Western Asset Funds NPORT-P Western Asset Macro Opportunities Fund (Jan 2021 report)

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CORPORATE BONDS & NOTES - 38.4%
COMMUNICATION SERVICES - 1.4%
Diversified Telecommunication Services - 0.1%
Altice France SA, Senior Secured Notes		7.375	%		5/1/26		1,180,000	$	1,235,696	(a)
Telecom Italia SpA, Senior Notes		5.303	%		5/30/24		480,000		522,235	(a)
Verizon Communications Inc., Senior Notes		3.850	%		11/1/42		80,000		91,151
Verizon Communications Inc., Senior Notes		4.000	%		3/22/50		120,000		138,761
Total Diversified Telecommunication Services									1,987,843
Media - 1.0%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		8/15/30		70,000		73,806	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		5/1/32		1,480,000		1,541,376	(a)
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		4.200	%		3/15/28		4,300,000		4,886,911
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		5.050	%		3/30/29		640,000		765,704
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		5.375	%		4/1/38		1,000,000		1,220,078
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		4.800	%		3/1/50		110,000		125,367
Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes		6.834	%		10/23/55		2,610,000		3,814,903
Comcast Corp., Senior Notes		3.750	%		4/1/40		70,000		81,677
Comcast Corp., Senior Notes		3.400	%		7/15/46		70,000		77,094
Comcast Corp., Senior Notes		4.700	%		10/15/48		110,000		146,342
Comcast Corp., Senior Notes		3.450	%		2/1/50		370,000		413,921
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		710,000		736,792
DISH DBS Corp., Senior Notes		7.750	%		7/1/26		260,000		282,409
Fox Corp., Senior Notes		4.709	%		1/25/29		1,650,000		1,981,148
Fox Corp., Senior Notes		5.476	%		1/25/39		820,000		1,095,395

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       1

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - (continued)
Time Warner Cable LLC, Senior Secured Notes		7.300	%		7/1/38		190,000	$	277,644
Virgin Media Secured Finance PLC, Senior Secured Notes		5.500	%		5/15/29		290,000		311,663	(a)
Total Media									17,832,230
Wireless Telecommunication Services - 0.3%
CSC Holdings LLC, Senior Notes		6.500	%		2/1/29		960,000		1,070,093	(a)
Sprint Capital Corp., Senior Notes		8.750	%		3/15/32		200,000		305,700
Sprint Corp., Senior Notes		7.625	%		2/15/25		300,000		358,875
T-Mobile USA Inc., Senior Notes		6.000	%		3/1/23		20,000		20,050
T-Mobile USA Inc., Senior Notes		6.000	%		4/15/24		10,000		10,122
T-Mobile USA Inc., Senior Notes		2.250	%		2/15/26		160,000		161,886
T-Mobile USA Inc., Senior Notes		2.625	%		2/15/29		500,000		502,440
T-Mobile USA Inc., Senior Notes		2.875	%		2/15/31		370,000		373,702
T-Mobile USA Inc., Senior Secured Notes		3.875	%		4/15/30		630,000		712,165	(a)
T-Mobile USA Inc., Senior Secured Notes		4.500	%		4/15/50		770,000		908,812	(a)
Total Wireless Telecommunication Services									4,423,845
TOTAL COMMUNICATION SERVICES									24,243,918
CONSUMER DISCRETIONARY - 4.0%
Automobiles - 0.5%
Ford Motor Credit Co. LLC, Senior Notes		3.336	%		3/18/21		200,000		200,481
Ford Motor Credit Co. LLC, Senior Notes		5.875	%		8/2/21		540,000		550,800
Ford Motor Credit Co. LLC, Senior Notes		3.339	%		3/28/22		200,000		202,856
Ford Motor Credit Co. LLC, Senior Notes		5.125	%		6/16/25		200,000		217,450
Ford Motor Credit Co. LLC, Senior Notes		3.375	%		11/13/25		260,000		264,602
Ford Motor Credit Co. LLC, Senior Notes		4.125	%		8/17/27		470,000		495,263
Ford Motor Credit Co. LLC, Senior Notes		4.000	%		11/13/30		860,000		882,575
Nissan Motor Co. Ltd., Senior Notes		4.345	%		9/17/27		1,920,000		2,121,408	(a)
Nissan Motor Co. Ltd., Senior Notes		4.810	%		9/17/30		2,410,000		2,688,721	(a)
Total Automobiles									7,624,156
Diversified Consumer Services - 0.1%
Prime Security Services Borrower LLC/ Prime Finance Inc., Senior Secured Notes		5.750	%		4/15/26		450,000		493,222	(a)
Wesleyan University, Senior Notes		4.781	%		7/1/2116		690,000		899,523
Total Diversified Consumer Services									1,392,745

See Notes to Schedule of Investments.

  2     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Hotels, Restaurants & Leisure - 0.5%
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		4.250	%		5/15/24		304,000	$	309,648	(a)
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		3.500	%		2/15/29		280,000		280,000	(a)
Hilton Domestic Operating Co. Inc., Senior Notes		5.375	%		5/1/25		300,000		316,875	(a)
Hilton Domestic Operating Co. Inc., Senior Notes		5.750	%		5/1/28		190,000		205,319	(a)
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes		4.875	%		4/1/27		950,000		995,220
Las Vegas Sands Corp., Senior Notes		3.200	%		8/8/24		1,730,000		1,819,159
Las Vegas Sands Corp., Senior Notes		2.900	%		6/25/25		130,000		135,045
McDonald’s Corp., Senior Notes		4.450	%		3/1/47		870,000		1,085,304
McDonald’s Corp., Senior Notes		4.450	%		9/1/48		750,000		945,632
McDonald’s Corp., Senior Notes		3.625	%		9/1/49		80,000		90,503
McDonald’s Corp., Senior Notes		4.200	%		4/1/50		220,000		271,299
Sands China Ltd., Senior Notes		4.600	%		8/8/23		540,000		573,253
Sands China Ltd., Senior Notes		5.125	%		8/8/25		760,000		850,725
Wynn Macau Ltd., Senior Notes		5.625	%		8/26/28		1,070,000		1,102,448	(a)
Total Hotels, Restaurants & Leisure									8,980,430
Household Durables - 0.0%††
MDC Holdings Inc., Senior Notes		2.500	%		1/15/31		330,000		330,000
MDC Holdings Inc., Senior Notes		6.000	%		1/15/43		200,000		271,375
Total Household Durables									601,375
Internet & Direct Marketing Retail - 2.8%
Amazon.com Inc., Senior Notes		4.950	%		12/5/44		350,000		491,982
Amazon.com Inc., Senior Notes		4.050	%		8/22/47		8,360,000		10,599,545	(b)
Amazon.com Inc., Senior Notes		4.250	%		8/22/57		9,010,000		12,234,425
Amazon.com Inc., Senior Notes		2.700	%		6/3/60		18,550,000		18,732,798
Prosus NV, Senior Notes		4.850	%		7/6/27		1,850,000		2,124,488	(a)
Prosus NV, Senior Notes		4.027	%		8/3/50		3,500,000		3,512,418	(a)
Prosus NV, Senior Notes		3.832	%		2/8/51		1,150,000		1,120,021	(a)
Total Internet & Direct Marketing Retail									48,815,677
Specialty Retail - 0.0%††
Home Depot Inc., Senior Notes		3.300	%		4/15/40		60,000		68,013
Home Depot Inc., Senior Notes		3.350	%		4/15/50		120,000		134,825
Lowe’s Cos. Inc., Senior Notes		4.500	%		4/15/30		250,000		304,891
Total Specialty Retail									507,729
Textiles, Apparel & Luxury Goods - 0.1%
Hanesbrands Inc., Senior Notes		5.375	%		5/15/25		400,000		426,912	(a)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       3

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE				MATURITY DATE		FACE AMOUNT†		VALUE
Textiles, Apparel & Luxury Goods - (continued)
Levi Strauss & Co., Senior Notes		5.000	%			5/1/25		380,000	$	390,583
NIKE Inc., Senior Notes		3.375	%			3/27/50		150,000		173,457
Total Textiles, Apparel & Luxury Goods										990,952
TOTAL CONSUMER DISCRETIONARY										68,913,064
CONSUMER STAPLES - 1.8%
Beverages - 0.8%
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.000	%			4/13/28		1,000,000		1,159,576
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.350	%			6/1/40		1,000,000		1,195,916
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.600	%			4/15/48		1,050,000		1,277,201
Anheuser-Busch InBev Worldwide Inc., Senior Notes		5.550	%			1/23/49		5,680,000		7,754,822
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.500	%			6/1/50		1,670,000		2,022,479
Anheuser-Busch InBev Worldwide Inc., Senior Notes		5.800	%			1/23/59		470,000		685,787
Constellation Brands Inc., Senior Notes		4.750	%			11/15/24		160,000		184,158
Pernod Ricard SA, Senior Notes		5.500	%			1/15/42		150,000		209,217	(a)
Primo Water Holdings Inc., Senior Notes		5.500	%			4/1/25		390,000		402,308	(a)
Total Beverages										14,891,464
Food Products - 0.2%
Kraft Heinz Foods Co., Senior Notes		3.950	%			7/15/25		94,000		102,785
Kraft Heinz Foods Co., Senior Notes		4.250	%			3/1/31		140,000		157,808
Kraft Heinz Foods Co., Senior Notes		6.750	%			3/15/32		20,000		26,459
Kraft Heinz Foods Co., Senior Notes		6.875	%			1/26/39		50,000		68,885
Kraft Heinz Foods Co., Senior Notes		7.125	%			8/1/39		10,000		14,235	(a)
Kraft Heinz Foods Co., Senior Notes		4.625	%			10/1/39		10,000		10,906
Kraft Heinz Foods Co., Senior Notes		5.000	%			6/4/42		240,000		277,767
Kraft Heinz Foods Co., Senior Notes		5.200	%			7/15/45		530,000		617,293
Kraft Heinz Foods Co., Senior Notes		4.375	%			6/1/46		760,000		810,556
Kraft Heinz Foods Co., Senior Notes		4.875	%			10/1/49		360,000		407,983
Kraft Heinz Foods Co., Senior Notes		5.500	%			6/1/50		370,000		456,419
Lamb Weston Holdings Inc., Senior Notes		4.875	%			11/1/26		320,000		332,600	(a)
Lamb Weston Holdings Inc., Senior Notes		4.875	%			5/15/28		70,000		77,635	(a)
				��
Total Food Products										3,361,331

See Notes to Schedule of Investments.

  4     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Tobacco - 0.8%
Altria Group Inc., Senior Notes		4.400	%		2/14/26		800,000	$	922,315
Altria Group Inc., Senior Notes		4.800	%		2/14/29		1,370,000		1,628,889
Altria Group Inc., Senior Notes		5.800	%		2/14/39		910,000		1,178,381
Altria Group Inc., Senior Notes		5.950	%		2/14/49		60,000		81,452
Altria Group Inc., Senior Notes		6.200	%		2/14/59		2,830,000		3,873,042
BAT Capital Corp., Senior Notes		3.557	%		8/15/27		3,020,000		3,358,120
BAT Capital Corp., Senior Notes		4.540	%		8/15/47		2,030,000		2,218,167
Reynolds American Inc., Senior Notes		6.150	%		9/15/43		200,000		258,177
Total Tobacco									13,518,543
TOTAL CONSUMER STAPLES									31,771,338
ENERGY - 9.5%
Energy Equipment & Services - 0.1%
Halliburton Co., Senior Notes		3.800	%		11/15/25		60,000		67,352
Halliburton Co., Senior Notes		4.850	%		11/15/35		1,250,000		1,451,023
Total Energy Equipment & Services									1,518,375
Oil, Gas & Consumable Fuels - 9.4%
Apache Corp., Senior Notes		4.375	%		10/15/28		30,000		29,914
Apache Corp., Senior Notes		5.100	%		9/1/40		4,820,000		4,889,577
Apache Corp., Senior Notes		4.750	%		4/15/43		1,210,000		1,151,315
Apache Corp., Senior Notes		4.250	%		1/15/44		990,000		913,275
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes		7.625	%		12/15/25		580,000		614,803	(a)
Cameron LNG LLC, Senior Secured Notes		3.302	%		1/15/35		1,980,000		2,184,113	(a)
Cameron LNG LLC, Senior Secured Notes		3.701	%		1/15/39		1,160,000		1,290,971	(a)
Cheniere Corpus Christi Holdings LLC, Senior Secured Notes		5.125	%		6/30/27		380,000		451,186
Cheniere Energy Inc., Senior Secured Notes		4.625	%		10/15/28		380,000		398,050	(a)
Chevron Corp., Senior Notes		3.078	%		5/11/50		80,000		83,579
Chevron USA Inc., Senior Notes		3.850	%		1/15/28		1,580,000		1,831,330
Cimarex Energy Co., Senior Notes		3.900	%		5/15/27		1,710,000		1,903,472
Cimarex Energy Co., Senior Notes		4.375	%		3/15/29		310,000		351,028
Concho Resources Inc., Senior Notes		4.300	%		8/15/28		1,370,000		1,601,146
Continental Resources Inc., Senior Notes		4.375	%		1/15/28		20,000		20,421
Continental Resources Inc., Senior Notes		5.750	%		1/15/31		1,180,000		1,279,120	(a)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       5

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Continental Resources Inc., Senior Notes		4.900	%		6/1/44		1,490,000	$	1,442,506
DCP Midstream LP, Junior Subordinated Notes (7.375% to 12/15/22 then 3 mo. USD LIBOR + 5.148%)		7.375	%		12/15/22		860,000		732,075	(c)(d)
DCP Midstream Operating LP, Senior Notes		6.450	%		11/3/36		660,000		737,550	(a)
DCP Midstream Operating LP, Senior Notes		6.750	%		9/15/37		1,300,000		1,449,500	(a)
Devon Energy Corp., Senior Notes		5.850	%		12/15/25		1,950,000		2,289,347
Devon Energy Corp., Senior Notes		7.875	%		9/30/31		220,000		305,446
Devon Energy Corp., Senior Notes		7.950	%		4/15/32		340,000		479,751
Devon Energy Corp., Senior Notes		5.600	%		7/15/41		970,000		1,166,519
Devon Energy Corp., Senior Notes		4.750	%		5/15/42		660,000		733,595
Devon Energy Corp., Senior Notes		5.000	%		6/15/45		990,000		1,140,729
Diamondback Energy Inc., Senior Notes		2.875	%		12/1/24		370,000		391,238
Diamondback Energy Inc., Senior Notes		3.250	%		12/1/26		460,000		493,197
Diamondback Energy Inc., Senior Notes		3.500	%		12/1/29		100,000		106,327
Ecopetrol SA, Senior Notes		5.375	%		6/26/26		2,470,000		2,809,007
Ecopetrol SA, Senior Notes		5.875	%		5/28/45		1,902,000		2,160,482
Energy Transfer Operating LP, Junior Subordinated Notes (3 mo. USD LIBOR + 4.155%)		6.625	%		2/15/28		690,000		592,538	(c)(d)
Energy Transfer Operating LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%)		6.750	%		5/15/25		1,760,000		1,632,611	(c)(d)
Energy Transfer Operating LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%)		7.125	%		5/15/30		1,820,000		1,714,622	(c)(d)
Energy Transfer Operating LP, Senior Notes		6.500	%		2/1/42		590,000		718,374
Energy Transfer Operating LP, Senior Notes		5.950	%		10/1/43		950,000		1,060,622
Energy Transfer Operating LP, Senior Notes		6.000	%		6/15/48		1,160,000		1,319,399
Energy Transfer Operating LP, Senior Notes		6.250	%		4/15/49		1,160,000		1,374,088
Energy Transfer Operating LP, Senior Notes		5.000	%		5/15/50		1,160,000		1,204,250

See Notes to Schedule of Investments.

  6     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Enterprise Products Operating LLC, Senior Notes		4.150	%		10/16/28		260,000	$	304,205
Enterprise Products Operating LLC, Senior Notes		6.125	%		10/15/39		600,000		810,382
Enterprise Products Operating LLC, Senior Notes		6.450	%		9/1/40		960,000		1,340,966
Enterprise Products Operating LLC, Senior Notes		5.950	%		2/1/41		370,000		498,752
Enterprise Products Operating LLC, Senior Notes		5.100	%		2/15/45		570,000		711,314
Enterprise Products Operating LLC, Senior Notes		4.250	%		2/15/48		700,000		793,871
Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. USD LIBOR + 2.570%)		5.375	%		2/15/78		780,000		775,659	(d)
EOG Resources Inc., Senior Notes		4.375	%		4/15/30		90,000		107,175
EOG Resources Inc., Senior Notes		4.950	%		4/15/50		300,000		388,756
EQT Corp., Senior Notes		3.000	%		10/1/22		70,000		71,224
EQT Corp., Senior Notes		7.875	%		2/1/25		50,000		58,992
EQT Corp., Senior Notes		3.900	%		10/1/27		120,000		124,800
EQT Corp., Senior Notes		5.000	%		1/15/29		90,000		98,100
Exxon Mobil Corp., Senior Notes		4.114	%		3/1/46		1,210,000		1,443,111
Exxon Mobil Corp., Senior Notes		4.327	%		3/19/50		1,230,000		1,519,857
Exxon Mobil Corp., Senior Notes		3.452	%		4/15/51		660,000		719,168
Kinder Morgan Energy Partners LP, Senior Notes		3.500	%		9/1/23		540,000		577,489
Kinder Morgan Energy Partners LP, Senior Notes		4.250	%		9/1/24		540,000		600,789
Kinder Morgan Energy Partners LP, Senior Notes		6.950	%		1/15/38		70,000		95,838
Kinder Morgan Energy Partners LP, Senior Notes		6.500	%		9/1/39		670,000		873,155
Kinder Morgan Energy Partners LP, Senior Notes		6.550	%		9/15/40		1,180,000		1,532,484
Kinder Morgan Energy Partners LP, Senior Notes		6.375	%		3/1/41		1,240,000		1,610,178
Kinder Morgan Inc., Senior Notes		5.300	%		12/1/34		1,340,000		1,630,729
MEG Energy Corp., Senior Notes		5.875	%		2/1/29		120,000		119,400	(a)(e)
MPLX LP, Senior Notes		4.875	%		12/1/24		1,060,000		1,204,830
MPLX LP, Senior Notes		4.875	%		6/1/25		500,000		574,264

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       7

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
MPLX LP, Senior Notes		4.800	%		2/15/29		870,000	$	1,031,569
MPLX LP, Senior Notes		5.200	%		3/1/47		1,410,000		1,680,038
MPLX LP, Senior Notes		4.700	%		4/15/48		1,210,000		1,361,491
MPLX LP, Senior Notes		5.500	%		2/15/49		1,460,000		1,825,634
Occidental Petroleum Corp., Senior Notes		6.950	%		7/1/24		1,040,000		1,131,000
Occidental Petroleum Corp., Senior Notes		2.900	%		8/15/24		830,000		804,063
Occidental Petroleum Corp., Senior Notes		5.550	%		3/15/26		460,000		484,228
Occidental Petroleum Corp., Senior Notes		3.200	%		8/15/26		860,000		810,012
Occidental Petroleum Corp., Senior Notes		6.625	%		9/1/30		3,070,000		3,458,355
Occidental Petroleum Corp., Senior Notes		6.125	%		1/1/31		8,190,000		8,924,643
Occidental Petroleum Corp., Senior Notes		0.000	%		10/10/36		21,490,000		10,422,650
Occidental Petroleum Corp., Senior Notes		6.200	%		3/15/40		980,000		1,021,650
Occidental Petroleum Corp., Senior Notes		4.500	%		7/15/44		2,780,000		2,411,650
Occidental Petroleum Corp., Senior Notes		4.625	%		6/15/45		3,620,000		3,165,283
Occidental Petroleum Corp., Senior Notes		6.600	%		3/15/46		650,000		701,405
Occidental Petroleum Corp., Senior Notes		4.400	%		4/15/46		1,070,000		944,248
Occidental Petroleum Corp., Senior Notes		4.100	%		2/15/47		1,110,000		923,381
Occidental Petroleum Corp., Senior Notes		4.200	%		3/15/48		2,800,000		2,355,500
Petrobras Global Finance BV, Senior Notes		7.375	%		1/17/27		2,450,000		3,067,032
Petrobras Global Finance BV, Senior Notes		5.999	%		1/27/28		4,510,000		5,293,680
Petrobras Global Finance BV, Senior Notes		6.850	%		6/5/2115		2,610,000		3,048,832
Petroleos Mexicanos, Senior Notes		6.375	%		1/23/45		3,050,000		2,632,150
Range Resources Corp., Senior Notes		5.875	%		7/1/22		106,000		107,524
Range Resources Corp., Senior Notes		5.000	%		3/15/23		897,000		901,216

See Notes to Schedule of Investments.

  8     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Range Resources Corp., Senior Notes		4.875	%		5/15/25		590,000	$	578,308
Rockies Express Pipeline LLC, Senior Notes		6.875	%		4/15/40		1,180,000		1,318,650	(a)
Schlumberger Holdings Corp., Senior Notes		4.000	%		12/21/25		2,470,000		2,797,307	(a)
Shell International Finance BV, Senior Notes		2.750	%		4/6/30		270,000		292,019
Shell International Finance BV, Senior Notes		3.250	%		4/6/50		1,380,000		1,484,703
Sunoco Logistics Partners Operations LP, Senior Notes		6.100	%		2/15/42		720,000		815,918
Sunoco Logistics Partners Operations LP, Senior Notes		5.400	%		10/1/47		1,990,000		2,120,117
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		4.250	%		11/15/23		2,590,000		2,609,425
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.375	%		2/1/27		40,000		41,431
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.500	%		3/1/30		270,000		287,296
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		4.875	%		2/1/31		310,000		323,950	(a)
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		4.000	%		1/15/32		190,000		188,575	(a)(e)
Transcontinental Gas Pipe Line Co. LLC, Senior Notes		7.850	%		2/1/26		1,950,000		2,537,457
Western Midstream Operating LP, Senior Notes		4.350	%		2/1/25		320,000		331,891
Western Midstream Operating LP, Senior Notes		3.950	%		6/1/25		1,000,000		1,016,875
Western Midstream Operating LP, Senior Notes		4.650	%		7/1/26		160,000		168,300
Western Midstream Operating LP, Senior Notes		4.500	%		3/1/28		1,190,000		1,237,600
Western Midstream Operating LP, Senior Notes		4.750	%		8/15/28		1,210,000		1,282,600

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       9

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Oil, Gas & Consumable Fuels - (continued)
Western Midstream Operating LP, Senior Notes		5.300	%		2/1/30		1,450,000		$	1,596,936
Western Midstream Operating LP, Senior Notes		5.450	%		4/1/44		2,130,000			2,239,162
Western Midstream Operating LP, Senior Notes		5.300	%		3/1/48		720,000			739,800
Western Midstream Operating LP, Senior Notes		5.500	%		8/15/48		1,780,000			1,771,100
Western Midstream Operating LP, Senior Notes		6.500	%		2/1/50		310,000			349,305
Williams Cos. Inc., Senior Notes		3.750	%		6/15/27		1,780,000			2,026,081
Williams Cos. Inc., Senior Notes		7.500	%		1/15/31		1,570,000			2,134,010
Williams Cos. Inc., Senior Notes		8.750	%		3/15/32		1,520,000			2,246,820
Williams Cos. Inc., Senior Notes		6.300	%		4/15/40		840,000			1,100,713
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		1,680,000			2,121,016
Williams Cos. Inc., Senior Notes		5.100	%		9/15/45		150,000			181,276
WPX Energy Inc., Senior Notes		8.250	%		8/1/23		1,210,000			1,394,779
WPX Energy Inc., Senior Notes		5.250	%		10/15/27		700,000			739,025
WPX Energy Inc., Senior Notes		5.875	%		6/15/28		560,000			607,057
WPX Energy Inc., Senior Notes		4.500	%		1/15/30		1,000,000			1,060,000
Total Oil, Gas & Consumable Fuels										161,879,297
TOTAL ENERGY										163,397,672
FINANCIALS - 13.1%
Banks - 10.9%
BAC Capital Trust XIV, Junior Subordinated Notes (the greater of 3 mo. USD LIBOR + 0.400% or 4.000%)		4.000	%		2/16/21		1,830,000			1,807,333	(c)(d)
Banco Bilbao Vizcaya Argentaria SA, Junior Subordinated Notes (8.875% to 4/14/21 then EUR 5 year Swap Rate + 9.177%)		8.875	%		4/14/21		5,400,000	EUR		6,661,953	(c)(d)(f)
Banco Mercantil del Norte SA, Junior Subordinated Notes (6.875% to 7/6/22 then 5 year Treasury Constant Maturity Rate + 5.035%)		6.875	%		7/6/22		830,000			860,096	(a)(c)(d)
Banco Mercantil del Norte SA, Junior Subordinated Notes (7.625% to 1/10/28 then 10 year Treasury Constant Maturity Rate + 5.353%)		7.625	%		1/10/28		1,830,000			2,015,745	(a)(c)(d)

See Notes to Schedule of Investments.

  10     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Banks - (continued)
Banco Santander SA, Junior Subordinated Notes (6.250% to 9/11/21 then EUR 5 year Swap Rate + 5.640%)		6.250	%		9/11/21		6,400,000	EUR	$	7,914,513	(c)(d)(f)
Bank of America Corp., Junior Subordinated Notes (5.875% to 3/15/28 then 3 mo. USD LIBOR + 2.931%)		5.875	%		3/15/28		6,260,000			6,944,306	(c)(d)
Bank of America Corp., Junior Subordinated Notes (6.100% to 3/17/25 then 3 mo. USD LIBOR + 3.898%)		6.100	%		3/17/25		3,810,000			4,292,174	(c)(d)
Bank of America Corp., Junior Subordinated Notes (6.250% to 9/5/24 then 3 mo. USD LIBOR + 3.705%)		6.250	%		9/5/24		1,430,000			1,583,212	(c)(d)
Bank of America Corp., Senior Notes (2.592% to 4/29/30 then SOFR + 2.150%)		2.592	%		4/29/31		710,000			745,533	(d)
Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. USD LIBOR + 3.150%)		4.083	%		3/20/51		120,000			145,219	(d)
Bank of America Corp., Subordinated Notes		4.250	%		10/22/26		2,520,000			2,921,227
Barclays PLC, Junior Subordinated Notes (7.750% to 9/15/23 then USD 5 year ICE Swap Rate + 4.842%)		7.750	%		9/15/23		1,780,000			1,942,781	(c)(d)
Barclays PLC, Junior Subordinated Notes (8.000% to 6/15/24 then 5 year Treasury Constant Maturity Rate + 5.672%)		8.000	%		6/15/24		2,930,000			3,286,732	(c)(d)
Barclays PLC, Senior Notes (4.972% to 5/16/28 then 3 mo. USD LIBOR + 1.902%)		4.972	%		5/16/29		2,930,000			3,490,935	(d)
BNP Paribas SA, Junior Subordinated Notes (6.125% to 6/17/22 then EUR 5 year Swap Rate + 5.230%)		6.125	%		6/17/22		2,424,000	EUR		3,112,411	(c)(d)(f)
BNP Paribas SA, Junior Subordinated Notes (7.000% to 8/16/28 then USD 5 year ICE Swap Rate + 3.980%)		7.000	%		8/16/28		200,000			235,413	(a)(c)(d)
BNP Paribas SA, Junior Subordinated Notes (7.375% to 8/19/25 then USD 5 year ICE Swap Rate + 5.150%)		7.375	%		8/19/25		2,790,000			3,225,052	(a)(c)(d)
BNP Paribas SA, Senior Notes (4.705% to 1/10/24 then 3 mo. USD LIBOR + 2.235%)		4.705	%		1/10/25		1,050,000			1,166,334	(a)(d)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       11

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Banks - (continued)
BNP Paribas SA, Senior Notes (5.198% to 1/10/29 then 3 mo. USD LIBOR + 2.567%)		5.198	%		1/10/30		230,000		$	283,078	(a)(d)
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%)		5.950	%		5/15/25		10,650,000			11,595,187	(c)(d)
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%)		6.300	%		5/15/24		1,250,000			1,339,512	(c)(d)
Citigroup Inc., Senior Notes		8.125	%		7/15/39		1,301,000			2,259,636
Citigroup Inc., Senior Notes		4.650	%		7/30/45		825,000			1,080,707
Citigroup Inc., Senior Notes		4.650	%		7/23/48		520,000			687,749
Citigroup Inc., Subordinated Notes		4.450	%		9/29/27		370,000			432,477
Citigroup Inc., Subordinated Notes		4.125	%		7/25/28		1,870,000			2,147,109
Citigroup Inc., Subordinated Notes		4.750	%		5/18/46		200,000			259,293
Compass Bank, Subordinated Notes		3.875	%		4/10/25		490,000			550,473
Cooperatieve Rabobank UA, Junior Subordinated Notes (4.625% to 12/29/25 then EUR 5 year Swap Rate + 4.098%)		4.625	%		12/29/25		6,400,000	EUR		8,499,704	(c)(d)(f)
Cooperatieve Rabobank UA, Junior Subordinated Notes (6.625% to 6/29/21 then EUR 5 year Swap Rate + 6.697%)		6.625	%		6/29/21		5,400,000	EUR		6,728,677	(c)(d)(f)
Credit Agricole SA, Junior Subordinated Notes (6.500% to 6/23/21 then EUR 5 year Swap Rate + 5.120%)		6.500	%		6/23/21		2,672,000	EUR		3,313,473	(c)(d)(f)
Credit Agricole SA, Junior Subordinated Notes (7.500% to 6/23/26 then GBP 5 year Swap Rate + 4.535%)		7.500	%		6/23/26		2,620,000	GBP		4,254,820	(c)(d)(f)
Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%)		8.125	%		12/23/25		3,250,000			3,936,309	(a)(c)(d)
Danske Bank A/S, Junior Subordinated Notes (5.875% to 4/6/22 then EUR 7 year Swap Rate + 5.471%)		5.875	%		4/6/22		4,220,000	EUR		5,354,748	(c)(d)(f)
Danske Bank A/S, Senior Notes		5.375	%		1/12/24		840,000			946,504	(a)
HSBC Holdings PLC, Junior Subordinated Notes (6.375% to 3/30/25 then USD 5 year ICE Swap Rate + 4.368%)		6.375	%		3/30/25		860,000			940,474	(c)(d)

See Notes to Schedule of Investments.

  12     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Banks - (continued)
HSBC Holdings PLC, Junior Subordinated Notes (6.500% to 3/23/28 then USD 5 year ICE Swap Rate + 3.606%)		6.500	%		3/23/28		1,400,000		$	1,582,595	(c)(d)
HSBC Holdings PLC, Senior Notes (4.583% to 6/19/28 then 3 mo. USD LIBOR + 1.535%)		4.583	%		6/19/29		2,750,000			3,224,704	(d)
HSBC Holdings PLC, Subordinated Notes		4.250	%		8/18/25		590,000			665,709
Intesa Sanpaolo SpA, Junior Subordinated Notes (5.875% to 9/1/31 then EUR 5 year Swap Rate + 6.086%)		5.875	%		9/1/31		6,680,000	EUR		9,002,519	(c)(d)(f)
Intesa Sanpaolo SpA, Subordinated Notes		5.017	%		6/26/24		200,000			217,685	(a)
Intesa Sanpaolo SpA, Subordinated Notes		5.710	%		1/15/26		210,000			237,971	(a)
JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%)		2.522	%		4/22/31		110,000			115,549	(d)
JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%)		3.109	%		4/22/51		440,000			469,034	(d)
JPMorgan Chase & Co., Subordinated Notes		4.950	%		6/1/45		1,410,000			1,928,516
JPMorgan Chase & Co., Subordinated Notes (2.956% to 5/13/30 then SOFR + 2.515%)		2.956	%		5/13/31		1,620,000			1,734,200	(d)
Natwest Group PLC, Junior Subordinated Notes (8.625% to 8/15/21 then USD 5 year ICE Swap Rate + 7.598%)		8.625	%		8/15/21		1,430,000			1,483,225	(c)(d)
Natwest Group PLC, Subordinated Notes		6.000	%		12/19/23		400,000			454,592
Natwest Group PLC, Subordinated Notes		5.125	%		5/28/24		11,480,000			12,907,954
UniCredit SpA, Junior Subordinated Notes (6.625% to 6/3/23 then EUR 5 year Swap Rate + 6.387%)		6.625	%		6/3/23		7,790,000	EUR		9,938,371	(c)(d)(f)
UniCredit SpA, Senior Notes		6.572	%		1/14/22		1,700,000			1,787,714	(a)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       13

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Wachovia Capital Trust III Ltd., Junior Subordinated Bonds (the greater of 3 mo. USD LIBOR + 0.930% or 5.570%)		5.570	%		3/1/21		17,367,000	$	17,455,224	(c)(d)
Wells Fargo & Co., Junior Subordinated Notes (5.875% to 6/15/25 then 3 mo. USD LIBOR + 3.990%)		5.875	%		6/15/25		847,000		945,455	(c)(d)
Wells Fargo & Co., Senior Notes (2.879% to 10/30/29 then 3 mo. USD LIBOR + 1.170%)		2.879	%		10/30/30		890,000		956,971	(d)
Wells Fargo & Co., Senior Notes (4.478% to 4/4/30 then 3 mo. USD LIBOR + 3.770%)		4.478	%		4/4/31		410,000		492,202	(d)
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. USD LIBOR + 4.240%)		5.013	%		4/4/51		7,670,000		10,567,433	(d)
Wells Fargo & Co., Subordinated Notes		4.300	%		7/22/27		1,840,000		2,148,917
Wells Fargo & Co., Subordinated Notes		4.400	%		6/14/46		1,420,000		1,698,807
Wells Fargo & Co., Subordinated Notes		4.750	%		12/7/46		500,000		629,076
Total Banks									187,605,322
Capital Markets - 1.6%
Credit Suisse Group AG, Junior Subordinated Notes (5.250% to 8/11/27 then 5 year Treasury Constant Maturity Rate + 4.889%)		5.250	%		2/11/27		5,190,000		5,501,141	(a)(c)(d)
Credit Suisse Group AG, Junior Subordinated Notes (6.375% to 8/21/26 then 5 year Treasury Constant Maturity Rate + 4.822%)		6.375	%		8/21/26		200,000		222,917	(a)(c)(d)
Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then 5 year Treasury Constant Maturity Rate + 4.332%)		7.250	%		9/12/25		300,000		337,889	(a)(c)(d)
Credit Suisse Group AG, Junior Subordinated Notes (7.500% to 7/17/23 then USD 5 year ICE Swap Rate + 4.600%)		7.500	%		7/17/23		1,770,000		1,931,035	(a)(c)(d)
Credit Suisse Group AG, Senior Notes		4.875	%		5/15/45		530,000		714,532
Credit Suisse Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%)		4.194	%		4/1/31		630,000		730,717	(a)(d)

See Notes to Schedule of Investments.

  14     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Capital Markets - (continued)
Goldman Sachs Capital II, Junior Subordinated Notes (3 mo. USD LIBOR + 0.768%, 4.000% floor)		4.000	%		3/1/21		149,000		$	145,153	(c)(d)
Goldman Sachs Capital III Ltd. (3 mo. USD LIBOR + 0.770%, 4.000% floor)		4.000	%		3/1/21		96,000			94,320	(c)(d)
Goldman Sachs Group Inc., Senior Notes		4.750	%		10/21/45		570,000			764,055
Goldman Sachs Group Inc., Senior Notes (4.223% to 5/1/28 then 3 mo. USD LIBOR + 1.301%)		4.223	%		5/1/29		430,000			504,887	(d)
Goldman Sachs Group Inc., Subordinated Notes		4.250	%		10/21/25		610,000			693,557
Goldman Sachs Group Inc., Subordinated Notes		6.750	%		10/1/37		1,700,000			2,515,635
Goldman Sachs Group Inc., Subordinated Notes		5.150	%		5/22/45		4,590,000			6,185,629
Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. USD LIBOR + 1.628%)		4.431	%		1/23/30		60,000			71,822	(d)
Morgan Stanley, Senior Notes (5.597% to 3/24/50 then SOFR + 4.840%)		5.597	%		3/24/51		190,000			287,045	(d)
UBS Group AG, Junior Subordinated Notes (5.750% to 2/19/22 then EUR 5 year Swap Rate + 5.287%)		5.750	%		2/19/22		2,080,000	EUR		2,635,783	(c)(d)(f)
UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%)		7.000	%		1/31/24		2,880,000			3,162,802	(a)(c)(d)
Total Capital Markets										26,498,919
Diversified Financial Services - 0.4%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		4.625	%		7/1/22		333,000			350,334
DAE Funding LLC, Senior Notes		5.750	%		11/15/23		160,000			164,600	(a)
GE Capital International Funding Co. Unlimited Co., Senior Notes		4.418	%		11/15/35		1,210,000			1,418,103
ILFC E-Capital Trust I Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury Constant Maturity Rate and 30 year Treasury Constant Maturity Rate) + 1.550%)		3.230	%		12/21/65		740,000			574,573	(a)(d)
International Lease Finance Corp., Senior Notes		5.875	%		8/15/22		640,000			688,573

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       15

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Diversified Financial Services - (continued)
Park Aerospace Holdings Ltd., Senior Notes		5.250	%		8/15/22		23,000	$	24,130	(a)
Park Aerospace Holdings Ltd., Senior Notes		4.500	%		3/15/23		160,000		168,274	(a)
Park Aerospace Holdings Ltd., Senior Notes		5.500	%		2/15/24		400,000		439,314	(a)
Toll Road Investors Partnership II LP		0.000	%		2/15/24		1,020,000		933,726	(a)
Toll Road Investors Partnership II LP		0.000	%		2/15/38		200,000		77,152	(a)
Vanguard Group Inc.		3.050	%		8/22/50		2,610,000		2,456,271	(g)(h)
Total Diversified Financial Services									7,295,050
Insurance - 0.2%
American International Group Inc., Senior Notes		3.400	%		6/30/30		1,080,000		1,206,154
Teachers Insurance & Annuity Association of America, Subordinated Notes		4.900	%		9/15/44		1,910,000		2,504,576	(a)
Total Insurance									3,710,730
TOTAL FINANCIALS									225,110,021
HEALTH CARE - 4.2%
Biotechnology - 0.2%
AbbVie Inc., Senior Notes		4.050	%		11/21/39		3,440,000		4,041,042
Health Care Equipment & Supplies - 0.1%
Becton Dickinson and Co., Senior Notes		3.700	%		6/6/27		1,317,000		1,509,366
Health Care Providers & Services - 1.3%
Centene Corp., Senior Notes		4.750	%		1/15/25		160,000		164,352
Centene Corp., Senior Notes		5.375	%		6/1/26		350,000		366,520	(a)
CommonSpirit Health, Secured Notes		4.350	%		11/1/42		1,720,000		2,024,866
CommonSpirit Health, Senior Secured Notes		3.817	%		10/1/49		630,000		718,504
CVS Health Corp., Senior Notes		4.300	%		3/25/28		170,000		199,825
CVS Health Corp., Senior Notes		4.780	%		3/25/38		1,130,000		1,399,522
CVS Health Corp., Senior Notes		4.125	%		4/1/40		820,000		956,631
CVS Health Corp., Senior Notes		5.050	%		3/25/48		7,790,000		10,215,481
CVS Health Corp., Senior Notes		4.250	%		4/1/50		90,000		108,501
Dignity Health, Secured Notes		5.267	%		11/1/64		760,000		1,044,593
Hackensack Meridian Health Inc., Senior Secured Notes		4.211	%		7/1/48		1,060,000		1,324,403
HCA Inc., Senior Notes		5.375	%		2/1/25		150,000		168,634
HCA Inc., Senior Notes		7.690	%		6/15/25		420,000		507,106
HCA Inc., Senior Notes		5.625	%		9/1/28		60,000		70,377

See Notes to Schedule of Investments.

  16     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Health Care Providers & Services - (continued)
HCA Inc., Senior Notes		5.875	%		2/1/29		310,000	$	369,768
HCA Inc., Senior Notes		3.500	%		9/1/30		480,000		498,920
HCA Inc., Senior Secured Notes		4.500	%		2/15/27		240,000		278,734
UnitedHealth Group Inc., Senior Notes		3.125	%		5/15/60		190,000		204,751
Willis-Knighton Medical Center, Secured Notes		4.813	%		9/1/48		790,000		1,039,184
Total Health Care Providers & Services									21,660,672
Pharmaceuticals - 2.6%
Bausch Health Americas Inc., Senior Notes		9.250	%		4/1/26		6,060,000		6,733,872	(a)
Bausch Health Americas Inc., Senior Notes		8.500	%		1/31/27		3,880,000		4,302,590	(a)
Bausch Health Cos. Inc., Senior Notes		9.000	%		12/15/25		6,860,000		7,543,084	(a)
Bausch Health Cos. Inc., Senior Notes		6.250	%		2/15/29		900,000		966,618	(a)
Bausch Health Cos. Inc., Senior Notes		7.250	%		5/30/29		1,370,000		1,528,146	(a)
Bausch Health Cos. Inc., Senior Notes		5.250	%		1/30/30		300,000		310,104	(a)
Bausch Health Cos. Inc., Senior Secured Notes		7.000	%		3/15/24		550,000		562,760	(a)
Bausch Health Cos. Inc., Senior Secured Notes		5.500	%		11/1/25		1,050,000		1,082,235	(a)
Teva Pharmaceutical Finance Co. BV, Senior Notes		3.650	%		11/10/21		160,000		161,850
Teva Pharmaceutical Finance Co. BV, Senior Notes		2.950	%		12/18/22		2,097,000		2,106,174
Teva Pharmaceutical Finance IV BV, Senior Notes		3.650	%		11/10/21		250,000		254,394
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.200	%		7/21/21		960,000		960,948
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.800	%		7/21/23		1,300,000		1,291,212
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		7.125	%		1/31/25		4,944,000		5,453,331
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		3.150	%		10/1/26		1,764,000		1,685,723
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		6.750	%		3/1/28		520,000		582,751
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		4.100	%		10/1/46		11,367,000		10,015,805
Total Pharmaceuticals									45,541,597
TOTAL HEALTH CARE									72,752,677

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       17

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
INDUSTRIALS - 2.5%
Aerospace & Defense - 1.0%
Boeing Co., Senior Notes		2.700	%		2/1/27		750,000	$	776,641
Boeing Co., Senior Notes		5.150	%		5/1/30		1,950,000		2,318,088
Boeing Co., Senior Notes		3.250	%		2/1/35		2,030,000		2,030,223
Boeing Co., Senior Notes		3.550	%		3/1/38		170,000		168,917
Boeing Co., Senior Notes		5.705	%		5/1/40		1,600,000		2,033,061
Boeing Co., Senior Notes		3.750	%		2/1/50		130,000		131,130
Boeing Co., Senior Notes		5.805	%		5/1/50		3,700,000		4,885,743
Boeing Co., Senior Notes		5.930	%		5/1/60		1,010,000		1,359,226
General Dynamics Corp., Senior Notes		4.250	%		4/1/40		40,000		50,588
General Dynamics Corp., Senior Notes		4.250	%		4/1/50		190,000		248,891
Northrop Grumman Corp., Senior Notes		5.250	%		5/1/50		2,190,000		3,133,171
TransDigm Inc., Senior Secured Notes		8.000	%		12/15/25		120,000		131,370	(a)
TransDigm Inc., Senior Secured Notes		6.250	%		3/15/26		180,000		190,612	(a)
Total Aerospace & Defense									17,457,661
Air Freight & Logistics - 0.1%
XPO CNW Inc., Senior Notes		6.700	%		5/1/34		1,510,000		1,802,978
Airlines - 0.8%
Delta Air Lines Inc., Senior Notes		3.400	%		4/19/21		2,320,000		2,329,986
Delta Air Lines Inc., Senior Notes		3.625	%		3/15/22		1,450,000		1,475,188
Delta Air Lines Inc., Senior Notes		3.800	%		4/19/23		190,000		194,868
Delta Air Lines Inc., Senior Notes		2.900	%		10/28/24		870,000		855,375
Delta Air Lines Inc., Senior Notes		7.375	%		1/15/26		850,000		977,111
Delta Air Lines Inc., Senior Secured Notes		7.000	%		5/1/25		1,850,000		2,146,440	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.500	%		10/20/25		2,490,000		2,661,749	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.750	%		10/20/28		1,110,000		1,230,713	(a)
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes		6.500	%		6/20/27		680,000		744,600	(a)
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes		8.000	%		9/20/25		870,000		988,320	(a)
Total Airlines									13,604,350
Building Products - 0.0%††
Carrier Global Corp., Senior Notes		2.700	%		2/15/31		270,000		286,064

See Notes to Schedule of Investments.

  18     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Commercial Services & Supplies - 0.1%
California Institute of Technology, Senior Notes		3.650	%		9/1/2119		990,000	$	1,110,418
GFL Environmental Inc., Senior Secured Notes		4.250	%		6/1/25		330,000		341,344	(a)
Total Commercial Services & Supplies									1,451,762
Industrial Conglomerates - 0.4%
3M Co., Senior Notes		3.700	%		4/15/50		470,000		559,781
General Electric Co., Senior Notes		3.450	%		5/1/27		130,000		145,756
General Electric Co., Senior Notes		3.625	%		5/1/30		270,000		300,071
General Electric Co., Senior Notes		5.875	%		1/14/38		1,490,000		1,993,514
General Electric Co., Senior Notes		6.875	%		1/10/39		2,290,000		3,310,058
General Electric Co., Senior Notes		4.250	%		5/1/40		280,000		320,061
General Electric Co., Senior Notes		4.350	%		5/1/50		350,000		404,960
Total Industrial Conglomerates									7,034,201
Trading Companies & Distributors - 0.1%
United Rentals North America Inc., Secured Notes		3.875	%		11/15/27		370,000		389,458
United Rentals North America Inc., Senior Notes		5.875	%		9/15/26		310,000		326,993
United Rentals North America Inc., Senior Notes		5.250	%		1/15/30		320,000		354,840
United Rentals North America Inc., Senior Notes		3.875	%		2/15/31		410,000		428,194
Total Trading Companies & Distributors									1,499,485
TOTAL INDUSTRIALS									43,136,501
INFORMATION TECHNOLOGY - 0.4%
Communications Equipment - 0.0%††
CommScope Technologies LLC, Senior Notes		5.000	%		3/15/27		320,000		317,800	(a)
IT Services - 0.1%
Mastercard Inc., Senior Notes		3.850	%		3/26/50		1,720,000		2,146,708
Semiconductors & Semiconductor Equipment - 0.3%
Broadcom Inc., Senior Notes		4.150	%		11/15/30		2,020,000		2,292,605
Intel Corp., Senior Notes		4.600	%		3/25/40		120,000		154,281
NVIDIA Corp., Senior Notes		3.500	%		4/1/40		220,000		253,385
NVIDIA Corp., Senior Notes		3.500	%		4/1/50		1,070,000		1,234,443
NVIDIA Corp., Senior Notes		3.700	%		4/1/60		400,000		481,171
Total Semiconductors & Semiconductor Equipment									4,415,885
TOTAL INFORMATION TECHNOLOGY									6,880,393

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       19

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
MATERIALS - 0.7%
Containers & Packaging - 0.0%††
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes		6.000	%		2/15/25		250,000	$	257,595	(a)
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes		5.250	%		8/15/27		200,000		207,508	(a)
Total Containers & Packaging									465,103
Metals & Mining - 0.7%
Anglo American Capital PLC, Senior Notes		3.625	%		9/11/24		560,000		614,399	(a)
Anglo American Capital PLC, Senior Notes		4.000	%		9/11/27		270,000		311,470	(a)
Anglo American Capital PLC, Senior Notes		4.500	%		3/15/28		640,000		752,710	(a)
ArcelorMittal SA, Senior Notes		3.600	%		7/16/24		1,900,000		2,042,081
ArcelorMittal SA, Senior Notes		7.250	%		10/15/39		310,000		444,082
Freeport-McMoRan Inc., Senior Notes		3.875	%		3/15/23		10,000		10,466
Freeport-McMoRan Inc., Senior Notes		4.550	%		11/14/24		40,000		43,937
Freeport-McMoRan Inc., Senior Notes		4.625	%		8/1/30		240,000		266,892
Freeport-McMoRan Inc., Senior Notes		5.450	%		3/15/43		960,000		1,201,786
Glencore Funding LLC, Senior Notes		4.125	%		5/30/23		150,000		161,863	(a)
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		2,920,000		3,206,470	(a)
Glencore Funding LLC, Senior Notes		3.875	%		10/27/27		990,000		1,126,340	(a)
Yamana Gold Inc., Senior Notes		4.625	%		12/15/27		920,000		1,028,420
Total Metals & Mining									11,210,916
Paper & Forest Products - 0.0%††
Suzano Austria GmbH, Senior Notes		3.750	%		1/15/31		420,000		446,334
TOTAL MATERIALS									12,122,353
UTILITIES - 0.8%
Electric Utilities - 0.8%
Enel Finance International NV, Senior Notes		6.000	%		10/7/39		1,680,000		2,395,391	(a)
FirstEnergy Corp., Senior Notes		4.400	%		7/15/27		1,320,000		1,443,663
FirstEnergy Corp., Senior Notes		7.375	%		11/15/31		5,830,000		8,183,246
FirstEnergy Corp., Senior Notes		5.350	%		7/15/47		250,000		302,767
Pacific Gas and Electric Co., Secured Bonds		2.500	%		2/1/31		610,000		606,456

See Notes to Schedule of Investments.

  20     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Electric Utilities - (continued)
Pacific Gas and Electric Co., Secured Bonds		3.300	%		8/1/40		200,000		$	197,396
Pacific Gas and Electric Co., Secured Bonds		3.500	%		8/1/50		680,000			653,491
TOTAL UTILITIES										13,782,410
TOTAL CORPORATE BONDS & NOTES (Cost - $594,030,672)										662,110,347
SOVEREIGN BONDS - 32.3%
Argentina - 0.7%
Argentine Republic Government International Bond, Senior Notes		1.000	%		7/9/29		1,241,955			517,895
Argentine Republic Government International Bond, Senior Notes		0.125	%		1/9/38		2,874,178			1,133,863
Argentine Republic Government International Bond, Senior Notes, Step bond (0.125% to 7/9/21 then 0.500%)		0.125	%		7/9/30		8,707,393			3,352,346
Argentine Republic Government International Bond, Senior Notes, Step bond (0.125% to 7/9/21 then 1.125%)		0.125	%		7/9/35		14,504,705			4,996,871
Provincia de Buenos Aires, Senior Notes		9.125	%		3/16/24		850,000			320,875	*(a)(i)
Provincia de Buenos Aires, Senior Notes		7.875	%		6/15/27		1,970,000			741,213	*(a)(i)
Provincia de Cordoba, Senior Notes		7.125	%		12/10/25		824,492			618,369	(a)
Provincia de Cordoba, Senior Notes		7.125	%		2/1/29		1,034,131			672,185	(a)
Total Argentina										12,353,617
Australia - 1.6%
Australia Government Bond, Senior Notes		3.000	%		3/21/47		22,540,000	AUD		20,521,891	(f)
Australia Government Bond, Senior Notes		1.750	%		6/21/51		9,430,000	AUD		6,589,530	(f)
Total Australia										27,111,421
Brazil - 1.7%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/23		55,332,000	BRL		11,011,130
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/27		32,117,000	BRL		6,732,071
Brazilian Government International Bond, Senior Notes		4.250	%		1/7/25		1,730,000			1,890,570
Brazilian Government International Bond, Senior Notes		5.000	%		1/27/45		9,000,000			9,353,655
Total Brazil										28,987,426

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       21

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
China - 1.5%
China Government Bond		3.390	%		3/16/50		110,000,000	CNY	$	15,901,885
China Government Bond, Senior Notes		4.000	%		5/22/24		2,000,000	CNY		324,820	(f)
China Government Bond, Senior Notes		3.380	%		11/21/24		11,000,000	CNY		1,761,137	(f)
China Government Bond, Senior Notes		3.390	%		5/21/25		9,000,000	CNY		1,445,371	(f)
China Government Bond, Senior Notes		3.310	%		11/30/25		10,500,000	CNY		1,687,431	(f)
China Government Bond, Senior Notes		3.480	%		6/29/27		23,500,000	CNY		3,825,580	(f)
China Government Bond, Senior Notes		3.600	%		6/27/28		2,000,000	CNY		327,988	(f)
China Government Bond, Senior Notes		4.290	%		5/22/29		5,000,000	CNY		864,391	(f)
Total China										26,138,603
Dominican Republic - 0.1%
Dominican Republic International Bond, Senior Notes		5.875	%		1/30/60		2,340,000			2,461,680	(a)
Egypt - 0.2%
Egypt Government Bond		18.400	%		5/30/24		3,500,000	EGP		250,493
Egypt Government International Bond, Senior Notes		5.750	%		5/29/24		3,210,000			3,462,900	(a)
Egypt Government International Bond, Senior Notes		7.625	%		5/29/32		370,000			411,181	(a)
Total Egypt										4,124,574
Ghana - 0.1%
Ghana Government International Bond		10.750	%		10/14/30		870,000			1,157,622	(a)
Ghana Government International Bond, Senior Notes		7.875	%		3/26/27		320,000			351,563	(a)
Ghana Government International Bond, Senior Notes		8.950	%		3/26/51		910,000			932,199	(a)
Total Ghana										2,441,384
Indonesia - 6.4%
Indonesia Treasury Bond		8.375	%		9/15/26		3,507,000,000	IDR		283,277
Indonesia Treasury Bond		9.000	%		3/15/29		114,267,000,000	IDR		9,524,232
Indonesia Treasury Bond		8.250	%		5/15/29		355,437,000,000	IDR		28,585,951
Indonesia Treasury Bond		7.000	%		9/15/30		233,933,000,000	IDR		17,535,638
Indonesia Treasury Bond		6.500	%		2/15/31		100,961,000,000	IDR		7,344,319
Indonesia Treasury Bond		8.375	%		3/15/34		290,150,000,000	IDR		23,495,532
Indonesia Treasury Bond		8.250	%		5/15/36		45,190,000,000	IDR		3,612,076
Indonesia Treasury Bond		8.375	%		4/15/39		6,456,000,000	IDR		526,539
Indonesia Treasury Bond		7.375	%		5/15/48		65,063,000,000	IDR		4,816,610
Indonesia Treasury Bond, Senior Notes		7.000	%		5/15/27		200,138,000,000	IDR		15,145,154
Total Indonesia										110,869,328

See Notes to Schedule of Investments.

  22     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Italy - 1.2%
Italy Buoni Poliennali Del Tesoro, Senior Notes		3.850	%		9/1/49		10,990,000	EUR	$	20,669,550	(f)
Ivory Coast - 0.3%
Ivory Coast Government International Bond, Senior Notes		4.875	%		1/30/32		1,010,000	EUR		1,264,601	(a)
Ivory Coast Government International Bond, Senior Notes		6.125	%		6/15/33		520,000			574,041	(f)
Ivory Coast Government International Bond, Senior Notes		6.125	%		6/15/33		2,820,000			3,113,068	(a)
Total Ivory Coast										4,951,710
Kuwait - 0.1%
Kuwait International Government Bond, Senior Notes		3.500	%		3/20/27		1,370,000			1,551,180	(a)
Mexico - 7.8%
Mexican Bonos, Bonds		8.000	%		11/7/47		834,040,000	MXN		47,420,132
Mexican Bonos, Senior Notes		7.750	%		11/23/34		32,420,000	MXN		1,846,116
Mexican Bonos, Senior Notes		7.750	%		11/13/42		1,526,885,400	MXN		84,692,644
Total Mexico										133,958,892
Russia - 8.0%
Russian Federal Bond - OFZ		7.750	%		9/16/26		218,960,000	RUB		3,174,341
Russian Federal Bond - OFZ		7.950	%		10/7/26		218,960,000	RUB		3,201,608
Russian Federal Bond - OFZ		8.150	%		2/3/27		1,998,947,000	RUB		29,583,606
Russian Federal Bond - OFZ		6.000	%		10/6/27		226,900,000	RUB		3,010,629
Russian Federal Bond - OFZ		7.050	%		1/19/28		2,715,624,000	RUB		38,122,617
Russian Federal Bond - OFZ		6.900	%		5/23/29		702,240,000	RUB		9,757,035
Russian Federal Bond - OFZ		7.650	%		4/10/30		321,260,000	RUB		4,679,410
Russian Federal Bond - OFZ		7.700	%		3/23/33		437,180,000	RUB		6,357,249
Russian Federal Bond - OFZ		7.250	%		5/10/34		974,600,000	RUB		13,669,898
Russian Federal Bond - OFZ		7.700	%		3/16/39		1,766,040,000	RUB		25,820,868
Total Russia										137,377,261
South Africa - 1.4%
Republic of South Africa Government Bond, Senior Notes		4.300	%		10/12/28		8,420,000			8,586,531
Republic of South Africa Government Bond, Senior Notes		6.250	%		3/31/36		219,710,000	ZAR		10,034,338
Republic of South Africa Government Bond, Senior Notes		8.500	%		1/31/37		103,880,000	ZAR		5,738,873
Total South Africa										24,359,742

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       23

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Supranational - 0.2%
International Bank for Reconstruction & Development, Senior Notes		8.400	%		10/12/21		34,200,000,000	IDR	$	2,505,522
Ukraine - 0.2%
Ukraine Government International Bond, Senior Notes		7.375	%		9/25/32		1,350,000			1,452,222	(a)
Ukraine Government International Bond, Senior Notes		7.253	%		3/15/33		2,260,000			2,412,369	(a)
Total Ukraine										3,864,591
United Arab Emirates - 0.8%
Abu Dhabi Government International Bond, Senior Notes		4.125	%		10/11/47		3,270,000			4,032,727	(a)
Abu Dhabi Government International Bond, Senior Notes		3.125	%		9/30/49		8,810,000			9,259,134	(a)
Total United Arab Emirates										13,291,861
TOTAL SOVEREIGN BONDS (Cost - $561,346,102)										557,018,342
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 12.7%
U.S. Government Obligations - 12.7%
U.S. Treasury Bonds		1.125	%		8/15/40		170,000			155,099
U.S. Treasury Bonds		1.375	%		11/15/40		32,110,000			30,602,335
U.S. Treasury Bonds		2.000	%		2/15/50		4,020,000			4,181,742
U.S. Treasury Bonds		1.250	%		5/15/50		11,100,000			9,609,305
U.S. Treasury Bonds		1.375	%		8/15/50		39,730,000			35,511,791
U.S. Treasury Bonds		1.625	%		11/15/50		38,880,000			36,966,375
U.S. Treasury Notes		0.375	%		9/30/27		22,830,000			22,332,377
U.S. Treasury Notes		0.625	%		12/31/27		8,740,000			8,666,256
U.S. Treasury Notes		0.750	%		1/31/28		48,200,000			48,151,047
U.S. Treasury Notes		0.625	%		5/15/30		17,540,000			16,904,175
U.S. Treasury Notes		0.875	%		11/15/30		5,120,000			5,024,400
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $225,901,187)										218,104,902
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - 4.4%
Alternative Loan Trust, 2005-J4 M2 (1 mo. USD LIBOR + 0.960%)		1.090	%		7/25/35		142,493			141,953	(d)
Banc of America Funding Corp., 2015-R3 2A2		0.278	%		2/27/37		4,394,411			3,709,911	(a)(d)
BX Trust, 2018-GWMZ MC (1 mo. USD LIBOR + 5.488%)		5.614	%		5/15/37		6,500,000			5,980,048	(a)(d)
Credit Suisse Commercial Mortgage Trust, 2006-C3 AJ		6.169	%		6/15/38		696			664	(d)
CSMC Trust, 2015-2R 7A2		2.992	%		8/27/36		8,615,258			7,144,920	(a)(d)
CSMC Trust, 2019-RIO B		6.889	%		12/15/21		6,260,000			5,897,110	(a)(d)(h)

See Notes to Schedule of Investments.

  24     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-1 M		4.250	%		8/25/59		4,300,000	$	4,448,820	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-3 M		4.250	%		5/25/60		3,268,000		3,300,784	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk, 2015-HQ2 B (1 mo. USD LIBOR + 7.950%)		8.080	%		5/25/25		1,560,191		1,632,675	(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk, 2017-DNA2 B1 (1 mo. USD LIBOR + 5.150%)		5.280	%		10/25/29		4,420,000		4,831,695	(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2020-DNA6 B1 (SOFR + 3.000%)		3.082	%		12/25/50		2,180,000		2,225,773	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2020-DNA3 B1 (1 mo. USD LIBOR + 5.100%)		5.230	%		6/25/50		800,000		844,439	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2015-C03 2M2 (1 mo. USD LIBOR + 5.000%)		5.130	%		7/25/25		426,532		436,500	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2017-C01 1B1 (1 mo. USD LIBOR + 5.750%)		5.880	%		7/25/29		3,400,000		3,723,856	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2017-C05 1B1 (1 mo. USD LIBOR + 3.600%)		3.730	%		1/25/30		3,880,000		4,057,601	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2017-C07 1M2 (1 mo. USD LIBOR + 2.400%)		2.530	%		5/25/30		2,485,308		2,510,591	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2018-C01 1B1 (1 mo. USD LIBOR + 3.550%)		3.680	%		7/25/30		5,280,000		5,437,997	(a)(d)
GS Mortgage Securities Corp. II, 2018- SRP5 C (1 mo. USD LIBOR + 3.750%)		3.876	%		9/15/31		8,345,000		4,225,374	(a)(d)
IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. USD LIBOR + 0.270%)		0.400	%		11/25/36		1,560,231		1,266,157	(d)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       25

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(j) - (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP7 AJ		6.109	%		4/17/45		172,393	$	35,296	(d)
JPMorgan Chase Commercial Mortgage Securities Trust, 2018-PHMZ M (1 mo. USD LIBOR + 8.208%)		8.334	%		6/15/35		10,570,000		8,749,497	(a)(d)
ML-CFC Commercial Mortgage Trust, 2007-5 AJ		5.450	%		8/12/48		98,215		54,804	(d)
ML-CFC Commercial Mortgage Trust, 2007-9 AJ		6.193	%		9/12/49		6,121		6,032	(d)
Morgan Stanley Capital I Trust, 2006- IQ12 AJ		5.399	%		12/15/43		74,439		50,539
Residential Asset Securitization Trust, 2005-A15 1A4		5.750	%		2/25/36		113,347		117,076
Residential Asset Securitization Trust, 2005-A15 2A11, IO (-1.000 x 1 mo. USD LIBOR + 5.550%)		5.420	%		2/25/36		1,829,769		393,754	(d)
Sequoia Mortgage Trust, 2004-3 M1 (1 mo. USD LIBOR + 0.750%)		0.881	%		5/20/34		209,553		202,300	(d)
Starwood Retail Property Trust, 2014- STAR E (1 mo. USD LIBOR + 4.400%)		4.527	%		11/15/27		5,070,000		254,134	(a)(d)
UBS-Barclays Commercial Mortgage Trust, 2012-C2 G		5.000	%		5/10/63		310,000		14,585	(a)(d)
UBS-Barclays Commercial Mortgage Trust, 2012-C2 H		5.000	%		5/10/63		309,998		13,204	(a)(d)
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR17 A1C3 (1 mo. USD LIBOR + 0.960%)		1.090	%		12/25/45		1,768,545		1,131,834	(d)
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR3 A1B (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.000%)		1.499	%		2/25/46		2,043,898		1,940,402	(d)
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $85,051,023)									74,780,325
ASSET-BACKED SECURITIES - 1.8%
Aegis Asset Backed Securities Trust, 2003-3 M2 (1 mo. USD LIBOR + 2.475%)		2.605	%		1/25/34		349,474		342,537	(d)
Bayview Financial Mortgage Pass-Through Trust, 2006-C 2A3 (1 mo. USD LIBOR + 0.435%)		0.558	%		11/28/36		2,318,950		2,149,019	(d)
Conseco Finance Corp., 1996-4 M1		7.750	%		6/15/27		2,318,910		2,355,507	(d)
CreditShop Credit Card Co. LLC, 2019-1 B (1 mo. USD LIBOR + 6.250%)		6.409	%		8/15/24		3,294,875		3,317,543	(a)(d)

See Notes to Schedule of Investments.

  26     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
ASSET-BACKED SECURITIES - (continued)
Ford Credit Floorplan Master Owner Trust, 2018-4 A		4.060	%		11/15/30		3,330,000	$	3,928,179
Hertz Vehicle Financing II LP, 2018-1A A		3.290	%		2/25/24		429,599		430,918	(a)
ITE Rail Fund Levered LP, 2021-1A A		2.250	%		2/28/51		1,710,000		1,715,113	(a)(e)
KeyCorp Student Loan Trust, 2005-A 2C (3 mo. USD LIBOR + 1.300%)		1.551	%		12/27/38		3,288,326		3,120,620	(d)
Mill City Solar Loan Ltd., 2019-1A A		4.340	%		3/20/43		3,791,064		4,112,716	(a)
Navient Private Education Refi Loan Trust, 2020-A B		3.160	%		11/15/68		3,990,000		4,131,987	(a)
Popular ABS Mortgage Pass-Through Trust, 2005-2 M2		6.217	%		4/25/35		4,329,944		3,287,880
Residential Asset Mortgage Products Inc., 2006-RZ3 M1 (1 mo. USD LIBOR + 0.350%)		0.480	%		8/25/36		2,009,778		1,974,399	(d)
TOTAL ASSET-BACKED SECURITIES (Cost - $29,939,670)									30,866,418
SENIOR LOANS - 1.1%
COMMUNICATION SERVICES - 0.3%
Diversified Telecommunication Services - 0.1%
Level 3 Financing Inc., 2027 Term Loan B (1 mo. USD LIBOR + 1.750%)		1.871	%		3/1/27		843,320		839,856	(d)(k)(l)
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%)		2.627	%		1/31/28		360,000		358,988	(d)(k)(l)
Total Diversified Telecommunication Services									1,198,844
Media - 0.2%
Charter Communications Operating LLC, Term Loan B1 (1 mo. USD LIBOR + 1.750%)		1.880	%		4/30/25		1,378,417		1,379,471	(d)(k)(l)
Entercom Media Corp., Term Loan B2 (1 mo. USD LIBOR + 2.500%)		2.623	%		11/18/24		73,499		72,611	(d)(k)(l)
Numericable U.S. LLC, USD Term Loan B12 (1 mo. USD LIBOR + 3.688%)		3.814	%		1/31/26		818,436		818,052	(d)(k)(l)
Univision Communications Inc., First Lien New Replacement Term Loan (the greater of 1 mo. USD LIBOR or 1.000% + 3.750%)		4.750	%		3/15/26		1,390,700		1,394,828	(d)(k)(l)
Total Media									3,664,962
TOTAL COMMUNICATION SERVICES									4,863,806

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       27

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CONSUMER DISCRETIONARY - 0.4%
Diversified Consumer Services - 0.0%††
Prime Security Services Borrower LLC, 2019 Refinancing Term Loan B1		3.500-4.250	%		9/23/26		858,199	$	860,881	(d)(k)(l)
Hotels, Restaurants & Leisure - 0.3%
1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%)		1.871	%		11/19/26		1,016,473		1,010,883	(d)(k)(l)
Alterra Mountain Co., Initial Term Loan (1 mo. USD LIBOR + 2.750%)		2.871	%		7/31/24		284,861		284,119	(d)(k)(l)
Aramark Services Inc., Term Loan B3 (1 mo. USD LIBOR + 1.750%)		1.871	%		3/11/25		1,012,461		1,008,664	(d)(k)(l)
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%)		2.871	%		12/23/24		1,183,648		1,170,949	(d)(k)(l)
Golden Nugget Inc., First Lien Initial Term Loan (the greater of 2 mo. USD LIBOR or 0.750% + 2.500%)		3.250	%		10/4/23		276,873		272,028	(d)(k)(l)
Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%)		1.880	%		6/22/26		399,506		398,557	(d)(k)(l)
Scientific Games International Inc., Initial Term Loan B5 (1 mo. USD LIBOR + 2.750%)		2.871	%		8/14/24		1,085,435		1,071,613	(d)(k)(l)
Total Hotels, Restaurants & Leisure									5,216,813
Specialty Retail - 0.1%
Michaels Stores Inc., 2020 Refinancing Term Loan B (the greater of 1 mo. USD LIBOR or 0.750% + 3.500%)		4.250	%		10/1/27		1,616,104		1,618,528	(d)(k)(l)
TOTAL CONSUMER DISCRETIONARY									7,696,222
FINANCIALS - 0.2%
Capital Markets - 0.0%††
Edelman Financial Center LLC, First Lien Initial Term Loan (1 mo. USD LIBOR + 3.000%)		3.121	%		7/21/25		313,888		312,254	(d)(k)(l)
Diversified Financial Services - 0.1%
Jane Street Group LLC, Dollar Term Loan		—			1/31/28		334,063		333,227	(m)
TKC Holdings Inc., First Lien Initial Term Loan		4.750	%		2/1/23		972,116		953,889	(d)(k)(l)

See Notes to Schedule of Investments.

  28     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Diversified Financial Services - (continued)
Trans Union LLC, Term Loan B5 (1 mo. USD LIBOR + 1.750%)		1.871	%		11/16/26		387,963	$	388,448	(d)(k)(l)
VFH Parent LLC, Initial Term Loan (1 mo. USD LIBOR + 3.000%)		3.129	%		3/1/26		98,754		98,939	(d)(k)(l)
Total Diversified Financial Services									1,774,503
Insurance - 0.1%
Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%)		3.121	%		11/3/24		559,950		558,650	(d)(k)(l)
TOTAL FINANCIALS									2,645,407
HEALTH CARE - 0.2%
Health Care Providers & Services - 0.1%
LifePoint Health Inc., First Lien Term Loan B (1 mo. USD LIBOR + 3.750%)		3.871	%		11/17/25		791,578		792,072	(d)(k)(l)
MPH Acquisition Holdings LLC, Initial Term Loan (the greater of 3 mo. USD LIBOR or 1.000% + 2.750%)		3.750	%		6/7/23		359,611		359,836	(d)(k)(l)
Phoenix Guarantor Inc., Term Loan B1 (1 mo. USD LIBOR + 3.250%)		3.380	%		3/5/26		275,814		275,538	(d)(k)(l)
Total Health Care Providers & Services									1,427,446
Health Care Technology - 0.1%
AthenaHealth Inc., First Lien Term Loan B (1 mo. USD LIBOR + 4.500%)		4.633	%		2/11/26		235,800		236,881	(d)(k)(l)
Change Healthcare Holdings LLC, Closing Date Term Loan (the greater of 1 mo. USD LIBOR or 1.000% + 2.500%)		3.500	%		3/1/24		999,534		1,002,241	(d)(k)(l)
Total Health Care Technology									1,239,122
Pharmaceuticals - 0.0%††
Bausch Health Cos. Inc., Initial Term Loan (1 mo. USD LIBOR + 3.000%)		3.121	%		6/2/25		249,920		250,749	(d)(k)(l)
TOTAL HEALTH CARE									2,917,317
INFORMATION TECHNOLOGY - 0.0%††
Technology Hardware, Storage & Peripherals - 0.0%††
Dell International LLC, Refinancing Term Loan B1 (the greater of 1 mo. USD LIBOR or 0.750% + 2.000%)		2.750	%		9/19/25		494,953		496,371	(d)(k)(l)
MATERIALS - 0.0%††
Containers & Packaging - 0.0%††
Berry Global Inc., Term Loan X (1 mo. USD LIBOR + 2.000%)		2.133	%		1/19/24		304,342		304,897	(d)(k)(l)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       29

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

\SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Containers & Packaging - (continued)
Reynolds Consumer Products LLC, Initial Term Loan (1 mo. USD LIBOR + 1.750%)		1.871	%		2/4/27		245,385	$	245,906	(d)(k)(l)
Reynolds Group Holdings Inc., Incremental U.S. Term Loan (1 mo. USD LIBOR + 2.750%)		2.871	%		2/6/23		17,768		17,789	(d)(k)(l)
TOTAL MATERIALS									568,592
REAL ESTATE - 0.0%††
Real Estate Management & Development - 0.0%††
CityCenter Holdings LLC, Refinancing Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 2.250%)		3.000	%		4/18/24		428,351		424,442	(d)(k)(l)
TOTAL SENIOR LOANS (Cost - $19,678,294)									19,612,157
MUNICIPAL BONDS - 0.4%
California - 0.0%††
Morongo Band of Mission Indians, CA, Revenue, Tribal Economic Development, Series A		7.000	%		10/1/39		360,000		415,220	(a)
Regents of the University of California, CA, Medical Center Pooled Revenue, Taxable Bonds, Series N		3.706	%		5/15/2120		205,000		226,359
Total California									641,579
Illinois - 0.2%
State of Illinois, GO		5.100	%		6/1/33		2,925,000		3,275,737
Michigan - 0.1%
Detroit, MI, GO, Financial Recovery, Series B1		4.000	%		4/1/44		820,000		664,405	(d)
New Jersey - 0.1%
New Jersey State Transportation Trust Fund Authority:
Build America Bond, Series B		6.561	%		12/15/40		820,000		1,202,899
Series B, Refunding		4.131	%		6/15/42		710,000		794,277
Total New Jersey									1,997,176
TOTAL MUNICIPAL BONDS (Cost - $5,704,466)									6,578,897
	EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†
PURCHASED OPTIONS - 0.3%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.1%
Australian Dollar Futures, Put @ $77.00		2/5/21			118		118,000		94,400
Euro Futures , Put @ $1.22		3/5/21			90		11,250,000		101,250

See Notes to Schedule of Investments.

  30     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY		EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
EXCHANGE-TRADED PURCHASED OPTIONS - (continued)
U.S. Treasury 10-Year Notes Futures, Put @ $137.25			2/19/21		180		180,000	$	98,437
U.S. Treasury Long-Term Bonds Futures, Call @ $168.50			2/5/21		120		120,000		116,250
U.S. Treasury Long-Term Bonds Futures, Call @ $170.50			2/5/21		180		180,000		47,813
U.S. Treasury Long-Term Bonds Futures, Call @ $169.00			2/19/21		240		240,000		285,000
TOTAL EXCHANGE-TRADED PURCHASED OPTIONS (Cost - $770,534)									743,150
	COUNTERPARTY
OTC PURCHASED OPTIONS - 0.2%
U.S. Dollar/Brazilian Real, Call @ 5.45BRL	Morgan Stanley & Co. Inc.		2/26/21		16,580,000		16,580,000		426,905
U.S. Dollar/Brazilian Real, Call @ 5.20BRL	Morgan Stanley & Co. Inc.		3/16/21		16,490,000		16,490,000		998,546
U.S. Dollar/Chinese Yuan Renminbi, Put @ 6.50CNY	JPMorgan Chase & Co.		5/20/21		16,410,000		16,410,000		188,519
U.S. Dollar/Mexican Peso, Call @ 20.60MXN	Morgan Stanley & Co. Inc.		2/26/21		16,580,000		16,580,000		269,889
U.S. Dollar/Mexican Peso, Call @ 20.00MXN	Goldman Sachs Group Inc.		3/4/21		16,590,000		16,590,000		574,739
U.S. Dollar/Russian Ruble, Put @ 80.60RUB	Citibank N.A.		2/2/21		15,900,000		15,900,000		1,039,824
U.S. Dollar/Russian Ruble, Put @ 76.00RUB	Goldman Sachs Group Inc.		2/16/21		16,060,000		16,060,000		249,562
U.S. Dollar/Russian Ruble, Put @ 75.10RUB	Goldman Sachs Group Inc.		4/23/21		16,706,000		16,706,000		333,422
TOTAL OTC PURCHASED OPTIONS (Cost - $3,165,951)									4,081,406
TOTAL PURCHASED OPTIONS (Cost - $3,936,485)									4,824,556

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       31

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SECURITY				SHARES		VALUE
COMMON STOCKS - 0.0%††
ENERGY - 0.0%††
Oil, Gas & Consumable Fuels - 0.0%††
Berry Corp.					40,182	$	154,701
Southwestern Energy Co.					47,139		177,714	*
TOTAL COMMON STOCKS (Cost - $2,306,635)							332,415
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $1,527,894,534)							1,574,228,359
	RATE
SHORT-TERM INVESTMENTS - 2.5%
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $43,309,385)		0.010	%		43,309,385		43,309,385	(n)
TOTAL INVESTMENTS - 93.9% (Cost - $1,571,203,919)							1,617,537,744
Other Assets in Excess of Liabilities - 6.1%							105,033,230
TOTAL NET ASSETS - 100.0%						$	1,722,570,974

See Notes to Schedule of Investments.

  32     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

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

†† Represents less than 0.1%.

* Non-income producing security.

(a) 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 Directors.

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

(c) Security has no maturity date. The date shown represents the next call date.

(d) 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.

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

(f) 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 Directors.

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

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

(i) The coupon payment on this security is currently in default as of January 31, 2021.

(j) 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.

(k) Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.

(l) Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

(m) All or a portion of this loan is unfunded as of January 31, 2021. The interest rate for fully unfunded term loans is to be determined.

(n) 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 January 31, 2021, the total market value of investments in Affiliated Companies was $43,309,385 and the cost was $43,309,385 (Note 2).

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       33

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

Abbreviation(s) used in this schedule:

AUD	— Australian Dollar
BRL	— Brazilian Real
CAS	— Connecticut Avenue Securities
CMT	— Constant Maturity Treasury
CNY	— Chinese Yuan Renminbi
EGP	— Egyptian Pound
EUR	— Euro
GBP	— British Pound
GO	— General Obligation
GTD	— Guaranteed
ICE	— Intercontinental Exchange
IDR	— Indonesian Rupiah
IO	— Interest Only
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
OFZ	— Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
RUB	— Russian Ruble
SOFR	— Secured Overnight Financing Rate
USD	— United States Dollar
ZAR	— South African Rand

SCHEDULE OF WRITTEN OPTIONS
EXCHANGE-TRADED WRITTEN OPTIONS
SECURITY	EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
Australian Dollar Futures, Call		2/5/21	$	78.00			100		100,000	$	(5,000	)
Australian Dollar Futures, Call		3/5/21		77.50			90		90,000		(45,900	)
Australian Dollar Futures, Call		3/5/21		78.00			120		120,000		(43,200	)
Australian Dollar Futures, Put		2/5/21		75.00			36		36,000		(3,240	)
British Pound Futures, Call		2/5/21		137.00			51		31,875		(21,038	)
British Pound Futures, Call		3/5/21		137.50			60		37,500		(42,000	)
Canadian Dollar Futures, Call		2/5/21		79.50			60		60,000		(1,500	)
Canadian Dollar Futures, Call		3/5/21		79.00			60		60,000		(19,200	)
Euro Futures, Call		2/5/21		1.23			58		7,250,000		(2,175	)
Euro Futures, Call		3/5/21		1.22			30		3,750,000		(23,250	)
Euro Futures, Call		3/5/21		1.22			30		3,750,000		(31,125	)
Euro Futures, Put		2/5/21		1.22			122		15,250,000		(112,850	)
Euro Futures, Put		2/5/21		1.23			59		7,375,000		(84,075	)
Euro Futures, Put		3/5/21		1.21			120		15,000,000		(100,500	)
Euro-Bund Futures, Put		2/19/21		177.00	EUR		179		17,900,000		(112,957	)
U.S. Treasury 5-Year Notes Futures, Call		2/19/21		126.00			1,781		1,781,000		(180,884	)
U.S. Treasury 5-Year Notes Futures, Put		2/19/21		125.75			600		600,000		(70,313	)

See Notes to Schedule of Investments.

  34     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SCHEDULE OF WRITTEN OPTIONS - (continued)
SECURITY		EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†			VALUE
U.S. Treasury 10-Year Notes Futures, Call			2/5/21	$	137.00			178		178,000		$	(52,844	)
U.S. Treasury 10-Year Notes Futures, Call			2/5/21		137.25			178		178,000			(33,375	)
U.S. Treasury 10-Year Notes Futures, Call			2/19/21		137.00			830		830,000			(376,094	)
U.S. Treasury 10-Year Notes Futures, Call			2/19/21		137.50			2,078		2,078,000			(487,031	)
U.S. Treasury 10-Year Notes Futures, Call			2/19/21		138.00			943		943,000			(103,141	)
U.S. Treasury 10-Year Notes Futures, Call			3/26/21		136.50			240		240,000			(120,000	)
U.S. Treasury 10-Year Notes Futures, Put			2/5/21		137.00			180		180,000			(47,812	)
U.S. Treasury 10-Year Notes Futures, Put			2/19/21		135.00			177		177,000			(5,531	)
U.S. Treasury 10-Year Notes Futures, Put			2/19/21		137.00			134		134,000			(56,531	)
U.S. Treasury Long-Term Bonds Futures, Call			2/5/21		169.50			329		329,000			(169,641	)
U.S. Treasury Long-Term Bonds Futures, Call			2/5/21		170.00			595		595,000			(223,125	)
U.S. Treasury Long-Term Bonds Futures, Call			2/19/21		170.00			734		734,000			(573,437	)
U.S. Treasury Long-Term Bonds Futures, Call			2/19/21		171.00			179		179,000			(89,500	)
U.S. Treasury Long-Term Bonds Futures, Call			2/19/21		172.00			1,184		1,184,000			(370,000	)
U.S. Treasury Long-Term Bonds Futures, Call			2/19/21		173.00			467		467,000			(94,859	)
U.S. Treasury Long-Term Bonds Futures, Call			2/19/21		174.00			291		291,000			(40,922	)
U.S. Treasury Long-Term Bonds Futures, Put			2/5/21		169.00			269		269,000			(269,000	)
U.S. Treasury Long-Term Bonds Futures, Put			2/19/21		168.00			418		418,000			(424,531	)
U.S. Treasury Long-Term Bonds Futures, Put			2/19/21		168.50			120		120,000			(148,125	)
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $6,033,561)												$	(4,584,706	)
OTC WRITTEN OPTIONS
	COUNTERPARTY
Credit default swaption to sell protection on Markit CDX.NA.HY.35 Index, Call	Bank of America N.A.		2/17/21		109.50	bps		8,500,000		8,500,000	‡	$	(9,192	)
U.S. Dollar/Brazilian Real, Call	JPMorgan Chase & Co.		2/1/21		6.02	BRL		15,790,000		15,790,000			0	(a)
U.S. Dollar/Brazilian Real, Call	Morgan Stanley & Co. Inc.		2/4/21		5.49	BRL		16,400,000		16,400,000			(168,936	)
U.S. Dollar/Brazilian Real, Call	Morgan Stanley & Co. Inc.		2/26/21		5.73	BRL		33,160,000		33,160,000			(297,236	)
U.S. Dollar/Brazilian Real, Call	Morgan Stanley & Co. Inc.		3/16/21		5.48	BRL		32,980,000		32,980,000			(975,070	)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       35

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

SCHEDULE OF WRITTEN OPTIONS - (continued)
SECURITY	COUNTERPARTY	EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Dollar/Brazilian Real, Call	Morgan Stanley & Co. Inc.		4/5/21		5.57	BRL		16,400,000		16,400,000	$	(465,442	)
U.S. Dollar/Brazilian Real, Call	BNP Paribas SA		4/29/21		5.65	BRL		18,070,000		18,070,000		(525,056	)
U.S. Dollar/Brazilian Real, Put	BNP Paribas SA		4/29/21		5.36	BRL		18,070,000		18,070,000		(476,202	)
U.S. Dollar/Chinese Yuan Renminbi, Call	JPMorgan Chase & Co.		5/20/21		6.90	CNY		16,410,000		16,410,000		(30,513	)
U.S. Dollar/Mexican Peso, Call	Morgan Stanley & Co. Inc.		2/26/21		21.50	MXN		33,160,000		33,160,000		(174,654	)
U.S. Dollar/Mexican Peso, Call	Goldman Sachs Group Inc.		3/4/21		20.85	MXN		33,180,000		33,180,000		(457,887	)
U.S. Dollar/Mexican Peso, Put	Citibank N.A.		2/2/21		20.58	MXN		15,890,000		15,890,000		(118,685	)
U.S. Dollar/Norwegian Krone, Put	Goldman Sachs Group Inc.		2/2/21		9.00	NOK		18,260,000		18,260,000		(913,203	)
U.S. Dollar/Russian Ruble, Call	Goldman Sachs Group Inc.		3/10/21		75.84	RUB		16,490,000		16,490,000		(331,648	)
U.S. Dollar/Russian Ruble, Put	Citibank N.A.		2/2/21		78.00	RUB		31,800,000		31,800,000		(993,618	)
U.S. Dollar/Russian Ruble, Put	JPMorgan Chase & Co.		2/15/21		75.37	RUB		17,030,000		17,030,000		(179,778	)
U.S. Dollar/Russian Ruble, Put	Goldman Sachs Group Inc.		4/23/21		73.09	RUB		33,412,000		33,412,000		(326,977	)
U.S. Dollar/Russian Ruble, Put	Goldman Sachs Group Inc.		2/16/21		73.79	RUB		32,120,000		32,120,000		(107,184	)
TOTAL OTC WRITTEN OPTIONS (Premiums received - $6,539,856)											$	(6,551,281	)
TOTAL WRITTEN OPTIONS (Premiums received - $12,573,417)											$	(11,135,987	)

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

‡ In the event an option is exercised and a credit event occurs as defined under the terms of the swap agreement, the notional amount is the maximum potential amount that could be required to be paid as a seller of credit protection or received as a buyer of credit protection.

(a) Value is less than $1.

See Notes to Schedule of Investments.

  36     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

Abbreviation(s) used in this schedule:

bps	— basis point spread (100 basis points = 1.00%)
BRL	— Brazilian Real
CNY	— Chinese Yuan Renminbi
EUR	— Euro
MXN	— Mexican Peso
NOK	— Norwegian Krone
RUB	— Russian Ruble

At January 31, 2021, the Fund had the following open futures contracts:

	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy:
90-Day Eurodollar		1,344		12/23	$	333,656,410	$	333,916,800	$	260,390
Australian Dollar		934		3/21		70,988,511		71,371,610		383,099
British Pound		70		3/21		5,944,644		5,995,938		51,294
Canadian Dollar		333		3/21		26,097,501		26,013,960		(83,541	)
Euro-OAT		258		3/21		52,452,203		52,308,932		(143,271	)
Japanese 10-Year Bonds		24		3/21		34,832,204		34,786,195		(46,009	)
Japanese Yen		331		3/21		39,763,143		39,517,262		(245,881	)
Mexican Peso		2,390		3/21		59,164,855		57,921,650		(1,243,205	)
Russian Ruble		895		3/21		29,759,025		29,423,125		(335,900	)
U.S. Treasury 5-Year Notes		8,957		3/21		1,127,181,992		1,127,462,375		280,383
U.S. Treasury Long- Term Bonds		11,480		3/21		1,993,042,314		1,936,891,250		(56,151,064	)
U.S. Treasury Ultra Long-Term Bonds		1,267		3/21		268,314,723		259,378,656		(8,936,067	)
										(66,209,772	)
Contracts to Sell:
90-Day Eurodollar		1,143		3/21		285,079,700		285,292,800		(213,100	)
90-Day Eurodollar		3,600		6/21		889,056,615		898,605,000		(9,548,385	)
Euro		951		3/21		143,689,593		144,349,912		(660,319	)
Euro-BTP		525		3/21		96,390,480		96,204,176		186,304
Euro-Bund		5,015		3/21		1,079,274,123		1,078,735,214		538,909
Euro-Buxl		73		3/21		19,686,175		19,604,779		81,396
U.S. Treasury 2-Year Notes		656		3/21		144,934,967		144,960,625		(25,658	)
U.S. Treasury 10-Year Notes		5,430		3/21		747,735,569		744,079,688		3,655,881

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       37

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Sell continued
United Kingdom Long Gilt Bonds		1,246		3/21	$	228,680,242	$	228,885,229	$	(204,987	)
										(6,189,959	)
Net unrealized depreciation on open futures contracts									$	(72,399,731	)

Abbreviation(s) used in this table:

BTP	— Buoni del Tesoro Poliennali (Italian Treasury Bonds)
OAT	— Obligations Assimilables du Trésor (French Treasury Bonds)

At January 31, 2021, the Fund had the following open forward foreign currency contracts:

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
MXN	130,385,395		USD	6,111,538	Citibank N.A.		2/4/21	$	244,862
NOK	70,384,080		USD	7,669,200	Goldman Sachs Group Inc.		2/4/21		547,994
USD	6,047,894		MXN	129,030,000	JPMorgan Chase & Co.		2/4/21		(242,430	)
USD	7,676,144		NOK	70,384,080	Morgan Stanley & Co. Inc.		2/4/21		(541,050	)
BRL	57,582,511		USD	10,777,143	Goldman Sachs Group Inc.		2/8/21		(255,382	)
USD	5,048,856		BRL	27,016,430	Morgan Stanley & Co. Inc.		2/8/21		112,281
RUB	509,444,000		USD	6,556,551	JPMorgan Chase & Co.		2/16/21		161,814
USD	793,471		BRL	4,280,778	Morgan Stanley & Co. Inc.		3/2/21		11,749
USD	130,272		MXN	2,651,024	Morgan Stanley & Co. Inc.		3/2/21		1,372
MXN	4,723,410		USD	236,896	Goldman Sachs Group Inc.		3/8/21		(7,403	)
USD	237,000		MXN	4,723,410	Goldman Sachs Group Inc.		3/8/21		7,507
USD	4,534,750		RUB	334,551,181	Goldman Sachs Group Inc.		3/11/21		134,054
RUB	334,551,181		USD	4,533,214	Morgan Stanley & Co. Inc.		3/11/21		(132,518	)
USD	4,884,856		BRL	26,192,600	Morgan Stanley & Co. Inc.		4/7/21		107,030
USD	21,437,597		EUR	17,580,000	BNP Paribas SA		4/19/21		64,816
USD	22,359,164		EUR	18,280,000	BNP Paribas SA		4/19/21		135,361
BRL	82,446,687		USD	15,131,997	Citibank N.A.		4/19/21		(98,150	)
BRL	170,510,000		USD	32,231,295	Citibank N.A.		4/19/21		(1,139,430	)
CAD	32,025,486		USD	25,279,520	Citibank N.A.		4/19/21		(231,228	)
CNY	400,539,000		USD	61,749,634	Citibank N.A.		4/19/21		(162,145	)
EUR	550,000		USD	667,106	Citibank N.A.		4/19/21		1,553
EUR	2,000,000		USD	2,438,681	Citibank N.A.		4/19/21		(7,192	)
EUR	2,200,000		USD	2,679,138	Citibank N.A.		4/19/21		(4,501	)
EUR	5,000,000		USD	6,088,975	Citibank N.A.		4/19/21		(10,254	)
USD	19,095,773		AUD	24,465,732	Citibank N.A.		4/19/21		389,329

See Notes to Schedule of Investments.

  38     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	815,626		CAD	1,036,000	Citibank N.A.		4/19/21	$	5,333
USD	13,228,664		GBP	9,745,059	Citibank N.A.		4/19/21		(129,426	)
USD	4,025,695		IDR	57,354,074,010	Citibank N.A.		4/19/21		(32,403	)
USD	2,805,256		JPY	289,137,719	Citibank N.A.		4/19/21		42,473
USD	11,567,340		MXN	233,400,000	Citibank N.A.		4/19/21		279,356
USD	42,699,310		MXN	860,690,000	Citibank N.A.		4/19/21		1,073,541
USD	44,750,836		MXN	902,960,000	Citibank N.A.		4/19/21		1,080,752
USD	470,846		RUB	35,478,272	Citibank N.A.		4/19/21		6,333
USD	15,433,197		ZAR	229,942,294	Citibank N.A.		4/19/21		401,530
BRL	84,550,000		USD	15,607,118	Goldman Sachs Group Inc.		4/19/21		(189,739	)
EUR	57,000		USD	69,889	Goldman Sachs Group Inc.		4/19/21		(591	)
EUR	13,800,000		USD	16,791,219	Goldman Sachs Group Inc.		4/19/21		(13,950	)
GBP	1,400,000		USD	1,904,952	Goldman Sachs Group Inc.		4/19/21		14,105
USD	10,470,708		EUR	8,588,672	Goldman Sachs Group Inc.		4/19/21		29,080
USD	13,010,914		EUR	10,580,000	Goldman Sachs Group Inc.		4/19/21		148,341
USD	16,687,877		EUR	13,570,000	Goldman Sachs Group Inc.		4/19/21		190,230
USD	159,433		IDR	2,255,493,000	Goldman Sachs Group Inc.		4/19/21		(155	)
USD	9,733,390		MXN	194,688,248	Goldman Sachs Group Inc.		4/19/21		317,633
USD	16,810,415		MXN	340,774,000	Goldman Sachs Group Inc.		4/19/21		329,475
IDR	1,966,618,000		USD	137,999	JPMorgan Chase & Co.		4/19/21		1,150
INR	4,300,574,022		USD	58,057,023	JPMorgan Chase & Co.		4/19/21		195,776
USD	10,189,764		CNH	65,929,810	JPMorgan Chase & Co.		4/19/21		22,919
USD	93,774		CNY	610,000	JPMorgan Chase & Co.		4/19/21		(20	)
USD	84,220,094		IDR	1,180,723,608,090	JPMorgan Chase & Co.		4/19/21		677,789
USD	34,444,218		TWD	946,596,000	JPMorgan Chase & Co.		4/19/21		618,415
NOK	167,546,400		USD	19,586,907	Morgan Stanley & Co. Inc.		4/19/21		(30,914	)
RUB	404,468,857		USD	5,300,235	Morgan Stanley & Co. Inc.		4/19/21		(4,565	)
BRL	4,308,066		USD	783,000	BNP Paribas SA		5/3/21		2,152
USD	7,517,656		CNY	50,180,350	JPMorgan Chase & Co.		5/24/21		(180,087	)
Total								$	3,942,572

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report       39

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

Abbreviation(s) used in this table:

AUD	— Australian Dollar
BRL	— Brazilian Real
CAD	— Canadian Dollar
CNH	— Chinese Offshore Yuan
CNY	— Chinese Yuan Renminbi
EUR	— Euro
GBP	— British Pound
IDR	— Indonesian Rupiah
INR	— Indian Rupee
JPY	— Japanese Yen
MXN	— Mexican Peso
NOK	— Norwegian Krone
RUB	— Russian Ruble
TWD	— Taiwan Dollar
USD	— United States Dollar
ZAR	— South African Rand

At January 31, 2021, the Fund had the following open swap contracts:

OTC INTEREST RATE SWAPS

SWAP COUNTERPARTY

NOTIONAL AMOUNT*

TERMINATION DATE

PAYMENTS MADE BY THE FUND†

PAYMENTS RECEIVED BY THE FUND†

UPFRONT PREMIUMS PAID (RECEIVED)

UNREALIZED APPRECIATION

Goldman Sachs Group Inc.

2,141,200,000RUB

11/20/21

RUB-MOSKP3**

6.500%**

$

(7,099

)

$

326,378

Goldman Sachs Group Inc.

3,568,600,000RUB

11/20/21

RUB-MOSKP3**

6.500%**

9,624

522,495

Goldman Sachs Group Inc.

4,163,400,000RUB

11/20/21

RUB-MOSKP3**

6.500%**

—

620,811

Goldman Sachs Group Inc.

1,040,080,000BRL

1/3/22

BRL-CDI**

3.383%**

—

201,979

Total

$

2,525

$

1,671,663

CENTRALLY CLEARED INTEREST RATE SWAPS
	NOTIONAL AMOUNT		TERMINATION DATE		PAYMENTS MADE BY THE FUND†	PAYMENTS RECEIVED BY THE FUND†	UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
	$	213,385,000		6/15/22	3-Month LIBOR quarterly	0.190% semi-annually	$	(708	)	$	43,696

See Notes to Schedule of Investments.

  40     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

CENTRALLY CLEARED INTEREST RATE SWAPS (cont’d)
	NOTIONAL AMOUNT		TERMINATION DATE		PAYMENTS MADE BY THE FUND†		PAYMENTS RECEIVED BY THE FUND†		UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION (DEPRECIATION)
	$	83,304,000		11/30/24		Daily U.S. Federal Funds Intraday Effective Rate annually		0.100% annually	$	45,147		$	(400,708	)
		114,879,000		2/28/25		3-Month LIBOR quarterly		0.380% semi-annually		22,131			(152,924	)
		166,481,000		11/27/25		3-Month LIBOR quarterly		0.840% semi-annually		(70,544	)		(362,134	)
		185,080,000		12/18/25		3-Month LIBOR quarterly		1.100% semi-annually		—			32,508
		1,440,473,000		5/15/27		0.450% semi-annually		3-Month LIBOR quarterly		(2,121,365	)		28,134,489
		98,052,000		5/15/27		0.260% annually		Daily U.S. Federal Funds Intraday Effective Rate annually		(329,133	)		2,147,464
		138,670,000		5/20/30		0.713% semi-annually		3-Month LIBOR quarterly		(73,136	)		4,730,228
		145,530,000		6/24/30		0.689% semi-annually		3-Month LIBOR quarterly		—			5,373,755
		148,530,000		7/8/30		0.680% semi-annually		3-Month LIBOR quarterly		—			5,672,476
		41,100,000		7/20/45		0.560% annually		Daily SOFR annually		253,132			6,678,034
		12,970,000		8/19/45		0.740% annually		Daily SOFR annually		—			1,691,636
		111,376,000		11/15/45		0.800% semi-annually		3-Month LIBOR quarterly		3,666,913			15,507,709
		77,913,000		2/15/47		1.000% semi-annually		3-Month LIBOR quarterly		346,073			10,282,406
		8,329,000		2/15/47		1.600% semi-annually		3-Month LIBOR quarterly		49,041			(41,018	)
		17,476,000		2/15/47		1.200% semi-annually		3-Month LIBOR quarterly		96,262			1,505,514
		8,507,000		2/15/47		1.225% semi-annually		3-Month LIBOR quarterly		7,577			724,543
		5,620,000		3/17/50		0.900% semi-annually		3-Month LIBOR quarterly		95,340			885,158
		5,030,000		10/7/50		1.200% semi-annually		3-Month LIBOR quarterly		39,715			492,616
Total	$	3,022,705,000							$	2,026,445		$	82,945,448

See Notes to Schedule of Investments.

  41     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) January 31, 2021

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.35 Index	$	52,254,000		12/20/25	5.000% quarterly	$	4,168,040	$	2,226,065		$	1,941,975
Markit CDX.NA.IG.34 Index		145,241,000		6/20/25	1.000% quarterly		1,933,448		(1,319,183	)		3,252,631
Markit CDX.NA.IG.35 Index		117,904,000		12/20/25	1.000% quarterly		2,488,953		2,486,576			2,377
Total	$	315,399,000				$	8,590,441	$	3,393,458		$	5,196,983

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.

* Notional amount denominated in U.S. dollars, unless otherwise noted.

** One time payment made at termination date.

Abbreviation(s) used in this table:
BRL	— Brazilian Real
BRL-CDI	— Brazil Cetip InterBank Deposit Rate
LIBOR	— London Interbank Offered Rate
MOSKP3	— 3-Month Moscow Prime Offered Rate
RUB	— Russian Ruble
SOFR	— Secured Overnight Financing Rate

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

See Notes to Schedule of Investments.

  42     Western Asset Macro Opportunities Fund 2021 Quarterly Report

Notes to Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset Macro Opportunities Fund (the “Fund”) is a separate non-diversified investment series of Western Asset Funds, Inc. (the “Corporation”). The Corporation, a Maryland corporation, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

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

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

The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. 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.

43

Notes to Schedule of Investments (unaudited) (continued)

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

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

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

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

• Level 1 – quoted prices in active markets for identical investments

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

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

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

44

Notes to Schedule of Investments (unaudited) (continued)

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†:
Corporate Bonds & Notes:
Financials		—	$	222,653,750	$	2,456,271	$	225,110,021
Other Corporate Bonds & Notes		—		437,000,326		—		437,000,326
Sovereign Bonds		—		557,018,342		—		557,018,342
U.S. Government & Agency Obligations		—		218,104,902		—		218,104,902
Collateralized Mortgage Obligations		—		68,883,215		5,897,110		74,780,325
Asset-Backed Securities		—		30,866,418		—		30,866,418
Senior Loans		—		19,612,157		—		19,612,157
Municipal Bonds		—		6,578,897		—		6,578,897
Purchased Options:
Exchange-Traded Purchased Options	$	743,150		—		—		743,150
OTC Purchased Options		—		4,081,406		—		4,081,406
Common Stocks		332,415		—		—		332,415
Total Long-Term Investments		1,075,565		1,564,799,413		8,353,381		1,574,228,359
Short-Term Investments†		43,309,385		—		—		43,309,385
Total Investments	$	44,384,950	$	1,564,799,413	$	8,353,381	$	1,617,537,744
Other Financial Instruments:
Futures Contracts	$	5,437,656		—		—	$	5,437,656
Forward Foreign Currency Contracts		—	$	7,356,105		—		7,356,105
OTC Interest Rate Swaps‡		—		1,674,187		—		1,674,187
Centrally Cleared Interest Rate Swaps		—		83,902,232		—		83,902,232
Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection		—		5,196,983		—		5,196,983
Total Other Financial Instruments	$	5,437,656	$	98,129,507		—	$	103,567,163
Total	$	49,822,606	$	1,662,928,920	$	8,353,381	$	1,721,104,907

45

Notes to Schedule of Investments (unaudited) (continued)

LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Written Options:
Exchange-Traded Written Options	$	4,584,706		—		—	$	4,584,706
OTC Written Options		—	$	6,551,281		—		6,551,281
Futures Contracts		77,837,387		—		—		77,837,387
Forward Foreign Currency Contracts		—		3,413,533		—		3,413,533
Centrally Cleared Interest Rate Swaps		—		956,784		—		956,784
Total	$	82,422,093	$	10,921,598		—	$	93,343,691

† See Schedule of Investments for additional detailed categorizations.

‡ Value includes any premium paid or received with respect to swap contracts.

2. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended January 31, 2021. The following transactions were effected in such company for the period ended January 31, 2021.

	Affiliate Value at October 31, 2020		Purchased				Sold
			Cost		Shares		Cost		Shares
Western Asset Premier Institutional Government Reserves, Premium Shares	$	24,106,430	$	233,865,661		233,865,661	$	214,662,706		214,662,706

(cont’d)	Realized Gain (Loss)		Interest Income		Net Increase (Decrease) in Unrealized Appreciation (Depreciation)	January 31, 2021Appreciation (Depreciation)		Affiliate Value at January 31, 2021
Western Asset Premier Institutional Government Reserves, Premium Shares		—	$	516			—	$	43,309,385

46