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

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

Schedule of investments (unaudited) July 31, 2021

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CORPORATE BONDS & NOTES - 37.1%
COMMUNICATION SERVICES - 1.7%
Diversified Telecommunication Services - 0.4%
Altice France SA, Senior Secured Notes		7.375	%		5/1/26		575,000	$	598,719	(a)
Telecom Italia SpA, Senior Notes		5.303	%		5/30/24		480,000		521,114	(a)
Verizon Communications Inc., Senior Notes		3.400	%		3/22/41		2,140,000		2,318,000
Verizon Communications Inc., Senior Notes		3.850	%		11/1/42		80,000		93,024
Verizon Communications Inc., Senior Notes		4.000	%		3/22/50		120,000		140,872
Verizon Communications Inc., Senior Notes		3.550	%		3/22/51		700,000		764,038
Verizon Communications Inc., Senior Notes		3.700	%		3/22/61		2,120,000		2,350,580
Total Diversified Telecommunication Services									6,786,347
Media - 0.9%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		8/15/30		70,000		73,587	(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		5/1/32		1,480,000		1,553,578
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.200	%		3/15/28		4,300,000		4,900,342
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		5.050	%		3/30/29		640,000		764,380
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		5.375	%		4/1/38		1,000,000		1,253,719
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.800	%		3/1/50		110,000		129,265
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		6.834	%		10/23/55		2,610,000		3,939,537
Comcast Corp., Senior Notes		3.750	%		4/1/40		70,000		81,341

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         1

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - (continued)
Comcast Corp., Senior Notes		3.400	%		7/15/46		70,000	$	76,794
Comcast Corp., Senior Notes		4.700	%		10/15/48		110,000		144,726
Comcast Corp., Senior Notes		3.450	%		2/1/50		200,000		223,982
Comcast Corp., Senior Notes		2.800	%		1/15/51		170,000		168,941
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		460,000		496,195
DISH DBS Corp., Senior Notes		7.750	%		7/1/26		240,000		274,200
DISH DBS Corp., Senior Notes		5.125	%		6/1/29		420,000		416,892	(a)
Fox Corp., Senior Notes		5.476	%		1/25/39		820,000		1,075,343
Time Warner Cable LLC, Senior Secured Notes		7.300	%		7/1/38		190,000		279,489
Virgin Media Secured Finance PLC, Senior Secured Notes		5.500	%		5/15/29		290,000		310,193	(a)
Total Media									16,162,504
Wireless Telecommunication Services - 0.4%
CSC Holdings LLC, Senior Notes		6.500	%		2/1/29		960,000		1,061,602	(a)
CSC Holdings LLC, Senior Notes		4.500	%		11/15/31		820,000		827,175	(a)
Sprint Capital Corp., Senior Notes		8.750	%		3/15/32		200,000		308,525
Sprint Corp., Senior Notes		7.625	%		2/15/25		300,000		354,031
T-Mobile USA Inc., Senior Notes		2.250	%		2/15/26		160,000		162,019
T-Mobile USA Inc., Senior Notes		2.625	%		2/15/29		500,000		500,790
T-Mobile USA Inc., Senior Notes		2.875	%		2/15/31		370,000		372,555
T-Mobile USA Inc., Senior Notes		3.500	%		4/15/31		630,000		661,640	(a)
T-Mobile USA Inc., Senior Secured Notes		3.875	%		4/15/30		630,000		713,488
T-Mobile USA Inc., Senior Secured Notes		4.500	%		4/15/50		770,000		942,911
Total Wireless Telecommunication Services									5,904,736
TOTAL COMMUNICATION SERVICES									28,853,587
CONSUMER DISCRETIONARY - 3.9%
Automobiles - 0.5%
Ford Motor Credit Co. LLC, Senior Notes		5.875	%		8/2/21		540,000		540,000
Ford Motor Credit Co. LLC, Senior Notes		3.339	%		3/28/22		200,000		202,528
Ford Motor Credit Co. LLC, Senior Notes		5.125	%		6/16/25		200,000		220,500
Ford Motor Credit Co. LLC, Senior Notes		3.375	%		11/13/25		260,000		271,763
Ford Motor Credit Co. LLC, Senior Notes		4.125	%		8/17/27		470,000		503,487

See Notes to Schedule of Investments.

    2     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Automobiles - (continued)
Ford Motor Credit Co. LLC, Senior Notes		2.900	%		2/16/28		270,000	$	270,709
Ford Motor Credit Co. LLC, Senior Notes		4.000	%		11/13/30		1,210,000		1,281,233
Ford Motor Credit Co. LLC, Senior Notes		3.625	%		6/17/31		560,000		581,064
Nissan Motor Co. Ltd., Senior Notes		4.345	%		9/17/27		1,920,000		2,134,002	(a)
Nissan Motor Co. Ltd., Senior Notes		4.810	%		9/17/30		2,410,000		2,754,996	(a)
Total Automobiles									8,760,282
Diversified Consumer Services - 0.1%
Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes		5.750	%		4/15/26		450,000		493,877	(a)
Wesleyan University, Senior Notes		4.781	%		7/1/2116		690,000		973,838
Total Diversified Consumer Services									1,467,715
Hotels, Restaurants & Leisure - 0.5%
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		3.875	%		1/15/28		280,000		282,773	(a)
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		3.500	%		2/15/29		280,000		278,881	(a)
Hilton Domestic Operating Co. Inc., Senior Notes		5.375	%		5/1/25		300,000		314,079	(a)
Hilton Domestic Operating Co. Inc., Senior Notes		5.750	%		5/1/28		190,000		204,671	(a)
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes		4.875	%		4/1/27		950,000		986,228
Las Vegas Sands Corp., Senior Notes		3.200	%		8/8/24		1,730,000		1,807,616
Las Vegas Sands Corp., Senior Notes		2.900	%		6/25/25		130,000		134,035
McDonald’s Corp., Senior Notes		4.450	%		3/1/47		870,000		1,095,366
McDonald’s Corp., Senior Notes		4.450	%		9/1/48		750,000		955,930
McDonald’s Corp., Senior Notes		3.625	%		9/1/49		80,000		91,176
McDonald’s Corp., Senior Notes		4.200	%		4/1/50		220,000		272,049
Sands China Ltd., Senior Notes		4.600	%		8/8/23		540,000		573,715
Sands China Ltd., Senior Notes		5.125	%		8/8/25		760,000		851,937
Wynn Macau Ltd., Senior Notes		5.625	%		8/26/28		1,070,000		1,098,248	(a)
Total Hotels, Restaurants & Leisure									8,946,704
Household Durables - 0.0%††
MDC Holdings Inc., Senior Notes		6.000	%		1/15/43		30,000		39,736

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         3

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Internet & Direct Marketing Retail - 2.7%
Amazon.com Inc., Senior Notes		4.950	%		12/5/44		350,000	$	491,218
Amazon.com Inc., Senior Notes		4.050	%		8/22/47		8,360,000		10,350,349	(b)
Amazon.com Inc., Senior Notes		4.250	%		8/22/57		9,010,000		11,813,649
Amazon.com Inc., Senior Notes		2.700	%		6/3/60		18,550,000		18,259,945
Prosus NV, Senior Notes		3.061	%		7/13/31		1,850,000		1,830,234	(a)
Prosus NV, Senior Notes		4.027	%		8/3/50		3,500,000		3,376,545	(a)
Prosus NV, Senior Notes		3.832	%		2/8/51		1,150,000		1,071,341	(a)
Total Internet & Direct Marketing Retail									47,193,281
Specialty Retail - 0.1%
Home Depot Inc., Senior Notes		3.300	%		4/15/40		60,000		67,161
Home Depot Inc., Senior Notes		3.350	%		4/15/50		120,000		136,005
Lowe’s Cos. Inc., Senior Notes		4.500	%		4/15/30		250,000		298,906
Total Specialty Retail									502,072
Textiles, Apparel & Luxury Goods - 0.0%††
Hanesbrands Inc., Senior Notes		5.375	%		5/15/25		400,000		421,224	(a)
Levi Strauss & Co., Senior Notes		5.000	%		5/1/25		76,000		77,558
Total Textiles, Apparel & Luxury Goods									498,782
TOTAL CONSUMER DISCRETIONARY									67,408,572
CONSUMER STAPLES - 1.6%
Beverages - 0.8%
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.000	%		4/13/28		870,000		997,811
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.750	%		1/23/29		120,000		144,476
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.350	%		6/1/40		1,000,000		1,214,030
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.600	%		4/15/48		1,050,000		1,311,928
Anheuser-Busch InBev Worldwide Inc., Senior Notes		5.550	%		1/23/49		5,680,000		8,000,342
Anheuser-Busch InBev Worldwide Inc., Senior Notes		4.500	%		6/1/50		1,670,000		2,079,302
Anheuser-Busch InBev Worldwide Inc., Senior Notes		5.800	%		1/23/59		470,000		697,640
Constellation Brands Inc., Senior Notes		4.750	%		11/15/24		160,000		179,715
Pernod Ricard SA, Senior Notes		5.500	%		1/15/42		150,000		209,041	(a)
Total Beverages									14,834,285
Food Products - 0.2%
Kraft Heinz Foods Co., Senior Notes		4.250	%		3/1/31		140,000		161,710
Kraft Heinz Foods Co., Senior Notes		6.750	%		3/15/32		20,000		27,442

See Notes to Schedule of Investments.

    4     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNt†		VALUE
Food Products - (continued)
Kraft Heinz Foods Co., Senior Notes		6.875	%		1/26/39		50,000	$	73,625
Kraft Heinz Foods Co., Senior Notes		7.125	%		8/1/39		10,000		14,952	(a)
Kraft Heinz Foods Co., Senior Notes		4.625	%		10/1/39		10,000		11,893
Kraft Heinz Foods Co., Senior Notes		5.000	%		6/4/42		240,000		301,222
Kraft Heinz Foods Co., Senior Notes		5.200	%		7/15/45		620,000		787,509
Kraft Heinz Foods Co., Senior Notes		4.375	%		6/1/46		760,000		877,297
Kraft Heinz Foods Co., Senior Notes		4.875	%		10/1/49		360,000		449,846
Kraft Heinz Foods Co., Senior Notes		5.500	%		6/1/50		280,000		375,708
Lamb Weston Holdings Inc., Senior Notes		4.875	%		11/1/26		320,000		330,584	(a)
Lamb Weston Holdings Inc., Senior Notes		4.875	%		5/15/28		70,000		77,767	(a)
Total Food Products									3,489,555
Tobacco - 0.6%
Altria Group Inc., Senior Notes		4.400	%		2/14/26		415,000		471,952
Altria Group Inc., Senior Notes		4.800	%		2/14/29		252,000		295,228
Altria Group Inc., Senior Notes		2.450	%		2/4/32		460,000		453,323
Altria Group Inc., Senior Notes		5.800	%		2/14/39		910,000		1,144,821
Altria Group Inc., Senior Notes		5.950	%		2/14/49		60,000		78,357
Altria Group Inc., Senior Notes		6.200	%		2/14/59		1,121,000		1,492,735
BAT Capital Corp., Senior Notes		3.557	%		8/15/27		3,020,000		3,271,391
BAT Capital Corp., Senior Notes		4.540	%		8/15/47		2,030,000		2,198,067
Reynolds American Inc., Senior Notes		6.150	%		9/15/43		200,000		255,983
Total Tobacco									9,661,857
TOTAL CONSUMER STAPLES									27,985,697
ENERGY - 11.6%
Energy Equipment & Services - 0.1%
Halliburton Co., Senior Notes		3.800	%		11/15/25		60,000		66,572
Halliburton Co., Senior Notes		4.850	%		11/15/35		1,250,000		1,497,615
Total Energy Equipment & Services									1,564,187
Oil, Gas & Consumable Fuels - 11.5%
Apache Corp., Senior Notes		4.875	%		11/15/27		180,000		193,708
Apache Corp., Senior Notes		4.375	%		10/15/28		1,264,000		1,341,395
Apache Corp., Senior Notes		6.000	%		1/15/37		410,000		473,038
Apache Corp., Senior Notes		5.100	%		9/1/40		6,730,000		7,227,549
Apache Corp., Senior Notes		5.250	%		2/1/42		1,210,000		1,305,832
Apache Corp., Senior Notes		4.750	%		4/15/43		1,460,000		1,504,143
Apache Corp., Senior Notes		4.250	%		1/15/44		990,000		972,576
Apache Corp., Senior Notes		7.375	%		8/15/47		200,000		241,378

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         5

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Apache Corp., Senior Notes		5.350	%		7/1/49		940,000	$	993,157
Berry Petroleum Co. LLC, Senior Notes		7.000	%		2/15/26		780,000		770,250	(a)
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes		7.625	%		12/15/25		580,000		625,141	(a)
Cameron LNG LLC, Senior Secured Notes		3.302	%		1/15/35		1,980,000		2,178,362	(a)
Cameron LNG LLC, Senior Secured Notes		3.701	%		1/15/39		1,160,000		1,317,350	(a)
Cheniere Corpus Christi Holdings LLC, Senior Secured Notes		5.125	%		6/30/27		380,000		445,587
Cheniere Energy Inc., Senior Secured Notes		4.625	%		10/15/28		380,000		401,664
Chevron Corp., Senior Notes		3.078	%		5/11/50		80,000		84,815
Chevron USA Inc., Senior Notes		3.850	%		1/15/28		1,580,000		1,812,325
Cimarex Energy Co., Senior Notes		3.900	%		5/15/27		1,710,000		1,903,969
Cimarex Energy Co., Senior Notes		4.375	%		3/15/29		310,000		355,540
ConocoPhillips, Senior Notes		4.300	%		8/15/28		1,370,000		1,609,390	(a)
Continental Resources Inc., Senior Notes		4.375	%		1/15/28		20,000		22,181
Continental Resources Inc., Senior Notes		5.750	%		1/15/31		1,180,000		1,424,077	(a)
Continental Resources Inc., Senior Notes		4.900	%		6/1/44		1,490,000		1,721,397
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		838,100	(c)(d)
DCP Midstream Operating LP, Senior Notes		6.450	%		11/3/36		660,000		795,815	(a)
DCP Midstream Operating LP, Senior Notes		6.750	%		9/15/37		1,300,000		1,608,750	(a)
Devon Energy Corp., Senior Notes		8.250	%		8/1/23		1,210,000		1,372,417	(a)
Devon Energy Corp., Senior Notes		5.850	%		12/15/25		1,950,000		2,291,451
Devon Energy Corp., Senior Notes		5.250	%		10/15/27		456,000		487,148	(a)
Devon Energy Corp., Senior Notes		5.875	%		6/15/28		364,000		402,266	(a)
Devon Energy Corp., Senior Notes		4.500	%		1/15/30		650,000		709,154	(a)
Devon Energy Corp., Senior Notes		7.875	%		9/30/31		220,000		311,389
Devon Energy Corp., Senior Notes		7.950	%		4/15/32		340,000		488,191
Devon Energy Corp., Senior Notes		5.600	%		7/15/41		1,100,000		1,375,837
Devon Energy Corp., Senior Notes		4.750	%		5/15/42		1,390,000		1,593,322

See Notes to Schedule of Investments.

    6     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Devon Energy Corp., Senior Notes		5.000	%		6/15/45		2,390,000	$	2,828,990
Diamondback Energy Inc., Senior Notes		2.875	%		12/1/24		370,000		389,809
Diamondback Energy Inc., Senior Notes		3.250	%		12/1/26		460,000		496,989
Diamondback Energy Inc., Senior Notes		3.500	%		12/1/29		100,000		108,570
Diamondback Energy Inc., Senior Notes		4.400	%		3/24/51		640,000		732,737
Ecopetrol SA, Senior Notes		5.375	%		6/26/26		2,470,000		2,713,666
Ecopetrol SA, Senior Notes		5.875	%		5/28/45		1,902,000		2,030,347
Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then 5 year Treasury Constant Maturity Rate + 5.694%)		6.500	%		11/15/26		3,190,000		3,281,904	(c)(d)
Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3 mo. USD LIBOR + 4.155%)		6.625	%		2/15/28		3,450,000		3,402,218	(c)(d)
Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%)		6.750	%		5/15/25		2,740,000		2,748,494	(c)(d)
Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%)		7.125	%		5/15/30		4,350,000		4,507,688	(c)(d)
Energy Transfer LP, Senior Notes		6.850	%		2/15/40		400,000		514,641
Energy Transfer LP, Senior Notes		6.500	%		2/1/42		590,000		777,736
Energy Transfer LP, Senior Notes		6.100	%		2/15/42		720,000		908,513
Energy Transfer LP, Senior Notes		5.950	%		10/1/43		950,000		1,199,566
Energy Transfer LP, Senior Notes		5.300	%		4/15/47		5,280,000		6,260,410
Energy Transfer LP, Senior Notes		5.400	%		10/1/47		1,990,000		2,405,250
Energy Transfer LP, Senior Notes		6.000	%		6/15/48		1,160,000		1,480,254
Energy Transfer LP, Senior Notes		6.250	%		4/15/49		1,160,000		1,533,035
Energy Transfer LP, Senior Notes		5.000	%		5/15/50		1,160,000		1,365,663
Enterprise Products Operating LLC, Senior Notes		4.150	%		10/16/28		260,000		302,545
Enterprise Products Operating LLC, Senior Notes		6.125	%		10/15/39		600,000		853,737
Enterprise Products Operating LLC, Senior Notes		6.450	%		9/1/40		960,000		1,420,781
Enterprise Products Operating LLC, Senior Notes		5.950	%		2/1/41		370,000		522,255

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         7

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Enterprise Products Operating LLC, Senior Notes		5.100	%		2/15/45		570,000	$	734,577
Enterprise Products Operating LLC, Senior Notes		4.250	%		2/15/48		700,000		828,925
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		806,216	(d)
EOG Resources Inc., Senior Notes		4.375	%		4/15/30		90,000		107,965
EOG Resources Inc., Senior Notes		4.950	%		4/15/50		300,000		409,425
EQT Corp., Senior Notes		3.000	%		10/1/22		70,000		71,080
EQT Corp., Senior Notes		6.625	%		2/1/25		50,000		57,848
EQT Corp., Senior Notes		3.125	%		5/15/26		650,000		670,394	(a)
EQT Corp., Senior Notes		3.900	%		10/1/27		880,000		955,931
EQT Corp., Senior Notes		5.000	%		1/15/29		90,000		101,888
EQT Corp., Senior Notes		7.500	%		2/1/30		200,000		262,989
EQT Corp., Senior Notes		3.625	%		5/15/31		560,000		593,936	(a)
Exxon Mobil Corp., Senior Notes		4.114	%		3/1/46		1,210,000		1,476,661
Exxon Mobil Corp., Senior Notes		4.327	%		3/19/50		1,230,000		1,560,609
Exxon Mobil Corp., Senior Notes		3.452	%		4/15/51		660,000		739,267
Kinder Morgan Energy Partners LP, Senior Notes		3.500	%		9/1/23		540,000		568,506
Kinder Morgan Energy Partners LP, Senior Notes		4.250	%		9/1/24		540,000		592,683
Kinder Morgan Energy Partners LP, Senior Notes		6.950	%		1/15/38		70,000		101,503
Kinder Morgan Energy Partners LP, Senior Notes		6.500	%		9/1/39		670,000		954,631
Kinder Morgan Energy Partners LP, Senior Notes		6.550	%		9/15/40		1,180,000		1,682,513
Kinder Morgan Energy Partners LP, Senior Notes		6.375	%		3/1/41		1,240,000		1,743,082
Kinder Morgan Inc., Senior Notes		5.300	%		12/1/34		1,340,000		1,690,884
MEG Energy Corp., Senior Notes		5.875	%		2/1/29		120,000		124,213	(a)
MPLX LP, Senior Notes		4.875	%		12/1/24		1,060,000		1,185,278
MPLX LP, Senior Notes		4.875	%		6/1/25		500,000		566,619
MPLX LP, Senior Notes		4.800	%		2/15/29		870,000		1,031,644
MPLX LP, Senior Notes		5.200	%		3/1/47		1,410,000		1,753,736
MPLX LP, Senior Notes		4.700	%		4/15/48		1,210,000		1,424,684
MPLX LP, Senior Notes		5.500	%		2/15/49		1,460,000		1,904,524
Northern Oil and Gas Inc., Senior Notes		8.125	%		3/1/28		650,000		681,671	(a)

See Notes to Schedule of Investments.

    8     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Occidental Petroleum Corp., Senior Notes		6.950	%		7/1/24		1,040,000	$	1,162,268
Occidental Petroleum Corp., Senior Notes		5.550	%		3/15/26		830,000		909,892
Occidental Petroleum Corp., Senior Notes		3.200	%		8/15/26		860,000		854,754
Occidental Petroleum Corp., Senior Notes		6.625	%		9/1/30		3,070,000		3,749,990
Occidental Petroleum Corp., Senior Notes		6.125	%		1/1/31		8,190,000		9,686,313
Occidental Petroleum Corp., Senior Notes		0.000	%		10/10/36		25,450,000		13,386,827
Occidental Petroleum Corp., Senior Notes		6.200	%		3/15/40		980,000		1,138,157
Occidental Petroleum Corp., Senior Notes		4.500	%		7/15/44		2,780,000		2,745,806
Occidental Petroleum Corp., Senior Notes		4.625	%		6/15/45		3,620,000		3,643,530
Occidental Petroleum Corp., Senior Notes		6.600	%		3/15/46		650,000		800,560
Occidental Petroleum Corp., Senior Notes		4.400	%		4/15/46		1,070,000		1,052,516
Occidental Petroleum Corp., Senior Notes		4.100	%		2/15/47		1,110,000		1,052,058
Occidental Petroleum Corp., Senior Notes		4.200	%		3/15/48		2,800,000		2,684,794
Petrobras Global Finance BV, Senior Notes		7.375	%		1/17/27		2,450,000		2,982,079
Petrobras Global Finance BV, Senior Notes		5.999	%		1/27/28		4,510,000		5,147,195
Petrobras Global Finance BV, Senior Notes		6.850	%		6/5/2115		2,610,000		2,916,427
Petroleos Mexicanos, Senior Notes		6.375	%		1/23/45		3,050,000		2,629,253
Plains All American Pipeline LP/PAA Finance Corp., Senior Notes		6.700	%		5/15/36		560,000		710,983
Range Resources Corp., Senior Notes		5.875	%		7/1/22		106,000		107,456
Range Resources Corp., Senior Notes		5.000	%		3/15/23		897,000		929,552
Range Resources Corp., Senior Notes		4.875	%		5/15/25		590,000		613,299
Rockies Express Pipeline LLC, Senior Notes		6.875	%		4/15/40		1,180,000		1,246,941	(a)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         9

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE				MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Schlumberger Holdings Corp., Senior Notes		4.000	%	��		12/21/25		2,470,000	$	2,759,006	(a)
Shell International Finance BV, Senior Notes		2.750	%			4/6/30		270,000		291,964
Shell International Finance BV, Senior Notes		3.250	%			4/6/50		1,380,000		1,504,942
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.375	%			2/1/27		40,000		41,579
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.500	%			3/1/30		270,000		297,986
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		4.875	%			2/1/31		430,000		465,546	(a)
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		4.000	%			1/15/32		70,000		72,450	(a)
Transcontinental Gas Pipe Line Co. LLC, Senior Notes		7.850	%			2/1/26		1,950,000		2,478,799
Western Midstream Operating LP, Senior Notes		4.350	%			2/1/25		320,000		335,629
Western Midstream Operating LP, Senior Notes		3.950	%			6/1/25		1,000,000		1,032,500
Western Midstream Operating LP, Senior Notes		4.650	%			7/1/26		160,000		171,712
Western Midstream Operating LP, Senior Notes		4.500	%			3/1/28		1,190,000		1,282,041
Western Midstream Operating LP, Senior Notes		4.750	%			8/15/28		1,210,000		1,315,827
Western Midstream Operating LP, Senior Notes		5.300	%			2/1/30		1,450,000		1,629,873
Western Midstream Operating LP, Senior Notes		5.450	%			4/1/44		2,130,000		2,399,232
Western Midstream Operating LP, Senior Notes		5.300	%			3/1/48		720,000		795,625
Western Midstream Operating LP, Senior Notes		5.500	%			8/15/48		1,780,000		1,991,268
Western Midstream Operating LP, Senior Notes		6.500	%			2/1/50		310,000		365,360
Williams Cos. Inc., Senior Notes		3.750	%			6/15/27		1,780,000		1,993,067

See Notes to Schedule of Investments.

    10     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Oil, Gas & Consumable Fuels - (continued)
Williams Cos. Inc., Senior Notes		7.500	%		1/15/31		1,570,000		$	2,217,180
Williams Cos. Inc., Senior Notes		8.750	%		3/15/32		1,520,000			2,385,961
Williams Cos. Inc., Senior Notes		6.300	%		4/15/40		840,000			1,164,988
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		1,680,000			2,280,713
Williams Cos. Inc., Senior Notes		5.100	%		9/15/45		150,000			188,559
Total Oil, Gas & Consumable Fuels										198,980,801
TOTAL ENERGY										200,544,988
FINANCIALS - 9.7%
Banks - 7.3%
BAC Capital Trust XIV, Junior Subordinated Notes (the greater of 3 mo. USD LIBOR + 0.400%, 4.000% floor)		4.000	%		8/16/21		1,460,000			1,460,243	(c)(d)
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			857,465	(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			2,090,619	(a)(c)(d)
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		7,642,487	(c)(d)(e)
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			7,199,000	(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		620,000			696,648	(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			1,581,044	(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			736,641	(d)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         11

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Banks - (continued)
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		$	145,636	(d)
Bank of America Corp., Subordinated Notes		4.250	%		10/22/26		2,520,000			2,858,983
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			1,955,775	(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		2,100,000			2,382,187	(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			3,460,118	(d)
BBVA USA, Subordinated Notes		3.875	%		4/10/25		490,000			543,361
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		3,013,449	(c)(d)(e)
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			241,001	(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			3,266,713	(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			1,145,512	(a)(d)
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			279,659	(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		10,320,000			11,377,800	(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			1,349,375	(c)(d)
Citigroup Inc., Senior Notes		8.125	%		7/15/39		1,301,000			2,272,362
Citigroup Inc., Senior Notes		4.650	%		7/30/45		825,000			1,078,826
Citigroup Inc., Senior Notes		4.650	%		7/23/48		520,000			690,694
Citigroup Inc., Subordinated Notes		4.450	%		9/29/27		370,000			427,464

See Notes to Schedule of Investments.

    12     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Banks - (continued)
Citigroup Inc., Subordinated Notes		4.125	%		7/25/28		1,870,000		$	2,125,047
Citigroup Inc., Subordinated Notes		4.750	%		5/18/46		200,000			258,136
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		8,411,329	(c)(d)(e)
Credit Agricole SA, Junior Subordinated Notes (7.500% to 6/23/26 then GBP 5 year Swap Rate + 4.812%)		7.500	%		6/23/26		2,620,000	GBP		4,327,715	(c)(d)(e)
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			3,965,556	(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		5,178,161	(c)(d)(e)
Danske Bank A/S, Senior Notes		5.375	%		1/12/24		840,000			930,357	(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			953,245	(c)(d)
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			1,598,625	(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			3,203,538	(d)
HSBC Holdings PLC, Subordinated Notes		4.250	%		8/18/25		590,000			655,096
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		9,136,941	(c)(d)(e)
Intesa Sanpaolo SpA, Subordinated Notes		5.017	%		6/26/24		200,000			217,084	(a)
Intesa Sanpaolo SpA, Subordinated Notes		5.710	%		1/15/26		210,000			237,325	(a)
JPMorgan Chase & Co., Senior Notes (2.522% to 4/22/30 then SOFR + 2.040%)		2.522	%		4/22/31		110,000			114,498	(d)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         13

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
JPMorgan Chase & Co., Senior Notes (3.109% to 4/22/50 then SOFR + 2.440%)		3.109	%		4/22/51		440,000	$	460,303	(d)
JPMorgan Chase & Co., Subordinated Notes		4.950	%		6/1/45		1,410,000		1,896,297
JPMorgan Chase & Co., Subordinated Notes (2.956% to 5/13/30 then SOFR + 2.515%)		2.956	%		5/13/31		1,620,000		1,726,755	(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		1,434,612	(c)(d)
UniCredit SpA, Senior Notes		6.572	%		1/14/22		1,700,000		1,743,603	(a)
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		961,345	(c)(d)
Wells Fargo & Co., Senior Notes (2.879% to 10/30/29 then SOFR + 1.432%)		2.879	%		10/30/30		890,000		952,006	(d)
Wells Fargo & Co., Senior Notes (4.478% to 4/4/30 then SOFR + 4.032%)		4.478	%		4/4/31		410,000		489,371	(d)
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%)		5.013	%		4/4/51		7,670,000		10,712,861	(d)
Wells Fargo & Co., Subordinated Notes		4.300	%		7/22/27		1,840,000		2,117,367
Wells Fargo & Co., Subordinated Notes		4.400	%		6/14/46		1,420,000		1,736,497
Wells Fargo & Co., Subordinated Notes		4.750	%		12/7/46		500,000		643,465
Total Banks									124,940,197
Capital Markets - 1.8%
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		5,455,988	(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		222,367	(a)(c)(d)

See Notes to Schedule of Investments.

    14     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Capital Markets - (continued)
Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then USD 5 year ICE Swap Rate + 4.332%)		7.250	%		9/12/25		300,000	$	338,389	(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		1,920,450	(a)(c)(d)
Credit Suisse Group AG, Senior Notes		4.875	%		5/15/45		530,000		685,890
Credit Suisse Group AG, Senior Notes (3.091% to 5/14/31 then SOFR + 1.730%)		3.091	%		5/14/32		790,000		826,418	(a)(d)
Credit Suisse Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%)		4.194	%		4/1/31		630,000		719,069	(a)(d)
Goldman Sachs Capital II, Junior Subordinated Notes (3 mo. USD LIBOR + 0.768%, 4.000% floor)		4.000	%		8/30/21		109,000		108,715	(c)(d)
Goldman Sachs Group Inc., Senior Notes		4.750	%		10/21/45		520,000		691,718
Goldman Sachs Group Inc., Senior Notes (2.383% to 7/21/31 then SOFR + 1.248%)		2.383	%		7/21/32		4,150,000		4,227,981	(d)
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		495,008	(d)
Goldman Sachs Group Inc., Senior Notes (3.210% to 4/22/41 then SOFR + 1.513%)		3.210	%		4/22/42		50,000		53,026	(d)
Goldman Sachs Group Inc., Subordinated Notes		4.250	%		10/21/25		610,000		685,027
Goldman Sachs Group Inc., Subordinated Notes		6.750	%		10/1/37		1,700,000		2,521,183
Goldman Sachs Group Inc., Subordinated Notes		5.150	%		5/22/45		4,590,000		6,195,143
Morgan Stanley, Senior Notes (4.431% to 1/23/29 then 3 mo. USD LIBOR + 1.628%)		4.431	%		1/23/30		60,000		70,573	(d)
Morgan Stanley, Senior Notes (5.597% to 3/24/50 then SOFR + 4.840%)		5.597	%		3/24/51		190,000		289,029	(d)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         15

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Capital Markets - (continued)
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	$	2,540,647	(c)(d)(e)
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			3,166,402	(a)(c)(d)
Total Capital Markets										31,213,023
Diversified Financial Services - 0.4%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		4.625	%		7/1/22		173,000			179,482
GE Capital International Funding Co. Unlimited Co., Senior Notes		4.418	%		11/15/35		1,210,000			1,486,450
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%)		3.660	%		12/21/65		740,000			609,745	(a)(d)
International Lease Finance Corp., Senior Notes		5.875	%		8/15/22		640,000			674,439
Park Aerospace Holdings Ltd., Senior Notes		5.250	%		8/15/22		23,000			24,000	(a)
Park Aerospace Holdings Ltd., Senior Notes		4.500	%		3/15/23		160,000			168,280	(a)
Park Aerospace Holdings Ltd., Senior Notes		5.500	%		2/15/24		400,000			440,962	(a)
Toll Road Investors Partnership II LP		0.000	%		2/15/24		1,020,000			946,021	(a)
Toll Road Investors Partnership II LP		0.000	%		2/15/38		200,000			81,300	(a)
Vanguard Group Inc.		3.050	%		8/22/50		2,610,000			2,483,937	(f)(g)
Total Diversified Financial Services										7,094,616
Insurance - 0.2%
American International Group Inc., Senior Notes		3.400	%		6/30/30		1,080,000			1,194,806
Teachers Insurance & Annuity Association of America, Subordinated Notes		4.900	%		9/15/44		1,910,000			2,513,507	(a)
Total Insurance										3,708,313
TOTAL FINANCIALS										166,956,149
HEALTH CARE - 4.6%
Biotechnology - 0.2%
AbbVie Inc., Senior Notes		4.050	%		11/21/39		3,440,000			4,064,850

See Notes to Schedule of Investments.

    16     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Health Care Equipment & Supplies - 0.1%
Becton Dickinson and Co., Senior Notes		3.700	%		6/6/27		1,317,000	$	1,471,721
Health Care Providers & Services - 1.2%
Centene Corp., Senior Notes		5.375	%		6/1/26		350,000		365,032	(a)
CommonSpirit Health, Secured Notes		4.350	%		11/1/42		1,720,000		2,063,711
CommonSpirit Health, Senior Secured Notes		3.817	%		10/1/49		630,000		722,862
CVS Health Corp., Senior Notes		4.300	%		3/25/28		170,000		196,997
CVS Health Corp., Senior Notes		4.780	%		3/25/38		1,130,000		1,420,716
CVS Health Corp., Senior Notes		4.125	%		4/1/40		820,000		972,861
CVS Health Corp., Senior Notes		5.050	%		3/25/48		7,790,000		10,397,754
CVS Health Corp., Senior Notes		4.250	%		4/1/50		90,000		110,752
Dignity Health, Secured Notes		5.267	%		11/1/64		760,000		1,084,946
Hackensack Meridian Health Inc., Senior Secured Notes		4.211	%		7/1/48		1,060,000		1,325,075
HCA Inc., Senior Notes		5.375	%		2/1/25		150,000		170,198
HCA Inc., Senior Notes		7.690	%		6/15/25		420,000		512,024
HCA Inc., Senior Notes		5.625	%		9/1/28		60,000		72,229
HCA Inc., Senior Notes		5.875	%		2/1/29		310,000		379,750
HCA Inc., Senior Notes		3.500	%		9/1/30		480,000		521,556
HCA Inc., Senior Secured Notes		4.500	%		2/15/27		240,000		274,214
UnitedHealth Group Inc., Senior Notes		3.125	%		5/15/60		190,000		203,815
Willis-Knighton Medical Center, Secured Notes		4.813	%		9/1/48		790,000		1,054,207
Total Health Care Providers & Services									21,848,699
Pharmaceuticals - 3.1%
Bausch Health Americas Inc., Senior Notes		9.250	%		4/1/26		6,060,000		6,567,525	(a)
Bausch Health Americas Inc., Senior Notes		8.500	%		1/31/27		3,880,000		4,200,100	(a)
Bausch Health Cos. Inc., Senior Notes		9.000	%		12/15/25		6,860,000		7,330,527	(a)
Bausch Health Cos. Inc., Senior Notes		6.250	%		2/15/29		1,130,000		1,125,729	(a)
Bausch Health Cos. Inc., Senior Notes		7.250	%		5/30/29		1,140,000		1,183,930	(a)
Bausch Health Cos. Inc., Senior Notes		5.250	%		1/30/30		300,000		282,723	(a)
Bausch Health Cos. Inc., Senior Secured Notes		5.500	%		11/1/25		1,050,000		1,073,672	(a)
Bausch Health Cos. Inc., Senior Secured Notes		4.875	%		6/1/28		100,000		103,309	(a)
Teva Pharmaceutical Finance Co. BV, Senior Notes		3.650	%		11/10/21		100,000		100,335

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         17

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - (continued)
Teva Pharmaceutical Finance Co. BV, Senior Notes		2.950	%		12/18/22		2,097,000	$	2,112,728
Teva Pharmaceutical Finance Co. LLC, Senior Notes		6.150	%		2/1/36		4,056,000		4,477,134
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.800	%		7/21/23		1,300,000		1,286,675
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		7.125	%		1/31/25		4,944,000		5,435,681
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		3.150	%		10/1/26		2,594,000		2,492,445
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		6.750	%		3/1/28		520,000		576,550
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		4.100	%		10/1/46		16,567,000		14,649,618
Total Pharmaceuticals									52,998,681
TOTAL HEALTH CARE									80,383,951
INDUSTRIALS - 2.2%
Aerospace & Defense - 1.0%
Boeing Co., Senior Notes		2.700	%		2/1/27		750,000		779,560
Boeing Co., Senior Notes		5.150	%		5/1/30		1,950,000		2,325,000
Boeing Co., Senior Notes		3.250	%		2/1/35		2,030,000		2,103,777
Boeing Co., Senior Notes		3.550	%		3/1/38		170,000		176,246
Boeing Co., Senior Notes		5.705	%		5/1/40		1,600,000		2,083,314
Boeing Co., Senior Notes		3.750	%		2/1/50		130,000		135,376
Boeing Co., Senior Notes		5.805	%		5/1/50		3,700,000		5,055,339
Boeing Co., Senior Notes		5.930	%		5/1/60		1,010,000		1,399,849
General Dynamics Corp., Senior Notes		4.250	%		4/1/40		40,000		50,122
General Dynamics Corp., Senior Notes		4.250	%		4/1/50		190,000		248,089
Northrop Grumman Corp., Senior Notes		5.250	%		5/1/50		2,190,000		3,157,468
Total Aerospace & Defense									17,514,140
Air Freight & Logistics - 0.1%
XPO CNW Inc., Senior Notes		6.700	%		5/1/34		1,510,000		1,817,043
Airlines - 0.8%
Delta Air Lines Inc., Senior Notes		3.625	%		3/15/22		1,450,000		1,461,102
Delta Air Lines Inc., Senior Notes		3.800	%		4/19/23		190,000		196,159
Delta Air Lines Inc., Senior Notes		2.900	%		10/28/24		870,000		882,515
Delta Air Lines Inc., Senior Notes		7.375	%		1/15/26		850,000		1,001,147
Delta Air Lines Inc., Senior Secured Notes		7.000	%		5/1/25		1,850,000		2,177,291	(a)

See Notes to Schedule of Investments.

    18     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Airlines - (continued)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.500	%		10/20/25		2,490,000	$	2,678,178	(a)
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes		4.750	%		10/20/28		1,110,000		1,241,607	(a)
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes		6.500	%		6/20/27		680,000		741,200	(a)
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes		8.000	%		9/20/25		522,000		586,788	(a)
United Airlines Inc., Senior Secured Notes		4.375	%		4/15/26		430,000		442,956	(a)
United Airlines Inc., Senior Secured Notes		4.625	%		4/15/29		2,890,000		2,976,700	(a)
Total Airlines									14,385,643
Commercial Services & Supplies - 0.1%
California Institute of Technology, Senior Notes		3.650	%		9/1/2119		990,000		1,170,507
GFL Environmental Inc., Senior Secured Notes		4.250	%		6/1/25		330,000		343,200	(a)
Total Commercial Services & Supplies									1,513,707
Industrial Conglomerates - 0.1%
3M Co., Senior Notes		3.700	%		4/15/50		470,000		565,173
General Electric Co., Senior Notes		3.450	%		5/1/27		130,000		144,236
General Electric Co., Senior Notes		3.625	%		5/1/30		270,000		305,311
General Electric Co., Senior Notes		6.875	%		1/10/39		299,000		455,959
Total Industrial Conglomerates									1,470,679
Trading Companies & Distributors - 0.1%
H&E Equipment Services Inc., Senior Notes		3.875	%		12/15/28		650,000		645,249	(a)
United Rentals North America Inc., Secured Notes		3.875	%		11/15/27		370,000		387,664
United Rentals North America Inc., Senior Notes		5.875	%		9/15/26		310,000		320,611
United Rentals North America Inc., Senior Notes		5.250	%		1/15/30		320,000		350,606
United Rentals North America Inc., Senior Notes		3.875	%		2/15/31		410,000		422,300
Total Trading Companies & Distributors									2,126,430
TOTAL INDUSTRIALS									38,827,642

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         19

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
INFORMATION TECHNOLOGY - 0.4%
Communications Equipment - 0.0%††
CommScope Technologies LLC, Senior Notes		5.000	%		3/15/27		320,000	$	324,176	(a)
IT Services - 0.1%
Mastercard Inc., Senior Notes		3.850	%		3/26/50		1,720,000		2,131,982
Semiconductors & Semiconductor Equipment - 0.3%
Broadcom Inc., Senior Notes		4.150	%		11/15/30		2,020,000		2,292,819
NVIDIA Corp., Senior Notes		3.500	%		4/1/40		220,000		252,753
NVIDIA Corp., Senior Notes		3.500	%		4/1/50		1,070,000		1,239,434
NVIDIA Corp., Senior Notes		3.700	%		4/1/60		400,000		485,744
Total Semiconductors & Semiconductor Equipment									4,270,750
TOTAL INFORMATION TECHNOLOGY									6,726,908
MATERIALS - 0.6%
Containers & Packaging - 0.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes		6.000	%		2/15/25		250,000		258,375	(a)
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes		5.250	%		8/15/27		200,000		204,477	(a)
Total Containers & Packaging									462,852
Metals & Mining - 0.5%
Anglo American Capital PLC, Senior Notes		3.625	%		9/11/24		560,000		606,182	(a)
Anglo American Capital PLC, Senior Notes		4.000	%		9/11/27		270,000		302,964	(a)
Anglo American Capital PLC, Senior Notes		4.500	%		3/15/28		640,000		739,019	(a)
ArcelorMittal SA, Senior Notes		7.250	%		10/15/39		310,000		453,381
Freeport-McMoRan Inc., Senior Notes		3.875	%		3/15/23		10,000		10,378
Freeport-McMoRan Inc., Senior Notes		4.550	%		11/14/24		40,000		43,599
Freeport-McMoRan Inc., Senior Notes		4.625	%		8/1/30		240,000		264,026
Freeport-McMoRan Inc., Senior Notes		5.450	%		3/15/43		960,000		1,235,347
Glencore Funding LLC, Senior Notes		4.125	%		5/30/23		150,000		159,158	(a)
Glencore Funding LLC, Senior Notes		4.125	%		3/12/24		2,920,000		3,149,485	(a)
Glencore Funding LLC, Senior Notes		3.875	%		10/27/27		990,000		1,103,431	(a)
Yamana Gold Inc., Senior Notes		4.625	%		12/15/27		920,000		1,026,161
Total Metals & Mining									9,093,131
Paper & Forest Products - 0.0%††
Suzano Austria GmbH, Senior Notes		3.750	%		1/15/31		420,000		438,081
TOTAL MATERIALS									9,994,064

See Notes to Schedule of Investments.

    20     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
UTILITIES - 0.8%
Electric Utilities - 0.8%
Enel Finance International NV, Senior Notes		6.000	%		10/7/39		1,680,000	$	2,403,247	(a)
FirstEnergy Corp., Senior Notes		4.650	%		7/15/27		1,320,000		1,472,325
FirstEnergy Corp., Senior Notes		7.375	%		11/15/31		5,830,000		8,156,230
FirstEnergy Corp., Senior Notes		5.600	%		7/15/47		250,000		314,777
Pacific Gas and Electric Co., Secured Bonds		2.500	%		2/1/31		610,000		575,970
Pacific Gas and Electric Co., Secured Bonds		3.300	%		8/1/40		200,000		181,939
Pacific Gas and Electric Co., Secured Bonds		3.500	%		8/1/50		680,000		609,699
TOTAL UTILITIES									13,714,187
TOTAL CORPORATE BONDS & NOTES (Cost - $571,277,016)									641,395,745
SOVEREIGN BONDS - 27.4%
Argentina - 0.8%
Argentine Republic Government International Bond, Senior Notes		1.000	%		7/9/29		1,241,955		479,395
Argentine Republic Government International Bond, Senior Notes, Step bond (0.500% to 7/9/23 then 0.750%)		0.500	%		7/9/30		8,707,393		3,186,906
Argentine Republic Government International Bond, Senior Notes, Step bond (1.125% to 7/9/22 then 1.500%)		1.125	%		7/9/35		14,504,705		4,714,174
Argentine Republic Government International Bond, Senior Notes, Step bond (2.000% to 7/9/22 then 3.875%)		2.000	%		1/9/38		2,874,178		1,145,360
Provincia de Buenos Aires, Senior Notes		9.125	%		3/16/24		850,000		416,500	*(a)(h)
Provincia de Buenos Aires, Senior Notes		7.875	%		6/15/27		1,970,000		955,450	*(a)(h)
Provincia de Cordoba, Senior Notes, Step bond (5.000% to 6/10/22 then 6.875%)		5.000	%		12/10/25		700,000		533,960	(e)
Provincia de Cordoba, Senior Notes, Step bond (5.000% to 6/10/22 then 6.875%)		5.000	%		12/10/25		824,492		628,923	(a)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         21

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Argentina - (continued)
Provincia de Cordoba, Senior Notes, Step bond (5.000% to 6/1/22 then 6.990%)		5.000	%		6/1/27		378,779		$	261,361	(e)
Provincia de Cordoba, Senior Notes, Step bond (3.000% to 8/1/21, 5.000% to 8/1/22 then 6.875% PIK)		3.000	%		2/1/29		1,034,131			661,854	(a)(i)
Total Argentina										12,983,883
Australia - 1.9%
Australia Government Bond, Senior Notes		3.000	%		3/21/47		27,230,000	AUD		23,963,131	(e)
Australia Government Bond, Senior Notes		1.750	%		6/21/51		11,560,000	AUD		7,940,278	(e)
Total Australia										31,903,409
Brazil - 0.6%
Brazilian Government International Bond, Senior Notes		4.250	%		1/7/25		1,730,000			1,877,474
Brazilian Government International Bond, Senior Notes		5.000	%		1/27/45		9,000,000			9,010,800
Total Brazil										10,888,274
China - 1.8%
China Government Bond		3.290	%		5/23/29		28,500,000	CNY		4,523,432
China Government Bond		3.390	%		3/16/50		110,000,000	CNY		16,669,804
China Government Bond, Senior Notes		4.000	%		5/22/24		2,000,000	CNY		321,831	(e)
China Government Bond, Senior Notes		3.380	%		11/21/24		11,000,000	CNY		1,748,632	(e)
China Government Bond, Senior Notes		3.390	%		5/21/25		9,000,000	CNY		1,436,908	(e)
China Government Bond, Senior Notes		3.310	%		11/30/25		10,500,000	CNY		1,677,887	(e)
China Government Bond, Senior Notes		3.480	%		6/29/27		23,500,000	CNY		3,819,666	(e)
China Government Bond, Senior Notes		3.600	%		6/27/28		2,000,000	CNY		328,832	(e)
China Government Bond, Senior Notes		4.290	%		5/22/29		5,000,000	CNY		865,333	(e)
Total China										31,392,325
Dominican Republic - 0.1%
Dominican Republic International Bond, Senior Notes		5.875	%		1/30/60		2,340,000			2,366,933	(a)
Egypt - 0.2%
Egypt Government Bond		18.400	%		5/30/24		3,500,000	EGP		243,781
Egypt Government International Bond, Senior Notes		7.625	%		5/29/32		2,980,000			3,154,303	(a)
Total Egypt										3,398,084
Ghana - 0.1%
Ghana Government International Bond		10.750	%		10/14/30		870,000			1,086,630	(a)

See Notes to Schedule of Investments.

    22     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Ghana - (continued)
Ghana Government International Bond, Senior Notes		7.875	%		3/26/27		320,000		$	333,499	(a)
Ghana Government International Bond, Senior Notes		8.950	%		3/26/51		910,000			891,782	(a)
Total Ghana										2,311,911
Indonesia - 6.4%
Indonesia Treasury Bond		8.375	%		9/15/26		3,507,000,000	IDR		275,831
Indonesia Treasury Bond		7.000	%		5/15/27		200,138,000,000	IDR		14,862,452
Indonesia Treasury Bond		9.000	%		3/15/29		114,267,000,000	IDR		9,279,834
Indonesia Treasury Bond		8.250	%		5/15/29		355,437,000,000	IDR		27,825,464
Indonesia Treasury Bond		7.000	%		9/15/30		233,933,000,000	IDR		17,024,338
Indonesia Treasury Bond		6.500	%		2/15/31		143,819,000,000	IDR		10,107,356
Indonesia Treasury Bond		8.375	%		3/15/34		290,150,000,000	IDR		22,667,304
Indonesia Treasury Bond		8.250	%		5/15/36		45,190,000,000	IDR		3,491,620
Indonesia Treasury Bond		8.375	%		4/15/39		6,456,000,000	IDR		502,865
Indonesia Treasury Bond		7.375	%		5/15/48		65,063,000,000	IDR		4,664,967
Total Indonesia										110,702,031
Ivory Coast - 0.5%
Ivory Coast Government International Bond, Senior Notes		4.875	%		1/30/32		2,150,000	EUR		2,582,994	(a)
Ivory Coast Government International Bond, Senior Notes		6.125	%		6/15/33		1,420,000			1,542,177	(e)
Ivory Coast Government International Bond, Senior Notes		6.125	%		6/15/33		2,820,000			3,062,632	(a)
Ivory Coast Government International Bond, Senior Notes, Step bond		5.750	%		12/31/32		475,800			482,661	(e)
Total Ivory Coast										7,670,464
Kuwait - 0.1%
Kuwait International Government Bond, Senior Notes		3.500	%		3/20/27		1,370,000			1,534,153	(a)
Mexico - 6.4%
Mexican Bonos, Bonds		8.000	%		11/7/47		628,180,000	MXN		32,813,517
Mexican Bonos, Senior Notes		7.750	%		11/13/42		1,526,885,400	MXN		78,114,900
Total Mexico										110,928,417
Russia - 8.2%
Russian Federal Bond - OFZ		7.750	%		9/16/26		218,960,000	RUB		3,139,224
Russian Federal Bond - OFZ		7.950	%		10/7/26		218,960,000	RUB		3,159,881
Russian Federal Bond - OFZ		8.150	%		2/3/27		1,998,947,000	RUB		29,191,875
Russian Federal Bond - OFZ		6.000	%		10/6/27		226,900,000	RUB		2,992,336
Russian Federal Bond - OFZ		7.050	%		1/19/28		2,715,624,000	RUB		37,814,444

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         23

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Russia - (continued)
Russian Federal Bond - OFZ		6.900	%		5/23/29		1,068,125,000	RUB	$	14,768,181
Russian Federal Bond - OFZ		7.650	%		4/10/30		321,260,000	RUB		4,662,423
Russian Federal Bond - OFZ		7.700	%		3/23/33		437,180,000	RUB		6,392,459
Russian Federal Bond - OFZ		7.250	%		5/10/34		974,600,000	RUB		13,744,300
Russian Federal Bond - OFZ		7.700	%		3/16/39		1,766,040,000	RUB		26,042,563
Total Russia										141,907,686
Supranational - 0.1%
International Bank for Reconstruction & Development, Senior Notes		8.400	%		10/12/21		34,200,000,000	IDR		2,385,310
Ukraine - 0.2%
Ukraine Government International Bond, Senior Notes		7.375	%		9/25/32		1,350,000			1,408,158	(a)
Ukraine Government International Bond, Senior Notes		7.253	%		3/15/33		2,260,000			2,336,255	(a)
Total Ukraine										3,744,413
TOTAL SOVEREIGN BONDS (Cost - $490,736,273)										474,117,293
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 19.2%
U.S. Government Obligations - 19.2%
U.S. Treasury Bonds		1.125	%		8/15/40		170,000			151,419
U.S. Treasury Bonds		2.250	%		5/15/41		9,530,000			10,239,538	(j)
U.S. Treasury Bonds		3.000	%		5/15/45		39,750,000			48,431,338
U.S. Treasury Bonds		2.000	%		2/15/50		4,020,000			4,102,599
U.S. Treasury Bonds		1.250	%		5/15/50		12,620,000			10,746,226
U.S. Treasury Bonds		1.375	%		8/15/50		39,730,000			34,908,082
U.S. Treasury Bonds		1.625	%		11/15/50		31,780,000			29,716,783
U.S. Treasury Bonds		1.875	%		2/15/51		65,010,000			64,568,135
U.S. Treasury Bonds		2.375	%		5/15/51		35,800,000			39,724,016
U.S. Treasury Notes		0.375	%		9/30/27		12,240,000			11,867,062
U.S. Treasury Notes		0.625	%		12/31/27		8,740,000			8,577,491
U.S. Treasury Notes		0.750	%		1/31/28		31,350,000			30,981,393
U.S. Treasury Notes		1.250	%		4/30/28		3,830,000			3,901,289
U.S. Treasury Notes		0.625	%		5/15/30		17,540,000			16,743,848
U.S. Treasury Notes		0.875	%		11/15/30		4,650,000			4,515,949
U.S. Treasury Notes		1.125	%		2/15/31		5,510,000			5,463,079
U.S. Treasury Notes		1.625	%		5/15/31		7,360,000			7,630,825
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $329,453,879)										332,269,072

See Notes to Schedule of Investments.

    24     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(K) - 4.5%
Alternative Loan Trust, 2005-J4 M2 (1 mo. USD LIBOR + 0.960%)		1.049	%		7/25/35		76,809	$	76,767	(d)
Banc of America Funding Corp., 2015-R3 2A2		0.222	%		2/27/37		4,399,689		3,827,641	(a)(d)
Benchmark Mortgage Trust, 2020-IG3 C		3.289	%		9/15/48		1,190,000		1,226,182	(a)(d)
BX Trust, 2018-GWMZ MC (1 mo. USD LIBOR + 5.488%)		5.581	%		5/15/37		6,500,000		6,056,370	(a)(d)
CSMC Trust, 2015-2R 7A2		2.458	%		8/27/36		8,613,979		7,602,924	(a)(d)
CSMC Trust, 2019-RIO B (1 mo. USD LIBOR + 7.000%, 8.000% floor)		8.000	%		12/15/21		6,260,000		6,011,051	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA3 B1 (1 mo. USD LIBOR + 5.100%)		5.189	%		6/25/50		800,000		838,671	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, Structured Agency Credit Risk Debt Notes, 2020-DNA6 B1 (30 Day Average SOFR + 3.000%)		3.050	%		12/25/50		2,180,000		2,202,373	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-1 M		4.250	%		8/25/59		4,300,000		4,574,520	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust, 2020-3 M		4.250	%		5/25/60		3,268,000		3,450,771	(a)(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2015-HQ2 B (1 mo. USD LIBOR + 7.950%)		8.039	%		5/25/25		1,557,849		1,492,026	(d)
Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 B1 (1 mo. USD LIBOR + 5.150%)		5.239	%		10/25/29		4,420,000		4,778,047	(d)
Federal National Mortgage Association (FNMA) - CAS, 2015-C03 2M2 (1 mo. USD LIBOR + 5.000%)		5.089	%		7/25/25		190,715		193,042	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2017-C01 1B1 (1 mo. USD LIBOR + 5.750%)		5.839	%		7/25/29		3,400,000		3,758,689	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2017-C05 1B1 (1 mo. USD LIBOR + 3.600%)		3.689	%		1/25/30		3,880,000		4,062,920	(a)(d)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         25

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(K) - (continued)
Federal National Mortgage Association (FNMA) - CAS, 2017-C07 1M2 (1 mo. USD LIBOR + 2.400%)		2.489	%		5/25/30		2,442,879	$	2,477,261	(a)(d)
Federal National Mortgage Association (FNMA) - CAS, 2018-C01 1B1 (1 mo. USD LIBOR + 3.550%)		3.639	%		7/25/30		5,280,000		5,423,440	(a)(d)
GS Mortgage Securities Corp. II, 2018- SRP5 C (1 mo. USD LIBOR + 4.000%)		4.093	%		9/15/31		8,345,000		2,794,048	(a)(d)
IMPAC Secured Assets Corp., 2006-3 A7 (1 mo. USD LIBOR + 0.270%)		0.356	%		11/25/36		1,531,657		1,289,849	(d)
JPMorgan Chase Commercial Mortgage Securities Trust, 2006-LDP7 AJ		6.071	%		4/17/45		79,314		23,976	(d)
JPMorgan Chase Commercial Mortgage Securities Trust, 2018-PHMZ M (1 mo. USD LIBOR + 8.358%)		8.451	%		6/15/35		10,570,000		4,211,056	(a)(d)
MHC Trust, 2021-MHC2 E (1 mo. USD LIBOR + 1.950%)		2.043	%		5/15/23		3,350,000		3,361,478	(a)(d)
ML-CFC Commercial Mortgage Trust, 2007-5 AJ		5.450	%		8/12/48		97,870		48,604	(d)
ML-CFC Commercial Mortgage Trust, 2007-9 AJ		6.193	%		9/12/49		5,298		5,220	(d)
Morgan Stanley Capital I Trust, 2006- IQ12 AJ		5.399	%		12/15/43		71,728		48,699
Residential Asset Securitization Trust, 2005-A15 1A4		5.750	%		2/25/36		97,197		100,688
Residential Asset Securitization Trust, 2005-A15 2A11, IO (-1.000 x1 mo. USD LIBOR + 5.550%)		5.461	%		2/25/36		1,767,431		481,109	(d)
Sequoia Mortgage Trust, 2004-3 M1 (1 mo. USD LIBOR + 0.750%)		0.834	%		5/20/34		203,159		198,512	(d)
SFO Commercial Mortgage Trust, 2021-555 D (1 mo. USD LIBOR + 2.400%)		2.493	%		5/15/38		2,070,000		2,093,835	(a)(d)
Starwood Retail Property Trust, 2014- STAR E (1 mo. USD LIBOR + 4.400%)		4.493	%		11/15/27		5,070,000		51	(a)(d)
UBS-Barclays Commercial Mortgage Trust, 2012-C2 G		5.000	%		5/10/63		310,000		15,220	(a)(d)
UBS-Barclays Commercial Mortgage Trust, 2012-C2 H		5.000	%		5/10/63		309,998		5,306	(a)(d)

See Notes to Schedule of Investments.

    26     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
COLLATERALIZED MORTGAGE OBLIGATIONS(K) - (continued)
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR2 B1 (1 mo. USD LIBOR + 0.795%)		0.884	%		1/25/45		3,409,419	$	2,873,380	(d)
WaMu Mortgage Pass-Through Certificates Trust, 2005-AR17 A1C3 (1 mo. USD LIBOR + 0.960%)		1.049	%		12/25/45		1,635,713		1,069,028	(d)
WaMu Mortgage Pass-Through Certificates Trust, 2006-AR3 A1B (Federal Reserve U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.000%)		1.107	%		2/25/46		1,796,115		1,726,882	(d)
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $93,811,125)									78,399,636
ASSET-BACKED SECURITIES - 3.1%
Aegis Asset Backed Securities Trust, 2003-3 M2 (1 mo. USD LIBOR + 2.475%)		2.564	%		1/25/34		288,827		283,096	(d)
AGL CLO 6 Ltd., 2020-6A ER (3 mo. USD LIBOR + 6.500%)		6.634	%		7/20/34		2,680,000		2,680,000	(a)(d)
Bayview Financial Mortgage Pass- Through Trust, 2006-C 2A3 (1 mo. USD LIBOR + 0.435%)		0.522	%		11/28/36		2,088,812		1,962,823	(d)
BlueMountain CLO XXIX Ltd., 2020-29A ER (3 mo. USD LIBOR + 6.860%)		6.978	%		7/25/34		4,640,000		4,605,075	(a)(d)
Conseco Finance Corp., 1996-4 M1		7.750	%		6/15/27		1,900,202		1,998,418	(d)
Dryden 95 CLO Ltd., 2021-95A SUB		0.000	%		8/20/34		3,900,000		3,408,600	(a)(d)(f)(j)
Ford Credit Floorplan Master Owner Trust, 2018-4 A		4.060	%		11/15/30		3,330,000		3,813,993
Hayfin US XIV Ltd., 2021-14A E (3 mo. USD LIBOR + 7.180%)		7.314	%		7/20/34		5,110,000		4,960,287	(a)(d)(j)
ITE Rail Fund Levered LP, 2021-1A A		2.250	%		2/28/51		1,673,721		1,703,368	(a)
KeyCorp Student Loan Trust, 2005-A 2C (3 mo. USD LIBOR + 1.300%)		1.446	%		12/27/38		3,288,326		3,173,914	(d)
Mercury Financial Credit Card Master Trust, 2021-1A C		4.210	%		3/20/26		4,500,000		4,506,869	(a)
Mill City Solar Loan Ltd., 2019-1A A		4.340	%		3/20/43		3,447,721		3,812,568	(a)
MVW LLC, 2021-1WA D		3.170	%		1/22/41		1,612,715		1,621,725	(a)
Navient Private Education Refi Loan Trust, 2020-A B		3.160	%		11/15/68		3,990,000		4,159,201	(a)
Popular ABS Mortgage Pass-Through Trust, 2005-2 M2, Step bond		6.217	%		4/25/35		4,293,974		3,599,793
RAMP Trust, 2006-RZ3 M1 (1 mo. USD LIBOR + 0.350%)		0.439	%		8/25/36		1,775,749		1,757,437	(d)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         27

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
ASSET-BACKED SECURITIES - (continued)
SMB Private Education Loan Trust, 2021-A A2B		1.590	%		1/15/53		1,790,000	$	1,801,298	(a)
SMB Private Education Loan Trust, 2021-A D2		3.860	%		1/15/53		3,340,000		3,365,732	(a)
TOTAL ASSET-BACKED SECURITIES (Cost - $51,842,470)									53,214,197
SENIOR LOANS - 0.9%
COMMUNICATION SERVICES - 0.3%
Diversified Telecommunication Services - 0.1%
Level 3 Financing Inc., 2027 Term Loan B (1 mo. USD LIBOR + 1.750%)		1.842	%		3/1/27		843,320		826,719	(d)(l)(m)
Media - 0.2%
Charter Communications Operating LLC, Term Loan B1 (1 mo. USD LIBOR + 1.750%)		1.860	%		4/30/25		1,371,312		1,368,981	(d)(l)(m)
Entercom Media Corp., Term Loan B2 (1 mo. USD LIBOR + 2.500%)		2.588	%		11/18/24		65,994		65,210	(d)(l)(m)
Numericable U.S. LLC, USD Term Loan B12 (3 mo. USD LIBOR + 3.688%)		3.814	%		1/31/26		814,206		805,681	(d)(l)(m)
Univision Communications Inc., 2021 Replacement Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 3.250%)		4.000	%		3/15/26		1,372,395		1,371,825	(d)(l)(m)
Virgin Media Bristol LLC, Term Loan Facility N (1 mo. USD LIBOR + 2.500%)		2.593	%		1/31/28		360,000		354,901	(d)(l)(m)
Total Media									3,966,598
TOTAL COMMUNICATION SERVICES									4,793,317
CONSUMER DISCRETIONARY - 0.3%
Diversified Consumer Services - 0.0%††
Prime Security Services Borrower LLC, 2021 Refinancing Term Loan B1 (the greater of 1 mo. USD LIBOR or 0.750% + 2.750%)		3.500	%		9/23/26		856,053		853,258	(d)(l)(m)
Hotels, Restaurants & Leisure - 0.3%
1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%)		1.854	%		11/19/26		1,011,340		993,166	(d)(l)(m)
Alterra Mountain Co., Initial Term Loan (1 mo. USD LIBOR + 2.750%)		2.842	%		7/31/24		283,392		280,853	(d)(l)(m)
Aramark Services Inc., Term Loan B3 (1 mo. USD LIBOR + 1.750%)		1.842	%		3/11/25		1,012,461		998,064	(d)(l)(m)

See Notes to Schedule of Investments.

    28     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Hotels, Restaurants & Leisure - (continued)
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%)		2.854	%		12/23/24		1,177,547	$	1,165,943	(d)(l)(m)
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		165,791		164,399	(d)(l)(m)
Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%)		1.839	%		6/22/26		399,506		395,031	(d)(l)(m)
Scientific Games International Inc., Initial Term Loan B5 (1 mo. USD LIBOR + 2.750%)		2.842	%		8/14/24		1,079,854		1,065,384	(d)(l)(m)
Total Hotels, Restaurants & Leisure									5,062,840
TOTAL CONSUMER DISCRETIONARY									5,916,098
FINANCIALS - 0.1%
Capital Markets - 0.0%††
Edelman Financial Engines Center LLC, 2021 Refinancing Term Loan (the greater of 1 mo. USD LIBOR or 0.750% + 3.500%)		4.250	%		4/7/28		313,088		312,760	(d)(l)(m)
Diversified Financial Services - 0.1%
Jane Street Group LLC, Dollar Term Loan		2.839-2.842	%		1/26/28		332,393		327,822	(d)(l)(m)
Trans Union LLC, Term Loan B5 (1 mo. USD LIBOR + 1.750%)		1.842	%		11/16/26		371,777		367,749	(d)(l)(m)
VFH Parent LLC, Initial Term Loan (1 mo. USD LIBOR + 3.000%)		3.085	%		3/1/26		98,754		98,172	(d)(l)(m)
Total Diversified Financial Services									793,743
Insurance - 0.0%††
Asurion LLC, New Term Loan B7 (1 mo. USD LIBOR + 3.000%)		3.092	%		11/3/24		557,078		548,722	(d)(l)(m)
TOTAL FINANCIALS									1,655,225

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         29

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
HEALTH CARE - 0.2%
Health Care Providers & Services - 0.1%
LifePoint Health Inc., First Lien Term Loan B (1 mo. USD LIBOR + 3.750%)		3.842	%		11/17/25		791,578	$	785,866	(d)(l)(m)
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		357,527	(d)(l)(m)
Phoenix Guarantor Inc., Term Loan B1 (1 mo. USD LIBOR + 3.250%)		3.339	%		3/5/26		274,421		271,300	(d)(l)(m)
Total Health Care Providers & Services									1,414,693
Health Care Technology - 0.1%
AthenaHealth Inc., Additional Term Loan B1 (3 mo. USD LIBOR + 4.250%)		4.410	%		2/11/26		235,210		235,563	(d)(l)(m)
Change Healthcare Holdings LLC, Closing Date Term Loan		2.500-3.500	%		3/1/24		976,967		976,307	(d)(l)(m)
Total Health Care Technology									1,211,870
Pharmaceuticals - 0.0%††
Bausch Health Cos. Inc., Initial Term Loan (1 mo. USD LIBOR + 3.000%)		3.104	%		6/2/25		227,667		226,330	(d)(l)(m)
TOTAL HEALTH CARE									2,852,893
INFORMATION TECHNOLOGY - 0.0%††
Technology Hardware, Storage & Peripherals - 0.0%††
Dell International LLC, Refinancing Term Loan B2 (the greater of 1 mo. USD LIBOR or 0.250% + 1.750%)		2.000	%		9/19/25		492,478		492,316	(d)(l)(m)
MATERIALS - 0.0%††
Containers & Packaging - 0.0%††
Berry Global Inc., Term Loan Z (2 mo. USD LIBOR + 1.750%)		1.856	%		7/1/26		271,961		269,096	(d)(l)(m)
Reynolds Consumer Products LLC, Initial Term Loan (1 mo. USD LIBOR + 1.750%)		1.842	%		2/4/27		233,164		231,023	(d)(l)(m)
Reynolds Group Holdings Inc., Incremental U.S. Term Loan (1 mo. USD LIBOR + 2.750%)		2.842	%		2/6/23		17,768		17,730	(d)(l)(m)
TOTAL MATERIALS									517,849
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		426,131		425,398	(d)(l)(m)
TOTAL SENIOR LOANS (Cost - $16,809,493)									16,653,096

See Notes to Schedule of Investments.

    30     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY		EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
PURCHASED OPTIONS - 0.4%
EXCHANGE-TRADED PURCHASED OPTIONS - 0.1%
Australian Dollar Futures, Call @ $74.00			8/6/21		34		34,000	$	4,080
Australian Dollar Futures, Put @ $74.50			8/6/21		33		33,000		38,940
Australian Dollar Futures, Put @ $75.00			8/6/21		32		32,000		53,120
Canadian Dollar Futures, Call @ $80.50			8/6/21		33		33,000		4,950
Euro Futures, Call @ $1.18			8/6/21		65		8,125,000		60,937
Euro Futures, Call @ $1.19			8/6/21		66		8,250,000		33,000
Euro Futures, Call @ $1.19			9/3/21		66		8,250,000		51,975
Euro Futures, Put @ $1.19			8/6/21		132		16,500,000		39,600
Japanese Yen Futures, Call @ $90.00			8/6/21		162		202,500		230,850
Japanese Yen Futures, Call @ $90.50			8/6/21		161		201,250		138,863
Japanese Yen Futures, Call @ $91.50			8/6/21		65		81,250		8,938
U.S. Treasury 10-Year Notes Futures, Call @ $134.25			8/27/21		66		66,000		50,531
U.S. Treasury 10-Year Notes Futures, Put @ $132.00			8/27/21		65		65,000		5,078
U.S. Treasury 10-Year Notes Futures, Put @ $134.25			8/27/21		132		132,000		74,250
U.S. Treasury 10-Year Notes Futures, Put @ $135.00			8/27/21		130		130,000		123,906
U.S. Treasury Long-Term Bonds Futures, Call @ $164.50			8/27/21		198		198,000		365,063
U.S. Treasury Long-Term Bonds Futures, Call @ $165.50			8/27/21		66		66,000		90,750
U.S. Treasury Long-Term Bonds Futures, Put @ $164.50			8/27/21		42		42,000		68,250
U.S. Treasury Long-Term Bonds Futures, Put @ $166.00			8/27/21		65		65,000		159,453
TOTAL EXCHANGE-TRADED PURCHASED OPTIONS (Cost - $1,481,813)									1,602,534
	COUNTERPARTY
OTC PURCHASED OPTIONS - 0.3%
Credit default swaption to buy protection on Markit CDX.NA.HY.36 Index, Call @ 109.50bps	Morgan Stanley & Co. Inc.		8/18/21		17,220,000		17,220,000		28,990
U.S. Dollar/Brazilian Real, Put @ 5.25BRL	Morgan Stanley & Co. Inc.		10/8/21		17,270,000		17,270,000		510,022

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         31

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	COUNTERPARTY		EXPIRATION DATE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
OTC PURCHASED OPTIONS - (continued)
U.S. Dollar/Colombian Peso, Put @ 3,600.00COP		Citibank N.A.		8/17/21		17,000,000		17,000,000	$	2,029
U.S. Dollar/Colombian Peso, Put @ 3,570.00COP		Morgan Stanley & Co. Inc.		8/18/21		16,660,000		16,660,000		1,394
U.S. Dollar/Euro, Put @ $1.23		BNP Paribas SA		8/11/21		17,280,000		17,280,000		40
U.S. Dollar/Euro, Put @ $1.22		Goldman Sachs Group Inc.		8/19/21		21,360,000		21,360,000		1,495
U.S. Dollar/Euro, Put @ $1.19		Morgan Stanley & Co. Inc.		9/30/21		33,740,000		33,740,000		298,965
U.S. Dollar/Japanese Yen, Put @ 110.00JPY		Goldman Sachs Group Inc.		9/30/21		16,870,000		16,870,000		174,730
U.S. Dollar/Russian Ruble, Call @ 73.20RUB		Goldman Sachs Group Inc.		9/15/21		16,710,000		16,710,000		301,841
U.S. Dollar/Russian Ruble, Call @ 72.00RUB		Goldman Sachs Group Inc.		9/27/21		17,050,000		17,050,000		545,601
U.S. Dollar/Russian Ruble, Call @ 74.30RUB		Goldman Sachs Group Inc.		10/19/21		17,270,000		17,270,000		360,795
U.S. Dollar/Russian Ruble, Put @ 74.15RUB		Morgan Stanley & Co. Inc.		8/3/21		16,530,000		16,530,000		226,149
U.S. Dollar/Russian Ruble, Put @ 75.00RUB		Goldman Sachs Group Inc.		8/6/21		18,030,000		18,030,000		446,002
U.S. Dollar/Russian Ruble, Put @ 73.00RUB		Goldman Sachs Group Inc.		9/20/21		16,979,000		16,979,000		193,371
U.S. Dollar/Russian Ruble, Put @ 74.00RUB		Citibank N.A. Goldman		9/30/21		17,190,000		17,190,000		335,461
U.S. Dollar/Russian Ruble, Put @ 73.50RUB		Sachs Group Inc.		10/5/21		17,159,000		17,159,000		277,674

See Notes to Schedule of Investments.

    32     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY	COUNTERPARTY		EXPIRATION DATE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
OTC PURCHASED OPTIONS - (continued)
U.S. Dollar/Russian Ruble, Put @ 73.50RUB		Morgan Stanley & Co. Inc.		10/11/21			8,450,000		8,450,000	$	140,784
U.S. Dollar/Russian Ruble, Put @ 74.83RUB		JPMorgan Chase & Co.		10/28/21			17,070,000		17,070,000		474,286
U.S. Dollar/Russian Ruble, Put @ 74.70RUB		Goldman Sachs Group Inc.		1/13/22			16,900,000		16,900,000		478,492
TOTAL OTC PURCHASED OPTIONS (Cost - $6,203,832)											4,798,121
TOTAL PURCHASED OPTIONS (Cost - $7,685,645)											6,400,655
			RATE			MATURITY DATE		FACE AMOUNT†
MUNICIPAL BONDS - 0.3%
California - 0.0%††
Morongo Band of Mission Indians, CA, Revenue, Tribal Economic Development, Series A				7.000	%		10/1/39		360,000		484,413	(a)
Regents of the University of California, CA, Medical Center Pooled Revenue, Taxable Bonds, Series N				3.706	%		5/15/2120		205,000		230,161
Total California											714,574
Illinois - 0.2%
State of Illinois, GO				5.100	%		6/1/33		2,925,000		3,510,707
Michigan - 0.1%
Detroit, MI, GO, Financial Recovery, Series B1				4.000	%		4/1/44		820,000		799,664	(d)
TOTAL MUNICIPAL BONDS (Cost - $4,092,820)											5,024,945
								SHARES
COMMON STOCKS - 0.1%
ENERGY - 0.0%††
Oil, Gas & Consumable Fuels - 0.0%††
Berry Corp.									40,182		223,010
Southwestern Energy Co.									47,139		222,025	*
TOTAL ENERGY											445,035
FINANCIALS - 0.1%
Capital Markets - 0.1%
EG Acquisition Corp., Class A Shares									210,820		2,048,116	*
TOTAL COMMON STOCKS (Cost - $4,347,550)											2,493,151

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         33

WESTERN ASSET MACRO OPPORTUNITIES FUND

(Percentages shown based on Fund net assets)

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

SECURITY				EXPIRATION DATE		WARRANTS			VALUE
WARRANTS - 0.0%††
EG Acquisition Corp., Class A Shares (Cost - $67,285)					5/28/28		70,273		$	62,542	*
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $1,570,123,556)										1,610,030,332
	RATE			MATURITY DATE		FACE AMOUNT†
SHORT-TERM INVESTMENTS - 0.3%
SOVEREIGN BONDS - 0.1%
Egypt Treasury Bills (Cost - $851,948)		12.826	%		4/12/22		14,550,000	EGP	$	851,551	(n)
						SHARES
MONEY MARKET FUNDS - 0.2%
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $4,283,953)		0.010	%				4,283,953			4,283,953	(o)
TOTAL SHORT-TERM INVESTMENTS (Cost - $5,135,901)										5,135,504
TOTAL INVESTMENTS - 93.3% (Cost - $1,575,259,457)										1,615,165,836
Other Assets in Excess of Liabilities - 6.7%										115,281,329
TOTAL NET ASSETS - 100.0%									$	1,730,447,165

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) July 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) 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.

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

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

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

(i) Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities.

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

(k) 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.

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

(m) 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.

(n) Rate shown represents yield-to-maturity.

(o) 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 July 31, 2021, the total market value of investments in Affiliated Companies was $4,283,953 and the cost was $4,283,953 (Note 2).

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) July 31, 2021

Abbreviation(s) used in this schedule:
AUD	— Australian Dollar
bps	— basis point spread (100 basis points = 1.00%)
BRL	— Brazilian Real
CAS	— Connecticut Avenue Securities
CLO	— Collateralized Loan Obligation
CMT	— Constant Maturity Treasury
CNY	— Chinese Yuan Renminbi
COP	— Colombian Peso
EGP	— Egyptian Pound
EUR	— Euro
GBP	— British Pound
GO	— General Obligation
GTD	— Guaranteed
ICE	— Intercontinental Exchange
IDR	— Indonesian Rupiah
IO	— Interest Only
JPY	— Japanese Yen
LIBOR	— London Interbank Offered Rate
MXN	— Mexican Peso
OFZ	— Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
PIK	— Payment-In-Kind
REMIC	— Real Estate Mortgage Investment Conduit
RUB	— Russian Ruble
SOFR	— Secured Overnight Financing Rate
USD	— United States Dollar

SCHEDULE OF WRITTEN OPTIONS

EXCHANGE-TRADED WRITTEN OPTIONS

SECURITY	EXPIRATION DATE		STRIKE PRICE		CONTRACTS		NOTIONAL AMOUNT†		VALUE
Australian Dollar Futures, Call		8/6/21	$	75.00		45		45,000	$	(675	)
Australian Dollar Futures, Call		8/6/21		75.50		130		130,000		(1,300	)
Australian Dollar Futures, Call		8/6/21		76.00		197		197,000		(985	)
Australian Dollar Futures, Call		8/6/21		76.50		163		163,000		(815	)
Australian Dollar Futures, Call		8/6/21		78.00		65		65,000		(325	)
Australian Dollar Futures, Call		9/3/21		74.00		66		66,000		(33,660	)
British Pound Futures, Call		8/6/21		139.00		64		40,000		(19,600	)
Canadian Dollar Futures, Call		8/6/21		81.00		97		97,000		(4,365	)
Canadian Dollar Futures, Call		8/6/21		82.00		33		33,000		(165	)
Canadian Dollar Futures, Call		9/3/21		80.50		33		33,000		(16,500	)
Euro Futures, Call		8/6/21		1.19		66		8,250,000		(14,850	)
Euro Futures, Call		8/6/21		1.20		227		28,375,000		(17,025	)

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) July 31, 2021

SCHEDULE OF WRITTEN OPTIONS - (continued)

SECURITY	EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
Euro Futures, Call		8/6/21	$	1.20			65		8,125,000	$	(1,625	)
Euro Futures, Put		8/6/21		1.18			65		8,125,000		(7,313	)
Euro-Bund Futures, Put		8/27/21		172.00	EUR		130		13,000,000		(3,084	)
Euro-Bund Futures, Put		8/27/21		173.00	EUR		128		12,800,000		(7,592	)
Euro-Bund Futures, Put		8/27/21		175.50	EUR		66		6,600,000		(29,751	)
Euro-Bund Futures, Put		8/27/21		176.00	EUR		66		6,600,000		(42,278	)
Eurodollar 2-Year Midcurve Futures, Call		12/10/21		98.75			309		772,500		(309,000	)
Eurodollar 2-Year Midcurve Futures, Call		12/10/21		99.13			462		1,155,000		(173,250	)
Eurodollar 2-Year Midcurve Futures, Call		12/10/21		99.25			965		2,412,500		(223,156	)
Eurodollar 2-Year Midcurve Futures, Put		12/10/21		98.75			2,652		6,630,000		(364,650	)
U.S. Treasury 5-Year Notes Futures, Call		8/27/21		124.50			327		327,000		(99,633	)
U.S. Treasury 5-Year Notes Futures, Put		8/27/21		124.00			717		717,000		(128,836	)
U.S. Treasury 5-Year Notes Futures, Put		8/27/21		124.25			327		327,000		(84,305	)
U.S. Treasury 10-Year Notes Futures, Call		8/27/21		134.00			1,413		1,413,000		(1,302,609	)
U.S. Treasury 10-Year Notes Futures, Call		8/27/21		134.50			389		389,000		(243,125	)
U.S. Treasury 10-Year Notes Futures, Call		8/27/21		135.00			866		866,000		(351,812	)
U.S. Treasury 10-Year Notes Futures, Call		8/27/21		135.50			359		359,000		(89,750	)
U.S. Treasury 10-Year Notes Futures, Call		8/27/21		136.00			26		26,000		(3,656	)
U.S. Treasury 10-Year Notes Futures, Call		9/24/21		134.50			458		458,000		(286,250	)
U.S. Treasury 10-Year Notes Futures, Call		9/24/21		135.00			197		197,000		(86,188	)
U.S. Treasury 10-Year Notes Futures, Put		8/27/21		132.50			260		260,000		(32,500	)
U.S. Treasury 10-Year Notes Futures, Put		8/27/21		133.00			302		302,000		(61,344	)
U.S. Treasury 10-Year Notes Futures, Put		8/27/21		133.50			1,828		1,828,000		(571,250	)
U.S. Treasury 10-Year Notes Futures, Put		8/27/21		134.00			535		535,000		(250,781	)
U.S. Treasury 10-Year Notes Futures, Put		9/24/21		132.00			147		147,000		(48,234	)
U.S. Treasury 10-Year Notes Futures, Put		9/24/21		133.00			245		245,000		(141,641	)
U.S. Treasury Long-Term Bonds Futures, Call		8/27/21		160.00			163		163,000		(820,094	)
U.S. Treasury Long-Term Bonds Futures, Call		8/27/21		161.00			196		196,000		(820,750	)
U.S. Treasury Long-Term Bonds Futures, Call		8/27/21		162.00			128		128,000		(436,000	)
U.S. Treasury Long-Term Bonds Futures, Call		8/27/21		163.00			97		97,000		(263,719	)
U.S. Treasury Long-Term Bonds Futures, Call		8/27/21		164.00			1		1,000		(2,109	)
U.S. Treasury Long-Term Bonds Futures, Call		8/27/21		165.00			745		745,000		(1,187,344	)

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) July 31, 2021

SCHEDULE OF WRITTEN OPTIONS - (continued)

SECURITY		EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†			VALUE
U.S. Treasury Long-Term Bonds Futures, Call			8/27/21	$	166.00			423		423,000		$	(495,703	)
U.S. Treasury Long-Term Bonds Futures, Call			8/27/21		167.00			654		654,000			(551,812	)
U.S. Treasury Long-Term Bonds Futures, Call			8/27/21		168.00			245		245,000			(141,641	)��
U.S. Treasury Long-Term Bonds Futures, Put			8/27/21		152.00			654		654,000			(20,438	)
U.S. Treasury Long-Term Bonds Futures, Put			8/27/21		158.00			586		586,000			(82,406	)
U.S. Treasury Long-Term Bonds Futures, Put			8/27/21		161.00			65		65,000			(30,469	)
U.S. Treasury Long-Term Bonds Futures, Put			8/27/21		161.50			196		196,000			(113,313	)
U.S. Treasury Long-Term Bonds Futures, Put			8/27/21		162.00			1,162		1,162,000			(798,875	)
U.S. Treasury Long-Term Bonds Futures, Put			8/27/21		163.00			313		313,000			(313,000	)
U.S. Treasury Long-Term Bonds Futures, Put			8/27/21		163.50			99		99,000			(117,562	)
U.S. Treasury Long-Term Bonds Futures, Put			8/27/21		164.00			367		367,000			(510,359	)
TOTAL EXCHANGE-TRADED WRITTEN OPTIONS (Premiums received - $12,546,908)												$	(11,759,472	)
OTC WRITTEN OPTIONS
	COUNTERPARTY
Credit default swaption to sell protection on Markit CDX.NA.HY.36 Index, Call	Morgan Stanley & Co. Inc.		8/18/21		110.00	bps		34,440,000		34,440,000	‡	$	(11,978	)
U.S. Dollar/Brazilian Real, Put	Goldman Sachs Group Inc.		8/5/21		5.10	BRL		25,660,000		25,660,000			(57,700	)
U.S. Dollar/Brazilian Real, Put	Morgan Stanley & Co. Inc.		10/8/21		5.06	BRL		34,540,000		34,540,000			(450,184	)
U.S. Dollar/Japanese Yen, Call	Goldman Sachs Group Inc.		9/30/21		112.50	JPY		16,870,000		16,870,000			(25,964	)
U.S. Dollar/Mexican Peso, Put	Morgan Stanley & Co. Inc.		8/17/21		19.75	MXN		16,630,000		16,630,000			(78,485	)
U.S. Dollar/Russian Ruble, Call	Goldman Sachs Group Inc.		9/15/21		76.00	RUB		33,420,000		33,420,000			(210,246	)
U.S. Dollar/Russian Ruble, Call	Goldman Sachs Group Inc.		9/27/21		74.75	RUB		34,100,000		34,100,000			(460,006	)

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) July 31, 2021

SCHEDULE OF WRITTEN OPTIONS - (continued)

SECURITY	COUNTERPARTY	EXPIRATION DATE		STRIKE PRICE			CONTRACTS		NOTIONAL AMOUNT†		VALUE
U.S. Dollar/Russian Ruble, Call	Goldman Sachs Group Inc.		10/19/21		77.30	RUB		34,540,000		34,540,000	$	(324,254	)
U.S. Dollar/Russian Ruble, Put	Goldman Sachs Group Inc.		8/6/21		73.00	RUB		36,060,000		36,060,000		(136,623	)
U.S. Dollar/Russian Ruble, Put	Goldman Sachs Group Inc.		8/6/21		74.18	RUB		16,900,000		16,900,000		(246,283	)
U.S. Dollar/Russian Ruble, Put	Goldman Sachs Group Inc.		9/20/21		71.46	RUB		33,958,000		33,958,000		(144,021	)
U.S. Dollar/Russian Ruble, Put	Citibank N.A.		9/30/21		72.30	RUB		34,380,000		34,380,000		(297,363	)
U.S. Dollar/Russian Ruble, Put	Morgan Stanley & Co. Inc.		10/11/21		72.00	RUB		16,900,000		16,900,000		(139,328	)
TOTAL OTC WRITTEN OPTIONS (Premiums received - $4,584,812)											$	(2,582,435	)
TOTAL WRITTEN OPTIONS (Premiums received - $17,131,720)											$	(14,341,907	)

† 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.

Abbreviation(s) used in this schedule:
bps	— basis point spread (100 basis points = 1.00%)
BRL	— Brazilian Real
EUR	— Euro
JPY	— Japanese Yen
MXN	— Mexican Peso
RUB	— Russian Ruble

At July 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		686		6/23	$	170,199,878	$	170,479,575	$	279,697
90-Day Eurodollar		1,920		9/23		475,439,032		476,160,000		720,968
90-Day Eurodollar		13,514		12/23		3,341,661,626		3,347,924,575		6,262,949
Australian Dollar		1,032		9/21		78,865,754		75,707,520		(3,158,234	)
British Pound		25		9/21		2,173,656		2,170,781		(2,875	)
Canadian Dollar		276		9/21		22,836,870		22,115,880		(720,990	)
Japanese Yen		300		9/21		34,260,316		34,175,625		(84,691	)
Mexican Peso		2,552		9/21		63,663,557		63,761,720		98,163

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) July 31, 2021

	Number of Contracts		Expiration Date		Notional Amount		Market Value		Unrealized Appreciation (Depreciation)
Contracts to Buy continued
Russian Ruble		1,029		9/21	$	34,978,135	$	34,934,550	$	(43,585	)
U.S. Treasury 2-Year Notes		194		9/21		42,766,727		42,807,313		40,586
U.S. Treasury 5-Year Notes		12,440		9/21		1,538,179,755		1,548,099,656		9,919,901
U.S. Treasury Long- Term Bonds		9,487		9/21		1,507,352,600		1,562,686,781		55,334,181
U.S. Treasury Ultra Long-Term Bonds		567		9/21		112,593,830		113,134,219		540,389
										69,186,459
Contracts to Sell:
90-Day Eurodollar		1,379		12/21		343,935,467		344,146,688		(211,221	)
Euro		325		9/21		48,475,002		48,205,625		269,377
Euro-BTP		575		9/21		102,564,112		105,233,424		(2,669,312	)
Euro-Bund		5,039		9/21		1,026,859,376		1,055,449,603		(28,590,227	)
Euro-Buxl		77		9/21		18,909,972		19,642,022		(732,050	)
U.S. Treasury 10-Year Notes		13,871		9/21		1,848,659,287		1,864,999,366		(16,340,079	)
U.S. Treasury Ultra 10-Year Notes		302		9/21		45,185,227		45,375,500		(190,273	)
United Kingdom Long Gilt Bonds		883		9/21		155,649,450		159,300,352		(3,650,902	)
										(52,114,687	)
Net unrealized appreciation on open futures contracts									$	17,071,772

Abbreviation(s) used in this table:
BTP	— Buoni del Tesoro Poliennali (Italian Treasury Bonds)

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

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
RUB	503,173,200		USD	6,631,511	Goldman Sachs Group Inc.		8/4/21	$	241,886
USD	16,786,972		RUB	1,225,616,850	Goldman Sachs Group Inc.		8/4/21		44,920
USD	6,612,000		RUB	503,173,200	Morgan Stanley & Co. Inc.		8/4/21		(261,397	)
RUB	208,331,499		USD	2,768,893	Goldman Sachs Group Inc.		8/9/21		74,544
USD	6,146,154		COP	22,753,061,538	Citibank N.A.		8/19/21		285,233
COP	22,753,061,538		USD	6,173,670	Goldman Sachs Group Inc.		8/19/21		(312,750	)
MXN	150,119,010		USD	7,483,500	Morgan Stanley & Co. Inc.		8/19/21		37,858

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) July 31, 2021

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	7,498,632		MXN	150,119,010	Morgan Stanley & Co. Inc.		8/19/21	$	(22,726	)
RUB	225,056,769		USD	3,041,308	Citibank N.A.		10/1/21		2,872
USD	17,389,077		EUR	14,645,900	Morgan Stanley & Co. Inc.		10/4/21		(7,351	)
USD	8,460,198		RUB	628,635,000	Goldman Sachs Group Inc.		10/6/21		(35,754	)
RUB	19,825,000		USD	260,000	Morgan Stanley & Co. Inc.		10/12/21		7,664
BRL	15,076,843		USD	2,882,762	Morgan Stanley & Co. Inc.		10/14/21		(17,447	)
INR	1,230,803,022		USD	16,271,424	Citibank N.A.		10/18/21		134,690
CAD	24,757,486		USD	19,710,966	Citibank N.A.		10/19/21		132,116
CNY	60,856,000		USD	9,327,125	Citibank N.A.		10/19/21		43,838
CNY	291,642,000		USD	44,739,289	Citibank N.A.		10/19/21		169,452
USD	6,012,423		EUR	5,100,000	Citibank N.A.		10/19/21		(47,127	)
USD	6,138,001		EUR	5,200,000	Citibank N.A.		10/19/21		(40,362	)
USD	6,526,547		EUR	5,500,000	Citibank N.A.		10/19/21		(8,260	)
USD	15,521,048		MXN	314,950,000	Citibank N.A.		10/19/21		(125,098	)
USD	17,436,494		TWD	482,956,000	Citibank N.A.		10/19/21		165,160
BRL	55,920,000		USD	10,617,050	Goldman Sachs Group Inc.		10/19/21		2,544
CAD	15,000		USD	12,005	Goldman Sachs Group Inc.		10/19/21		18
CAD	14,570,000		USD	11,737,392	Goldman Sachs Group Inc.		10/19/21		(59,562	)
RUB	293,960,000		USD	3,888,536	Goldman Sachs Group Inc.		10/19/21		75,656
RUB	597,784,975		USD	7,995,679	Goldman Sachs Group Inc.		10/19/21		65,739
RUB	1,225,616,850		USD	16,573,812	Goldman Sachs Group Inc.		10/19/21		(45,780	)
USD	15,012,638		BRL	76,620,000	Goldman Sachs Group Inc.		10/19/21		461,972
USD	4,515,236		EUR	3,800,000	Goldman Sachs Group Inc.		10/19/21		278
USD	2,477,151		GBP	1,800,000	Goldman Sachs Group Inc.		10/19/21		(25,302	)
USD	6,820,030		GBP	4,927,059	Goldman Sachs Group Inc.		10/19/21		(29,822	)
USD	71,557		TWD	1,995,000	Goldman Sachs Group Inc.		10/19/21		212
ZAR	9,988,464		USD	686,681	Goldman Sachs Group Inc.		10/19/21		(11,880	)
AUD	245,000		USD	182,231	JPMorgan Chase & Co.		10/19/21		(2,372	)
JPY	665,329,000		USD	6,043,276	JPMorgan Chase & Co.		10/19/21		25,368
KRW	278,241,000		USD	242,370	JPMorgan Chase & Co.		10/19/21		(758	)
KRW 19,571,911,000			USD	17,255,681	JPMorgan Chase & Co.		10/19/21		(260,323	)
RUB	1,230,687,669		USD	16,353,784	JPMorgan Chase & Co.		10/19/21		242,631
USD	1,260,036		AUD	1,691,460	JPMorgan Chase & Co.		10/19/21		18,300
USD	10,910,404		AUD	14,547,206	JPMorgan Chase & Co.		10/19/21		231,000
USD	10,112,244		CNH	65,929,810	JPMorgan Chase & Co.		10/19/21		(18,752	)
USD	1,365,832		IDR	20,070,904,000	JPMorgan Chase & Co.		10/19/21		(13,708	)
USD	53,688,960		IDR	792,341,665,100	JPMorgan Chase & Co.		10/19/21		(771,318	)
USD	16,090,774		JPY	1,765,973,719	JPMorgan Chase & Co.		10/19/21		(17,145	)
BRL	1,466,000		USD	276,265	Morgan Stanley & Co. Inc.		10/19/21		2,139

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         41

WESTERN ASSET MACRO OPPORTUNITIES FUND

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

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
BRL	55,242,000		USD	10,491,847	Morgan Stanley & Co. Inc.		10/19/21	$	(1,011	)
BRL	288,958,514		USD	54,966,292	Morgan Stanley & Co. Inc.		10/19/21		(91,079	)
COP	4,896,447,000		USD	1,271,342	Morgan Stanley & Co. Inc.		10/19/21		(14,045	)
COP	21,069,820,000		USD	5,536,021	Morgan Stanley & Co. Inc.		10/19/21		(125,767	)
COP	31,252,650,000		USD	8,129,819	Morgan Stanley & Co. Inc.		10/19/21		(104,844	)
EUR	17,634,327		USD	20,972,753	Morgan Stanley & Co. Inc.		10/19/21		(20,581	)
MXN	42,614,000		USD	2,116,496	Morgan Stanley & Co. Inc.		10/19/21		490
NOK	8,738,554		USD	1,001,599	Morgan Stanley & Co. Inc.		10/19/21		(12,494	)
RUB	5,882,000		USD	77,706	Morgan Stanley & Co. Inc.		10/19/21		1,616
USD	70,476,372		MXN	1,424,221,757	Morgan Stanley & Co. Inc.		10/19/21		(276,386	)
USD	25,453,862		RUB	1,932,075,362	Morgan Stanley & Co. Inc.		10/19/21		(601,104	)
USD	10,045,040		RUB	751,670,343	JPMorgan Chase & Co.		10/29/21		(74,756	)
Total								$	(988,865	)

Abbreviation(s) used in this table:
AUD	— Australian Dollar
BRL	— Brazilian Real
CAD	— Canadian Dollar
CNH	— Chinese Offshore Yuan
CNY	— Chinese Yuan Renminbi
COP	— Colombian Peso
EUR	— Euro
GBP	— British Pound
IDR	— Indonesian Rupiah
INR	— Indian Rupee
JPY	— Japanese Yen
KRW	— South Korean Won
MXN	— Mexican Peso
NOK	— Norwegian Krone
RUB	— Russian Ruble
TWD	— Taiwan Dollar
USD	— United States Dollar
ZAR	— South African Rand

See Notes to Schedule of Investments.

    42     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

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

At July 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 DEPRECIATION
Bank of America
N.A.		410,850,000	BRL		1/2/24		BRL-CDI**		7.207**		—	$	(1,345,556	)
Goldman Sachs Group Inc.		678,600,000	RUB		3/2/31		RUB-MOSPRIME-NFEA**		7.020**		—		(9,503	)
JPMorgan Chase & Co.		105,373,000	BRL		1/2/24		BRL-CDI**		7.280**		—		(173,736	)
JPMorgan Chase & Co.		191,900,000	BRL		1/2/24		BRL-CDI**		6.917**		—		(529,410	)
JPMorgan Chase & Co.		240,070,000	BRL		1/2/24		BRL-CDI**		6.520**		—		(1,084,683	)
Goldman Sachs Group Inc.		273,801,000	BRL		1/2/24		BRL-CDI**		7.400**		—		(708,922	)
Total											—	$	(3,851,810	)

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	$	(451	)	$	77,735
		301,793,000		6/4/24	3-Month LIBOR quarterly	0.820% semi-annually		—			52,242
		958,061,000		3/1/25	3-Month LIBOR quarterly	1.410% semi-annually		(515,405	)		3,504,221
		339,656,000		6/21/25	3-Month LIBOR quarterly	1.515% semi-annually		40,547			1,073,134
		33,630,000		5/12/26	CPURNSA**	2.790**		(52,507	)		(340,238	)
		1,158,591,000		5/15/27	0.450% semi-annually	3-Month LIBOR quarterly		(1,609,249	)		31,864,891
		98,052,000		5/15/27	0.260% annually	Daily U.S. Federal Funds Intraday Effective Rate annually		(329,133	)		2,930,760
		176,848,000		2/15/28	1.250% semi-annually	3-Month LIBOR quarterly		217,594			(3,093,179	)
		103,751,000		2/15/28	1.350% semi-annually	3-Month LIBOR quarterly		(315,825	)		(2,142,690	)

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         43

WESTERN ASSET MACRO OPPORTUNITIES FUND

Schedule of investments (unaudited) (cont’d) July 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)
	$	138,670,000		5/20/30		0.713% semi-annually		3-Month LIBOR quarterly	$	(73,136	)	$	5,925,162
		145,530,000		6/24/30		0.689% semi-annually		3-Month LIBOR quarterly		—			6,596,221
		148,530,000		7/8/30		0.680% semi-annually		3-Month LIBOR quarterly		—			6,911,047
		41,100,000		7/20/45		0.560% annually		Daily SOFR annually		253,132			6,871,104
		12,970,000		8/19/45		0.740% annually		Daily SOFR annually		—			1,711,428
		12,800,000		11/15/45		0.800% semi-annually		3-Month LIBOR quarterly		586,142			1,722,552
		77,913,000		2/15/47		1.000% semi-annually		3-Month LIBOR quarterly		346,073			11,017,744
		17,476,000		2/15/47		1.200% semi-annually		3-Month LIBOR quarterly		96,262			1,690,085
		8,507,000		2/15/47		1.225% semi-annually		3-Month LIBOR quarterly		7,577			815,584
		8,329,000		2/15/47		1.600% semi-annually		3-Month LIBOR quarterly		49,041			19,288
		21,337,000		2/15/47		1.630% semi-annually		3-Month LIBOR quarterly		240,553			(152,761	)
		48,402,000		2/15/47		2.000% semi-annually		3-Month LIBOR quarterly		697,680			(4,201,918	)
		14,798,000		2/15/47		2.250% semi-annually		3-Month LIBOR quarterly		(18,497	)		(1,860,108	)
		20,905,000		2/15/47		1.729% annually		Daily SOFR Compound annually		—			(1,641,120	)
		5,620,000		3/17/50		0.900% semi-annually		3-Month LIBOR quarterly		95,340			951,058
		5,030,000		10/7/50		1.200% semi-annually		3-Month LIBOR quarterly		39,715			546,009
		1,492,000		6/3/51		2.000% semi-annually		3-Month LIBOR quarterly		15,517			(144,273	)
		4,478,000		6/7/51		2.050% semi-annually		3-Month LIBOR quarterly		(560	)		(408,856	)
		35,100,000		7/9/51		1.671% semi-annually		3-Month LIBOR quarterly		—			73,714
Total	$	4,152,754,000							$	(229,590	)	$	70,368,836

See Notes to Schedule of Investments.

    44     Western Asset Macro Opportunities Fund 2021 Quarterly Report

WESTERN ASSET MACRO OPPORTUNITIES FUND

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

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		IMPLIED CREDIT SPREAD AT JULY 31, 20213		PERIODIC PAYMENTS RECEIVED BY THE FUND†		MARKET VALUE			UPFRONT PREMIUMS PAID (RECEIVED)			UNREALIZED APPRECIATION
Teva
Pharmaceutical
Finance Co. BV, 3.650%, due 11/10/21	$	3,270,000		6/20/26		3.115%		1.000% quarterly	$	(298,554	)	$	(315,156	)	$	16,602

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1
REFERENCE ENTITY	NOTIONAL AMOUNT2		TERMINATION DATE		PERIODIC PAYMENTS RECEIVED BY THE FUND†		MARKET VALUE		UPFRONT PREMIUMS PAID (RECEIVED)		UNREALIZED APPRECIATION
Markit CDX.NA.HY.36 Index	$	50,290,000		6/20/26		5.000% quarterly	$	4,625,259	$	3,990,994	$	634,265
Markit CDX.NA.IG.36 Index		260,164,000		6/20/26		1.000% quarterly		6,270,733		5,409,267		861,466
Total	$	310,454,000					$	10,895,992	$	9,400,261	$	1,495,731

See Notes to Schedule of Investments.

Western Asset Macro Opportunities Fund 2021 Quarterly Report         45

WESTERN ASSET MACRO OPPORTUNITIES FUND

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

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  Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads 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. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.

⁴  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
CPURNSA	— U.S. CPI Urban Consumers NSA Index
LIBOR	— London Interbank Offered Rate
MOSPRIME-NFEA	— Moscow Prime Offered Rate-National Foreign Exchange Association
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.

    46     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 typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the 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 Global Fund Valuation Committee (formerly known as Legg Mason North Atlantic Fund Valuation Committee prior to March 1, 2021) (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

47

Notes to Schedule of Investments (unaudited) (continued)

Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

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

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of 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)

48

Notes to Schedule of Investments (unaudited) (continued)

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

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

ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Long-Term Investments†:
Corporate Bonds & Notes:
Financials		—	$	164,472,212	$	2,483,937	$	166,956,149
Other Corporate Bonds & Notes		—		474,439,596		—		474,439,596
Sovereign Bonds		—		474,117,293		—		474,117,293
U.S. Government & Agency Obligations		—		332,269,072		—		332,269,072
Collateralized Mortgage Obligations		—		78,399,636		—		78,399,636
Asset-Backed Securities		—		53,214,197		—		53,214,197
Senior Loans		—		16,653,096		—		16,653,096
Purchased Options:
Exchange-Traded Purchased Options	$	1,602,534		—		—		1,602,534
OTC Purchased Options		—		4,798,121		—		4,798,121
Municipal Bonds		—		5,024,945		—		5,024,945
Common Stocks:
Energy		445,035		—		—		445,035
Financials		—		2,048,116		—		2,048,116
Warrants		62,542		—		—		62,542
Total Long-Term Investments		2,110,111		1,605,436,284		2,483,937		1,610,030,332
Short-Term Investments†:
Sovereign Bonds		—		851,551		—		851,551
Money Market Funds		4,283,953		—		—		4,283,953
Total Short-Term Investments		4,283,953		851,551		—		5,135,504
Total Investments	$	6,394,064	$	1,606,287,835	$	2,483,937	$	1,615,165,836

49

Notes to Schedule of Investments (unaudited) (continued)

ASSETS (cont’d)
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Futures Contracts††	$	73,466,211		—		—	$	73,466,211
Forward Foreign Currency Contracts††		—	$	2,468,196		—		2,468,196
Centrally Cleared Interest Rate Swaps††		—		84,353,979		—		84,353,979
Centrally Cleared Credit Default Swaps on Corporate Issues — Sell Protection††		—		16,602		—		16,602
Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection††		—		1,495,731		—		1,495,731
Total Other Financial Instruments	$	73,466,211	$	88,334,508		—	$	161,800,719
Total	$	79,860,275	$	1,694,622,343	$	2,483,937	$	1,776,966,555
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	$	11,759,472		—		—	$	11,759,472
OTC Written Options		—	$	2,582,435		—		2,582,435
Futures Contracts††		56,394,439		—		—		56,394,439
Forward Foreign Currency Contracts††		—		3,457,061		—		3,457,061
OTC Interest Rate Swaps		—		3,851,810		—		3,851,810
Centrally Cleared Interest Rate Swaps††		—		13,985,143		—		13,985,143
Total	$	68,153,911	$	23,876,449		—	$	92,030,360

† See Schedule of Investments for additional detailed categorizations.

†† Reflects the unrealized appreciation (depreciation) of the instruments.

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Notes to Schedule of Investments (unaudited) (continued)

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 July 31, 2021. The following transactions were effected in such company for the period ended July 31, 2021.

	Affiliate Value at October 31, 2020		Purchased				Sold				Realized		Interest		Net Increase (Decrease) in Unrealized Appreciation		Affiliate Value at July 31,
			Cost		Shares		Cost		Shares		Gain (Loss)		Income		(Depreciation)		2021
Western Asset Premier Institutional Government Reserves, Premium Shares	$	24,106,430	$	701,672,889		701,672,889	$	721,495,366		721,495,366		—	$	1,961		—	$	4,283,953

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