICS. |
Not applicable.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
Not applicable.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Not applicable.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Included herein under Item 1.
ITEM 7. | FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 8. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. | PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 10. | REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 11. | STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT. |
Not applicable.
ITEM 12. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Effective June 3, 2024, the individuals responsible for day-to-day portfolio management, development of investment strategy, oversight and coordination of the Fund are Michael Buchanan, Ken Leech and Frederick Marki.. These investment professionals, all of whom are employed by Western Asset Management Company work together with a broader investment management team.
ITEM 14. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
ITEM 15. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Not applicable.
ITEM 16. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 17. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable
ITEM 18. | RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
(a) | Not applicable. |
(b) | Not applicable. |
ITEM 19. | EXHIBITS. |
(a) (1) | Not applicable. | |
Exhibit 99.CODE ETH |
(a) (2) | Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto. | |
Exhibit 99.CERT |
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto. | |
Exhibit 99.906CERT |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.
Western Asset Inflation-Linked Income Fund
By: | /s/ Jane Trust | |
Jane Trust | ||
President | ||
Date: | July 25, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Jane Trust | |
Jane Trust | ||
President | ||
Date: | July 25, 2024 |
By: | /s/ Christopher Berarducci | |
Christopher Berarducci | ||
Principal Financial Officer | ||
Date: | July 25, 2024 |