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    Formulario N-CSR WESTERN ASSET INFLATION- Para: 30 de noviembre
    Tipo de Cambio de Divisas

    Formulario N-CSR WESTERN ASSET INFLATION- Para: 30 de noviembre

    Robert SantosBy Robert Santosenero 30, 2020No hay comentarios220 Mins Read
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    ESTADOS UNIDOS

    COMISIÓN NACIONAL DEL MERCADO DE VALORES

    Washington, D.C.20549

    FORMAR N-CSR

    CERTIFICADO
    INFORME DE ACCIONISTAS DE REGISTRADOS

    GESTIÓN DE EMPRESAS DE INVERSIÓN

    Número de archivo de la Ley de Sociedades de Inversión 811-21477

    Fondo de ingresos y oportunidades vinculados a la inflación de activos occidentales

    (Nombre exacto del registrante como se especifica en la carta)

    620 octavo
    Avenue, 49th Floor, Nueva York, NY 10018

    (Dirección de las oficinas ejecutivas principales) (Código postal)

    Robert I. Frenkel, Esq.

    Legg Mason & Co., LLC

    100 Primer lugar de Stamford

    Stamford, CT 06902

    (Nombre
    y dirección del agente para el servicio)

    Número de teléfono del registratario, incluido el código de área: (888) 777-0102

    Fecha de fin del año fiscal: 30 de noviembre

    Fecha del período del informe: 30 de noviembre de 2019


    OBJETO 1.

    INFORME A LOS ACCIONISTAS.

    los Anual Se presenta un informe a los Accionistas.


    LOGO

    Reporte anual 30 de noviembre de 2019

    ACTIVO OCCIDENTAL

    ENLACE INFLADO

    OPORTUNIDADES Y

    FONDO DE INGRESOS (WIW)

    A partir de enero de 2021, según lo permitido por las regulaciones adoptadas por la Comisión de Bolsa y Valores, el Fondo
    tiene la intención de dejar de enviar copias impresas de los informes de accionistas del Fondo como este, a menos que solicite específicamente copias impresas de los informes del Fondo o de su intermediario financiero (como un corredor de bolsa o banco). En lugar,
    los informes estarán disponibles en un sitio web, y se le notificará por correo cada vez que se publique un informe y se le proporcione un enlace al sitio web para acceder al informe.

    Si invierte a través de un intermediario financiero y ya eligió recibir informes de accionistas electrónicamente ("Entrega electrónica"), este cambio no lo afectará y no necesita tomar ninguna medida. Si aún no has elegido entrega electrónica, puedes elegir recibir
    informes de accionistas y otras comunicaciones del Fondo electrónicamente contactando a su intermediario financiero.

    Puede elegir recibir todos los informes futuros en papel de forma gratuita. Si invierte a través de un intermediario financiero, puede comunicarse con su intermediario financiero para solicitar que continúe recibiendo copias en papel.
    de sus informes de accionistas. Esa elección se aplicará a todos los fondos de Legg Mason en su cuenta en ese intermediario financiero. Si es accionista directo del Fondo, puede llamar al Fondo al 1-888-888-0151, o escriba al Fondo por correo postal a P.O. Box 505000, Louisville, KY 40233 o por entrega nocturna a Computershare, 462 South 4th Street, Suite
    1600, Louisville, KY 40202 para informar al Fondo que desea continuar recibiendo copias en papel de sus informes de accionistas. Esa elección se aplicará a todos los fondos de Legg Mason en su cuenta mantenida directamente con el complejo de fondos.

    LOGO

    PRODUCTOS DE INVERSIÓN: NO ASEGURADOS POR LA FDIC • SIN GARANTÍA BANCARIA • PUEDE PERDER
    VALOR

    Objetivos del fondo

    El objetivo principal de inversión del Fondo es proporcionar ingresos actuales. La apreciación del capital, cuando es consistente con el ingreso actual, es un objetivo secundario de inversión.

    Carta del presidente

    LOGO

    Estimado accionista,

    Nos complace proporcionar el informe anual de Western Asset Inflation-Linked Opportunities & Income Fund para el informe de doce meses
    período finalizado el 30 de noviembre de 2019. Siga leyendo para obtener una visión detallada de las condiciones económicas y de mercado prevalecientes durante el período de presentación de informes del Fondo y para saber cómo esas condiciones han afectado el rendimiento del Fondo.

    Como siempre, seguimos comprometidos a brindarle un excelente servicio y un espectro completo de opciones de inversión. También seguimos comprometidos a complementar el
    Apoyo que recibe de su asesor financiero. Una forma de lograr esto es a través de nuestro sitio web, www.lmcef.com. Aquí puede obtener acceso inmediato a información de mercado e inversión, que incluye:

    •

    Precios del fondo y rentabilidad,

    •

    Perspectivas de mercado y comentarios de nuestros gerentes de cartera, y

    •

    Una gran cantidad de recursos educativos.

    Miramos
    Esperamos poder ayudarle a alcanzar sus objetivos financieros.

    Sinceramente,

    LOGO

    Jane Trust, CFA

    presidente

    31 de diciembre de 2019

    II Fondo de ingresos y oportunidades vinculados a la inflación de activos occidentales

    Resumen del fondo

    P. ¿Cuál es la estrategia de inversión del Fondo?

    A. El objetivo de inversión del Fondo es proporcionar ingresos actuales. La apreciación del capital, cuando es consistente con el ingreso actual, es un
    objetivo de inversión secundaria. En condiciones normales de mercado y en el momento de la compra, el Fondo invertirá al menos el 80% de sus activos gestionados totales
    yo en valores vinculados a la inflación. El Fondo también puede invertir hasta el 40% de sus activos gestionados totales en un grado de inversión inferior
    valores. El Fondo puede invertir hasta el 100% de sus activos gestionados totales en no estadounidense inversiones en dólares que le dan al Fondo flexibilidad para invertir hasta el 100% de sus activos administrados totales en no estadounidense valores vinculados a la inflación en dólares (hasta el 100% de su no estadounidense la exposición al dólar puede no estar cubierta). El Fondo puede participar en estrategias monetarias, utilizando instrumentos como
    Forwards de divisas, futuros y opciones, para tomar posiciones en moneda extranjera largas y cortas sujetas a un límite de exposición de dichas estrategias al 40% del total de los activos administrados. Esta capacidad se suma a la capacidad de tener una exposición 100% sin cobertura
    a no estadounidense monedas en dólares mediante la compra de valores de renta fija. El Fondo puede utilizar estrategias relacionadas con productos básicos para hasta el 10% de sus activos administrados totales. Se espera exposición a productos básicos
    se logrará utilizando una variedad de instrumentos, como contratos de futuros, opciones y otros derivados, o mediante inversiones en productos negociados en bolsa que ofrecen exposición a productos básicos. El Fondo no espera mantener productos físicos.

    Cada una de las políticas anteriores es un no fundamental política que puede modificarse sin la aprobación de los accionistas. los
    El fondo también tiene lo siguiente no fundamental política, que, en la medida requerida por la ley aplicable, solo puede cambiarse después de avisar a los accionistas: en condiciones normales de mercado, el Fondo invertirá en
    al menos el 80% de sus activos administrados totales en valores protegidos contra la inflación y no protegido contra la inflación valores e instrumentos con potencial para mejorar los ingresos del Fondo. El Fondo puede invertir hasta
    20% de la cartera en instrumentos de deuda de emisores de mercados emergentes, que no son valores vinculados a la inflación.

    Recompra inversa
    los acuerdos y otras formas de apalancamiento no excederán el 38% del total de los activos administrados del Fondo. El Fondo actualmente espera que la duración efectiva promedio
    ii de su cartera oscilará entre cero y quince años, aunque esta duración objetivo puede cambiar de vez en cuando. El fondo
    puede celebrar contratos de swap de incumplimiento crediticio, contratos de swap de tasa de interés, swaps de índice de precios al consumidor y contratos de swap de rendimiento total para fines de inversión, para administrar su tasa de interés de riesgo de crédito y exposición, cobertura o riesgo de riesgo vinculado a la inflación
    para agregar apalancamiento. No puede garantizarse que el Fondo logrará sus objetivos de inversión.

    El Fondo busca ofrecer un
    cobertura de la inflación a través de inversiones en valores globales vinculados a la inflación, y principalmente en valores del Tesoro de EE. UU. protegidos contra la inflación ("TIPS")
    iii. El Fondo también busca ofrecer a los accionistas ciertas ventajas adicionales a través de la capacidad de invertir en otros ingresos fijos
    clases de activos, que pueden dar como resultado retornos totales más altos y tasas de distribución más altas. Estas clases de activos incluyen inversiones selectas en crédito de alto rendimiento y grado de inversión, mercados emergentes y productos estructurados.

    Western Anual Inflation-Opportunities & Income Fund 2019 Informe anual 1

    Resumen del fondo (cont.)

    En Western Asset Management Company, LLC ("Western Asset"), el Fondo
    asesor de inversiones, utilizamos un enfoque de equipo de renta fija, con decisiones derivadas de la interacción entre varios especialistas del sector de gestión de inversiones. Los equipos del sector están compuestos por la gerencia de cartera senior de Western Asset
    personal, analistas de investigación y un en la casa economista. Bajo este enfoque de equipo, la gestión de las carteras de renta fija de los clientes reflejará un consenso de puntos de vista interdisciplinarios dentro del activo occidental
    organización. Los individuos responsables del desarrollo de la estrategia de inversión, día a día La gestión de la cartera, la supervisión y la coordinación del Fondo son S. Kenneth
    Leech, Michael C. Buchanan, Frederick Marki y Chia-Liang Lian.

    P. ¿Cuáles fueron las condiciones generales del mercado durante el Fondo?
    ¿período de información?

    A. Los mercados de renta fija generalmente registraron buenos resultados durante el período de doce meses finalizado
    30 de noviembre de 2019. Sectores extendidos (no bonos del Tesoro) experimentaron períodos de volatilidad, ya que se vieron afectados por una serie de factores, que incluyen la moderación del crecimiento global, el endurecimiento de la política monetaria y luego un
    "Pivote moderado" por la Junta de la Reserva Federal (la "Fed")
    iv,
    la guerra comercial en curso entre los EE. UU. y China, las incertidumbres que rodean el Brexit y muchos otros problemas geopolíticos.

    Tanto a corto como a largo plazo
    Los rendimientos del Tesoro de EE. UU. Disminuyeron durante el período del informe. El rendimiento para el dos año La nota del Tesoro comenzó el período del informe en 2.80% (el pico para el período de informe) y terminó el período en 1.61%. los
    mínimo para el período del informe fue del 1,39% el 3 de octubre de 2019. El rendimiento para el diez años El Departamento del Tesoro comenzó el período del informe en 3.01% (el pico para el período de informe) y terminó el período en 1.78%. los
    El mínimo para el período del informe fue 1.47% el 28 de agosto, 3 de septiembre y 4 de septiembre de 2019.

    La inflación fue relativamente
    bien contenido durante el período del informe. Para los doce meses terminados el 30 de noviembre de 2019, la tasa de inflación desestacionalizada, medida por el Índice de Precios al Consumidor para Todos los Consumidores Urbanos
    ("CPI-U")
    v, fue del 2,1%. los CPI-U menos comida y energía fue de 2.3% en el mismo período de tiempo. CONSEJOS, según lo medido por el índice Bloomberg Barclays de bonos vinculados a la inflación del Tesoro de EE. UU. ("TIPS")vi, devolvió 8.61% durante el período de informe.

    P. ¿Cómo respondimos a estas condiciones cambiantes del mercado?

    A. UN
    Se realizaron varios ajustes en la cartera del Fondo durante el período de referencia. El portafolio general
    duración
    vii se gestionó activamente en respuesta a los cambios en el sector extendido y
    Rendimientos de tesorería. La ampliación de los rendimientos de la deuda de los mercados emergentes en relación con los bonos del Tesoro de EE. UU. Nos permitió aumentar la exposición del Fondo a la deuda de los mercados emergentes a niveles atractivos en relación con los bonos del Tesoro, ya que este último se recuperó durante el verano.
    Los rendimientos del Tesoro real no cayeron tanto como los rendimientos nominales del Tesoro, por lo que se aumentó la asignación a TIPS a más largo plazo para aumentar la exposición a los rendimientos reales. La exposición nominal del Fondo a largo plazo del Tesoro se redujo en la caída de
    2019, a medida que los rendimientos del Tesoro a largo plazo continuaron disminuyendo. En general, la duración de la cartera fue menor al final del período sobre el que se informa, aunque aún fue más larga en relación con los puntos de referencia del Fondo.

    2 Western Anual Inflation-Opportunities & Income Fund 2019 Informe anual

    El Fondo empleó futuros y opciones del Tesoro de EE. UU., Incluidas opciones sobre futuros, Eurodólares
    futuros y opciones, futuros del Euro-Bund y opciones sobre futuros del Euro-Bund, durante el período de referencia para gestionar la curva de rendimiento del Fondo
    viii posicionamiento y riesgo de tasa de interés, y duración. El uso de estos instrumentos, sobre una base absoluta, resta valor a
    actuación. Los swaps de tasas de interés, utilizados para gestionar la exposición a las tasas de interés, disminuyeron el rendimiento. Los contratos de swap de incumplimiento crediticio vinculados al crédito, que se emplearon para lograr una exposición sintética a los bonos corporativos, contribuyeron al rendimiento durante
    el período del informe

    El apalancamiento se utilizó para agregar rendimiento a la cartera, al aumentar la exposición del Fondo a
    no TIPS clases de activos, incluidos créditos y productos básicos. El Fondo finalizó el período de presentación de informes con un apalancamiento como porcentaje de los activos brutos de aproximadamente el 31% frente al 30% cuando comenzó el período de presentación de informes. El uso de
    el apalancamiento para comprar bonos de productos bursátiles y de mercados emergentes, entre otros, generó resultados positivos durante el período del informe.

    Revisión de desempeño

    Por los doce meses terminados el 30 de noviembre de 2019,
    El Fondo de Oportunidades e Ingresos Vinculados a la Inflación de Activos Occidentales arrojó 10.25% basado en su valor de activo neto
    ("NAV")
    ix y 12.53% basado en su Bolsa de Nueva York
    ("NYSE") precio de mercado por acción. Los puntos de referencia no gestionados del Fondo, el Bloomberg Barclays vinculado a la inflación del gobierno de EE. UU. 1-10 Índice de año
    X y el índice Bloomberg Barclays del gobierno de EE. UU. vinculado a la inflación de todos los vencimientosxi, devolvió 6.62% y 9.01%, respectivamente, para el mismo período. Bloomberg Barclays El gobierno mundial relaciona la inflación con todos
    Índice de vencimientos
    Xii y el índice de referencia personalizado del Fondoxiii devolvió 8.78% y 9.45%, respectivamente, durante el mismo período de tiempo.

    Durante el período de doce meses, el Fondo realizó distribuciones a los accionistas por un total de $ 0,43 por acción *. La tabla de rendimiento muestra el rendimiento total de doce meses del Fondo en función de su VNA y el precio de mercado a partir de
    30 de noviembre de 2019. El rendimiento pasado no es garantía de resultados futuros.

    Instantánea de rendimiento al 30 de noviembre de 2019
    Precio por acción 12 meses
    Regreso trotal**
    $ 12.74 (NAV) 10.25 % †
    $ 11.14 (precio de mercado) 12,53 % ‡

    Todas las cifras representan el rendimiento pasado y no son garantía de resultados futuros. Cifras de rendimiento para períodos más cortos que
    un año representan cifras acumulativas y no están anualizadas.

    ** Los rendimientos totales se basan en cambios en el NAV o el precio de mercado, respectivamente. Devoluciones
    reflejar la deducción de todos los gastos del Fondo, incluidos los honorarios de administración, los gastos operativos y otros gastos del Fondo. Las devoluciones no reflejan la deducción de las comisiones o impuestos de corretaje que los inversores pueden pagar por las distribuciones o la venta de acciones.

    † El rendimiento total supone la reinversión de todas las distribuciones en NAV.

    * Para conocer el carácter fiscal de las distribuciones pagadas durante el año fiscal que finalizó el 30 de noviembre de 2019, consulte la página 45 de este
    reporte.

    Western Anual Inflation-Opportunities & Income Fund 2019 Informe anual 3

    Resumen del fondo (cont.)

    ‡ El rendimiento total supone la reinversión de todas las distribuciones en adicional
    acciones de acuerdo con el Plan de reinversión de dividendos del Fondo.

    Una de las características distintivas de
    final cerrado Los fondos en comparación con otros vehículos de inversión es la capacidad de comerciar con una prima o descuento para NAV. Dado que el Fondo cotiza en la Bolsa de Nueva York, el precio de la acción puede cotizar por encima (premium) o por debajo
    (descuento) su NAV. Mientras que el NAV refleja las inversiones subyacentes del Fondo, el precio de la acción refleja la oferta y la demanda general en el mercado. Históricamente, la mayoría de
    final cerrado los fondos se han negociado con un descuento sobre el NAV. Este Fondo no fue una excepción al fenómeno. Creemos que el descuento del Fondo puede estar impulsado por una serie de factores, incluido el total final cerrado mercado de fondos, tasa de distribución actual y demanda silenciada de productos de inversión vinculados a la inflación. Si bien hay acciones que pueden reducir temporalmente el descuento al NAV, que la Junta de Síndicos
    Evaluamos regularmente, creemos que si la demanda de los inversores por inversiones vinculadas a la inflación aumentó, ese desarrollo, entre otros factores, puede ayudar a reducir el descuento del precio de las acciones del Fondo a NAV con el tiempo. Western Asset sigue creyendo que
    El fondo ofrece a los inversores la oportunidad de protección contra la inflación a largo plazo al tiempo que proporciona una fuente de diversificación para las carteras de renta fija de los inversores.

    P. ¿Cuáles fueron los principales contribuyentes al rendimiento?

    A. Los mayores contribuyentes a
    El rendimiento absoluto del Fondo durante el período sobre el que se informa fueron sus asignaciones a los mercados emergentes en moneda local y deuda denominada en dólares estadounidenses. El Fondo invirtió en mercados emergentes que se correlacionaron con productos básicos que son precursores
    a las presiones inflacionarias de EE. UU. En otros lugares, la exposición táctica de los productos básicos del Fondo contribuyó al rendimiento. En particular, el posicionamiento táctico del Fondo en el sector de Energía y metales preciosos fue recompensado.

    P. ¿Cuáles fueron los principales detractores del rendimiento?

    A. Los detractores del rendimiento absoluto del Fondo fueron relativamente modestos durante el período del informe, con la selección de valores de TIPS y las operaciones con divisas extranjeras en contra de los resultados.

    ¿Buscando información adicional?

    El fondo
    se comercializa con el símbolo "WIW" y su precio de mercado de cierre está disponible en la mayoría de los periódicos en las listas de NYSE. El NAV diario está disponible. en línea bajo el símbolo "XWIWX" en la mayoría
    sitios web financieros. Barron's y el Wall Street Journal's Lunes edición ambos llevan final cerrado tablas de fondos que proporcionan información adicional. Además, el Fondo emite trimestralmente
    comunicado de prensa que se puede encontrar en la mayoría de los principales sitios web financieros, así como en www.lmcef.com (haga clic en el nombre del Fondo).

    En un esfuerzo continuo por
    proporcionar información sobre el Fondo, los accionistas pueden llamar 1-888-777-0102 (sin cargo), de lunes a viernes de 8:00 a.m.
    a las 5:30 p.m. Hora del Este, para el NAV actual del Fondo, el precio de mercado y otra información.

    4 4 Western Anual Inflation-Opportunities & Income Fund 2019 Informe anual

    Gracias por su inversión en Western Asset Inflation-Linked Opportunities & Income Fund. Como siempre, nosotros
    Apreciamos que nos haya elegido para administrar sus activos y nos mantenemos enfocados en lograr los objetivos de inversión del Fondo.

    Sinceramente,

    Western Asset Management Company, LLC

    20 de diciembre de 2019

    RIESGOS Los bonos están sujetos a una variedad de riesgos, incluidos los riesgos de tasa de interés, crédito e inflación. A medida que aumentan las tasas de interés, los precios de los bonos caen, lo que reduce el valor de un ingreso fijo
    precio de la inversión. El Fondo está sujeto a los riesgos adicionales asociados con los valores protegidos contra la inflación, incluidos el riesgo de liquidez, el riesgo de prepago, el riesgo de extensión y el riesgo de deflación. Inversiones en empresas extranjeras, incluidas las emergentes.
    mercados, implican riesgos más allá de los inherentes únicamente a las inversiones nacionales. El apalancamiento puede hacer que un fondo sea más volátil que si el fondo no hubiera sido apalancado, lo que puede aumentar el riesgo de pérdida de inversión. Derivados, como opciones,
    Los futuros, forwards y swaps, pueden ser ilíquidos, crear riesgos de contraparte, aumentar desproporcionadamente las pérdidas y tener un impacto potencialmente grande en el rendimiento de los fondos. En la medida en que el Fondo invierta en activos respaldados, respaldados por hipotecas o
    los valores relacionados con hipotecas, su exposición al prepago y los riesgos de extensión pueden ser mayores que si invirtiera en otros valores de renta fija. Las inversiones internacionales están sujetas a fluctuaciones monetarias, así como sociales, económicas y políticas.
    riesgos Estos riesgos se magnifican en los mercados emergentes.

    Una inversión en el Fondo está sujeta a los siguientes riesgos adicionales. Valores de baja calificación, o valores equivalentes sin calificación, que comúnmente se conocen como
    Los “bonos basura” generalmente conllevan una mayor volatilidad potencial de los precios y pueden ser menos líquidos que los valores de mayor calificación. Es posible que el Fondo tenga que aplicar un mayor grado de juicio al establecer un precio para valores de baja calificación para fines
    de valoración de acciones de fondos. Los cambios en las condiciones económicas o la evolución con respecto al emisor individual tienen más probabilidades de causar volatilidad de los precios y debilitar la capacidad de dichos valores para realizar pagos de capital e intereses que en el caso de
    valores de mayor grado. Se considera que los valores de baja calificación tienen características predominantemente especulativas con respecto a la capacidad del emisor para pagar intereses y pagar el principal. Estos valores también pueden ser más susceptibles a
    percibe condiciones adversas de la industria económica y competitiva que los valores de mayor calificación. Los títulos de baja calificación y sin calificación generalmente son emitidos por emisores menos solventes que pueden tener una mayor cantidad de deuda pendiente en relación con sus
    activos que los emisores de valores de mayor grado. En caso de quiebra de un emisor, los reclamos de otros acreedores pueden tener prioridad sobre los reclamos de los titulares de valores de menor calificación, dejando pocos o ningún activo disponible para pagar el menor grado
    titulares de seguridad. El Fondo puede incurrir en gastos en la medida necesaria para buscar la recuperación en caso de incumplimiento o para negociar nuevos términos con un emisor en mora. Los valores de baja calificación con frecuencia tienen características de rescate que permiten a un emisor recomprar
    La garantía del Fondo antes de su vencimiento. Si el emisor canjea valores de baja calificación, el Fondo puede tener que invertir los ingresos en valores con menores

    Western Anual Inflation-Opportunities & Income Fund 2019 Informe anual 5 5

    Resumen del fondo (cont.)

    cede y puede perder ingresos. Los títulos de baja calificación y sin calificación conllevan el riesgo de que
    el administrador de inversiones del Fondo puede no evaluar con precisión la calificación comparativa del valor. El análisis de la solvencia de los emisores de títulos de baja calificación y sin calificación puede ser más complejo que para los emisores de mayor calidad.
    valores. En la medida en que el Fondo tenga valores de baja calificación y / o sin calificación, el éxito del Fondo en el logro de sus objetivos de inversión puede depender más del análisis crediticio del administrador de inversiones del Fondo que si el Fondo
    poseía valores exclusivamente de mayor calidad y calificación. Si no se producen cambios en los tipos de cambio de divisas como se esperaba, el Fondo puede perder dinero en transacciones de divisas. La capacidad del Fondo de utilizar con éxito las transacciones de divisas depende
    en una serie de factores, incluidas las transacciones de divisas disponibles a precios que no son demasiado costosos, la disponibilidad de mercados líquidos y la capacidad del Fondo para predecir con precisión la dirección de los cambios en los tipos de cambio de divisas.
    Los tipos de cambio de divisas pueden ser volátiles. Las transacciones de divisas están sujetas al riesgo de contraparte, que es el riesgo de que la otra parte en la transacción no cumpla con su obligación contractual. El Fondo puede ganar exposición a los productos básicos.
    mercados invirtiendo una parte de sus activos en una subsidiaria de propiedad absoluta, Western Asset Inflation-Linked Opportunities & Income Fund CFC (la "Subsidiaria"), organizada bajo las leyes de las Islas Caimán. El fondo y el
    Las subsidiarias se consideran "grupos de productos básicos" y el asesor de inversiones se considera un "operador de grupo de productos básicos" con respecto al Fondo en virtud de la Ley de Intercambio de Productos Básicos. El asesor de inversiones, directamente oa través de sus afiliados,
    por lo tanto, está sujeto a una doble regulación por parte de la Comisión de Bolsa y Valores (la "SEC") y la Comisión de Comercio de Futuros de Productos Básicos (la "CFTC").

    Debido a cambios regulatorios recientes, se pueden imponer requisitos regulatorios adicionales y el Fondo puede incurrir en gastos adicionales. Los requisitos reglamentarios que rigen el uso de futuros de productos básicos (que
    incluir futuros sobre índices de valores de base amplia, futuros sobre tasas de interés y futuros sobre divisas), las opciones sobre futuros sobre materias primas, ciertos swaps u otras inversiones podrían cambiar en cualquier momento. Inversiones del Fondo en productos vinculados
    los derivados pueden someter al Fondo a una mayor volatilidad que las inversiones en valores tradicionales. El valor de los derivados vinculados a materias primas puede verse afectado por cambios en los movimientos generales del mercado, la volatilidad del índice de materias primas, prolongado o intenso.
    especulación por parte de los inversores, cambios en las tasas de interés o factores que afectan a una industria o producto en particular, tales como sequías, inundaciones, otros fenómenos climáticos, enfermedades del ganado, embargos, aranceles y políticas internacionales económicas, políticas y regulatorias
    desarrollos. Al invertir en la Filial, el Fondo está expuesto indirectamente a los riesgos asociados con las inversiones de la Filial. Las inversiones mantenidas por la Subsidiaria son generalmente similares a las permitidas por el
    El Fondo está sujeto a los mismos riesgos que se aplican a inversiones similares si el Fondo lo mantiene directamente. La Subsidiaria no está registrada como una compañía de inversión y no está sujeta a todas las protecciones de los inversionistas de la Ley de Compañía de Inversión de
    1940 (la "Ley de 1940"). Los cambios en las leyes de los Estados Unidos y / o las Islas Caimán podrían afectar negativamente al Fondo. Por ejemplo, las Islas Caimán actualmente no imponen ningún impuesto a las ganancias, a las ganancias corporativas o de capital, impuestos sobre bienes,
    impuesto de sucesiones, regalo

    6 6 Western Anual Inflation-Opportunities & Income Fund 2019 Informe anual

    Impuesto o retención fiscal sobre la Filial. Si la ley de las Islas Caimán cambia de tal manera que la Subsidiaria debe pagar los impuestos de las Islas Caimán, los accionistas probablemente sufrirían una disminución en los retornos de inversión. los
    La exposición del Fondo a los mercados de materias primas, incluso a través de la Subsidiaria, puede estar limitada por su intención de calificar como una compañía de inversión regulada para fines del impuesto federal sobre los ingresos de los EE. UU., Y puede interferir con su capacidad para calificar como tal.

    Este material no pretende ser una recomendación o un consejo de inversión de ningún tipo, incluso en relación con reinversiones, transferencias y
    distribuciones Dicho material no se proporciona en calidad de fiduciario, no se puede confiar en él o en relación con la toma de decisiones de inversión, y no constituye una solicitud de una oferta para comprar o vender valores. Todo el contenido tiene
    se ha proporcionado solo con fines informativos o educativos y no pretende ser y no debe interpretarse como asesoramiento legal o fiscal y / o una opinión legal. Siempre consulte a un profesional financiero, fiscal y / o legal con respecto a su
    situación.

    Las tenencias y los desgloses de la cartera son al 30 de noviembre de 2019 y están sujetos a cambios y pueden no ser representativos de
    inversiones actuales o futuras de los gestores de cartera. Consulte las páginas 10 a 20 para obtener una lista y un desglose porcentual de las tenencias del Fondo.

    La mención de desgloses sectoriales es solo para fines informativos y
    no debe interpretarse como una recomendación para comprar o vender valores. La información proporcionada sobre tales sectores no es una base suficiente sobre la cual tomar una decisión de inversión. Inversores que buscan asesoramiento financiero sobre
    La conveniencia de invertir en cualquier valor o estrategia de inversión discutida debe consultar a su profesional financiero. Las cinco principales tenencias del Fondo (como porcentaje de los activos netos) del Fondo al 30 de noviembre de 2019 fueron: Tesoro de EE. UU.
    Valores protegidos contra la inflación (108.2%), Bonos corporativos y pagarés (8.7%), No estadounidenses Valores protegidos contra la inflación del Tesoro (8,5%), bonos soberanos (7,2%) y obligaciones hipotecarias garantizadas (6,1%). los
    La composición de la cartera del fondo está sujeta a cambios en cualquier momento.

    Todas las inversiones están sujetas a riesgos, incluida la posible pérdida de capital. Pasado
    El rendimiento no es garantía de resultados futuros. Todo el rendimiento del índice no refleja ninguna deducción por honorarios, gastos o impuestos. Tenga en cuenta que un inversor no puede invertir directamente en un índice.

    La información proporcionada no pretende ser un pronóstico de eventos futuros, una garantía de resultados futuros o asesoramiento de inversión. Las opiniones expresadas pueden diferir de las de la empresa en su conjunto.

    Western Anual Inflation-Opportunities & Income Fund 2019 Informe anual 7 7

    Resumen del fondo (cont.)

    yo

    "Total de activos gestionados" es igual al total de activos del Fondo (incluidos los activos atribuibles al apalancamiento) menos los pasivos acumulados (que no sean
    pasivos que representan apalancamiento).

    ii

    La duración efectiva es un cálculo de duración para bonos con opciones integradas. La duración efectiva tiene en cuenta que los flujos de efectivo esperados fluctuarán a medida que
    las tasas de interés cambian. Tenga en cuenta que la duración mide la sensibilidad del precio (el valor del principal) de una inversión de renta fija a un cambio en las tasas de interés. Los fondos que emplean apalancamiento calculan la duración efectiva en función de los activos netos.

    iii

    Los Valores Protegidos contra la Inflación del Tesoro de los Estados Unidos ("TIPS") son valores indexados a la inflación emitidos por el Tesoro de los Estados Unidos en cinco años, diez años y vencimientos a treinta años. El principal se ajusta al Índice de Precios al Consumidor, la medida de inflación comúnmente utilizada. La tasa de cupón es constante, pero genera una cantidad diferente de interés cuando
    multiplicado por el principal ajustado por inflación.

    iv

    La Junta de la Reserva Federal (la "Fed") es responsable de la formulación de políticas de los Estados Unidos diseñadas para promover el crecimiento económico, el pleno empleo, estable
    precios y un patrón sostenible de comercio internacional y pagos.

    v

    El índice de precios al consumidor para todos los consumidores urbanos ("CPI-U") es una medida del cambio promedio en los precios sobre
    tiempo de los bienes y servicios adquiridos por los hogares, que cubre aproximadamente el 87% de la población total e incluye, además de los asalariados y los trabajadores de oficina, grupos como trabajadores profesionales, administrativos y técnicos, el
    trabajadores independientes, trabajadores a corto plazo, desempleados y jubilados y otros que no están en la fuerza laboral.

    vi

    El índice Bloomberg Barclays de bonos vinculados a la inflación del Tesoro de EE. UU. ("TIPS") representa un índice de mercado no administrado compuesto por el Tesoro de EE. UU.
    Valores indexados vinculados a la inflación.

    vii

    La duración es la medida de la sensibilidad al precio de un valor de renta fija a un cambio en la tasa de interés de 100 puntos básicos. El cálculo se basa en la ponderación
    promedio de los valores actuales para todos los flujos de efectivo.

    viii

    La curva de rendimiento es la representación gráfica de la relación entre el rendimiento de los bonos de la misma calidad crediticia pero con diferentes vencimientos.

    ix

    El valor del activo neto (“NAV”) se calcula restando los pasivos totales, incluidos los pasivos asociados con el apalancamiento financiero (si corresponde), del
    valor de cierre de todos los valores mantenidos por el Fondo (más todos los demás activos) y dividiendo el resultado (activos netos totales) por el número total de acciones ordinarias en circulación. El valor liquidativo fluctúa con los cambios en los precios de mercado de los valores en los que
    El fondo ha invertido. Sin embargo, el precio al que un inversor puede comprar o vender acciones del Fondo es el precio de mercado del Fondo según lo determinado por la oferta y la demanda de las acciones del Fondo.

    X

    Bloomberg Barclays Vinculado a la inflación del gobierno de EE. UU. 1-10 El índice del año mide el rendimiento del intermedio de EE. UU.
    TIPS de mercado.

    xi

    El índice Bloomberg Barclays del gobierno de EE. UU. Vinculado a la inflación de todos los vencimientos mide el rendimiento del mercado de TIPS de EE. UU. El índice incluye TIPS con uno
    o más años de vencimiento restante con un tamaño total de emisión pendiente de $ 500 millones o más.

    xii

    El índice Bloomberg Barclays del gobierno mundial vinculado a la inflación de todos los vencimientos mide el desempeño de los principales mercados gubernamentales de bonos vinculados a la inflación.

    xiii

    El índice de referencia personalizado se compone del 90% del índice Bloomberg Barclays del gobierno de EE. UU. Vinculado a la inflación de todos los vencimientos, el 5% del índice de crédito Bloomberg Barclays de EE. UU. Y el 5%
    JPMorgan Emerging Markets Bond Index Plus ("EMBI +"). El índice de crédito estadounidense Bloomberg Barclays es un índice compuesto por no corporativo emisiones de deuda con grado de inversión (calificadas Baa3 / BBB- o mas alto). The EMBI+ is a total return index that tracks the traded market for U.S. dollar-denominated Brady and other similar sovereign restructured bonds traded in the emerging markets.

    8 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Fund at a
    glance† (unaudited)

    Investment breakdown (%) as a percent of total investments

    LOGO

    †

    The bar graph above represents the composition of the Fund’s investments as of November 30, 2019 and November 30, 2018 and does not
    include derivatives such as written options, futures contracts, forward foreign currency contracts and swap contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time.

    ‡

    Represents less than 0.1%.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 9 9

    Consolidated schedule of investments

    November 30, 2019

    Western Asset Inflation-Linked Opportunities & Income Fund

    Seguridad Rate Maturity
    Date
    Face
    Amount†
    Value
    U.S. Treasury Inflation Protected Securities — 108.2%

    U.S. Treasury Bonds, Inflation Indexed

    2.375 % 1/15/25 10,897,120 PS 12,089,186

    U.S. Treasury Bonds, Inflation Indexed

    2.000 % 1/15/26 145,366,327 161,024,302 (a)

    U.S. Treasury Bonds, Inflation Indexed

    2.375 % 1/15/27 6,366,000 7,335,451

    U.S. Treasury Bonds, Inflation Indexed

    1.750 % 1/15/28 31,865,600 35,745,280

    U.S. Treasury Bonds, Inflation Indexed

    3.625 % 4/15/28 15,874,800 20,312,767 (a)

    U.S. Treasury Bonds, Inflation Indexed

    2.500 % 1/15/29 17,854,787 21,515,447 (a)

    U.S. Treasury Bonds, Inflation Indexed

    3.875 % 4/15/29 74,188,350 99,059,218 (a)

    U.S. Treasury Bonds, Inflation Indexed

    2.125 % 2/15/40 8,315,510 11,017,775

    U.S. Treasury Bonds, Inflation Indexed

    2.125 % 2/15/41 13,366,044 17,876,350

    U.S. Treasury Bonds, Inflation Indexed

    1.375 % 2/15/44 55,128,568 66,249,163 (a)

    U.S. Treasury Bonds, Inflation Indexed

    0.750 % 2/15/45 27,171,771 28,738,171

    U.S. Treasury Bonds, Inflation Indexed

    1.000 % 2/15/48 3,123,630 3,524,431

    U.S. Treasury Notes, Inflation Indexed

    0.125 % 4/15/20 54,820,500 54,667,099

    U.S. Treasury Notes, Inflation Indexed

    0.125 % 4/15/21 43,333,600 43,041,104 (a)

    U.S. Treasury Notes, Inflation Indexed

    0.625 % 7/15/21 21,644,990 21,792,212

    U.S. Treasury Notes, Inflation Indexed

    0.125 % 1/15/22 17,016,300 16,915,836

    U.S. Treasury Notes, Inflation Indexed

    0.125 % 4/15/22 87,734,487 87,096,223 (a)

    U.S. Treasury Notes, Inflation Indexed

    0.125 % 7/15/22 64,903,307 64,798,561 (a)

    U.S. Treasury Notes, Inflation Indexed

    0.125 % 1/15/23 13,748,893 13,666,832 (b)

    U.S. Treasury Notes, Inflation Indexed

    0.625 % 1/15/26 55,390,531 56,820,961

    Total U.S. Treasury Inflation Protected Securities (Cost —
    $811,407,152)

    843,286,369
    Corporate Bonds & Notes — 8.7%
    Energy — 4.9%

    Energy Equipment & Services — 0.1%

    Halliburton Co., Senior Notes

    3.800 % 11/15/25 500,000 527,459

    Oil, Gas & Consumable Fuels — 4.8%

    Apache Corp., Senior Notes

    5.250 % 2/1/42 910,000 906,081

    Apache Corp., Senior Notes

    4.250 % 1/15/44 2,630,000 2,310,355

    Continental Resources Inc., Senior Notes

    4.900 % 6/1/44 2,250,000 2,290,229

    Enterprise Products Operating LLC, Senior Notes

    3.125 % 7/31/29 3,380,000 3,447,487

    Gazprom OAO Via Gaz Capital SA, Senior Notes

    5.150 % 2/11/26 3,720,000 4,110,265 (c)

    KazTransGas JSC, Senior Notes

    4.375 % 9/26/27 4,000,000 4,202,500 (c)

    MEG Energy Corp., Secured Notes

    6.500 % 1/15/25 30,000 31,258 (c)

    MEG Energy Corp., Senior Notes

    7.000 % 3/31/24 110,000 108,144 (c)

    Noble Energy Inc., Senior Notes

    3.900 % 11/15/24 500,000 524,550

    Noble Energy Inc., Senior Notes

    4.950 % 8/15/47 3,210,000 3,426,690

    See Notes to Consolidated Financial Statements.

    10 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Western Asset Inflation-Linked Opportunities & Income Fund

    Seguridad Rate Maturity
    Date
    Face
    Amount†
    Value

    Oil, Gas & Consumable Fuels — continued

    Oasis Petroleum Inc., Senior Notes

    6.875 % 3/15/22 400,000 PS 374,750

    Oasis Petroleum Inc., Senior Notes

    6.875 % 1/15/23 490,000 450,800

    Occidental Petroleum Corp., Senior Notes

    5.550 % 3/15/26 330,000 374,309

    Occidental Petroleum Corp., Senior Notes

    6.200 % 3/15/40 2,690,000 3,201,393

    Petrobras Global Finance BV, Senior Notes

    5.999 % 1/27/28 3,690,000 4,118,640

    Range Resources Corp., Senior Notes

    5.000 % 3/15/23 900,000 784,116

    Whiting Petroleum Corp., Senior Notes

    5.750 % 3/15/21 1,860,000 1,706,085

    Whiting Petroleum Corp., Senior Notes

    6.250 % 4/1/23 1,100,000 767,250

    Williams Cos. Inc., Senior Notes

    5.750 % 6/24/44 2,350,000 2,697,126

    YPF SA, Senior Notes

    8.500 % 7/28/25 1,700,000 1,403,206 (d)

    Total Oil, Gas & Consumable Fuels

    37,235,234

    Total Energy

    37,762,693
    Financials — 1.0%

    Banks — 0.7%

    Barclays Bank PLC, Subordinated Notes

    7.625 % 11/21/22 5,060,000 5,678,408

    Diversified Financial Services — 0.2%

    ILFC E-Capital Trust II, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year Treasury
    Constant Maturity Rate or 30 year Treasury Constant Maturity Rate) + 1.800%)

    4.020 % 12/21/65 2,084,000 1,632,678
    (c)(e)

    Insurance — 0.1%

    Ambac Assurance Corp., Subordinated Notes

    5.100 % 6/7/20 48,493 71,182 (c)

    Ambac LSNI LLC, Senior Secured Notes (3 mo. USD LIBOR + 5.000%)

    7.104 % 2/12/23 206,853 208,920 (c)(e)

    Total Insurance

    280,102

    Total Financials

    7,591,188
    Health Care — 1.2%

    Health Care Equipment & Supplies — 0.1%

    Immucor Inc., Senior Notes

    11.125 % 2/15/22 1,180,000 1,184,793
    (c)

    Pharmaceuticals — 1.1%

    Bausch Health Americas Inc., Senior Notes

    9.250 % 4/1/26 2,870,000 3,292,565 (c)

    See Notes to
    Consolidated Financial Statements.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 11

    Consolidated schedule of investments (cont’d)

    November 30, 2019

    Western Asset Inflation-Linked Opportunities & Income Fund

    Seguridad Rate Maturity
    Date
    Face
    Amount†
    Value

    Pharmaceuticals — continued

    Bausch Health Americas Inc., Senior Notes

    8.500 % 1/31/27 1,970,000 PS 2,235,999 (c)

    Bausch Health Cos. Inc., Senior Notes

    9.000 % 12/15/25 2,620,000 2,960,600 (c)

    Total Pharmaceuticals

    8,489,164

    Total Health Care

    9,673,957
    Materials — 1.6%

    Metals & Mining — 1.6%

    Alcoa Nederland Holding BV, Senior Notes

    6.125 % 5/15/28 1,470,000 1,587,339 (c)

    Anglo American Capital PLC, Senior Notes

    4.000 % 9/11/27 1,630,000 1,697,492 (c)

    ArcelorMittal, Senior Notes

    6.125 % 6/1/25 720,000 816,920

    Glencore Funding LLC, Senior Notes

    4.125 % 3/12/24 750,000 787,535 (c)

    Glencore Funding LLC, Senior Notes

    4.000 % 3/27/27 500,000 518,581 (c)

    Glencore Funding LLC, Senior Notes

    3.875 % 10/27/27 1,630,000 1,691,484 (c)

    Southern Copper Corp., Senior Notes

    5.250 % 11/8/42 3,440,000 3,885,298

    Yamana Gold Inc., Senior Notes

    4.625 % 12/15/27 1,360,000 1,440,605

    Total Materials

    12,425,254

    Total Corporate Bonds & Notes (Cost — $63,505,333)

    67,453,092
    Non-U.S. Treasury Inflation Protected Securities — 8.5%

    Brazil — 3.1%

    Brazil Notas do Tesouro Nacional Serie B, Notes

    6.000 % 8/15/30 26,794,787 BRL 7,970,193

    Brazil Notas do Tesouro Nacional Serie B, Notes

    6.000 % 8/15/50 47,093,869 BRL 16,008,349

    Total Brazil

    23,978,542

    Italy — 4.1%

    Italy Buoni Poliennali Del Tesoro

    3.100 % 9/15/26 24,206,945 EUR 31,958,387
    (d)

    Russia — 0.5%

    Russian Federal Inflation Linked Bond — OFZ

    2.500 % 2/2/28 267,397,500 RUB 3,987,606

    Uruguay — 0.8%

    Uruguay Government International Bond

    4.250 % 4/5/27 230,403,318 UYU 6,428,970

    Total Non-U.S. Treasury Inflation Protected
    Securities (Cost — $63,153,124)

    66,353,505
    Sovereign Bonds — 7.2%

    Argentina — 0.2%

    Argentina POM Politica Monetaria, Bonds (Argentina Central Bank 7 Day Repo Reference Rate)

    70.941 % 6/21/20 276,920,000 ARS 1,202,638
    (e)(f)

    See Notes to Consolidated Financial Statements.

    12 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Western Asset Inflation-Linked Opportunities & Income Fund

    Seguridad Rate Maturity
    Date

    Face

    Amount†

    Value

    Brazil — 0.1%

    Brazil Notas do Tesouro Nacional Serie F, Notes

    10.000 % 1/1/21 1,900,000 BRL PS 472,582

    Brazil Notas do Tesouro Nacional Serie F, Notes

    10.000 % 1/1/27 570,000 BRL 157,659

    Total Brazil

    630,241

    Chile — 0.9%

    Bonos de la Tesoreria de la Republica en pesos, Bonds

    5.000 % 3/1/35 4,785,000,000 CLP 6,923,734

    Ecuador — 0.5%

    Ecuador Government International Bond, Senior Notes

    10.500 % 3/24/20 3,120,000 3,087,059 (c)

    Ecuador Government International Bond, Senior Notes

    7.950 % 6/20/24 1,070,000 881,857 (d)

    Total Ecuador

    3,968,916

    Indonesia — 1.7%

    Indonesia Government International Bond, Senior Notes

    3.850 % 7/18/27 400,000 424,481 (c)

    Indonesia Government International Bond, Senior Notes

    3.500 % 1/11/28 1,790,000 1,860,572

    Indonesia Government International Bond, Senior Notes

    5.125 % 1/15/45 430,000 510,482 (c)

    Indonesia Government International Bond, Senior Notes

    4.750 % 7/18/47 880,000 1,010,888 (c)

    Indonesia Government International Bond, Senior Notes

    4.350 % 1/11/48 2,010,000 2,211,795

    Indonesia Treasury Bond, Senior Notes

    7.000 % 5/15/27 100,812,000,000 IDR 7,177,914

    Total Indonesia

    13,196,132

    Mexico — 2.8%

    Mexican Bonos, Bonds

    8.000 % 11/7/47 51,280,000 MXN 2,825,199

    Mexican Bonos, Senior Notes

    7.750 % 11/13/42 273,450,000 MXN 14,597,331

    Mexico Government International Bond, Senior Notes

    4.500 % 4/22/29 3,720,000 4,082,700

    Total Mexico

    21,505,230

    Nigeria — 0.0%

    Nigeria Government International Bond, Senior Notes

    6.500 % 11/28/27 280,000 280,185
    (c)

    Qatar — 0.5%

    Qatar Government International Bond, Senior Notes

    4.000 % 3/14/29 3,770,000 4,206,566
    (c)

    See Notes to
    Consolidated Financial Statements.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 13

    Consolidated schedule of investments (cont’d)

    November 30, 2019

    Western Asset Inflation-Linked Opportunities & Income Fund

    Seguridad Rate Maturity
    Date
    Face
    Amount†
    Value

    Russia — 0.5%

    Russian Federal Bond — OFZ

    7.050 % 1/19/28 250,000,000 RUB PS 4,082,608

    Total Sovereign Bonds (Cost — $66,063,782)

    55,996,250
    Collateralized Mortgage Obligations (g)
    — 6.1%

    Banc of America Funding Trust, 2015-R2 4A2 (1 mo. USD LIBOR +
    0.165%)

    3.251 % 9/29/36 13,420,848 11,648,370 (c)(e)

    Banc of America Funding Trust, 2015-R2 5A2

    3.501 % 9/29/36 8,427,565 6,755,673 (c)(e)

    Credit Suisse Commercial Mortgage Trust, 2006-C5 AJ

    5.373 % 12/15/39 1,288,902 858,808

    Credit Suisse Commercial Mortgage Trust, 2007-C5 AM

    5.869 % 9/15/40 1,210,207 774,533 (e)

    Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust,
    2017-2 M1

    4.000 % 8/25/56 3,690,000 3,738,741 (c)(e)

    Federal Home Loan Mortgage Corp. (FHLMC) Seasoned Credit Risk Transfer Trust Series,
    2017-2 M2

    4.000 % 8/25/56 5,170,000 5,157,796 (c)(e)

    Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2017-DNA2 M2 (1 mo. USD LIBOR +
    3.450%)

    5.158 % 10/25/29 2,660,000 2,835,861 (e)

    Federal National Mortgage Association (FNMA) — CAS, 2017-C06 1B1 (1 mo. USD
    LIBOR + 4.150%)

    5.858 % 2/25/30 2,950,000 3,190,192 (c)(e)

    Federal National Mortgage Association (FNMA) — CAS, 2019-R07 1M2 (1 mo. USD
    LIBOR + 2.100%)

    3.808 % 10/25/39 2,860,000 2,877,374 (c)(e)

    JPMorgan Chase Commercial Mortgage Securities Trust, 2007-CB19 AJ

    6.006 % 2/12/49 2,256,717 1,469,971 (e)

    JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AJ

    6.650 % 2/15/51 43,260 41,308 (e)

    Lehman Mortgage Trust, 2006-5 2A2, IO
    (-1.000 X 1 mo. USD LIBOR + 7.150%)

    5.442 % 9/25/36 2,759,530 787,205 (e)

    Morgan Stanley Mortgage Loan Trust, 2007-11AR 2A3

    3.504 % 6/25/37 89,156 67,535 (e)

    See Notes to Consolidated Financial Statements.

    14 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Western Asset Inflation-Linked Opportunities & Income Fund

    Seguridad Rate Maturity
    Date
    Face
    Amount†
    Value
    Collateralized Mortgage Obligations (g)
    — continued

    Natixis Commercial Mortgage Securities Trust, 2019-TRUE A (1 mo. USD LIBOR + 2.011%)

    3.773 % 4/18/24 5,700,000 PS 5,714,045 (c)(e)

    WaMu Mortgage Pass-Through Certificates Trust, 2006-AR3 A1B (Federal Reserve
    U.S. 12 mo. Cumulative Avg 1 Year CMT + 1.000%)

    3.326 % 2/25/46 2,009,975 1,945,777 (e)

    Total Collateralized Mortgage Obligations (Cost — $42,576,088)

    47,863,189
    Asset-Backed Securities — 0.6%

    Bear Stearns Asset Backed Securities Trust, 2007-SD2 2A1 (1 mo. USD LIBOR +
    0.400%)

    2.108 % 9/25/46 46,441 44,674 (e)

    Origen Manufactured Housing Contract Trust, 2007-B A1 (1 mo. USD LIBOR +
    1.200%)

    2.965 % 10/15/37 4,947,977 4,887,225 (c)(e)

    Security National Mortgage Loan Trust, 2006-3A A2

    5.830 % 1/25/37 73,612 73,801 (c)(e)

    Total Asset-Backed Securities (Cost — $4,576,956)

    5,005,700
    U.S. Government & Agency Obligations — 0.1%

    U.S. Government Obligations — 0.1%

    U.S. Treasury Bonds (Cost — $869,743)

    2.375 % 11/15/49 880,000 913,619
    Expiration
    Date
    Contracts Notional
    Amount†
    Purchased Options — 0.0%
    Exchange-Traded Purchased Options — 0.0%

    U.S. Treasury 10-Year Notes Futures, Call @ $129.50

    12/27/19 335 335,000 167,500

    U.S. Treasury Long-Term Bonds Futures, Call @ $159.00

    12/27/19 67 67,000 85,844

    Total Purchased Options (Cost — $248,258)

    253,344

    Total Investments before Short-Term Investments (Cost —
    $1,052,400,436)

    1,087,125,068

    See Notes to
    Consolidated Financial Statements.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 15

    Consolidated schedule of investments (cont’d)

    November 30, 2019

    Western Asset Inflation-Linked Opportunities & Income Fund

    Seguridad Rate Maturity
    Date
    Face
    Amount†
    Value
    Short-Term Investments — 3.4%
    Repurchase Agreements — 0.8%

    Deutsche Bank AG, repurchase agreement dated 11/29/19, Proceeds at Maturity — $6,000,800; (Fully collateralized by
    U.S. government agency obligations, 0.125% due 7/15/26; Market value — $6,119,081) (Cost — $6,000,000)

    1.600 % 12/2/19 6,000,000 PS 6,000,000
    Sovereign Bonds — 0.2%

    Argentina Treasury Bills (Cost — $5,736,577)

    40.684 % 7/29/20 154,500,000 ARS 1,652,665
    (f)(h)
    Shares
    Money Market Funds — 2.4%

    Dreyfus Government Cash Management, Institutional Shares (Cost — $18,550,389)

    1.556 % 18,550,389 18,550,389

    Total Short-Term Investments (Cost — $30,286,966)

    26,203,054

    Total Investments — 142.8% (Cost — $1,082,687,402)

    1,113,328,122

    Liabilities in Excess of Other Assets — (42.8)%

    (333,807,755 )

    Total Net Assets — 100.0%

    PS 779,520,367

    †

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

    (a)

    All or a portion of this security is held by the counterparty as collateral for open reverse repurchase agreements.

    (b)

    All or a portion of this security is held at the broker as collateral for open futures contracts.

    (c)

    Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from
    registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

    (d)

    Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the
    United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees.

    (e)

    Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published
    reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

    (f)

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

    (g)

    Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments
    on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an
    upper and/or lower limit.

    (h)

    Rate shown represents yield-to-maturity.

    See Notes to Consolidated Financial Statements.

    16 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Western Asset Inflation-Linked Opportunities & Income Fund

    Abbreviations used in this schedule:

    ARS — Argentine Peso
    BRL — Brazilian Real
    CAS — Connecticut Avenue Securities
    CLP — Chilean Peso
    CMT — Constant Maturity Treasury
    EUR — Euro
    GTD — Guaranteed
    IDR — Indonesian Rupiah
    IO — Interest Only
    JSC — Joint Stock Company
    LIBOR — London Interbank Offered Rate
    MXN — Mexican Peso
    RUB — Russian Ruble
    USD — United States Dollar
    UYU — Uruguayan Peso

    At November 30, 2019, the Fund had the following open reverse repurchase agreements:

    Counterparty Rate Effective
    Date
    Maturity
    Date

    Face Amount

    of Reverse

    Repurchase

    Agreements

    Asset Class of Collateral* Collateral
    Value
    Credit Suisse 2.600% 4/8/2019 TBD** PS 20,137,500 U.S. Treasury Inflation Protected Securities PS 21,494,745
    Morgan Stanley & Co. Inc. 2.050% 10/8/2019 12/13/2019 338,825,000 U.S. Treasury Inflation Protected Securities 333,227,255
    Efectivo 9,556,000
    PS 358,962,500 PS 364,278,000

    * *

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

    ** **

    TBD—To Be Determined; These reverse repurchase agreements have no maturity dates because they are renewed daily and can be terminated by either the
    Fund or the counterparty in accordance with the terms of the agreements. The rates for these agreements are variable. The rate disclosed is the rate as-of November 30, 2019.

    Schedule of Written Options
    Exchange-Traded Written Options

    Seguridad Expiration
    Date
    Strike
    Precio
    Contracts Notional
    Amount
    Value
    U.S. Treasury 10-Year Notes Futures, Call 12/27/19 PS 131.00 669 PS 669,000 PS (73,172)
    U.S. Treasury 10-Year Notes Futures, Call 2/21/20 131.00 335 335,000 (146,563)
    U.S. Treasury Long-Term Bonds Futures, Call 12/27/19 158.00 268 268,000 (489,938)
    U.S. Treasury Long-Term Bonds Futures, Call 12/27/19 160.00 134 134,000 (115,156)
    U.S. Treasury Long-Term Bonds Futures, Call 12/27/19 161.00 134 134,000 (73,281)

    See Notes to
    Consolidated Financial Statements.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 17

    Consolidated schedule of investments (cont’d)

    November 30, 2019

    Western Asset Inflation-Linked Opportunities & Income Fund

    Schedule of Written Options (cont’d)
    Seguridad Expiration
    Date
    Strike
    Precio
    Contracts Notional
    Amount
    Value
    U.S. Treasury Long-Term Bonds Futures, Call 2/21/20 PS 160.00 167 PS 167,000 PS (307,906)
    U.S. Treasury Long-Term Bonds Futures, Call 2/21/20 161.00 836 836,000 (1,227,875)
    Total Exchange-Traded Written Options (Premiums received — $2,256,898)

    PS (2,433,891)

    At November 30, 2019, the Fund had the following open futures contracts:

    Number of
    Contracts
    Expiration
    Date
    Notional
    Amount
    Mercado
    Value
    Unrealized
    Appreciation
    (Depreciation)
    Contracts to Buy:
    90-Day Eurodollar 190 19/12 PS 46,195,067 PS 46,593,938 PS 398,871
    90-Day Eurodollar 1,340 6/20 329,249,189 329,573,000 323,811
    90-Day Eurodollar 78 3/21 19,187,189 19,215,300 28,111
    Copper 338 3/20 22,756,695 22,489,675 (267,020)
    Euro 94 19/12 13,074,422 12,956,725 (117,697)
    Gold 100 Ounce 114 4/20 17,159,565 16,850,340 (309,225)
    Mexican Peso 86 19/12 2,172,390 2,193,860 21,470
    Plata 102 3/20 9,183,825 8,724,060 (459,765)
    U.S. Treasury 2-Year Notes 618 3/20 133,358,564 133,232,110 (126,454)
    U.S. Treasury 5-Year Notes 578 3/20 68,808,216 68,763,938 (44,278)
    U.S. Treasury 10-Year Notes 749 3/20 96,986,267 96,890,175 (96,092)
    U.S. Treasury Long-Term Bonds 19 3/20 3,039,151 3,020,406 (18,745)
    WTI Crude 283 12/20 14,907,503 14,803,730 (103,773)
    (770,786)
    Contracts to Sell:
    British Pound 67 19/12 5,182,283 5,417,369 (235,086)
    Euro-Bund 231 19/12 44,836,163 43,536,066 1,300,097
    Gasolina 38 3/20 2,503,625 2,560,144 (56,519)
    U.S. Treasury Ultra Long-Term Bonds 346 3/20 65,243,370 64,950,687 292,683
    1,301,175
    Net unrealized appreciation on open futures contracts

    PS 530,389

    See Notes to
    Consolidated Financial Statements.

    18 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Western Asset Inflation-Linked Opportunities & Income Fund

    At November 30, 2019, the Fund had the following open forward foreign currency contracts:

    Moneda
    Purchased

    Moneda

    Sold

    Counterparty Asentamiento
    Date

    Unrealized

    Appreciation

    (Depreciation)

    COP 82,621,685,652 USD 23,544,644 Barclays Bank PLC 1/17/20 PS (118,672)
    IDR 52,969,535,174 USD 3,677,929 Barclays Bank PLC 1/17/20 59,060
    INR 1,036,321,925 USD 14,466,193 Barclays Bank PLC 1/17/20 (84,641)
    JPY 897,550,000 USD 8,443,794 Barclays Bank PLC 1/17/20 (212,333)
    MYR 49,281,000 USD 11,727,987 Barclays Bank PLC 1/17/20 60,935
    USD 17,945,032 EUR 16,200,000 Barclays Bank PLC 1/17/20 31,448
    USD 5,624,567 MXN 112,802,368 Barclays Bank PLC 1/17/20 (104,392)
    USD 8,662,270 EUR 7,837,846 BNP Paribas SA 1/17/20 (4,638)
    BRL 25,359,699 USD 6,054,787 Citibank N.A. 1/17/20 (85,846)
    BRL 30,058,681 USD 7,054,372 Citibank N.A. 1/17/20 20,573
    BRL 30,650,000 USD 7,330,432 Citibank N.A. 1/17/20 (116,307)
    EUR 200,000 USD 223,844 Citibank N.A. 1/17/20 (2,689)
    EUR 300,000 USD 331,738 Citibank N.A. 1/17/20 (5)
    GBP 4,241,448 USD 5,202,709 Citibank N.A. 1/17/20 293,726
    RUB 2,101,159,580 USD 32,366,862 Citibank N.A. 1/17/20 70,809
    USD 468,107 AUD 696,486 Citibank N.A. 1/17/20 (3,634)
    USD 18,858,986 EUR 17,090,000 Citibank N.A. 1/17/20 (38,739)
    USD 16,236,445 TWD 499,498,000 JPMorgan Chase & Co. 1/17/20 (172,306)
    Total

    PS (407,651)

    Abbreviations used in this table:

    AUD — Australian Dollar
    BRL — Brazilian Real
    COP — Colombian Peso
    EUR — Euro
    GBP — British Pound
    IDR — Indonesian Rupiah
    INR — Indian Rupee
    JPY — Japanese Yen
    MXN — Mexican Peso
    MYR — Malaysian Ringgit
    RUB — Russian Ruble
    TWD — Taiwan Dollar
    USD — United States Dollar

    See Notes to
    Consolidated Financial Statements.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 19

    Consolidated schedule of investments (cont’d)

    November 30, 2019

    Western Asset Inflation-Linked Opportunities & Income Fund

    At November 30, 2019, the Fund had the following open swap contracts:

    CENTRALLY CLEARED INTEREST RATE SWAPS
    Notional
    Amount
    Termination
    Date
    Pagos
    Made by
    the Fund†
    Pagos
    Received by
    the Fund†
    Upfront
    Premiums
    Paid
    (Received)
    Unrealized
    (Depreciation)
    $39,783,000 8/31/23 2.500% semi-annually 3-Month LIBOR quarterly $(2,481) $(1,341,511)

    OTC INTEREST RATE SWAPS
    Swap Counterparty Notional
    Amount
    Termination
    Date
    Pagos
    Made by
    the Fund†
    Pagos
    Received by
    the Fund†
    Upfront
    Premiums
    Paid
    (Received)
    Unrealized
    Appreciation
    Barclays Bank PLC PS 95,600,000 5/3/20 2.023%* CPURNSA * * – PS 126,597

    CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION1
    Referencia
    Entity
    Notional
    Amount2
    Termination
    Date
    Periodic
    Pagos
    Received by
    the Fund†
    Mercado
    Value3
    Upfront
    Premiums
    Paid
    (Received)
    Unrealized
    Appreciation
    Markit CDX.NA.IG.33 Index PS 42,285,000 12/20/24 1.000% quarterly PS 1,018,603 PS 811,412 PS 207,191

    1

    If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay
    to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or
    securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.

    2

    The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event
    occurs as defined under the terms of that particular swap agreement.

    3

    The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the
    current status of the payment/performance risk and represent the likelihood of an expected loss (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell
    protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event
    occurring as defined under the terms of the agreement.

    †

    Percentage shown is an annual percentage rate.

    * *

    One time payment made at termination date.

    Abbreviations used in this table:

    CPURNSA — U.S. CPI Urban Consumers NSA Index
    LIBOR — London Interbank Offered Rate

    See Notes to
    Consolidated Financial Statements.

    20 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Consolidated statement of assets and liabilities

    November 30, 2019

    Assets:

    Investments, at value (Cost — $1,082,687,402)

    PS 1,113,328,122

    Foreign currency, at value (Cost — $4,618,243)

    4,563,283

    Efectivo

    45,921

    Receivable for securities sold

    17,686,515

    Deposits with brokers for reverse repurchase agreements

    9,559,000

    Deposits with brokers for open futures contracts and exchange-traded options

    8,502,976

    Interest receivable

    6,126,215

    Deposits with brokers for centrally cleared swap contracts

    991,209

    Foreign currency collateral for open futures contracts and exchange-traded options, at value (Cost —
    $736,854)

    739,149

    Unrealized appreciation on forward foreign currency contracts

    536,551

    Deposits with brokers for OTC derivatives

    270,000

    OTC swaps, at value (premiums paid — $0)

    126,597

    Prepaid expenses

    24,919

    Total Assets

    1,162,500,457
    Liabilities:

    Payable for open reverse repurchase agreements (Note 3)

    358,962,500

    Payable for securities purchased

    17,887,526

    Written options, at value (premiums received — $2,256,898)

    2,433,891

    Interest payable

    1,386,543

    Unrealized depreciation on forward foreign currency contracts

    944,202

    Payable to broker — variation margin on open futures contracts

    379,479

    Deposits from brokers for open reverse repurchase agreements

    366,000

    Investment management fee payable

    328,756

    Administration fee payable

    46,965

    Trustees’ fees payable

    27,887

    Payable to broker — variation margin on centrally cleared swap contracts

    12,708

    Accrued expenses

    203,633

    Total Liabilities

    382,980,090
    Total Net Assets PS 779,520,367
    Net Assets:

    Common shares, no par value, unlimited number of shares authorized, 61,184,134 shares issued and
    outstanding

    PS 819,718,608

    Total distributable earnings (loss)

    (40,198,241)
    Total Net Assets PS 779,520,367
    Shares Outstanding 61,184,134
    Net Asset Value PS 12.74

    See Notes to
    Consolidated Financial Statements.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 21

    Consolidated statement of operations

    For the Year Ended November 30, 2019

    Investment Income:

    Interest

    PS 37,707,043

    Less: Foreign taxes withheld

    (118,057)

    Total Investment Income

    37,588,986
    Expenses:

    Interest expense (Note 3)

    8,589,211

    Investment management fee (Note 2)

    3,867,616

    Administration fees (Note 2)

    552,517

    Legal fees

    371,105

    Trustees’ fees

    186,557

    Transfer agent fees

    95,878

    Fund accounting fees

    82,426

    Custody fees

    65,985

    Audit and tax fees

    55,239

    Commodity pool reports

    42,935

    Stock exchange listing fees

    33,754

    Seguro

    13,417

    Shareholder reports

    3,598

    Miscellaneous expenses

    15,744

    Total Expenses

    13,975,982
    Net Investment Income 23,613,004
    Realized and Unrealized Gain (Loss) on Investments, Futures Contracts, Written Options, Swap Contracts, Forward Foreign Currency
    Contracts and Foreign Currency Transactions (Notes 1, 3 and 4):

    Net Realized Gain (Loss) From:

    Investment transactions

    (2,238,163)

    Futures contracts

    (13,406,472)

    Written options

    1,643,978

    Swap contracts

    611,549

    Forward foreign currency contracts

    2,789,225

    Foreign currency transactions

    (729,215)

    Net Realized Loss

    (11,329,098)

    Change in Net Unrealized Appreciation (Depreciation) From:

    Inversiones

    58,946,485

    Futures contracts

    3,208,220

    Written options

    (176,993)

    Swap contracts

    (798,763)

    Forward foreign currency contracts

    1,021,739

    Foreign currencies

    (96,921)

    Change in Net Unrealized Appreciation (Depreciation)

    62,103,767
    Net Gain on Investments, Futures Contracts, Written Options, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency
    Transactions
    50,774,669
    Increase in Net Assets From Operations PS 74,387,673

    See Notes to
    Consolidated Financial Statements.

    22 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Consolidated statements of changes in net assets

    For the Years Ended November 30, 2019 2018
    Operations:

    Net investment income

    PS 23,613,004 PS 25,716,139

    Net realized gain (loss)

    (11,329,098) 649,223

    Change in net unrealized appreciation (depreciation)

    62,103,767 (50,782,002)

    Increase (Decrease) in Net Assets From Operations

    74,387,673 (24,416,640)
    Distributions to Shareholders From (Note 1):

    Total distributable earnings

    (26,431,546) (26,431,546)

    Decrease in Net Assets From Distributions to
    Shareholders

    (26,431,546) (26,431,546)

    Increase (Decrease) in Net Assets

    47,956,127 (50,848,186)
    Net Assets:

    Beginning of year

    731,564,240 782,412,426

    End of year

    PS 779,520,367 PS 731,564,240

    See Notes to
    Consolidated Financial Statements.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 23

    Consolidated statement of cash flows

    For the Year Ended November 30, 2019

    Increase (Decrease) in Cash:
    Cash Provided (Used) by Operating Activities:

    Net increase in net assets resulting from operations

    PS 74,387,673

    Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) by operating
    activities:

    Purchases of portfolio securities

    (371,127,786)

    Sales of portfolio securities

    381,220,427

    Net purchases, sales and maturities of short-term investments

    (11,159,821)

    Net inflation adjustment

    (14,593,707)

    Net amortization of premium (accretion of discount)

    1,922,588

    Increase in receivable for securities sold

    (9,880,248)

    Increase in interest receivable

    (215,690)

    Decrease in prepaid expenses

    2,336

    Decrease in payable to broker — variation margin on centrally cleared swap contracts

    (5,051)

    Increase in deposits from brokers for reverse repurchase agreements

    366,000

    Increase in payable for securities purchased

    7,012,431

    Increase in investment management fee payable

    27,144

    Decrease in Trustees’ fees payable

    (268)

    Increase in administration fee payable

    3,878

    Increase in interest payable

    859,180

    Decrease in accrued expenses

    (52,449)

    Increase in premiums received from written options

    2,256,898

    Increase in payable to broker — variation margin on open futures contracts

    274,327

    Net realized loss on investments

    2,238,163

    Change in net unrealized appreciation (depreciation) of investments, written options,

    OTC swap contracts and forward foreign currency contracts

    (59,917,828)

    Net Cash Provided by Operating Activities*

    3,618,197
    Cash Flows From Financing Activities:

    Distributions paid on common stock

    (26,431,546)

    Increase in payable for reverse repurchase agreements

    35,867,375

    Net Cash Provided in Financing Activities

    9,435,829
    Net Increase in Cash and Restricted Cash 13,054,026

    Cash and restricted cash at beginning of year

    11,617,512

    Cash and restricted cash at end of year

    PS 24,671,538

    * *

    Included in operating expenses is cash of $7,730,031 paid for interest on borrowings.

    The following table provides a reconciliation of cash and restricted cash reported within the Consolidated Statement of Assets and Liabilities that sums
    to the total of such amounts shown on the Consolidated Statement of Cash Flows.

    November 30, 2019
    Efectivo PS 4,609,204
    Restricted cash 20,062,334
    Total cash and restricted cash shown in the Consolidated Statement of Cash Flows PS 24,671,538

    Restricted cash consists of cash that has been segregated to cover the Fund’s collateral or margin obligations under derivative contracts. Es
    separately reported on the Consolidated Statement of Assets and Liabilities as Deposits with brokers.

    See Notes to Consolidated Financial Statements.

    24 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Consolidated financial highlights

    For a share of common stock outstanding throughout
    each year ended November 30,

    unless otherwise
    noted:

    20191 20181 20171 20161,2 20151,3 20141,3
    Net asset value, beginning of year $11.96 $12.79 $12.37 $12.16 $12.96 $13.24
    Income (loss) from operations:

    Net investment income

    0.39 0.42 0.38 0.34 0.25 0.38

    Net realized and unrealized gain (loss)

    0.82 (0.82) 0.46 0.24 (0.68) (0.22)

    Total income (loss) from operations

    1.21 (0.40) 0.84 0.58 (0.43) 0.16
    Less distributions from:

    Net investment income

    (0.43) (0.43) (0.42) (0.29) (0.11) (0.36)

    Net realized gains

    – – – – (0.02) (0.08)

    Return of capital

    – – – (0.08) (0.24) –

    Total distributions

    (0.43) (0.43) (0.42) (0.37) (0.37) (0.44)
    Net asset value, end of year $12.74 $11.96 $12.79 $12.37 $12.16 $12.96
    Market price, end of year $11.14 $10.30 $11.31 $10.93 $10.29 $11.30

    Total return, based on NAV4,5

    10.25 % (3.21) % 6.99 % 4.69 % (3.42) % 1.09 %

    Total return, based on Market Price6

    12.53 % (5.32) % 7.42 % 9.85 % (5.83) % 4.03 %
    Net assets, end of year (millions) $780 $732 $782 $757 $744 $793
    Ratios to average net assets:

    Gross expenses

    1.82 % 1.72 % 1.44 % 1.40 %7 7 1.13 % 0.95 %

    Net expenses

    1.82 1.72 1.44 1.40 7 7 1.13 0.95

    Net investment income

    3.07 3.36 3.04 3.00 7 7 1.98 2.84
    Portfolio turnover rate 35 % 48 % 57 % 70 % 59 % 49 %

    1

    Per share amounts have been calculated using the average shares method.

    2

    For the period January 1, 2016 through November 30, 2016.

    3

    For the year ended December 31.

    4 4

    Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance
    arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

    5 5

    The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of future results. Total returns for periods of
    less than one year are not annualized.

    6

    The total return calculation assumes that distributions are reinvested in accordance with the Fund’s dividend reinvestment plan. Past performance is no
    guarantee of future results. Total returns for periods of less than one year are not annualized.

    See Notes to Consolidated Financial Statements.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 25

    Notes to consolidated financial statements

    1. Organization and significant accounting policies

    Western Asset Inflation-Linked Opportunities & Income Fund (the “Fund”) is registered under the Investment Company Act of 1940, as amended
    (“1940 Act”), as a diversified, closed-end management investment company. The Fund commenced operations on February 25, 2004.

    The Fund’s primary investment objective is to provide current income for its shareholders. Capital appreciation, when consistent with current income, is a secondary investment objective. Under normal market
    conditions and at the time of purchase, the Fund will invest at least 80% of its total managed assets in inflation-linked securities. The Fund may invest up to 100% of its total managed assets in non-U.S.
    dollar investments. The Fund may also invest up to 40% of its total managed assets in below investment grade securities. If a security is rated by multiple nationally recognized statistical rating organizations
    (“NRS-ROs”) and receives different ratings, the Fund will treat the security as being rated in the highest rating category received from an NRSRO.

    The Fund may gain exposure to the commodities markets by investing a portion of its assets in a wholly-owned subsidiary, Western Asset Inflation-Linked
    Opportunities & Income Fund CFC (the “Subsidiary”), organized under the laws of the Cayman Islands. Among other investments, the Subsidiary may invest in commodity-linked instruments. The Fund may invest up to 25% of its total
    assets in the Subsidiary; although 10% of total managed assets may be utilized for commodity-related strategies. These financial statements are consolidated financial statements of the Fund and the Subsidiary. All interfund transactions have been
    eliminated in consolidation.

    The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S.
    generally accepted accounting principles (“GAAP”). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the
    economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.

    (a) Investment valuation. The valuations for fixed income securities (which may include, but
    are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services,
    which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services 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

    26 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    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
    Trustees.

    The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg
    Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the
    effectiveness of the Fund’s pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts
    due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

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

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 27

    Notes to consolidated financial statements (cont’d)

    For each portfolio security that has been fair valued pursuant to the policies adopted
    by the Board of Trustees, 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 Trustees quarterly.

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

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

    •

    Level 1 — quoted prices in active markets for identical investments

    •

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

    •

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

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

    28 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

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

    ASSETS
    Descripción Quoted Prices
    (Level 1)

    Other Significant

    Observable Inputs

    (Level 2)

    Significant
    Unobservable
    Inputs

    (Level 3)

    Total
    Long-Term Investments†:

    U.S. Treasury Inflation Protected Securities

    – PS 843,286,369 – PS 843,286,369

    Corporate Bonds & Notes

    – 67,453,092 – 67,453,092

    Non-U.S. Treasury Inflation Protected Securities

    – 66,353,505 – 66,353,505

    Sovereign Bonds

    – 55,996,250 – 55,996,250

    Collateralized Mortgage Obligations

    – 47,863,189 – 47,863,189

    Asset-Backed Securities

    – 5,005,700 – 5,005,700

    U.S. Government & Agency Obligations

    – 913,619 – 913,619

    Purchased Options

    PS 253,344 – – 253,344
    Total Long-Term Investments 253,344 1,086,871,724 – 1,087,125,068
    Short-Term Investments†:

    Repurchase Agreements

    – 6,000,000 – 6,000,000

    Sovereign Bonds

    – 1,652,665 – 1,652,665

    Money Market Funds

    18,550,389 – – 18,550,389
    Total Short-Term Investments 18,550,389 7,652,665 – 26,203,054
    Total Investments PS 18,803,733 PS 1,094,524,389 – PS 1,113,328,122
    Other Financial Instruments:

    Futures Contracts

    PS 2,365,043 – – PS 2,365,043

    Forward Foreign Currency Contracts

    – PS 536,551 – 536,551

    OTC Interest Rate Swaps

    – 126,597 – 126,597

    Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection

    – 207,191 – 207,191
    Total Other Financial Instruments PS 2,365,043 PS 870,339 – PS 3,235,382
    Total PS 21,168,776 PS 1,095,394,728 – PS 1,116,563,504

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 29

    Notes to consolidated financial statements (cont’d)

    LIABILITIES
    Descripción Quoted Prices
    (Level 1)
    Other Significant
    Observable Inputs
    (Level 2)

    Significant
    Unobservable
    Inputs

    (Level 3)

    Total
    Other Financial Instruments:

    Written Options

    PS 2,433,891 – – PS 2,433,891

    Futures Contracts

    1,834,654 – – 1,834,654

    Forward Foreign Currency Contracts

    – PS 944,202 – 944,202

    Centrally Cleared Interest Rate Swaps

    – 1,341,511 – 1,341,511
    Total PS 4,268,545 PS 2,285,713 – PS 6,554,258

    †

    See Consolidated Schedule of Investments for additional detailed categorizations.

    (b) Purchased options. When the Fund purchases an option, an amount equal to the premium paid
    by the Fund is recorded as an investment on the Consolidated Statement of Assets and Liabilities, the value of which is marked-to-market to reflect the current market
    value of the option purchased. If the purchased option expires, the Fund realizes a loss equal to the amount of premium paid. When an instrument is purchased or sold through the exercise of an option, the related premium paid is added to the basis
    of the instrument acquired or deducted from the proceeds of the instrument sold. The risk associated with purchasing put and call options is limited to the premium paid.

    (c) Written options. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value
    of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain.
    When a written call option is exercised, the difference between the premium received plus the option exercise price and the Fund’s basis in the underlying security (in the case of a covered written call option), or the cost to purchase the
    underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost
    of the security purchased by the Fund from the exercise of the written put option to form the Fund’s basis in the underlying security purchased. The writer or buyer of an option traded on an exchange can liquidate the position before the
    exercise of the option by entering into a closing transaction. The cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Fund.

    The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the
    option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. The risk in writing an uncovered call option is that the Fund is exposed to
    the risk of loss if the market price of the underlying security increases. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

    30 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    (d) Futures contracts. The Fund uses futures
    contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a
    specified price on a specified date.

    Upon entering into a futures contract, the Fund is required to deposit cash or securities with a broker in an
    amount equal to a certain percentage of the contract amount. This is known as the ‘‘initial margin’’ and subsequent payments (‘‘variation margin’’) are made or received by the Fund each day, depending on the
    daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. The daily changes in contract value
    are recorded as unrealized gains or losses in the Consolidated Statement of Operations and the Fund recognizes a realized gain or loss when the contract is closed.

    Futures contracts involve, to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. In addition, there is the risk that the Fund may not be able to enter into a closing
    transaction because of an illiquid secondary market.

    (e) Forward foreign currency contracts. The Fund enters into a forward foreign currency contract to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated securities or to facilitate
    settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price with delivery and settlement at a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is closed, through either
    delivery or offset by entering into another forward foreign currency contract, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time
    it is closed.

    Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in
    cash without the delivery of foreign currency.

    Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected on
    the Consolidated Statement of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the
    potential inability of the counterparties to meet the terms of their contracts.

    (f) Swap agreements. The Fund invests in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes. The use of swaps involves risks that are different from those associated with
    other portfolio transactions. Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract (“OTC
    Swaps”) or centrally cleared (“Centrally Cleared Swaps”). Unlike Centrally Cleared Swaps, the Fund has credit exposure to the counterparties of OTC Swaps.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 31

    Notes to consolidated financial statements (cont’d)

    In a Centrally Cleared Swap, immediately following execution of the swap, the swap
    agreement is submitted to a clearinghouse or central counterparty (the “CCP”) and the CCP becomes the ultimate counterparty of the swap agreement. The Fund is required to interface with the CCP through a broker, acting in an agency
    capacity. All payments are settled with the CCP through the broker. Upon entering into a Centrally Cleared Swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities.

    Swap contracts are marked-to-market daily and changes in value are recorded as
    unrealized appreciation (depreciation). The daily change in valuation of Centrally Cleared Swaps, if any, is recorded as a receivable or payable for variation margin on the Consolidated Statement of Assets and Liabilities. Gains or losses are
    realized upon termination of the swap agreement. Collateral, in the form of restricted cash or securities, may be required to be held in segregated accounts with the Fund’s custodian in compliance with the terms of the swap contracts.
    Securities posted as collateral for swap contracts are identified in the Consolidated Schedule of Investments and restricted cash, if any, is identified on the Consolidated Statement of Assets and Liabilities. Risks may exceed amounts recorded in
    the Consolidated Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms, and the possible lack of liquidity with respect
    to the swap agreements.

    OTC swap payments received or made at the beginning of the measurement period are reflected as a premium or deposit,
    respectively, on the Consolidated Statement of Assets and Liabilities. These upfront payments are amortized over the life of the swap and are recognized as realized gain or loss in the Consolidated Statement of Operations. Net periodic payments
    received or paid by the Fund are recognized as a realized gain or loss in the Consolidated Statement of Operations.

    The Fund’s maximum exposure in
    the event of a defined credit event on a credit default swap to sell protection is the notional amount.

    As of November 30, 2019, the total notional
    value of all credit default swaps to sell protection was $42,285,000. This amount would be offset by the value of the swap’s reference entity, upfront premiums received on the swap and any amounts received from the settlement of a credit
    default swap where the Fund bought protection for the same referenced security/entity.

    For average notional amounts of swaps held during the year ended
    November 30, 2019, see Note 4.

    32 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Credit default swaps

    The Fund enters into credit default swap (“CDS”) contracts for investment purposes, to manage its credit risk or to add leverage. CDS agreements involve one party making a stream of payments to another
    party in exchange for the right to receive a specified return in the event of a default by a third party, typically corporate or sovereign issuers, on a specified obligation, or in the event of a write-down, principal shortfall, interest shortfall
    or default of all or part of the referenced entities comprising a credit index. The Fund may use a CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund has exposure to an issuer) or to take an active long or
    short position with respect to the likelihood of a particular issuer’s default. As a seller of protection, the Fund generally receives an upfront payment or a stream of payments throughout the term of the swap provided that there is no credit
    event. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the maximum potential amount of future payments (undiscounted) that the Fund could be required to make under a
    credit default swap agreement would be an amount equal to the notional amount of the agreement. These amounts of potential payments will be partially offset by any recovery of values from the respective referenced obligations. As a seller of
    protection, the Fund effectively adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. As a buyer of protection, the Fund generally receives an
    amount up to the notional value of the swap if a credit event occurs.

    Implied spreads are the theoretical prices a lender receives for credit default
    protection. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include
    upfront payments required to enter into the agreement. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater
    likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. Credit spreads utilized in determining the period end market value of credit default swap agreements on corporate or sovereign issues are
    disclosed in the Consolidated Schedule of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for credit derivatives. For credit default swap agreements on
    asset-backed securities and credit indices, the quoted market prices and resulting values, particularly in relation to the notional amount of the contract as well as the annual payment rate, serve as an indication of the current status of the
    payment/performance risk.

    The Fund’s maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract (this
    risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty). As the protection seller, the Fund’s maximum risk is the notional amount of the contract. Credit default
    swaps are considered to have credit risk-related contingent features since they require payment by the protection seller to the protection buyer upon the occurrence of a defined credit event.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 33

    Notes to consolidated financial statements (cont’d)

    Entering into a CDS agreement involves, to varying degrees, elements of credit, market
    and documentation risk in excess of the related amounts recognized on the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the
    agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates.

    Interest rate swaps

    The Fund enters into interest rate swap contracts to manage
    its exposure to interest rate risk. Interest rate swaps are agreements between two parties to exchange cash flows based on a notional principal amount. The Fund may elect to pay a fixed rate and receive a floating rate, receive a fixed rate and pay
    a floating rate, or pay and receive a floating rate, on a notional principal amount. Interest rate swaps are marked-to-market daily based upon quotations from market
    makers and the change, if any, is recorded as an unrealized gain or loss in the Consolidated Statement of Operations. When a swap contract is terminated early, the Fund records a realized gain or loss equal to the difference between the original
    cost and the settlement amount of the closing transaction.

    The risks of interest rate swaps include changes in market conditions that will affect the
    value of the contract or changes in the present value of the future cash flow streams and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund’s maximum risk of loss from counterparty credit risk
    is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive. This risk is mitigated by the posting of collateral by the counterparty to the Fund to
    cover the Fund’s exposure to the counterparty.

    (g) Stripped securities. los
    Fund may invest in ‘‘Stripped Securities,’’ a term used collectively for components, or strips, of fixed income securities. Stripped Securities can be principal only securities (“PO”), which are debt obligations that
    have been stripped of unmatured interest coupons, or interest only securities (“IO”), which are unmatured interest coupons that have been stripped from debt obligations. The market value of Stripped Securities will fluctuate in response to
    changes in economic conditions, rates of pre-payment, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped
    Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation may increase with a longer period of maturity.

    The yield to maturity on IO’s is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to
    maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IO’s.

    34 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    (h) Repurchase agreements. The Fund may enter
    into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to
    an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund’s holding period. When entering into repurchase agreements, it is the Fund’s
    policy that its custodian or a third party custodian, acting on the Fund’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase
    transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market

    and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However,
    if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be
    delayed or limited.

    (i) Reverse repurchase agreements. The Fund may enter into
    reverse repurchase agreements. Under the terms of a typical reverse repurchase agreement, a fund sells a security subject to an obligation to repurchase the security from the buyer at an agreed upon time and price. In the event the buyer of
    securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds of the agreement may be restricted pending a determination by the counterparty, or its trustee or receiver, whether to
    enforce the Fund’s obligation to repurchase the securities. In entering into reverse repurchase agreements, the Fund will maintain cash, U.S. government securities or other liquid debt obligations at least equal in value to its obligations with
    respect to reverse repurchase agreements or will take other actions permitted by law to cover its obligations. If the market value of the collateral declines during the period, the Fund may be required to post additional collateral to cover its
    obligation. Cash collateral that has been pledged to cover obligations of the Fund under reverse repurchase agreements, if any, will be reported separately in the Consolidated Statement of Assets and Liabilities. Securities pledged as collateral are
    noted in the Consolidated Schedule of Investments. Interest payments made on reverse repurchase agreements are recognized as a component of “Interest expense” on the Consolidated Statement of Operations. In periods of increased demand for
    the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.

    (j) Inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose
    principal value or interest rate is periodically adjusted according to the rate of inflation. As the index measuring inflation changes, the principal value or interest rate of inflation-indexed bonds will be adjusted accordingly. Inflation
    adjustments to the principal amount of inflation-indexed bonds are reflected as an increase or decrease to investment income on the Consolidated Statement of Operations. Repayment of the original bond principal upon

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 35

    Notes to consolidated financial statements (cont’d)

    maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury
    inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.

    (k) Cash flow information. The Fund invests in securities and distributes dividends from net investment income and net realized gains, which
    are paid in cash and may be reinvested at the discretion of shareholders. These activities are reported in the Consolidated Statement of Changes in Net Assets and additional information on cash receipts and cash payments are presented in the
    Consolidated Statement of Cash Flows.

    (l) Foreign currency translation.

    Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income
    and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

    The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities
    held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.

    Net realized foreign exchange gains or losses
    arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of
    dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets
    and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates.

    Foreign security and currency
    transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of
    foreign securities markets and the possibility of political or economic instability.

    (m) Credit and market risk. The Fund invests in high-yield and emerging market instruments that are subject to certain credit and market risks. The yields of high-yield and emerging market debt obligations reflect, among other things,
    perceived credit and market risks. The Fund’s investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate
    payment of interest and principal, greater market price volatility and less liquid secondary market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held
    by the Fund. The Fund’s investments in non-U.S. dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.

    36 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Investments in securities that are collateralized by real estate mortgages are subject to certain credit and liquidity
    risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of
    the full amount of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value and liquidity of these investments and may result in a lack of correlation between their credit ratings
    and values.

    (n) Foreign investment risks. The Fund’s investments in foreign
    securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship
    of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or
    other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

    (o)
    Counterparty risk and credit-risk-related contingent features of derivative instruments.
    The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to
    counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of
    default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund’s investment adviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness
    of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions.

    Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the investment adviser. In addition, declines in the
    values of underlying collateral received may expose the Fund to increased risk of loss.

    With exchange traded and centrally cleared derivatives, there is
    less counterparty risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk
    is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default of the clearing broker or
    clearinghouse.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 37

    Notes to consolidated financial statements (cont’d)

    The Fund has entered into master agreements, such as an International Swaps and
    Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement, with certain of its derivative counterparties that govern
    over-the-counter derivatives and provide for general obligations, representations, agreements, collateral posting terms, netting provisions in the event of default or
    termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or NAV over a specified period of time. If these credit related
    contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.

    Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables
    and/or receivables with collateral held and/or posted and create one single net payment. However, absent an event of default by the counterparty or a termination of the agreement, the terms of the ISDA Master Agreements do not result in an offset of
    reported amounts of financial assets and financial liabilities in the Consolidated Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by
    jurisdiction.

    Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearinghouse
    for exchange traded derivatives while collateral terms are contract specific for over-the-counter traded derivatives. Cash collateral that has been pledged to cover
    obligations of the Fund under derivative contracts, if any, will be reported separately in the Consolidated Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Consolidated Schedule of
    Investments.

    As of November 30, 2019, the Fund held forward foreign currency contracts with credit related contingent features which had a
    liability position of $944,202. If a contingent feature in the master agreements would have been triggered, the Fund would have been required to pay this amount to its derivatives counterparties. As of November 30, 2019, the Fund had posted
    with its counterparties cash and/or securities as collateral to cover the net liability of these derivatives amounting to $270,000, which could be used to reduce the required payment.

    At November 30, 2019, the Fund held non-cash collateral from Barclays Bank PLC in the amount of $285,710. This amount could be used to reduce the Fund’s exposure to
    the counterparty in the event of default.

    (p) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind

    securities), adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Paydown gains and losses on mortgage- and asset-backed securities are recorded as adjustments to interest income. Dividend income is
    recorded on the ex-dividend

    38 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    date for dividends received in cash and/or securities. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund
    determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that
    impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.

    (q) Distributions to shareholders. Distributions from net investment income of the Fund, if any, are declared and paid on a monthly basis.
    Distributions of net realized gains, if any, are declared at least annually. Pursuant to its Managed Distribution Policy, the Fund intends to make regular monthly distributions to shareholders at a fixed rate per common share, which rate may be
    adjusted from time to time by the Fund’s Board of Trustees. Under the Fund’s Managed Distribution Policy, if, for any monthly distribution, the value of the Fund’s net investment income and net realized capital gain is less than the
    amount of the distribution, the difference will be distributed from the Fund’s net assets (and may constitute a “return of capital”). Shareholders will be informed of the tax characteristics of the distributions after the close of the
    2019 fiscal year. The Board of Trustees may modify, terminate or suspend the Managed Distribution Policy at any time, including when certain events would make part of the return of capital taxable to shareholders. Any such modification, termination
    or suspension could have an adverse effect on the market price of the Fund’s shares. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with
    income tax regulations, which may differ from GAAP.

    (r) Compensating balance arrangements. The Fund has an arrangement with its custodian bank whereby a portion of the custodian’s fees is paid indirectly by credits earned on the Fund’s cash on deposit with the bank.

    (s) Federal and other taxes. It is the Fund’s policy to comply with the federal income
    and excise tax requirements of the Internal Revenue Code of 1986 (the “Code”), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to
    shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund’s financial statements.

    Management has analyzed the Fund’s tax positions taken on income tax returns for all open tax years and has concluded that as of November 30, 2019, no provision for income tax is required in the
    Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and
    state departments of revenue.

    Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at
    various rates.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 39

    Notes to consolidated financial statements (cont’d)

    (t) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per
    share. During the current year, the Fund had no reclassifications.

    2. Investment management agreement and other transactions with
    affiliates

    The Fund has entered into an Investment Management Agreement with Western Asset Management Company, LLC (“Western Asset” or the
    “Investment Adviser”), which provides for payment of a monthly fee computed at the annual rate of 0.35% of the Fund’s average weekly assets. “Average weekly assets” means the average weekly value of the total assets of the
    Fund (including any assets attributable to leverage) minus accrued liabilities (other than liabilities representing leverage). For purposes of calculating “average weekly assets,” liabilities associated with any instrument or transactions
    used by the Investment Adviser to leverage the Fund’s portfolio (whether or not such instruments or transactions are “covered” as described in the prospectus) are not considered a liability.

    During periods when the Fund is using leverage, the fee paid to the Investment Adviser for advisory services will be higher than if the Fund did not use leverage
    because the fee paid will be calculated on the basis of the Fund’s average weekly assets, which includes the assets attributable to leverage.

    Western Asset Management Company Pte. Ltd. (“Western Asset Singapore”), Western Asset Management Company Limited (“Western Asset London”) and
    Western Asset Management Company Ltd (“Western Asset Japan” and together with Western Asset Singapore and Western Asset London, the “Non-U.S. Advisers”) are also the Fund’s investment
    advisers. Western Asset Singapore, Western Asset London and Western Asset Japan provide certain advisory services to the Fund relating to currency transactions and investment in non-U.S. denominated
    securities. Western Asset Singapore, Western Asset London and Western Asset Japan do not receive any compensation from the Fund.

    Legg Mason Partners
    Fund Advisor, LLC (“LMPFA” or the “Administrator”), an affiliate of the Investment Adviser, provides certain administrative, accounting, shareholder servicing and corporate secretarial and related functions pursuant to an
    Administrative Services Agreement with the Fund. The Fund pays the Administrator a monthly fee at the annual rate of 0.05% of the Fund’s average weekly assets.

    3. Investments

    During the year ended November 30, 2019, the aggregate cost of purchases
    and proceeds from sales of investments (excluding short-term investments) and U.S. Government & Agency Obligations were as follows:

    Inversiones U.S. Government &
    Agency Obligations
    Purchases PS 46,479,367 PS 324,648,419
    Ventas 32,292,119 348,928,308

    40 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    At November 30, 2019, the aggregate cost of investments and the aggregate gross unrealized appreciation and
    depreciation of investments for federal income tax purposes were as follows:

    Cost/Premiums
    Paid (Received)
    Gross
    Unrealized
    Appreciation
    Gross
    Unrealized
    Depreciation

    Net

    Unrealized
    Appreciation
    (Depreciation)

    Securities PS 1,085,223,180 PS 48,185,343 PS (20,080,401) PS 28,104,942
    Swap contracts 808,931 333,788 (1,341,511) (1,007,723)
    Written options (2,256,898) 381,704 (558,697) (176,993)
    Futures contracts – 2,365,043 (1,834,654) 530,389
    Forward foreign currency contracts – 536,551 (944,202) (407,651)

    Transactions in reverse repurchase agreements for the Fund during the year ended November 30, 2019 were as follows:

    Average Daily

    Balance*

    Weighted Average

    Interest Rate*

    Maximum Amount

    Outstanding

    $337,579,107 2.54% $358,962,500

    * *

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

    Interest rates on reverse repurchase agreements ranged from 1.50% to 2.72% during the year ended November 30, 2019. Interest expense incurred on reverse
    repurchase agreements totaled $8,587,786.

    4. Derivative instruments and hedging activities

    Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Consolidated Statement of
    Assets and Liabilities at November 30, 2019.

    ASSET DERIVATIVES1
    Interest
    Rate Risk
    Foreign
    Exchange Risk
    Crédito
    Risk
    Total
    Purchased options2 PS 253,344 – – PS 253,344
    Futures contracts3 2,343,573 PS 21,470 – 2,365,043
    OTC swap contracts4 4 126,597 – – 126,597
    Centrally cleared swap contracts5 5 – – PS 207,191 207,191
    Forward foreign currency contracts – 536,551 – 536,551
    Total PS 2,723,514 PS 558,021 PS 207,191 PS 3,488,726

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 41

    Notes to consolidated financial statements (cont’d)

    LIABILITY
    DERIVATIVES1
    Interest
    Rate Risk
    Foreign
    Exchange Risk
    Commodity
    Risk
    Total
    Written options PS 2,433,891 – – PS 2,433,891
    Futures contracts3 285,569 PS 352,783 PS 1,196,302 1,834,654
    Centrally cleared swap contracts5 5 1,341,511 – – 1,341,511
    Forward foreign currency contracts – 944,202 – 944,202
    Total PS 4,060,971 PS 1,296,985 PS 1,196,302 PS 6,554,258

    1

    Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation (depreciation) and for liability derivatives is
    payables/net unrealized appreciation (depreciation).

    2

    Market value of purchased options is reported in Investments at value in the Consolidated Statement of Assets and Liabilities.

    3

    Includes cumulative appreciation (depreciation) of futures contracts as reported in the Consolidated Schedule of Investments. Only variation margin is reported
    within the receivables and/or payables on the Consolidated Statement of Assets and Liabilities.

    4 4

    Values include premiums paid (received) on swap contracts which are shown separately in the Consolidated Statement of Assets and Liabilities.

    5 5

    Includes cumulative appreciation (depreciation) of centrally cleared swap contracts as reported in the Consolidated Schedule of Investments. Only variation
    margin is reported within the receivables and/or payables on the Consolidated Statement of Assets and Liabilities.

    El seguimiento
    tables provide information about the effect of derivatives and hedging activities on the Fund’s Consolidated Statement of Operations for the year ended November 30, 2019. The first table provides additional detail about the amounts and
    sources of gains (losses) realized on derivatives during the period. The second table provides additional information about the change in unrealized appreciation (depreciation) resulting from the Fund’s derivatives and hedging activities during
    the period.

    AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED

    Interest

    Rate Risk

    Foreign
    Exchange Risk

    Crédito

    Risk

    Commodity
    Risk
    Total
    Purchased options1 PS (1,701,836) – – – PS (1,701,836)
    Written options 1,643,978 – – – 1,643,978
    Futures contracts (18,493,414) PS (1,205,469) – PS 6,292,411 (13,406,472)
    Swap contracts 103,740 – PS 507,809 – 611,549
    Forward foreign currency contracts – 2,789,225 – – 2,789,225
    Total PS (18,447,532) PS 1,583,756 PS 507,809 PS 6,292,411 PS (10,063,556)

    1

    Net realized gain (loss) from purchased options is reported in net realized gain (loss) from investment transactions in the Consolidated Statement of Operations.

    42 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED
    Interest
    Rate Risk
    Foreign
    Exchange Risk
    Crédito
    Risk
    Commodity
    Risk
    Total
    Purchased options1 PS 68,675 – – – PS 68,675
    Written options (176,993) – – – (176,993)
    Futures contracts 3,212,809 PS 651,479 – PS (656,068) 3,208,220
    Swap contracts (1,214,914) – PS 416,151 – (798,763)
    Forward foreign currency contracts – 1,021,739 – – 1,021,739
    Total PS 1,889,577 PS 1,673,218 PS 416,151 PS (656,068) PS 3,322,878

    1

    The change in unrealized appreciation (depreciation) from purchased options is reported in the change in net unrealized appreciation (depreciation) from
    investments in the Consolidated Statement of Operations.

    During the year ended November 30, 2019, the volume of derivative
    activity for the Fund was as follows:

    Average Market
    Value
    Purchased options PS 43,095
    Written options 250,398
    Futures contracts (to buy) 403,075,547
    Futures contracts (to sell) 301,318,337
    Forward foreign currency contracts (to buy) 132,657,122
    Forward foreign currency contracts (to sell) 83,943,302
    Average Notional
    Equilibrar
    Interest rate swap contracts PS 90,282,308
    Credit default swap contracts (to sell protection) 35,396,538

    The following table presents the Fund’s OTC derivative assets and liabilities by counterparty net of amounts available for
    offset under an ISDA Master Agreement and net of the related collateral pledged (received) by the Fund as of November 30, 2019.

    Counterparty Gross Assets
    Subject to
    Maestro
    Agreements1
    Gross
    Liabilities
    Subject to
    Maestro
    Agreements2
    Net Assets
    (Liabilities)
    Subject to
    Maestro
    Agreements
    Collateral
    Pledged
    (Received)2,3
    Net
    Amount4,5
    Barclays Bank PLC PS 278,040 PS (520,038) $(241,998) PS (278,040) PS (520,038)
    BNP Paribas SA – (4,638) (4,638) – (4,638)
    Citibank N.A. 385,108 (247,220) 137,888 80,000 217,888
    JPMorgan Chase & Co. – (172,306) (172,306) 172,306 –
    Total PS 663,148 PS (944,202) $(281,054) PS (25,734) PS (306,788)

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 43

    Notes to consolidated financial statements (cont’d)

    1

    Absent an event of default or early termination, derivative assets and liabilities are presented gross and not offset in the Consolidated Statement of Assets and
    Liabilities.

    2

    Gross amounts are not offset in the Consolidated Statement of Assets and Liabilities.

    3

    In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization.

    4 4

    Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

    5 5

    Represents the net amount receivable (payable) from (to) the counterparty in the event of default.

    5. Distributions subsequent to November 30, 2019

    The following distributions have been declared by the Fund’s Board of Trustees and are payable subsequent to the period end of this report:

    Record Date Payable Date Amount
    12/20/2019 12/31/2019 PS 0.0360
    1/24/2020 1/31/2020 PS 0.0360
    2/21/2020 2/28/2020 PS 0.0360

    6. Stock repurchase program

    On March 2, 2016, the Fund announced that the Fund’s Board of Trustees (the “Board”) had authorized the Fund to repurchase in the open market up to approximately 10% of the Fund’s
    outstanding common stock when the Fund’s shares are trading at a discount to net asset value. The Board has directed management of the Fund to repurchase shares of common stock at such times and in such amounts as management reasonably believes
    may enhance stockholder value. The Fund is under no obligation to purchase shares at any specific discount levels or in any specific amounts. During the year ended November 30, 2019, the Fund did not repurchase any shares.

    7. Income tax information and distributions to shareholders

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

    2019 2018
    Distributions paid from:
    Ordinary income PS 26,431,546 PS 26,431,546

    As of November 30, 2019, the components of distributable earnings (loss) on a tax basis were as follows:

    Undistributed ordinary income — net PS 12,965,434
    Deferred capital losses* (46,789,122)
    Other book/tax temporary differences(a) (34,410,822)
    Unrealized appreciation (depreciation)(b) 28,036,269
    Total distributable earnings (loss) — net PS (40,198,241)

    44 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    * *

    These capital losses have been deferred in the current year as either short-term or long-term losses. The losses will be deemed to occur on the first
    day of the next taxable year in the same character as they were originally deferred and will be available to offset future taxable capital gains.

    (a)

    Other book/tax temporary differences are attributable to the tax deferral of losses on straddles, the realization for tax purposes of unrealized gains (losses)
    on certain futures and foreign currency contracts and book/tax differences in the timing of the deductibility of various expenses.

    (b)

    The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable to the tax
    deferral of losses on wash sales and other book/tax basis adjustments.

    8. Recent accounting pronouncement

    The Fund has adopted the disclosure provisions of the Financial Accounting Standards Board Accounting Standards Update No. 2018-13, Fair Value Measurement (Topic 820) – Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”) which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13
    would be effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years; however, management has elected to early adopt ASU 2018-13. The impact of the
    Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy.

    Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report 45

    Report of independent registered public accounting firm

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

    Opinion on the Consolidated Financial Statements

    We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Western Asset
    Inflation-Linked Opportunities & Income Fund and its subsidiary (the “Fund”) as of November 30, 2019, the related consolidated statements of operations and cash flows for the year ended November 30, 2019, the
    consolidated statement of changes in net assets for each of the two years in the period ended November 30, 2019, including the related notes, and the consolidated financial highlights for each of the periods indicated therein (collectively
    referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Fund as of November 30, 2019, the results of its
    operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period ended November 30, 2019 and the financial highlights for each of the periods indicated therein in conformity with
    accounting principles generally accepted in the United States of America.

    Basis for Opinion

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

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

    Our audits included performing procedures to assess the risks of material misstatement of the
    consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated
    financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included
    confirmation of securities owned as of November 30, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable
    basis for our opinion.

    /s/PricewaterhouseCoopers LLP

    Baltimore, Maryland

    January 23, 2020

    We have served as the auditor of one or more investment companies in Legg Mason investment company group since at least 1973. We have not been able to determine the
    specific year we began serving as auditor.

    46 Western Asset Inflation-Linked Opportunities & Income Fund 2019 Annual Report

    Board approval of management and subadvisory agreements (unaudited)

    The Independent Trustees considered the following Investment Management Agreements with respect to the Fund (the “Agreements”) (i) an Investment
    Management Agreement between the Fund and Western Asset Management Company, LLC (“Western Asset”), (ii) an Investment Management Agreement between Western Asset and Western Asset Management Company Limited (“WAML”), (iii) an
    Investment Management Agreement between Western Asset and Western Asset Management Company Pte. Ltd. in Singapore (“Western Singapore”) and (iv) an Investment Management Agreement between Western Asset and Western Asset Management
    Company Ltd in Japan (“Western Japan,” and together with Western Singapore and WAML, the “Non-U.S. Advisers,” and together with Western Asset, the “Advisers”) with respect to the
    Fund at a meeting held on October 24, 2019. At a meeting held on November 19, 2019, the Independent Trustees reported to the full Board of Trustees their considerations and recommendation with respect to the Agreements, and the Board of
    Trustees, including a majority of the Independent Trustees, considered and approved renewal of the Agreements.

    In considering the Agreements, the
    Trustees noted that although Western Asset’s business is operated through separate legal entities, such as the Non-U.S. Advisers, its business is highly integrated and senior investment personnel at
    Western Asset have supervisory oversight responsibility over the investment decisions made by the Non-U.S. Advisers. Therefore, in connection with their deliberations noted below, the Trustees primarily
    focused on the information provided by Western Asset when considering the approval of the Agreements. The Trustees also noted that the Fund does not pay any management fees directly to any of the Non-U.S.
    Advisers because Western Asset pays the Non-U.S. Advisers for services provided to the Fund out of the management fee Western Asset receives from the Fund.

    In arriving at their decision to renew the Agreements, the Trustees met with representatives of Western Asset; reviewed a variety of information prepared by Western
    Asset and materials provided by counsel to the Independent Trustees; reviewed performance and expense information for peer groups of comparable funds and certain other products available from Western Asset for investments in U.S. TIPS, including
    separate accounts managed by Western Asset; and requested and reviewed additional information as necessary. These reviews were in addition to information obtained by the Trustees at their regular quarterly meetings with respect to the Fund’s
    performance and other relevant matters, such as information on public trading in the Fund’s shares and differences between the Fund’s share price and net asset value per share, and related discussions with Western Asset’s personnel.

    As part of their review, the Trustees examined the Advisers’ ability to provide high quality investment management services to the Fund. los
    Trustees considered the investment philosophy and research and decision-making processes of the Advisers; the experience of their key advisory personnel responsible for management of the Fund; the ability of the

    Western Asset Inflation-Linked Opportunities & Income Fund 47

    Board approval of management and subadvisory agreements (unaudited) (cont’d)

    Advisers to attract and retain capable research and advisory personnel; the entrepreneurial risk to the Advisers associated with sponsoring the Fund; the capability
    and integrity of the Advisers’ senior management and staff; and the level of skill required to manage the Fund. In addition, the Trustees reviewed the quality of the Advisers’ services with respect to regulatory compliance and compliance
    with the investment policies of the Fund, and conditions that might affect the Advisers’ ability to provide high quality services to the Fund in the future, including their business reputations, financial conditions and operational stabilities.
    Based on the foregoing, the Trustees concluded that the Advisers’ investment process, research capabilities and philosophy were well suited to the Fund given its investment objectives and policies, and that the Advisers would be able to meet
    any reasonably foreseeable obligations under the Agreements.

    In reviewing the quality of the services provided to the Fund, the Trustees also reviewed a
    comparison of the performance of the Fund to the performance of a group of closed-end bond funds and the Bloomberg Barclays U.S. Government Inflation-Linked 1-10 Año
    Index (the “Index”). The Trustees noted that the Fund had met its primary objective of providing current income to shareholders, and that the performance of the Fund exceeded the performance of its peer group average and the Index for the one-, three-, five-, and ten-year periods ended June 30, 2019. The Trustees concluded that the Advisers’ management of the Fund would continue to be in the best
    interests of the shareholders.

    The Trustees also considered the management fee and total expenses payable by the Fund. They reviewed information
    concerning management fees paid to investment advisers of similarly managed funds as well as fees paid by Western Asset’s other clients, including separate accounts managed by Western Asset. The Trustees noted that, when measured as a
    percentage of net assets (including assets attributable to leverage) for its most recently completed fiscal year, the Fund’s advisory fee paid to Western Asset was below the average of the advisory fees paid by funds in its peer group and that
    the Fund’s total expenses exceeded the average of the total expenses of the funds in its peer groups. The Trustees also noted that, when measured as a percentage of net assets (net of leverage) for its most recently completed fiscal year, the
    Fund’s advisory fee paid to Western Asset was below the average of the total expenses of the funds in its peer group and that the Fund’s total expenses exceeded the average of the total expenses of the funds in its peer group. The Trustees
    noted that Western Asset manages one other account with a similar investment strategy to the Fund and it has the same management fee rate as the Fund. The Trustees further noted that Western Asset does not manage
    open-end funds or separate accounts with similar investment strategies to the Fund, although they noted that the management fee paid by the Fund was higher than the average of the fees paid by clients of
    Western Asset for certain other accounts (“Other Accounts”). The Trustees noted that the administrative and operational responsibilities undertaken and associated risks incurred by Western Asset with respect to the Fund were also
    relatively higher and that the Fund’s investment

    48 Western Asset Inflation-Linked Opportunities & Income Fund

    strategy included certain asset classes and other features not included in the Other Accounts. In light of the forgoing, the Trustees concluded that the difference in management fees paid by the
    Fund from those paid to Western Asset with respect to the Other Accounts was reasonable.

    The Trustees further evaluated the benefits of the advisory
    relationship to the Advisers, including, among others, the profitability of the relationship to the Advisers; the direct and indirect benefits that the Advisers may receive from their relationships with the Fund, including the “fallout
    benefits,” such as reputational value derived from serving as investment adviser to the Fund; and the affiliation between the Advisers and Legg Mason Partners Funds Advisor, LLC, the Fund’s administrator. In that connection, the Trustees
    concluded that the Advisers’ profitability was consistent with levels of profitability that had been determined by courts not to be excessive. The Trustees noted that Western Asset does not have soft dollar arrangements.

    Finally, the Trustees considered, in light of the profitability information provided by Western Asset, the extent to which economies of scale would be realized by
    the Advisers as the assets of the Fund grow. The Trustees concluded that because the Fund is a closed-end fund and does not make a continuous offer of its securities, the Fund’s size was relatively fixed
    and it would be unlikely that the Advisers would realize economies of scale from the Fund’s growth.

    In their deliberations with respect to these
    matters, the Independent Trustees were advised by their independent counsel, who is independent, within the meaning of the Securities and Exchange Commission rules regarding the independence of counsel, of the Advisers. The Independent Trustees
    weighed each of the foregoing matters in light of the advice given to them by their independent counsel as to the law applicable to the review of investment advisory contracts. In arriving at a decision, the Trustees, including the Independent
    Trustees, did not identify any single matter as all-important or controlling, and the foregoing summary does not detail all the matters considered. The Trustees judged the terms and conditions of the
    Agreements, including the investment advisory fees, in light of all of the surrounding circumstances.

    Based upon their review, the Trustees, including
    all of the Independent Trustees, determined, in the exercise of their business judgment, that they were satisfied with the quality of investment advisory services being provided by the Advisers; that the fees to be paid to the Advisers under the
    Agreements were fair and reasonable given the scope and quality of the services rendered by the Advisers; and that approval of the Agreements was in the best interest of the Fund and its shareholders.

    Western Asset Inflation-Linked Opportunities & Income Fund 49

    Additional information (unaudited)

    Information about Trustees and Officers

    The business and affairs of Western Asset Inflation-Linked Opportunities & Income Fund (the “Fund”) are conducted by management under the
    supervision and subject to the direction of its Board of Trustees. Except as noted below, the business address of each Trustee is c/o Jane Trust, Legg Mason, 100 International Drive, 11th Floor, Baltimore, Maryland 21202. Information pertaining to
    the Trustees and Officers of the Fund is set forth below.

    The Fund’s annual proxy statement includes additional information about Trustees and is
    available, without charge, upon request by calling the Fund at 1-888-777-0102.

    Independent Trustees
    Michael Larson
    Year of birth 1959
    Position(s) held with Fund Trustee and Chairman of the Board of Trustees2,3,4
    Term of office and length of time served Term expires in 2020; served since September 2004
    Principal occupation(s) during the past five years Chief Investment Officer for William H. Gates III (since 1994)
    Number of portfolios in fund complex overseen by Trustee1 2
    Other directorships held by Trustee Republic Services, Inc. (since 2009); Fomento Economico Mexicano, SAB (since 2011); EcoLab, Inc. (since 2012); formerly, Autonation, Inc. (2010 to
    2018); Grupo Televisa, S.A.B. (2009 to 2014)
    Ronald A. Nyberg
    Year of birth 1953
    Position(s) held with Fund Trustee2,3
    Term of office and length of time served Term expires in 2021; served since January 2004
    Principal occupation(s) during the past five years Partner of Momkus LLC (since 2016); formerly, Partner, Nyberg & Cassioppi, LLC (2000 to 2016), Executive Vice President, General Counsel
    and Corporate Secretary of Van Kampen Investments (1982 to 1999)
    Number of portfolios in fund complex overseen by Trustee1 2
    Other directorships held by Trustee Edward-Elmhurst Healthcare System (since 2012); Guggenheim Funds Group (since 2003); PPM Funds (since 2018); formerly, Managed Duration Investment
    Grade Municipal Fund (2003 to 2016)

    50 Western Asset Inflation-Linked Opportunities & Income Fund

    Independent Trustees (cont’d)
    Ronald E. Toupin, Jr.
    Year of birth 1958
    Position(s) held with Fund Trustee2,3
    Term of office and length of time served Term expires in 2019; served since January 2004
    Principal occupation(s) during the past five years Portfolio Consultant (since 2010). Member, Governing Council (since 2013) and Executive Committee (2016 to 2018), Independent Directors Council;
    Governor, Board of Governors (since 2018), Investment Company Institute; formerly, Vice President, Manager and Portfolio Manager of Nuveen Asset Management (1998 to 1999); Vice President, Nuveen Investment Advisory Corp. (1992 to 1999); Vicio
    President and Manager, Nuveen Unit Investment Trusts (1991 to 1999); and Assistant Vice President and Portfolio Manager of Nuveen Unit Investment Trusts (1988 to 1999), each of John Nuveen & Co., Inc. (1982 to 1999)
    Number of portfolios in fund complex overseen by Trustee1 2
    Other directorships held by Trustee Guggenheim Funds Group (since 2003); formerly, Managed Duration Investment Grade Municipal Fund (2003 to 2016)
    Officers5 5
    Jane Trust, CFA

    Legg Mason

    100
    International Drive, 11th Floor, Baltimore, MD 21202

    Year of birth 1962
    Position(s) held with Fund President6
    Term of office5 5 and length of time served Served since April 2015
    Principal occupation(s) during the past five years Senior Managing Director of Legg Mason & Co., LLC (“Legg Mason & Co.”) (since 2018); Managing Director of Legg Mason
    & Co. (2016 to 2018); Officer and/or Trustee/Director of 145 funds associated with Legg Mason Partners Fund Advisor, LLC (“LMPFA”) or its affiliates (since 2015); President and Chief Executive Officer of LMPFA (since 2015); formerly,
    Senior Vice President of LMPFA (2015); Director of ClearBridge, LLC (formerly, Legg Mason Capital Management, LLC) (2007 to 2014); Managing Director of Legg Mason Investment Counsel & Trust Co. (2000 to 2007)
    Christopher Berarducci*

    Legg Mason

    620
    Eighth Avenue, 49th Floor, New York, NY 10018

    Year of birth 1974
    Position(s) held with Fund Treasurer and Principal Financial Officer
    Term of office5 5 and length of time served Since 2019
    Principal occupation(s) during the past five years Treasurer (since 2010) and Principal Financial Officer (since 2019) of certain mutual funds associated with Legg Mason & Co. or its
    affiliates; Director of Legg Mason & Co. (since 2015); formerly, Vice President of Legg Mason & Co. (2011 to 2015); Assistant Controller of certain mutual funds associated with Legg Mason & Co. or its affiliates (prior to
    2010)

    Western Asset Inflation-Linked Opportunities & Income Fund 51

    Additional information
    (unaudited) (cont’d)

    Information about Trustees and Officers

    Officers5 5 (cont’d)
    Ted P. Becker**

    Legg Mason

    620
    Eighth Avenue, 49th Floor, New York, NY 10018

    Year of birth 1951
    Position(s) held with Fund Chief Compliance Officer
    Term of office5 5 and length of time served Since 2019
    Principal occupation(s) during the past five years Director of Global Compliance at Legg Mason, Inc. (since 2006); Chief Compliance Officer of LMPFA (since 2006); Managing Director of Compliance of
    Legg Mason & Co. (since 2005); Chief Compliance Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006)
    Jenna Bailey

    Legg Mason

    100
    First Stamford Place, 5th Floor, Stamford, CT 06902

    Year of birth 1978
    Position(s) held with Fund Identity Theft Prevention Officer
    Term of office5 5 and length of time served Since 2018
    Principal occupation(s) during the past five years Identity Theft Prevention Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2015); Compliance
    Officer of Legg Mason & Co. (since 2013); Assistant Vice President of Legg Mason & Co. (since 2011); formerly, Associate Compliance Officer of Legg Mason & Co. (2011 to 2013)
    Robert I. Frenkel

    Legg Mason

    100
    First Stamford Place, 6th Floor, Stamford, CT 06902

    Year of birth 1954
    Position(s) held with Fund Secretary and Chief Legal Officer
    Term of office5 5 and length of time served Since 2018
    Principal occupation(s) during the past five years Vice President and Deputy General Counsel of Legg Mason, Inc. (since 2006); Managing Director and General Counsel — U.S. Mutual Funds for Legg
    Mason & Co. (since 2006) and Legg Mason & Co. predecessors (since 1994); Secretary and Chief Legal Officer of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) and Legg Mason &
    Co. predecessors (prior to 2006)

    52 Western Asset Inflation-Linked Opportunities & Income Fund

    Officers5 5 (cont’d)
    Thomas C. Mandia

    Legg Mason

    100
    First Stamford Place, 6th Floor, Stamford, CT 06902

    Year of birth 1962
    Position(s) held with Fund Assistant Secretary
    Term of office5 5 and length of time served Since 2018
    Principal occupation(s) during the past five years Managing Director and Deputy General Counsel of Legg Mason & Co. (since 2005) and Legg Mason & Co. predecessors (prior to 2005);
    Secretary of LMPFA (since 2006); Assistant Secretary of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2006) and Legg Mason & Co. predecessors (prior to 2006); Secretary of LM Asset Services, LLC
    (“LMAS”) (since 2002) and Legg Mason Fund Asset Management, Inc. (“LMFAM”) (since 2013) (formerly registered investment advisers)
    Jeanne M. Kelly

    Legg Mason

    620
    Eighth Avenue, 49th Floor, New York, NY 10018

    Year of birth 1951
    Position(s) held with Fund Senior Vice President
    Term of office5 5 and length of time served Since 2018
    Principal occupation(s) during the past five years Senior Vice President of certain mutual funds associated with Legg Mason & Co. or its affiliates (since 2007); Senior Vice President of
    LMPFA (since 2006); President and Chief Executive Officer of LMAS and LMFAM (since 2015); Managing Director of Legg Mason & Co. (since 2005) and Legg Mason & Co. predecessors (prior to 2005); formerly, Senior Vice President of
    LMFAM (2013 to 2015)

    * *

    Effective September 27, 2019, Mr. Berarducci became Treasurer and Principal Financial Officer.

    ** **

    Effective September 12, 2019, Mr. Becker became Chief Compliance Officer.

    1

    Each Trustee also serves as a Trustee of Western Asset Inflation-Linked Income Fund, a closed-end investment company,
    which is considered part of the same Fund Complex as the Fund. The Investment Adviser serves as investment adviser to Western Asset Inflation-Linked Income Fund.

    2

    Member of the Audit Committee of the Board of Trustees.

    3

    Member of the Governance and Nominating Committee of the Board of Trustees.

    4 4

    Mr. Larson is the chief investment officer for William H. Gates III and in that capacity oversees the investments of Mr. Gates and the investments of
    the Bill and Melinda Gates Foundation Trust (such combined investments are referred to as the “Accounts”). Since 1997, Western Asset has provided discretionary investment advice with respect to one or more Accounts.

    5 5

    Each officer shall hold office until his or her respective successor is chosen and qualified, or in each case until he or she sooner dies, resigns, is removed
    with or without cause or becomes disqualified.

    6

    Ms. Trust served as a Trustee of the Fund until December 19, 2017. During her service as a Trustee, Ms. Trust was an “interested person”
    of the Fund (as defined in the 1940 Act) because of her positions with subsidiaries of, and ownership of shares of common stock of, Legg Mason, Inc., the parent company of the Investment Adviser.

    Western Asset Inflation-Linked Opportunities & Income Fund 53

    Annual principal executive officer and principal financial officer
    certifications (unaudited)

    The Fund’s Principal Executive Officer (“PEO”) has submitted to the NYSE the required annual certification and the Fund also has included the
    Certifications of the Fund’s PEO and Principal Financial Officer required by Section 302 of the Sarbanes-Oxley Act in the Fund’s Form N-CSR filed with the SEC for the period of this report.

    54 Western Asset Inflation-Linked Opportunities & Income Fund

    Other shareholder communications regarding accounting matters (unaudited)

    The Fund’s Audit Committee has established guidelines and procedures regarding the receipt, retention and treatment of complaints regarding accounting,
    internal accounting controls or auditing matters (collectively, “Accounting Matters”). Persons with complaints or concerns regarding Accounting Matters may submit their complaints to the Chief Compliance Officer (“CCO”). Persons
    who are uncomfortable submitting complaints to the CCO, including complaints involving the CCO, may submit complaints directly to the Fund’s Audit Committee Chair. Complaints may be submitted on an anonymous basis.

    The CCO may be contacted at:

    Legg Mason & Co., LLC

    Compliance Department

    620 Eighth Avenue, 49th Floor

    New York, New York 10018

    Complaints may also be
    submitted by telephone at 1-800-742-5274. Complaints submitted through this number will be received by the CCO.

    Western Asset Inflation-Linked Opportunities & Income Fund 55

    Dividend reinvestment plan (unaudited)

    The Fund and Computershare Inc. (“Agent”), as the Transfer Agent and Registrar of WIW, offer a convenient way to add shares of WIW to your account. WIW
    offers to all common shareholders a Dividend Reinvestment Plan (“Plan”). Under the Plan, cash distributions (e.g., dividends and capital gains) on the common shares are automatically invested in shares of WIW unless the shareholder elects
    otherwise by contacting the Agent at the address set forth below.

    As a participant in the Dividend Reinvestment Plan, you will automatically receive
    your dividend or net capital gains distribution in newly issued shares of WIW, if the market price of the shares on the date of the distribution is at or above the net asset value (NAV) of the shares, minus estimated brokerage commissions that would
    be incurred upon the purchase of common shares on the open market. The number of shares to be issued to you will be determined by dividing the amount of the cash distribution to which you are entitled (net of any applicable withholding taxes) by the
    greater of the NAV per share on such date or 95% of the market price of a share on such date. If the market price of a share on such distribution date is below the NAV, less estimated brokerage commissions that would be incurred upon the purchase of
    common shares on the open market, the Agent will, as agent for the participants, buy shares of WIW through a broker on the open market. All common shares acquired on your behalf through the Plan will be automatically credited to an account
    maintained on the books of the Agent.

    Additional information regarding the plan

    WIW will pay all costs applicable to the Plan, except for brokerage commissions for open market purchases by the Agent under the Plan, which will be charged to
    participants. All shares acquired through the Plan receive voting rights and are eligible for any stock split, stock dividend, or other rights accruing to shareholders that the Board of Trustees may declare.

    You may terminate participation in the Plan at any time by giving notice to the Agent. Such termination will be effective prior to the record date next succeeding
    the receipt of such instructions or by a later date of termination specified in such instructions. Upon termination, a participant will receive a certificate for the full shares credited to his or her account or may request the sale of all or part
    of such shares. Fractional shares credited to a terminating account will be paid for in cash at the current market price at the time of termination.

    Dividends and other distributions invested in additional shares under the Plan are subject to income tax just as if they had been received in cash. After year end,
    dividends paid on the accumulated shares will be included in the Form 1099-DIV information return to the Internal Revenue Service and only one Form 1099-DIV will be sent
    to participants each year.

    Inquiries regarding the Plan, as well as notices of termination, should be directed to Computershare Inc, 462 South 4th
    Street, Suite 1600 Louisville, KY 40202. Investor Relations telephone number 1-888-888-0151.

    56 Western Asset Inflation-Linked Opportunities & Income Fund

    Important tax information (unaudited)

    The following information is provided with respect to the distributions paid during the taxable year ended November 30, 2019:

    Record date: Monthly Monthly
    Payable date: December 2018 January 2019 –
    November 2019
    Interest from Federal Obligations 51.94% 42.70%

    The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from
    state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.

    Western Asset Inflation-Linked Opportunities & Income Fund 57

    Western Asset

    Inflation-Linked Opportunities & Income Fund

    Trustees

    Michael Larson

    Ronald A. Nyberg

    Ronald E. Toupin, Jr.

    Officers

    Jane Trust

    President

    Christopher Berarducci*

    Treasurer and Principal Financial Officer

    Ted P. Becker**

    Chief Compliance Officer

    Jenna Bailey

    Identity Theft Prevention Officer

    Robert I. Frenkel

    Secretary and Chief Legal Officer

    Thomas C.
    Mandia

    Assistant Secretary

    Jeanne M. Kelly

    Senior Vice President

    * *

    Effective September 27, 2019, Mr. Berarducci became Treasurer and Principal Financial Officer.

    ** Effective September 12, 2019, Mr. Becker became Chief Compliance Officer.

    Western Asset Inflation-Linked Opportunities & Income Fund

    620 Eighth Avenue

    49th Floor

    New York, NY 10018

    Investment managers and
    advisers

    Western Asset Management Company, LLC

    Western Asset Management Company Limited

    Western Asset Management
    Company Pte. Ltd.

    Western Asset Management Company Ltd

    Administrator

    Legg Mason Partners Fund Advisor, LLC

    Custodian

    The Bank of New York Mellon

    Transfer agent

    Computershare
    Inc.

    462 South 4th Street, Suite 1600

    Louisville, KY
    40202

    Independent registered public accounting firm

    PricewaterhouseCoopers LLP

    100 East Pratt Street

    Baltimore, MD 21202

    Legal counsel

    Ropes & Gray LLP

    1211 Avenue of the
    Americas

    New York, NY 10036

    Nueva York
    Stock Exchange Symbol

    WIW


    Legg Mason Funds Privacy and Security Notice

    Your Privacy and the Security of Your Personal Information is Very Important to the Funds

    This Privacy and Security Notice (the “Privacy Notice”) addresses the Funds’ privacy and data protection practices with respect to nonpublic
    personal information the Funds receive. The Legg Mason Funds include any funds sold by the Funds’ distributor, Legg Mason Investor Services, LLC, as well as Legg Mason-sponsored closed-end funds. los
    provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.

    The Type of Nonpublic Personal Information the Funds Collect About You

    The Funds collect and
    maintain nonpublic personal information about you in connection with your shareholder account. Such information may include, but is not limited to:

    •

    Personal information included on applications or other forms;

    •

    Account balances, transactions, and mutual fund holdings and positions;

    •

    Bank account information, legal documents, and identity verification documentation;

    •

    Online account access user IDs, passwords, security challenge question responses; y

    •

    Information received from consumer reporting agencies regarding credit history and creditworthiness (such as the amount of an individual’s total debt,
    payment history, etc.).

    How the Funds Use Nonpublic Personal Information About You

    The Funds do not sell or share your nonpublic personal information with third parties or with affiliates for their marketing purposes, or with other financial
    institutions or affiliates for joint marketing purposes, unless you have authorized the Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services you have
    authorized or as permitted or required by law. The Funds may disclose information about you to:

    •

    Employees, agents, and affiliates on a “need to know” basis to enable the Funds to conduct ordinary business or to comply with obligations to
    government regulators;

    •

    Service providers, including the Funds’ affiliates, who assist the Funds as part of the ordinary course of business (such as printing, mailing services, or
    processing or servicing your account with us) or otherwise perform services on the Funds’ behalf, including companies that may perform statistical analysis, market research and marketing services solely for the Funds;

    •

    Permit access to transfer, whether in the United States or countries outside of the United States to such Funds’ employees, agents and affiliates and
    service providers as required to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;

    •

    The Funds’ representatives such as legal counsel, accountants and auditors to enable the Funds to conduct ordinary business, or to comply with obligations
    to government regulators;

    •

    Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust.

    NOT PART OF THE ANNUAL REPORT

    Legg Mason Funds Privacy and Security Notice (cont’d)

    Except as otherwise permitted by applicable law, companies acting on the Funds’
    behalf, including those outside the United States, are contractually obligated to keep nonpublic personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them
    to perform.

    The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as
    permitted or required by applicable law, such as in connection with a law enforcement or regulatory request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be
    required to disclose your nonpublic personal information to third parties. While it is the Funds’ practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will
    remain unchanged.

    Keeping You Informed of the Funds’ Privacy and Security Practices

    The Funds will notify you annually of their privacy policy as required by federal law. While the Funds reserve the right to modify this policy at any time they
    will notify you promptly if this privacy policy changes.

    The Funds’ Security Practices

    The Funds maintain appropriate physical, electronic and procedural safeguards designed to guard your nonpublic personal information. The Funds’ internal data
    security policies restrict access to your nonpublic personal information to authorized employees, who may use your nonpublic personal information for Fund business purposes only.

    Although the Funds strive to protect your nonpublic personal information, they cannot ensure or warrant the security of any information you provide or transmit to them, and you do so at your own risk. In the event
    of a breach of the confidentiality or security of your nonpublic personal information, the Funds will attempt to notify you as necessary so you can take appropriate protective steps. If you have consented to the Funds using electronic communications
    or electronic delivery of statements, they may notify you under such circumstances using the most current email address you have on record with them.

    En
    order for the Funds to provide effective service to you, keeping your account information accurate is very important. If you believe that your account information is incomplete, not accurate or not current, if you have questions about the
    Funds’ privacy practices, or our use of your nonpublic personal information, write the Funds using the contact information on your account statements, email the Funds by clicking on the Funds’ website at www.lmcef.com, or contact the Funds
    a 1-888-777-0102.

    Revised
    April 2018

    NOT PART OF THE ANNUAL REPORT

    Western Asset Inflation-Linked Opportunities & Income Fund

    Western Asset Inflation-Linked Opportunities & Income Fund

    620 Eighth Avenue

    49th Floor

    New York, NY 10018

    Notice is hereby given in accordance with
    Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase, at market prices, shares of its stock.

    The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each
    fiscal year as an exhibit to its reports on Form N-PORT. Previously, the Fund filed a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-PORT y N-Q are available on the SEC’s website at www.sec.gov. To obtain information on Forms N-PORT y N-Q, shareholders can call the Fund at
    1-888-777-0102.

    Information on
    how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th of each year and a description of the policies and procedures that the Fund uses to determine how to
    vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling 1-888-777-0102,

    (2) at www.lmcef.com and (3) on the SEC’s website at www.sec.gov.

    This report is transmitted to the shareholders of Western Asset
    Inflation-Linked Opportunities & Income Fund for their information. This is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.

    Computershare Inc.

    462 South 4th Street, Suite 1600

    Louisville, KY 40202

    WASX013149 1/20 SR19-3789


    ITEM 2. CODE OF ETHICS.
    The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller.
    ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
    The Audit Committee of the Registrant’s Board of Trustees is comprised solely of Trustees who are “independent” (as such term has been defined by the Securities and Exchange Commission (“SEC”) in regulations
    implementing Section 407 of the Sarbanes-Oxley Act of 2002 (the “Regulations”)). In addition, the Board of Trustees of the Registrant has determined that Mr. Ronald E. Toupin, Jr. qualifies as an “audit committee
    financial expert” (as such term has been defined in the Regulations) based on its review of his pertinent experience, knowledge and education.
    (Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of
    the Securities Act of 1933, as amended, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person
    any duties, obligations, or liabilities that are greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and Board of Trustees in the absence of such designation or identification. los
    designation or identification of a person as an audit committee financial expert does not affect the duties, obligations or liability of any other member of the audit committee or Board of Trustees.)
    ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
    (a) Audit Fees. The aggregate fees billed in the previous fiscal years ending November 30, 2018 and November 30, 2018 (the “Reporting Periods”) for professional services rendered by the Registrant’s
    principal accountant (the “Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the
    Reporting Periods, were $18,221 in November 30, 2018 and $45,095 in November 30, 2019.
    (b) Audit-Related Fees. The aggregate fees billed in the Reporting Period for assurance and related services by the Auditor that are reasonably related to the performance of the Registrant’s financial statements were $0
    in November 30, 2018 and $0 in November 30, 2019.
    (c) Tax Fees. The aggregate fees billed in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $0 in November 30,
    2018 and $0 in November 30, 2019. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory,
    regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.

    There were no fees billed for tax services by the Auditors to service affiliates during the Reporting Periods that required pre-approval by the Audit Committee.
    (d) All Other Fees. The aggregate fees for other fees billed in the Reporting Periods for products and services provided by the Auditor, other than the services reported in paragraphs (a) through (c) of this Item
    for the Western Asset Inflation-Linked Opportunities & Income Fund were $0 in November 30, 2018 and $0 in November 30, 2019.
    All Other Fees. There were no other non-audit services rendered by the Auditor to Legg Mason Partners Fund Advisors, LLC (“LMPFA”), and any entity controlling, controlled by or under
    common control with LMPFA that provided ongoing services to Western Asset Inflation-Linked Opportunities & Income Fund requiring pre-approval by the Audit Committee in the Reporting Period.
    (e) Audit Committee’s pre—approval policies and procedures described in paragraph (c) (7) of Rule 2-01 of Regulation
    S-X.
    (1) The Charter for the Audit Committee (the “Committee”) of the Board of each registered investment company (the “Fund”) advised by LMPFA or one of their affiliates (each, an “Adviser”) requires
    that the Committee shall approve (a) all audit and permissible non-audit services to be provided to the Fund and (b) all permissible non-audit services to be
    provided by the Fund’s independent auditors to the Adviser and any Covered Service Providers if the engagement relates directly to the operations and financial reporting of the Fund. The Committee may implement policies and procedures by
    which such services are approved other than by the full Committee.
    The Committee shall not approve non-audit services that the Committee believes may impair the independence of the auditors. As of the date of the approval of this Audit Committee Charter,
    permissible non-audit services include any professional services (including tax services), that are not prohibited services as described below, provided to the Fund by the independent auditors, other than
    those provided to the Fund in connection with an audit or a review of the financial statements of the Fund. Permissible non-audit services may not include: (i) bookkeeping or other services related
    to the accounting records or financial statements of the Fund; (ii) financial information systems design and implementation; (iii) appraisal or valuation services, fairness opinions or contribution-in-kind reports; (iv) actuarial services; (v) internal audit outsourcing services; (vi) management functions or human resources; (vii) broker or dealer, investment adviser or
    investment banking services; (viii) legal services and expert services unrelated to the audit; and (ix) any other service the Public Company Accounting Oversight Board determines, by regulation, is impermissible.
    Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the Fund, the Adviser and any service providers controlling, controlled by or under common control with the Adviser that provide ongoing services to the Fund (“Covered Service
    Providers”) constitutes not more than 5% of the total amount of revenues paid to the independent auditors during the fiscal year in which the permissible non-audit services are provided to (a) the
    Fund, (b) the Adviser and (c) any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund during the fiscal year in which the services are provided that would have to be
    approved by the Committee; (ii) the permissible non-audit services were not recognized by the Fund at the time of the

    engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee (or its delegate(s)) prior to the
    completion of the audit.
    (2) For the Western Asset Inflation-Linked Opportunities & Income Fund, the percentage of fees that were approved by the audit committee, with respect to: Audit-Related Fees were 100% and 100% for November 30,
    2018 and November 30, 2019; Tax Fees were 100% and 100% for November 30, 2018 and November 30, 2019; and Other Fees were 100% and 100% for November 30, 2018 and November 30, 2019.
    (f) N/A
    (g) Non-audit fees billed by the Auditor for services rendered to Western Asset Inflation-Linked Opportunities & Income Fund, LMPFA and any entity controlling, controlled by, or
    under common control with LMPFA that provides ongoing services to Western Asset Inflation-Linked Opportunities & Income Fund during the reporting period were $678,000 in November 30, 2018 and $405,307 in November 30,
    2019.
    (h) Yes. Western Asset Inflation-Linked Opportunities & Income Fund’s Audit Committee has considered whether the provision of non-audit services that were rendered to
    Service Affiliates, which were not pre-approved (not requiring pre-approval), is compatible with maintaining the Accountant’s independence. All services
    provided by the Auditor to the Western Asset Inflation-Linked Opportunities & Income Fund or to Service Affiliates, which were required to be pre-approved, fueron
    pre-approved as required.
    ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

    a)  Registrant has a separately – designated standing Audit Committee established
    in accordance with Section 3(a)(58)(A) of the Exchange Act.
    The Audit Committee consists of the following Board members:

    Michael Larson

    Ronald A. Nyberg

    Ronald E. Toupin, Jr.

    b)  Not applicable.

    ITEM 6. SCHEDULE OF INVESTMENTS.
    Included herein under Item 1.
    ITEM 7. DISCLOSURE OF PROXY VOTING POLOCIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES

    Western Asset Management Company, LLC

    Proxy Voting Policies and Procedures

    BACKGROUND

    An investment adviser is
    required to adopt and implement policies and procedures that we believe are reasonably designed to ensure that proxies are voted in the best interest of clients, in accordance with fiduciary


    duties and SEC Rule 206(4)-6 under the Investment Advisers Act of 1940 (“Advisers Act”). The authority to vote the proxies of our clients is
    established through investment management agreements or comparable documents. In addition to SEC requirements governing advisers, long-standing fiduciary standards and responsibilities have been established for ERISA accounts. Unless a manager of
    ERISA assets has been expressly precluded from voting proxies, the Department of Labor has determined that the responsibility for these votes lies with the investment manager.

    POLICY

    As a fixed income only manager,
    the occasion to vote proxies is very rare. However, the Firm has adopted and implemented policies and procedures that we believe are reasonably designed to ensure that proxies are voted in the best interest of clients, in accordance with our
    fiduciary duties and SEC Rule 206(4)- 6 under the Investment Advisers Act of 1940 (“Advisers Act”). In addition to SEC requirements governing advisers, our proxy voting policies reflect the long-standing fiduciary standards and
    responsibilities for ERISA accounts. Unless a manager of ERISA assets has been expressly precluded from voting proxies, the Department of Labor has determined that the responsibility for these votes lies with the Investment Manager.

    While the guidelines included in the procedures are intended to provide a benchmark for voting standards, each vote is ultimately cast on a case-by-case basis, taking into consideration the Firm’s contractual obligations to our clients and all other relevant facts and circumstances at the time of the vote
    (such that these guidelines may be overridden to the extent the Firm deems appropriate).

    In exercising its voting authority, Western
    Asset will not consult or enter into agreements with officers, directors or employees of Legg Mason Inc. or any of its affiliates (other than Western Asset affiliated companies) regarding the voting of any securities owned by its clients.

    PROCEDURE

    Responsibility and Oversight

    The Western Asset Legal and Compliance Department (“Compliance Department”) is responsible for administering and overseeing the proxy
    voting process. The gathering of proxies is coordinated through the Corporate Actions area of Investment Support (“Corporate Actions”). Research analysts and portfolio managers are responsible for determining appropriate voting positions
    on each proxy utilizing any applicable guidelines contained in these procedures.

    Client Authority

    The Investment Management Agreement for each client is reviewed at account start-up for proxy voting
    instructions. If an agreement is silent on proxy voting, but contains an overall delegation of discretionary authority or if the account represents assets of an ERISA plan, Western Asset will assume responsibility for proxy voting. The Legal and
    Compliance Department maintains a matrix of proxy voting authority.

    Proxy Gathering

    Registered owners of record, client custodians, client banks and trustees (“Proxy Recipients”) that receive proxy materials on behalf
    of clients should forward them to Corporate Actions. Proxy Recipients for new clients (or, if Western Asset becomes aware that the applicable Proxy Recipient for an existing client has changed, the Proxy Recipient for the existing client) are
    notified at start-up of appropriate routing to Corporate Actions of proxy materials received and reminded of their responsibility to forward all proxy materials on a timely basis. If Western Asset personnel
    other than Corporate Actions receive proxy materials, they should promptly forward the materials to Corporate Actions.

    Proxy Voting

    Once proxy materials are received by Corporate Actions, they are forwarded to the Legal and Compliance Department for coordination and the
    following actions:

    1)

    Proxies are reviewed to determine accounts impacted.

    2)

    Impacted accounts are checked to confirm Western Asset voting authority.


    3)

    Legal and Compliance Department staff reviews proxy issues to determine any material conflicts of interest.
    (See conflicts of interest section of these procedures for further information on determining material conflicts of interest.)

    4.

    If a material conflict of interest exists, (i) to the extent reasonably practicable and permitted by
    applicable law, the client is promptly notified, the conflict is disclosed and Western Asset obtains the client’s proxy voting instructions, and (ii) to the extent that it is not reasonably practicable or permitted by applicable law to
    notify the client and obtain such instructions (e.g., the client is a mutual fund or other commingled vehicle or is an ERISA plan client), Western Asset seeks voting instructions from an independent third party.

    5.

    Legal and Compliance Department staff provides proxy material to the appropriate research analyst or portfolio
    manager to obtain their recommended vote. Research analysts and portfolio managers determine votes on a case-by-case basis taking into the account the voting guidelines
    contained in these procedures. For avoidance of doubt, depending on the best interest of each individual client, Western Asset may vote the same proxy differently for different clients. The analyst’s or portfolio manager’s basis for their
    decision is documented and maintained by the Legal and Compliance Department.

    6.

    Legal and Compliance Department staff votes the proxy pursuant to the instructions received in (d) or (e)
    and returns the voted proxy as indicated in the proxy materials.

    Timing

    Western Asset personnel act in such a manner to ensure that, absent special circumstances, the proxy gathering, and proxy voting steps noted
    above can be completed before the applicable deadline for returning proxy votes.

    Recordkeeping

    Western Asset maintains records of proxies voted pursuant to Section 204-2 of the Advisers Act and
    ERISA DOL Bulletin 94-2. These records include:

    a.

    A copy of Western Asset’s policies and procedures.

    b.

    Copies of proxy statements received regarding client securities.

    c.

    A copy of any document created by Western Asset that was material to making a decision how to vote proxies.

    d.

    Each written client request for proxy voting records and Western Asset’s written response to both verbal
    and written client requests.

    e.

    A proxy log including:

    2)

    Exchange ticker symbol of the issuer’s shares to be voted;

    3)

    Committee on Uniform Securities Identification Procedures (“CUSIP”) number for the shares to be
    voted;

    4.

    A brief identification of the matter voted on;

    5.

    Whether the matter was proposed by the issuer or by a shareholder of the issuer;

    6.

    Whether a vote was cast on the matter;

    7.

    A record of how the vote was cast; y

    8.

    Whether the vote was cast for or against the recommendation of the issuer’s management team.

    Records are maintained in an easily accessible place for five years, the first two in Western Asset’s offices.


    Disclosure

    Western Asset’s proxy policies are described in the firm’s Part 2A of Form ADV. Clients will be provided a copy of these policies and
    procedures upon request. In addition, upon request, clients may receive reports on how their proxies have been voted.

    Conflicts of Interest

    All proxies are reviewed by the Legal and Compliance Department for material conflicts of interest.

    Issues to be reviewed include, but are not limited to:

    1)

    Whether Western (or, to the extent required to be considered by applicable law, its affiliates) manages assets
    for the company or an employee group of the company or otherwise has an interest in the company;

    2)

    Whether Western or an officer or director of Western or the applicable portfolio manager or analyst responsible
    for recommending the proxy vote (together, “Voting Persons”) is a close relative of or has a personal or business relationship with an executive, director or person who is a candidate for director of the company or is a participant in a
    proxy contest; y

    3)

    Whether there is any other business or personal relationship where a Voting Person has a personal interest in
    the outcome of the matter before shareholders.

    Voting Guidelines

    Western Asset’s substantive voting decisions turn on the particular facts and circumstances of each proxy vote and are evaluated by the
    designated research analyst or portfolio manager. The examples outlined below are meant as guidelines to aid in the decision making process.

    Guidelines are grouped according to the types of proposals generally presented to shareholders. Part I deals with proposals which have been
    approved and are recommended by a company’s board of directors; Part II deals with proposals submitted by shareholders for inclusion in proxy statements; Part III addresses issues relating to voting shares of investment companies; and Part IV
    addresses unique considerations pertaining to foreign issuers.

    YO.

    Board Approved Proposals

    The vast majority of matters presented to shareholders for a vote involve proposals made by a company itself that have been approved and
    recommended by its board of directors. In view of the enhanced corporate governance practices currently being implemented in public companies, Western Asset generally votes in support of decisions reached by independent boards of directors. Más
    specific guidelines related to certain board-approved proposals are as follows:

    1)

    Matters relating to the Board of Directors

    Western Asset votes proxies for the election of the company’s nominees for directors and for board- approved proposals on
    other matters relating to the board of directors with the following exceptions:

    a.

    Votes are withheld for the entire board of directors if the board does not have a majority of independent
    directors or the board does not have nominating, audit and compensation committees composed solely of independent directors.

    b.

    Votes are withheld for any nominee for director who is considered an independent director by the company and
    who has received compensation from the company other than for service as a director.

    c.

    Votes are withheld for any nominee for director who attends less than 75% of board and committee meetings
    without valid reasons for absences.

    d.

    Votes are cast on a
    case-by-case basis in contested elections of directors.


    2)

    Matters relating to Executive Compensation

    Western Asset generally favors compensation programs that relate executive compensation to a company’s long-term
    performance. Votes are cast on a case-by-case basis on board-approved proposals relating to executive compensation, except as follows:

    a.

    Except where the firm is otherwise withholding votes for the entire board of directors, Western Asset votes for
    stock option plans that will result in a minimal annual dilution.

    b.

    Western Asset votes against stock option plans or proposals that permit replacing or repricing of underwater
    opciones.

    c.

    Western Asset votes against stock option plans that permit issuance of options with an exercise price below the
    stock’s current market price.

    d.

    Except where the firm is otherwise withholding votes for the entire board of directors, Western Asset votes for
    employee stock purchase plans that limit the discount for shares purchased under the plan to no more than 15% of their market value, have an offering period of 27 months or less and result in dilution of 10% or less.

    3)

    Matters relating to Capitalization

    The management of a company’s capital structure involves a number of important issues, including cash flows, financing
    needs and market conditions that are unique to the circumstances of each company. As a result, Western Asset votes on a case-by-case basis on board-approved proposals
    involving changes to a company’s capitalization except where Western Asset is otherwise withholding votes for the entire board of directors.

    a.

    Western Asset votes for proposals relating to the authorization of additional common stock.

    b.

    Western Asset votes for proposals to effect stock splits (excluding reverse stock splits).

    c.

    Western Asset votes for proposals authorizing share repurchase programs.

    4.

    Matters relating to Acquisitions, Mergers, Reorganizations and Other Transactions

    Western Asset votes these issues on a
    case-by-case basis on board-approved transactions.

    5.

    Matters relating to Anti-Takeover Measures

    Western Asset votes against board-approved proposals to adopt anti-takeover measures except as follows:

    a.

    Western Asset votes on a
    case-by-case basis on proposals to ratify or approve shareholder rights plans.

    b.

    Western Asset votes on a
    case-by-case basis on proposals to adopt fair price provisions.

    6.

    Other Business Matters

    Western Asset votes for board-approved proposals approving such routine business matters such as changing the company’s
    name, ratifying the appointment of auditors and procedural matters relating to the shareholder meeting.

    a.

    Western Asset votes on a
    case-by-case basis on proposals to amend a company’s charter or bylaws.

    b.

    Western Asset votes against authorization to transact other unidentified, substantive business at the meeting.


    II

    Shareholder Proposals

    SEC regulations permit shareholders to submit proposals for inclusion in a company’s proxy statement. These proposals generally seek to
    change some aspect of a company’s corporate governance structure or to change some aspect of its business operations. Western Asset votes in accordance with the recommendation of the company’s board of directors on all shareholder
    proposals, except as follows:

    a.

    Western Asset votes for shareholder proposals to require shareholder approval of shareholder rights plans.

    b.

    Western Asset votes for shareholder proposals that are consistent with Western Asset’s proxy voting
    guidelines for board-approved proposals.

    c.

    Western Asset votes on a
    case-by-case basis on other shareholder proposals where the firm is otherwise withholding votes for the entire board of directors.

    III.

    Voting Shares of Investment Companies

    Western Asset may utilize shares of open or closed-end investment companies to implement its investment
    strategies. Shareholder votes for investment companies that fall within the categories listed in Parts I and II above are voted in accordance with those guidelines.

    1)

    Western Asset votes on a
    case-by-case basis on proposals relating to changes in the investment objectives of an investment company taking into account the original intent of the fund and the
    role the fund plays in the clients’ portfolios.

    2)

    Western Asset votes on a
    case-by-case basis all proposals that would result in increases in expenses (e.g., proposals to adopt 12b-1 plans, alter
    investment advisory arrangements or approve fund mergers) taking into account comparable expenses for similar funds and the services to be provided.

    IV.

    Voting Shares of Foreign Issuers

    In the event Western Asset is required to vote on securities held in non-U.S. issuers – i.e.
    issuers that are incorporated under the laws of a foreign jurisdiction and that are not listed on a U.S. securities exchange or the NASDAQ stock market, the following guidelines are used, which are premised on the existence of a sound corporate
    governance and disclosure framework. These guidelines, however, may not be appropriate under some circumstances for foreign issuers and therefore apply only where applicable.

    1)

    Western Asset votes for shareholder proposals calling for a majority of the directors to be independent of
    management.

    2)

    Western Asset votes for shareholder proposals seeking to increase the independence of board nominating, audit
    and compensation committees.

    3)

    Western Asset votes for shareholder proposals that implement corporate governance standards similar to those
    established under U.S. federal law and the listing requirements of U.S. stock exchanges, and that do not otherwise violate the laws of the jurisdiction under which the company is incorporated.

    4.

    Western Asset votes on a
    case-by-case basis on proposals relating to (1) the issuance of common stock in excess of 20% of a company’s outstanding common stock where shareholders do not
    have preemptive rights, or (2) the issuance of common stock in excess of 100% of a company’s outstanding common stock where shareholders have preemptive rights.

    RETIREMENT ACCOUNTS

    For accounts subject
    to ERISA, as well as other Retirement Accounts, Western Asset is presumed to have the responsibility to vote proxies for the client. The Department of Labor (“DOL”) has issued a bulletin that states that investment managers have the
    responsibility to vote proxies on behalf of Retirement Accounts unless the authority to vote proxies has been specifically reserved to another named fiduciary. Furthermore, unless Western Asset is expressly precluded from voting the proxies, the DOL
    has determined that the responsibility remains with the investment manager.


    In order to comply with the DOL’s position, Western Asset will be presumed to have the
    obligation to vote proxies for its Retirement Accounts unless Western Asset has obtained a specific written instruction indicating that: (a) the right to vote proxies has been reserved to a named fiduciary of the client, and (b) Western
    Asset is precluded from voting proxies on behalf of the client. If Western Asset does not receive such an instruction, Western Asset will be responsible for voting proxies in the best interests of the Retirement Account client and in accordance with
    any proxy voting guidelines provided by the client.


    Western Asset Management Company Limited

    Proxy Voting and Corporate Actions Policy

    NOTE: Below policy relating to Proxy Voting and Corporate Actions is a global policy for all Western Asset affiliates. As compliance with the Policy is
    monitored by Western Asset Pasadena affiliate, the Policy has been adopted from US Compliance Manual and therefore all defined terms are those defined in the US Compliance Manual rather than UK Compliance Manual.

    As a fixed income only manager, the occasion to vote proxies is very rare. However, the Firm has adopted and implemented policies and procedures that we
    believe are reasonably designed to ensure that proxies are voted in the best interest of clients, in accordance with our fiduciary duties and SEC Rule 206(4)-6 under the Investment Advisers Act of 1940
    (“Advisers Act”). In addition to SEC requirements governing advisers, our proxy voting policies reflect the long-standing fiduciary standards and responsibilities for ERISA accounts. Unless a manager of ERISA assets has been expressly
    precluded from voting proxies, the Department of Labor has determined that the responsibility for these votes lies with the Investment Manager.

    While the guidelines included in the procedures are intended to provide a benchmark for voting standards, each vote is ultimately cast on a case-by-case basis, taking into consideration the Firm’s contractual obligations to our clients and all other relevant facts and circumstances at the time of the vote
    (such that these guidelines may be overridden to the extent the Firm deems appropriate).

    In exercising its voting authority, Western
    Asset will not consult or enter into agreements with officers, directors or employees of Legg Mason Inc. or any of its affiliates (other than Western Asset affiliated companies) regarding the voting of any securities owned by its clients.

    RESPONSIBILITY AND OVERSIGHT

    The Western
    Asset Legal and Compliance Department (“Compliance Department”) is responsible for administering and overseeing the proxy voting process. The gathering of proxies is coordinated through the Corporate Actions area of Investment Support
    (“Corporate Actions”). Research analysts and portfolio managers are responsible for determining appropriate voting positions on each proxy utilizing any applicable guidelines contained in these procedures.

    CLIENT AUTHORITY

    The Investment
    Management Agreement for each client is reviewed at account start-up for proxy voting instructions. If an agreement is silent on proxy voting, but contains an overall delegation of discretionary authority or
    if the account represents assets of an ERISA plan, Western Asset will assume responsibility for proxy voting. The Legal and Compliance Department maintains a matrix of proxy voting authority.

    PROXY GATHERING

    Registered owners of
    record, client custodians, client banks and trustees (“Proxy Recipients”) that receive proxy materials on behalf of clients should forward them to Corporate Actions. Proxy Recipients for new clients (or, if Western Asset becomes aware that
    the applicable Proxy Recipient for an existing client has changed, the Proxy Recipient for the existing client) are notified at start-up of appropriate routing to Corporate Actions of proxy materials received
    and reminded of their responsibility to forward all proxy materials on a timely basis. If Western Asset personnel other than Corporate Actions receive proxy materials, they should promptly forward the materials to Corporate Actions.

    PROXY VOTING

    Once proxy materials are
    received by Corporate Actions, they are forwarded to the Legal and Compliance Department for coordination and the following actions:

    Proxies are reviewed to determine accounts impacted.

    Impacted accounts are checked to confirm Western Asset voting authority.


    Legal and Compliance Department staff reviews proxy issues to determine any material conflicts of
    interesar. (See conflicts of interest section of these procedures for further information on determining material conflicts of interest.)

    If a material conflict of interest exists, (i) to the extent reasonably practicable and permitted by applicable law, the client is
    promptly notified, the conflict is disclosed and Western Asset obtains the client’s proxy voting instructions, and (ii) to the extent that it is not reasonably practicable or permitted by applicable law to notify the client and obtain such
    instructions (e.g., the client is a mutual fund or other commingled vehicle or is an ERISA plan client), Western Asset seeks voting instructions from an independent third party.

    Legal and Compliance Department staff provides proxy material to the appropriate research analyst or portfolio manager to obtain their
    recommended vote. Research analysts and portfolio managers determine votes on a case-by-case basis taking into account the voting guidelines contained in these
    procedures. For avoidance of doubt, depending on the best interest of each individual client, Western Asset may vote the same proxy differently for different clients. The analyst’s or portfolio manager’s basis for their decision is
    documented and maintained by the Legal and Compliance Department.

    Legal and Compliance Department staff votes the proxy pursuant to the
    instructions received in (d) or (e) and returns the voted proxy as indicated in the proxy materials.

    TIMING

    Western Asset personnel act in such a manner to ensure that, absent special circumstances, the proxy gathering and proxy voting steps noted
    above can be completed before the applicable deadline for returning proxy votes.

    RECORDKEEPING

    Western Asset maintains records of proxies voted pursuant to Section 204-2 of the Advisers Act and
    ERISA DOL Bulletin 94-2. These records include:

    A copy of Western Asset’s policies and procedures.

    Copies of proxy statements received regarding client securities.

    A copy of any document created by Western Asset that was material to making a decision how to vote proxies.

    Each written client request for proxy voting records and Western Asset’s written response to both verbal and written client requests.

    A proxy log including:

    •

    Exchange ticker symbol of the issuer’s shares to be voted;

    •

    Committee on Uniform Securities Identification Procedures (“CUSIP”) number for the shares to be voted;

    •

    A brief identification of the matter voted on;

    •

    Whether the matter was proposed by the issuer or by a shareholder of the issuer;

    •

    Whether a vote was cast on the matter;

    •

    A record of how the vote was cast; y

    •

    Whether the vote was cast for or against the recommendation of the issuer’s management team.

    Records are maintained in an easily accessible place for five years, the first two in Western Asset’s offices.

    DISCLOSURE

    Western Asset’s proxy
    policies are described in the firm’s Part 2A of Form ADV. Clients will be provided a copy of these policies and procedures upon request. In addition, upon request, clients may receive reports on how their proxies have been voted.


    CONFLICT OF INTEREST

    All proxies are reviewed by the Legal and Compliance Department for material conflicts of interest. Issues to be reviewed include, but are not
    limited to:

    Whether Western (or, to the extent required to be considered by applicable law, its affiliates) manages assets for the company or an employee
    group of the company or otherwise has an interest in the company;

    Whether Western or an officer or director of Western or the applicable portfolio
    manager or analyst responsible for recommending the proxy vote (together, “Voting Persons”) is a close relative of or has a personal or business relationship with an executive, director or person who is a candidate for director of the
    company or is a participant in a proxy contest; y

    Whether there is any other business or personal relationship where a Voting Person has a personal
    interest in the outcome of the matter before shareholders.

    VOTING GUIDELINES

    Western Asset’s substantive voting decisions turn on the particular facts and circumstances of each proxy vote and are evaluated by the
    designated research analyst or portfolio manager. The examples outlined below are meant as guidelines to aid in the decision making process.

    Guidelines are grouped according to the types of proposals generally presented to shareholders. Part I deals with proposals which have been
    approved and are recommended by a company’s board of directors; Part II deals with proposals submitted by shareholders for inclusion in proxy statements; Part III addresses issues relating to voting shares of investment companies; and Part IV
    addresses unique considerations pertaining to foreign issuers.

    BOARD APPROVAL PROPOSALS

    The vast majority of matters presented to shareholders for a vote involve proposals made by a company itself that have been approved and
    recommended by its board of directors. In view of the enhanced corporate governance practices currently being implemented in public companies, Western Asset generally votes in support of decisions reached by independent boards of directors. Más
    specific guidelines related to certain board-approved proposals are as follows:

    Matters relating to the Board of Directors – Western Asset
    votes proxies for the election of the company’s nominees for directors and for board-approved proposals on other matters relating to the board of directors with the following exceptions:

    Votes are withheld for the entire board of directors if the board does not have a majority of independent directors or the board does not have nominating,
    audit and compensation committees composed solely of independent directors.

    Votes are withheld for any nominee for director who is considered an
    independent director by the company and who has received compensation from the company other than for service as a director.

    Votes are withheld for any
    nominee for director who attends less than 75% of board and committee meetings without valid reasons for absences.

    Votes are cast on a case-by-case basis in contested elections of directors.

    Matters relating to
    Executive Compensation
    – Western Asset generally favors compensation programs that relate executive compensation to a company’s long-term performance. Votes are cast on a
    case-by- case basis on board-approved proposals relating to executive compensation, except as follows:

    Except where the firm is otherwise withholding votes for the entire board of directors, Western Asset votes for stock option plans that will result in a
    minimal annual dilution.

    Western Asset votes against stock option plans or proposals that permit replacing or repricing of underwater options.

    Western Asset votes against stock option plans that permit issuance of options with an exercise price below the stock’s current market price.

    Except where the firm is otherwise withholding votes for the entire board of directors, Western Asset votes for employee stock purchase plans that limit the
    discount for shares purchased under the plan to no more than 15% of their market value, have an offering period of 27 months or less and result in dilution of 10% or less.

    Matters relating to Capitalization – The management of a company’s capital structure involves a number of important issues, including cash
    flows, financing needs and market conditions that are unique to the circumstances of each company. As a result, Western Asset votes on a case-by-case basis on board-
    approved proposals involving changes to a company’s capitalization except where Western Asset is otherwise withholding votes for the entire board of directors.


    Western Asset votes for proposals relating to the authorization of additional common stock;

    Western Asset votes for proposals to effect stock splits (excluding reverse stock splits);

    Western Asset votes for proposals authorizing share repurchase programs;

    Matters relating to Acquisitions, Mergers, Reorganizations and Other Transactions;

    Western Asset votes these issues on a case-by-case basis on board-approved
    transactions;

    Matters relating to Anti-Takeover Measures – Western Asset votes against board-approved proposals to adopt anti-takeover
    measures except as follows:

    Western Asset votes on a case-by-case basis
    on proposals to ratify or approve shareholder rights plans;

    Western Asset votes on a
    case-by-case basis on proposals to adopt fair price provisions.

    Otro
    Business Matters
    – Western Asset votes for board-approved proposals approving such routine business matters such as changing the company’s name, ratifying the appointment of auditors and procedural matters relating to the shareholder
    meeting.

    Western Asset votes on a case-by-case basis on proposals to
    amend a company’s charter or bylaws;

    Western Asset votes against authorization to transact other unidentified, substantive business at the meeting.

    SHAREHOLDER PROPOSALS

    SEC
    regulations permit shareholders to submit proposals for inclusion in a company’s proxy statement. These proposals generally seek to change some aspect of a company’s corporate governance structure or to change some aspect of its business
    operaciones Western Asset votes in accordance with the recommendation of the company’s board of directors on all shareholder proposals, except as follows:

    Western Asset votes for shareholder proposals to require shareholder approval of shareholder rights plans;

    Western Asset votes for shareholder proposals that are consistent with Western Asset’s proxy voting guidelines for board-approved proposals;

    Western Asset votes on a case-by-case basis on other shareholder proposals
    where the firm is otherwise withholding votes for the entire board of directors.

    VOTING SHARES OF INVESTMENT COMPANIES

    Western Asset may utilize shares of open or closed-end investment companies to implement its investment
    strategies. Shareholder votes for investment companies that fall within the categories listed in Parts I and II above are voted in accordance with those guidelines.

    Western Asset votes on a case-by-case basis on proposals relating to changes
    in the investment objectives of an investment company taking into account the original intent of the fund and the role the fund plays in the clients’ portfolios;

    Western Asset votes on a case-by-case basis all proposals that would result in
    increases in expenses (e.g., proposals to adopt 12b-1 plans, alter investment advisory arrangements or approve fund mergers) taking into account comparable expenses for similar funds and the services to be
    provided.

    VOTING SHARES OF FOREIGN ISSUERS

    In the event Western Asset is required to vote on securities held in non-U.S. issuers – i.e.
    issuers that are incorporated under the laws of a foreign jurisdiction and that are not listed on a U.S. securities exchange or the NASDAQ stock market, the following guidelines are used, which are premised on the existence of a sound corporate
    governance and disclosure framework. These guidelines, however, may not be appropriate under some circumstances for foreign issuers and therefore apply only where applicable.

    Western Asset votes for shareholder proposals calling for a majority of the directors to be independent of management;

    Western Asset votes for shareholder proposals seeking to increase the independence of board nominating, audit and compensation committees;

    Western Asset votes for shareholder proposals that implement corporate governance standards similar to those established under U.S. federal law and the
    listing requirements of U.S. stock exchanges and that do not otherwise violate the laws of the jurisdiction under which the company is incorporated;


    Western Asset votes on a
    case-by-case basis on proposals relating to (1) the issuance of common stock in excess of 20% of a company’s outstanding common stock where shareholders do not
    have preemptive rights, or (2) the issuance of common stock in excess of 100% of a company’s outstanding common stock where shareholders have preemptive rights.

    RETIREMENT ACCOUNTS

    For accounts subject
    to ERISA, as well as other Retirement Accounts, Western Asset is presumed to have the responsibility to vote proxies for the client. The Department of Labor (“DOL”) has issued a bulletin that states that investment managers have the
    responsibility to vote proxies on behalf of Retirement Accounts unless the authority to vote proxies has been specifically reserved to another named fiduciary.

    Furthermore, unless Western Asset is expressly precluded from voting the proxies, the DOL has determined that the responsibility remains with the investment
    manager.

    In order to comply with the DOL’s position, Western Asset will be presumed to have the obligation to vote proxies for its
    Retirement Accounts unless Western Asset has obtained a specific written instruction indicating that: (a) the right to vote proxies has been reserved to a named fiduciary of the client, and (b) Western Asset is precluded from voting
    proxies on behalf of the client. If Western Asset does not receive such an instruction, Western Asset will be responsible for voting proxies in the best interests of the Retirement Account client and in accordance with any proxy voting guidelines
    provided by the client.

    CORPORATE ACTIONS

    Western Asset must pay strict attention to any corporate actions that are taken with respect to issuers whose securities are held in client
    accounts. For example, Western Asset must review any tender offers, rights offerings, etc., made in connection with securities owned by clients. Western Asset must also act in a timely manner and in the best interest of each client with respect to
    any such corporate actions.


    Western Asset Management Company Ltd (“WAMJ”) Proxy Voting Policies and Procedures

    POLICY

    As a fixed income only
    manager, the occasion to vote proxies for WAMJ is very rare. However, the Firm has adopted and implemented policies and procedures that we believe are reasonably designed to ensure that proxies are voted in the best interest of clients.

    While the guidelines included in the procedures are intended to provide a benchmark for voting standards, each vote is ultimately cast on a case-by-case basis, taking into consideration the Firm’s contractual obligations to our clients and all other relevant facts and circumstances at the time of the vote
    (such that these guidelines may be overridden to the extent the Firm deems appropriate).

    In exercising its voting authority, WAMJ will
    not consult or enter into agreements with officers, directors or employees of Legg Mason Inc. or any of its affiliates (other than Western Asset affiliated companies) regarding the voting of any securities owned by its clients.

    PROCEDURE

    Responsibility and Oversight

    The WAMJ Legal and Compliance Department (“Compliance Department”) is responsible for administering and overseeing the proxy voting
    proceso. The gathering of proxies is coordinated through the Corporate Actions area of Investment Operations (“Corporate Actions”). Research analysts and portfolio managers are responsible for determining appropriate voting positions on
    each proxy utilizing any applicable guidelines contained in these procedures.

    Client Authority

    The Investment Management Agreement for each client is reviewed at account start-up for proxy voting
    instructions. If an agreement is silent on proxy voting, but contains an overall delegation of discretionary authority, WAMJ will assume responsibility for proxy voting. The Legal and Compliance Department maintains a matrix of proxy voting
    authority.

    Proxy Gathering

    Registered
    owners of record, client custodians, client banks and trustees (“Proxy Recipients”) that receive proxy materials on behalf of clients should forward them to Corporate Actions. Proxy Recipients for new clients (or, if WAMJ becomes aware
    that the applicable Proxy Recipient for an existing client has changed, the Proxy Recipient for the existing client) are notified at start-up of appropriate routing to Corporate Actions of proxy materials
    received and reminded of their responsibility to forward all proxy materials on a timely basis. If WAMJ personnel other than Corporate Actions receive proxy materials, they should promptly forward the materials to Corporate Actions.

    Proxy Voting

    Once proxy materials are received
    by Corporate Actions, they are forwarded to the Legal and Compliance Department for coordination and the following actions:

    a.

    Proxies are reviewed to determine accounts impacted.

    b.

    Impacted accounts are checked to confirm WAMJ voting authority.

    c.

    Legal and Compliance Department staff reviews proxy issues to determine any material conflicts of interest.
    (See conflicts of interest section of these procedures for further information on determining material conflicts of interest.)

    d.

    If a material conflict of interest exists, (i) to the extent reasonably practicable and permitted by
    applicable law, the client is promptly notified, the conflict is disclosed and WAMJ obtains the client’s proxy voting instructions, and (ii) to the extent that it is not reasonably practicable or permitted by applicable law to notify the
    client and obtain such instructions (e.g., the client is a mutual fund or other commingled vehicle), WAMJ seeks voting instructions from an independent third party.


    e.

    Legal and Compliance Department staff provides proxy material to the appropriate research analyst or portfolio
    manager to obtain their recommended vote. Research analysts and portfolio managers determine votes on a case-by-case basis taking into account the voting guidelines
    contained in these procedures. For avoidance of doubt, depending on the best interest of each individual client, WAMJ may vote the same proxy differently for different clients. The analyst’s or portfolio manager’s basis for their decision
    is documented and maintained by the Legal and Compliance Department.

    f.

    Legal and Compliance Department staff votes the proxy pursuant to the instructions received in (d) or (e)
    and returns the voted proxy as indicated in the proxy materials.

    Timing

    WAMJ personnel act in such a manner to ensure that, absent special circumstances, the proxy gathering and proxy voting steps noted above can be
    completed before the applicable deadline for returning proxy votes.

    Recordkeeping

    WAMJ maintains records of proxies. These records include:

    a.

    A copy of WAMJ’s policies and procedures.

    b.

    Copies of proxy statements received regarding client securities.

    c.

    A copy of any document created by WAMJ that was material to making a decision how to vote proxies.

    d.

    Each written client request for proxy voting records and WAMJ’s written response to both verbal and
    written client requests.

    e.

    A proxy log including:

    2)

    Exchange ticker symbol of the issuer’s shares to be voted;

    3)

    Committee on Uniform Securities Identification Procedures (“CUSIP”) number for the shares to be
    voted;

    4.

    A brief identification of the matter voted on;

    5.

    Whether the matter was proposed by the issuer or by a shareholder of the issuer;

    6.

    Whether a vote was cast on the matter;

    7.

    A record of how the vote was cast; y

    8.

    Whether the vote was cast for or against the recommendation of the issuer’s management team.

    Records are maintained in an easily accessible place for five years, the first two in WAMJ’s offices.

    Disclosure

    WAMJ’s proxy policies are
    described in the firm’s Part 2A of Form ADV. Clients will be provided a copy of these policies and procedures upon request. In addition, upon request, clients may receive reports on how their proxies have been voted.

    Conflicts of Interest

    All proxies are reviewed
    by the Legal and Compliance Department for material conflicts of interest. Issues to be reviewed include, but are not limited to:

    1)

    Whether Western (or, to the extent required to be considered by applicable law, its affiliates) manages assets
    for the company or an employee group of the company or otherwise has an interest in the company;


    2)

    Whether Western or an officer or director of Western or the applicable portfolio manager or analyst responsible
    for recommending the proxy vote (together, “Voting Persons”) is a close relative of or has a personal or business relationship with an executive, director or person who is a candidate for director of the company or is a participant in a
    proxy contest; y

    3)

    Whether there is any other business or personal relationship where a Voting Person has a personal interest in
    the outcome of the matter before shareholders.

    Voting Guidelines

    WAMJ’s substantive voting decisions turn on the particular facts and circumstances of each proxy vote and are evaluated by the designated
    research analyst or portfolio manager. The examples outlined below are meant as guidelines to aid in the decision making process.

    Guidelines are grouped according to the types of proposals generally presented to shareholders. Part I deals with proposals which have been
    approved and are recommended by a company’s board of directors; Part II deals with proposals submitted by shareholders for inclusion in proxy statements; Part III addresses issues relating to voting shares of investment companies; and Part IV
    addresses unique considerations pertaining to foreign issuers.

    1b.

    Board Approved Proposals

    The vast majority of matters presented to shareholders for a vote involve proposals made by a company itself that have been approved and
    recommended by its board of directors. In view of the enhanced corporate governance practices currently being implemented in public companies, WAMJ generally votes in support of decisions reached by independent boards of directors. More specific
    guidelines related to certain board-approved proposals are as follows:

    1)

    Matters relating to the Board of Directors

    WAMJ votes proxies for the election of the company’s nominees for directors and for board-approved proposals on other matters relating to
    the board of directors with the following exceptions:

    a.

    Votes are withheld for the entire board of directors if the board does not have a majority of independent
    directors or the board does not have nominating, audit and compensation committees composed solely of independent directors.

    b.

    Votes are withheld for any nominee for director who is considered an independent director by the company and
    who has received compensation from the company other than for service as a director.

    c.

    Votes are withheld for any nominee for director who attends less than 75% of board and committee meetings
    without valid reasons for absences.

    d.

    Votes are cast on a
    case-by-case basis in contested elections of directors.

    2)

    Matters relating to Executive Compensation

    WAMJ generally favors compensation programs that relate executive compensation to a company’s long- term performance. Votes are cast on a case-by-case basis on board-approved proposals relating to executive compensation, except as follows:

    a.

    Except where the firm is otherwise withholding votes for the entire board of directors, WAMJ votes for stock
    option plans that will result in a minimal annual dilution.

    b.

    WAMJ votes against stock option plans or proposals that permit replacing or repricing of underwater options.

    c.

    WAMJ votes against stock option plans that permit issuance of options with an exercise price below the
    stock’s current market price.

    d.

    Except where the firm is otherwise withholding votes for the entire board of directors, WAMJ votes for employee
    stock purchase plans that limit the discount for shares purchased under the plan to no more than 15% of their market value, have an offering period of 27 months or less and result in dilution of 10% or less.


    3)

    Matters relating to Capitalization

    The management of a company’s capital structure involves a number of important issues, including cash flows, financing needs and market
    conditions that are unique to the circumstances of each company. As a result, WAMJ votes on a case-by-case basis on board-approved proposals involving changes to a
    company’s capitalization except where WAMJ is otherwise withholding votes for the entire board of directors.

    a.

    WAMJ votes for proposals relating to the authorization of additional common stock.

    b.

    WAMJ votes for proposals to effect stock splits (excluding reverse stock splits).

    c.

    WAMJ votes for proposals authorizing share repurchase programs.

    4.

    Matters relating to Acquisitions, Mergers, Reorganizations and Other Transactions WAMJ votes these issues on a case-by-case basis on board-approved transactions.

    5.

    Matters relating to Anti-Takeover Measures

    WAMJ votes against board-approved proposals to adopt anti-takeover measures except as follows:

    a.

    WAMJ votes on a case-by-case

    basis on proposals to ratify or approve shareholder rights plans.

    b.

    WAMJ votes on a case-by-case

    basis on proposals to adopt fair price provisions.

    6.

    Other Business Matters

    WAMJ votes for board-approved proposals approving such routine business matters such as changing the company’s name, ratifying the
    appointment of auditors and procedural matters relating to the shareholder meeting.

    a.

    WAMJ votes on a case-by-case

    basis on proposals to amend a company’s charter or bylaws.

    b.

    WAMJ votes against authorization to transact other unidentified, substantive business at the meeting.

    2b.

    Shareholder Proposals

    SEC regulations permit shareholders to submit proposals for inclusion in a company’s proxy statement. These proposals generally seek to
    change some aspect of a company’s corporate governance structure or to change some aspect of its business operations. WAMJ votes in accordance with the recommendation of the company’s board of directors on all shareholder proposals, except
    as follows:

    a.

    WAMJ votes for shareholder proposals to require shareholder approval of shareholder rights plans.

    b.

    WAMJ votes for shareholder proposals that are consistent with WAMJ’s proxy voting guidelines for
    board-approved proposals.

    c.

    WAMJ votes on a case-by-case

    basis on other shareholder proposals where the firm is otherwise withholding votes for the entire board of directors.

    3b.

    Voting Shares of Investment Companies

    WAMJ may utilize shares of open or closed-end investment companies to implement its investment
    strategies. Shareholder votes for investment companies that fall within the categories listed in Parts I and II above are voted in accordance with those guidelines.

    •

    WAMJ votes on a case-by-case

    basis on proposals relating to changes in the investment objectives of an investment company taking into account the original intent of the fund and the role the fund plays in the clients’ portfolios.

    •

    WAMJ votes on a case-by-case

    basis all proposals that would result in increases in expenses (e.g., proposals to adopt 12b-1 plans, alter investment advisory arrangements or approve fund mergers) taking into account comparable expenses for
    similar funds and the services to be provided.


    4b.

    Voting Shares of Foreign Issuers

    In the event WAMJ is required to vote on securities held in non-U.S. issuers – i.e. issuers that
    are incorporated under the laws of a foreign jurisdiction and that are not listed on a U.S. securities exchange or the NASDAQ stock market, the following guidelines are used, which are premised on the existence of a sound corporate governance and
    disclosure framework. These guidelines, however, may not be appropriate under some circumstances for foreign issuers and therefore apply only where applicable.

    1)

    WAMJ votes for shareholder proposals calling for a majority of the directors to be independent of management.

    2)

    WAMJ votes for shareholder proposals seeking to increase the independence of board nominating, audit and
    compensation committees.

    3)

    WAMJ votes for shareholder proposals that implement corporate governance standards similar to those established
    under U.S. federal law and the listing requirements of U.S. stock exchanges, and that do not otherwise violate the laws of the jurisdiction under which the company is incorporated.

    WAMJ votes on a case-by-case basis on proposals relating to
    (1) the issuance of common stock in excess of 20% of a company’s outstanding common stock where shareholders do not have preemptive rights, or (2) the issuance of common stock in excess of 100% of a company’s outstanding common
    stock where shareholders have preemptive rights.


    Western Asset Management Company Pte. Ltd. (“WAMS”)

    Compliance Policies and Procedures

    Proxy Voting

    WAMS has adopted and
    implemented policies and procedures that we believe are reasonably designed to ensure that proxies are voted in the best interest of clients, in accordance with our fiduciary duties and the applicable laws and regulations. In addition to SEC
    requirements governing advisers, our proxy voting policies reflect the long-standing fiduciary standards and responsibilities for ERISA accounts.

    While the guidelines included in the procedures are intended to provide a benchmark for voting standards, each vote is ultimately cast on a case-by-case basis, taking into consideration the Firm’s contractual obligations to our clients and all other relevant facts and circumstances at the time of the vote
    (such that these guidelines may be overridden to the extent the Firm deems appropriate).

    In exercising its voting authority, WAMS will
    not consult or enter into agreements with officers, directors or employees of Legg Mason Inc. or any of its affiliates (other than Western Asset affiliated companies) regarding the voting of any securities owned by its clients.

    Procedure

    Responsibility and Oversight

    The Western Asset Legal and Compliance Department is responsible for administering and overseeing the proxy voting process. The gathering of
    proxies is coordinated through the Corporate Actions area of Investment Support (“Corporate Actions”). Research analysts and portfolio managers are responsible for determining appropriate voting positions on each proxy utilizing any
    applicable guidelines contained in these procedures.

    Client Authority

    The Investment Management Agreement for each client is reviewed 
    at account start-up for proxy voting instructions.
    If an agreement is silent on proxy voting, but contains an overall delegation of discretionary authority or if the account represents assets of an ERISA plan,
    Western Asset will assume responsibility for proxy voting. The Legal and Compliance Department maintains a matrix of proxy voting authority.

    Proxy Gathering

    Registered owners of record, client custodians, client banks and trustees (“Proxy Recipients”) that receive proxy materials on behalf
    of clients should forward them to Corporate Actions. Proxy Recipients for new clients (or, if Western Asset becomes aware that the applicable Proxy Recipient for an existing client has changed, the Proxy Recipient for the existing client) are
    notified at start-up of appropriate routing to Corporate Actions of proxy materials received and reminded of their responsibility to forward all proxy materials on a timely basis. If Western Asset personnel
    other than Corporate Actions receive proxy materials, they should promptly forward the materials to Corporate Actions.

    Proxy Voting

    Once
    proxy materials are received by Corporate Actions, they are forwarded to the Legal and Compliance Department for coordination and the following actions:

    1)

    Proxies are reviewed to determine accounts impacted.

    2)

    Impacted accounts are checked to confirm Western Asset voting authority.

    3)

    Legal and Compliance Department staff reviews proxy issues to determine any material conflicts of interest.
    (See conflicts of interest section of these procedures for further information on determining material conflicts of interest.)

    4.

    If a material conflict of interest exists, (4.1) to the extent reasonably practicable and permitted by
    applicable law, the client is promptly notified, the conflict is disclosed and Western Asset obtains the client’s proxy voting instructions, and (4.2) to the extent that it is not reasonably practicable or


    permitted by applicable law to notify the client and obtain such instructions (e.g., the client is a mutual fund or other commingled vehicle or is an ERISA plan client), Western Asset seeks
    voting instructions from an independent third party.

    5.

    Legal and Compliance Department staff provides proxy material to the appropriate research analyst or portfolio
    manager to obtain their recommended vote. Research analysts and portfolio managers determine votes on a case-by-case basis taking into account the voting guidelines
    contained in these procedures. For avoidance of doubt, depending on the best interest of each individual client, Western Asset may vote the same proxy differently for different clients. The analyst’s or portfolio manager’s basis for their
    decision is documented and maintained by the Legal and Compliance Department.

    6.

    Legal and Compliance Department staff votes the proxy pursuant to the instructions received in (4) or (5)
    and returns the voted proxy as indicated in the proxy materials.

    Timing

    Western Asset personnel act in such a manner to ensure that, absent special circumstances, the proxy gathering and proxy voting steps noted
    above can be completed before the applicable deadline for returning proxy votes.

    Recordkeeping

    Western Asset maintains records of proxies voted pursuant to Section 204-2 of the Advisers Act and
    ERISA DOL Bulletin 94-2. These records include:

    A copy of Western Asset’s policies and
    procedures.

    Copies of proxy statements received regarding client securities.

    A copy of any document created by Western Asset that was material to making a decision how to vote proxies.

    Each written client request for proxy voting records and Western Asset’s written response to both verbal and written client requests.

    A proxy log including:

    •

    Exchange ticker symbol of the issuer’s shares to be voted;

    •

    Committee on Uniform Securities Identification Procedures (“CUSIP”) number for the shares to be voted;

    •

    A brief identification of the matter voted on;

    Whether the matter was proposed by the issuer or by a shareholder of the issuer;

    •

    Whether a vote was cast on the matter;

    •

    A record of how the vote was cast; y

    •

    Whether the vote was cast for or against the recommendation of the issuer’s management team.

    Records are maintained in an easily accessible place for five years, the first two in Western Asset’s offices.

    Disclosure

    Western
    Asset’s proxy policies are described in the firm’s Part 2A of Form ADV. Clients will be provided a copy of these policies and procedures upon request. In addition, upon request, clients may receive reports on how their proxies have been
    voted.

    Conflicts of Interest

    All proxies are reviewed by the Legal and Compliance Department for material conflicts of interest. Issues to be reviewed include, but are not
    limited to:

    Whether Western (or, to the extent required to be considered by applicable law, its affiliates) manages assets for the
    company or an employee group of the company or otherwise has an interest in the company;

    Whether Western or an officer or director of
    Western or the applicable portfolio manager or analyst responsible for recommending the proxy vote (together, “Voting Persons”) is a close relative of or has a personal or business relationship with an executive, director or person who is
    a candidate for director of the company or is a participant in a proxy contest; y


    Whether there is any other business or personal relationship where a Voting Person has a
    personal interest in the outcome of the matter before shareholders.

    Voting Guidelines

    Western Asset’s substantive voting decisions turn on the particular facts and circumstances of each proxy vote and are evaluated by the
    designated research analyst or portfolio manager. The examples outlined below are meant as guidelines to aid the decision making process.

    Guidelines are grouped according to the types of proposals generally presented to shareholders. Part 1 deals with proposals which have been
    approved and are recommended by a company’s board of directors; Part 2 deals with proposals submitted by shareholders for inclusion in proxy statements; Part 3 addresses issues relating to voting shares of investment companies; and Part 4
    addresses unique considerations pertaining to foreign issuers

    Part 1 – Board
    Approved
    Proposals

    The vast majority of matters presented to shareholders for a vote involve
    proposals made by a company itself that have been approved and recommended by its board of directors. In view of the enhanced corporate governance practices currently being implemented in public companies, Western Asset generally votes in
    support of decisions reached by independent boards of directors. More specific guidelines related to certain board-approved proposals are as follows:

    Matters relating to the Board of Directors. Western Asset votes proxies for the election of the company’s nominees for directors and for
    board-approved proposals on other matters relating to the board of directors with the following exceptions:

    •

    Votes are withheld for the entire board of directors if the board does not have a majority of independent
    directors or the board does not have nominating, audit and compensation committees composed solely of independent directors.

    •

    Votes are withheld for any nominee for director who is considered an independent director by the company and who
    has received compensation from the company other than for service as a director.

    •

    Votes are withheld for any nominee for director who attends less than 75% of board and committee meetings without
    valid reasons for absences.

    •

    Votes are cast on a case-by-case

    basis in contested elections of directors.

    Matters relating to Executive Compensation. Western Asset generally favors
    compensation programs that relate executive compensation to a company’s long-term performance. Votes are cast on a case-by-case basis on board-approved proposals
    relating to executive compensation, except as follows:

    •

    Except where the firm is otherwise withholding votes for the entire board of directors, Western Asset votes for
    stock option plans that will result in a minimal annual dilution.

    Western Asset votes against stock option plans or
    proposals that permit replacing or re-pricing of underwater options.

    •

    Western Asset votes against stock option plans that permit issuance of options with an exercise price below the
    stock’s current market price.

    •

    Except where the firm is otherwise withholding votes for the entire board of directors, Western Asset votes for
    employee stock purchase plans that limit the discount for shares purchased under the plan to no more than 15% of their market value, have an offering period of 27 months or less and result in dilution of 10% or less.

    Matters relating to Capitalization. The management of a company’s capital structure involves a number of important issues, including cash
    flows, financing needs and market conditions that are unique to the circumstances of each company. As a result, Western Asset votes on a case-by-case basis on
    board-approved proposals involving changes to a company’s capitalization except where Western Asset is otherwise withholding votes for the entire board of directors.

    •

    Western Asset votes for proposals relating to the authorization of additional common stock.

    •

    Western Asset votes for proposals to effect stock splits (excluding reverse stock splits).


    •

    Western Asset votes for proposals authorizing share repurchase programs.

    Matters relating to Acquisitions, Mergers, Reorganizations and Other Transactions. Western Asset votes these issues on a case-by-case basis on board-approved transactions.

    Matters
    relating to Anti-Takeover Measures. Western Asset votes against board-approved proposals to adopt anti-takeover measures except as follows:

    •

    Western Asset votes on a
    case-by-case basis on proposals to ratify or approve shareholder rights plans.

    •

    Western Asset votes on a
    case-by-case basis on proposals to adopt fair price provisions.

    Other Business Matters. Western Asset votes for board-approved proposals approving such routine business matters such as changing the
    company’s name, ratifying the appointment of auditors and procedural matters relating to the shareholder meeting.

    •

    Western Asset votes on a
    case-by-case basis on proposals to amend a company’s charter or bylaws.

    •

    Western Asset votes against authorization to transact other unidentified, substantive business at the meeting.

    Part 2 – Shareholder Proposals

    SEC regulations permit shareholders to submit proposals for inclusion in a company’s proxy statement. These proposals generally seek to
    change some aspect of a company’s corporate governance structure or to change some aspect of its business operations. Western Asset votes in accordance with the recommendation of the company’s board of directors on all shareholder
    proposals, except as follows:

    Western Asset votes for shareholder proposals to require shareholder approval of shareholder rights plans.

    Western Asset votes for shareholder proposals that are consistent with Western Asset’s proxy voting guidelines for board-approved
    proposals.

    Western Asset votes on a case-by-case basis on
    other shareholder proposals where the firm is otherwise withholding votes for the entire board of directors.

    Part 3 – Voting Shares of
    Investment Companies

    Western Asset may utilize shares of open or closed-end investment
    companies to implement its investment strategies. Shareholder votes for investment companies that fall within the categories listed in Parts 1 and 2 above are voted in accordance with those guidelines.

    Western Asset votes on a case-by-case basis on proposals
    relating to changes in the investment objectives of an investment company taking into account the original intent of the fund and the role the fund plays in the clients’ portfolios.

    Western Asset votes on a case-by-case basis all proposals that
    would result in increases in expenses (e.g. proposals to adopt 12b-1 plans, alter investment advisory arrangements or approve fund mergers) taking into account comparable expenses for similar funds and the
    services to be provided.

    Part 4 – Voting Shares of Foreign Issuers

    In the event Western Asset is required to vote on securities held in non-U.S. issuers – i.e.
    issuers that are incorporated under the laws of a foreign jurisdiction and that are not listed on a U.S. securities exchange or the NASDAQ stock market, the following guidelines are used, which are premised on the existence of a sound corporate
    governance and disclosure framework. These guidelines, however, may not be appropriate under some circumstances for foreign issuers and therefore apply only where applicable.

    Western Asset votes for shareholder proposals calling for a majority of the directors to be independent of management.

    Western Asset votes for shareholder proposals seeking to increase the independence of board nominating, audit and compensation committees.

    Western Asset votes for shareholder proposals that implement corporate governance standards similar to those established under U.S.
    federal law and the listing requirements of U.S. stock exchanges, and that do not otherwise violate the laws of the jurisdiction under which the company is incorporated.

    Western Asset votes on a case-by-case basis on proposals
    relating to (1) the issuance of common stock in excess of 20% of a company’s outstanding common stock where shareholders do not have pre-emptive rights, or (2) the issuance of common stock in
    excess of 100% of a company’s outstanding common stock where shareholders have pre-emptive rights.


    Retirement Accounts

    For accounts subject to ERISA, as well as other Retirement Accounts, Western Asset is presumed to have the responsibility to vote proxies for
    the client. The Department of Labor (“DOL”) has issued a bulletin that states that investment managers have the responsibility to vote proxies on behalf of Retirement Accounts unless the authority to vote proxies has been specifically
    reserved to another named fiduciary. Furthermore, unless Western Asset is expressly precluded from voting the proxies, the DOL has determined that the responsibility remains with the investment manager. In order to comply with the DOL’s
    position, Western Asset will be presumed to have the obligation to vote proxies for its Retirement Accounts unless Western Asset has obtained a specific written instruction indicating that: (1) the right to vote proxies has been reserved to a
    named fiduciary of the client, and (2) Western Asset is precluded from voting proxies on behalf of the client. If Western Asset does not receive such an instruction, Western Asset will be responsible for voting proxies in the best interests of
    the Retirement Account client and in accordance with any proxy voting guidelines provided by the client.


    ITEM 8.

    PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

    NAME AND

    ADDRESS

    PRINCIPAL OCCUPATION(S) DURING

    PAST 5 YEARS

    S. Kenneth Leech

    Western Asset

    385 East Colorado Blvd.

    Pasadena, CA 91101

    Responsible for the day-to-day management with other members of the Fund’s portfolio management team; Chief Investment Officer of Western Asset
    from 1998 to 2008 and since 2014; Senior Advisor/Chief Investment Officer Emeritus of Western Asset from 2008-2013; Co- Chief Investment Officer of Western Asset from 2013-2014.

    Michael C. Buchanan

    Western Asset

    385 East Colorado Blvd.

    Pasadena, CA

    91101

    Co-portfolio manager of the fund; Deputy Chief Investment Officer of Western Asset since 2014; portfolio manager at Western Asset 2005-2014.

    Frederick Marki

    Western Asset

    385 East Colorado Blvd.

    Pasadena, CA

    Co-portfolio manager of the fund since 2016; portfolio manager at Western Asset for more than five years

    Chia-Liang Lian

    Western Asset

    385 East Colorado Blvd.

    Pasadena, CA

    Co-portfolio manager of the fund since 2016; Co-Head of Emerging Markets Debt, portfolio manager and research analyst at Western Asset since 2011; Head
    of Emerging Asia Portfolio Management at Pacific Investment Management Company from 2005 to 2011

    (a)(2): DATA TO BE PROVIDED BY FINANCIAL CONTROL

    The following tables set forth certain additional information with respect to the fund’s portfolio managers for the fund. Unless noted otherwise, all
    information is provided as of November 30, 2019.

    Other Accounts Managed by Portfolio Managers

    The table below identifies the number of accounts (other than the fund) for which the fund’s portfolio managers have day-to-day management responsibilities and the total assets in such accounts, within each of the following categories: registered investment companies, other pooled investment
    vehicles, and other accounts. For each category, the number of accounts and total assets in the accounts where fees are based on performance is also indicated.

    Name of PM

    Type of Account

    Number of
    Accounts
    Managed
    Total Assets
    Managed
    Number of
    Accounts
    Managed for
    cuales
    Advisory Fee
    es
    Performance-
    Based
    Assets
    Managed for
    cuales
    Advisory Fee
    es
    Performance-
    Based
    S. Kenneth Leech‡ Other Registered Investment Companies 96 PS 143.97 billion Ninguna Ninguna
    Other Pooled Vehicles 229 PS 79.57 billion 11 PS 2.13 billion
    Other Accounts 633 PS 226.89 billion 21 PS 11.96 billion
    Frederick R. Marki‡ Other Registered Investment Companies 19 PS 61.24 billion Ninguna Ninguna
    Other Pooled Vehicles 20 PS 14.68 billion Ninguna Ninguna
    Other Accounts 191 PS 65.05 billion 9 9 PS 6.64 billion
    Michael Buchanan‡ Other Registered Investment Companies 31 PS 13.55 billion Ninguna Ninguna
    Other Pooled Vehicles 66 PS 21.22 billion 5 5 PS 807 million
    Other Accounts 157 PS 70.93 billion 7 7 PS 4.51 billion
    Chia-Liang Lian‡ Other Registered Investment Companies 12 PS 5.77 billion Ninguna Ninguna
    Other Pooled Vehicles 34 PS 6.81 billion 4 4 PS 528 million
    Other Accounts 55 PS 6.67 billion 1 PS 356 million

    ‡

    The numbers above reflect the overall number of portfolios managed by employees of Western Asset Management
    Company (“Western Asset”). Mr. Leech is involved in the management of all the Firm’s portfolios, but he is not solely responsible for particular portfolios. Western Asset’s investment discipline emphasizes a team approach
    that combines the efforts of groups of specialists working in different market sectors. He is responsible for overseeing implementation of Western Asset’s overall investment ideas and coordinating the work of the various sector teams. Esta
    structure ensures that client portfolios benefit from a consensus that draws on the expertise of all team members.


    (a)(3): Portfolio Manager Compensation

    With respect to the compensation of the portfolio managers, Western Asset’s compensation system assigns each employee a total compensation
    range, which is derived from annual market surveys that benchmark each role with its job function and peer universe. This method is designed to reward employees with total compensation reflective of the external market value of their skills,
    experience, and ability to produce desired results. Standard compensation includes competitive base salaries, generous employee benefits, and a retirement plan.

    In addition, the subadviser’s employees are eligible for bonuses. These are structured to closely align the interests of employees with
    those of the subadviser, and are determined by the professional’s job function and pre-tax performance as measured by a formal review process. All bonuses are completely discretionary. The principal
    factor considered is a portfolio manager’s investment performance versus appropriate peer groups and benchmarks (e.g., a securities index and with respect to a fund, the benchmark set forth in the fund’s Prospectus to which the
    fund’s average annual total returns are compared or, if none, the benchmark set forth in the fund’s annual report). Performance is reviewed on a 1, 3 and 5 year basis for compensation—with 3 years having the most emphasis. los
    subadviser may also measure a portfolio manager’s pre-tax investment performance against other benchmarks, as it determines appropriate. Because portfolio managers are generally responsible for multiple
    accounts (including the funds) with similar investment strategies, they are generally compensated on the performance of the aggregate group of similar accounts, rather than a specific account. Other factors that may be considered when making bonus
    decisions include client service, business development, length of service to the subadviser, management or supervisory responsibilities, contributions to developing business strategy and overall contributions to the subadviser’s business.

    Finally, in order to attract and retain top talent, all professionals are eligible for additional incentives in recognition of outstanding
    performance. These are determined based upon the factors described above and include Legg Mason stock options and long-term incentives that vest over a set period of time past the award date.

    Potential Conflicts of Interest

    Conflicts of Interest

    los
    manager, subadvisers and portfolio managers have interests which conflict with the interests of the fund. There is no guarantee that the policies and procedures adopted by the manager, the subadvisers and the fund will be able to identify or
    mitigate these conflicts of interest.

    Some examples of material conflicts of interest include:

    Allocation of Limited Time and Attention. A portfolio manager who is responsible for managing multiple funds and/or accounts may devote
    unequal time and attention to the management of those funds and/or accounts. A portfolio manager may not be able to formulate as complete a strategy or identify equally attractive investment opportunities for each of those funds and accounts as
    might be the case if he or she were to devote substantially more attention to the management of a single fund. Such a portfolio manager may make general determinations across multiple funds, rather than tailoring a unique approach for each fund. los
    effects of this conflict may be more pronounced where funds and/or accounts overseen by a particular portfolio manager have different investment strategies.

    Allocation of Limited Investment Opportunities; Aggregation of Orders. If a portfolio manager identifies a limited investment
    opportunity that may be suitable for multiple funds and/or accounts, the opportunity may be allocated among these several funds or accounts, which may limit the fund’s ability to take full advantage of the investment opportunity. Adicionalmente,
    a subadviser may aggregate transaction orders for multiple accounts for purpose of execution. Such aggregation may cause the price or brokerage costs to be less favorable to a particular client than if similar transactions were not being executed
    concurrently for other accounts. In addition, a subadviser’s trade allocation policies may result in the fund’s orders not being fully executed or being delayed in execution.


    Pursuit of Differing Strategies. At times, a portfolio manager may determine that an
    investment opportunity may be appropriate for only some of the funds and/or accounts for which he or she exercises investment responsibility, or may decide that certain of the funds and/or accounts should take differing positions with respect to a
    particular security. In these cases, the portfolio manager may place separate transactions for one or more funds or accounts which may affect the market price of the security or the execution of the transaction, or both, to the detriment or benefit
    of one or more other funds and/or accounts. For example, a portfolio manager may determine that it would be in the interest of another account to sell a security that the fund holds long, potentially resulting in a decrease in the market value of
    the security held by the fund.

    Cross Trades. Portfolio managers may manage funds that engage in cross trades, where one of the
    manager’s funds or accounts sells a particular security to another fund or account managed by the same manager. Cross trades may pose conflicts of interest because of, for example, the possibility that one account sells a security to another
    account at a higher price than an independent third party would pay or otherwise enters into a transaction that it would not enter into with an independent party, such as the sale of a
    difficult-to-obtain security.

    Selection of
    Broker/Dealers
    . Portfolio managers may select or influence the selection of the brokers and dealers that are used to execute securities transactions for the funds and/or accounts that they supervise. In addition to executing trades, some brokers
    and dealers provide subadvisers with brokerage and research services, These services may be taken into account in the selection of brokers and dealers whether a broker is being selected to effect a trade on an agency basis for a commission or (as is
    normally the case for the funds) whether a dealer is being selected to effect a trade on a principal basis. This may result in the payment of higher brokerage fees and/or execution at a less favorable price than might have otherwise been available.
    The services obtained may ultimately be more beneficial to certain of the manager’s funds or accounts than to others (but not necessarily to the funds that pay the increased commission or incur the less favorable execution). A decision as to
    the selection of brokers and dealers could therefore yield disproportionate costs and benefits among the funds and/or accounts managed.

    Variation in Financial and Other Benefits. A conflict of interest arises where the financial or other benefits available to a portfolio
    manager differ among the funds and/or accounts that he or she manages. If the amount or structure of the investment manager’s management fee and/or a portfolio manager’s compensation differs among funds and/or accounts (such as where
    certain funds or accounts pay higher management fees or performance-based management fees), the portfolio manager might be motivated to help certain funds and/or accounts over others. Similarly, the desire to maintain assets under management or to
    enhance the portfolio manager’s performance record or to derive other rewards, financial or otherwise, could influence the portfolio manager in affording preferential treatment to those funds and/or accounts that could most significantly
    benefit the portfolio manager. A portfolio manager may, for example, have an incentive to allocate favorable or limited opportunity investments or structure the timing of investments to favor such funds and/or accounts. Also, a portfolio
    manager’s or the manager’s or a subadviser’s desire to increase assets under management could influence the portfolio manager to keep a fund open for new investors without regard to potential benefits of closing the fund to new
    investors. Additionally, the portfolio manager might be motivated to favor funds and/or accounts in which he or she has an ownership interest or in which the investment manager and/or its affiliates have ownership interests. Conversely, if a
    portfolio manager does not personally hold an investment in the fund, the portfolio manager’s conflicts of interest with respect to the fund may be more acute.

    Related Business Opportunities. The investment manager or its affiliates may provide more services (such as distribution or
    recordkeeping) for some types of funds or accounts than for others. In such cases, a portfolio manager may benefit, either directly or indirectly, by devoting disproportionate attention to the management of funds and/or accounts that provide greater
    overall returns to the investment manager and its affiliates.

    (a)(4): Portfolio Manager Securities Ownership

    The table below identifies the dollar range of securities beneficially owned by each portfolio managers as of November 30, 2019.


    Portfolio Manager(s)

    Dollar Range of
    Portfolio
    Securities
    Beneficially
    De propiedad

    S. Kenneth Leech

    UN

    Michael C. Buchanan

    UN

    Frederick Marki

    UN

    Chiai-Liang Lian

    UN

    Dollar Range ownership is as follows:

    A: none
    B: $1 – $10,000
    C: 10,001 – $50,000
    D: $50,001 – $100,000
    E: $100,001 – $500,000
    F: $500,001 – $1 million
    G: over $1 million

    ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
    Not applicable.
    ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
    There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that have been implemented since the Registrant last provided disclosure in response to
    the requirements of this Item 10.
    ITEM 11. CONTROLS AND PROCEDURES.

    (a)   The registrant’s principal executive officer and principal financial
    officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective
    as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule
    30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

    (b)   There were no changes in the registrant’s internal control over
    financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are likely to
    materially affect the registrant’s internal control over financial reporting

    ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
    Not applicable.

    ITEM 13. EXHIBITS.
    (a) (1) Code of Ethics attached hereto.
    Exhibit 99.CODE ETH
    (a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
    Exhibit 99.CERT
    (b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
    Exhibit 99.906CERT

    SIGNATURES

    Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this
    Report to be signed on its behalf by the undersigned, there unto duly authorized.

    Western Asset Inflation-Linked Opportunities & Income Fund

    By:

    /s/ Jane Trust

    Jane Trust
    President
    Fecha: January 29, 2020

    Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940,
    this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

    By:

    /s/ Jane Trust

    Jane Trust
    President
    Fecha: January 29, 2020
    By:

    /s/ Christopher Berarducci

    Christopher Berarducci
    Principal Financial Officer
    Fecha: January 29, 2020

    CODE OF ETHICS

    I. Introduction

    A. Individuals Covered by the Code

    This Code applies to all employees of Legg Mason & Co., LLC and interested directors of the Proprietary Funds who are not otherwise subject
    to another code of ethics adopted pursuant to either Rule 17j-1 under the Investment Company Act or Rule 204A-1 under the Investment Advisers Act (“Covered
    Persons”).

    1)

    Without limiting the generality of the foregoing, this Code covers all employees of Legg Mason & Co.,
    LLC who perform services on behalf of the Proprietary Funds as part of the following regulated entities:

    a.

    Legg Mason Investor Services, LLC (“LMIS”).

    b.

    Legg Mason Partners Fund Advisor, LLC (“LMPFA”).

    2)

    For the avoidance of doubt, each of the Legg Mason Registered Advisers (other than LMPFA) have adopted their
    own codes of ethics, and employees of the Legg Mason Registered Advisers who are subject to the requirements of those codes of ethics (including any who may be registered representatives of LMIS) are not subject to the requirements of this Code.

    B. Standards of Business Conduct

    This Code is based on the principle that Legg Mason and its affiliates owe a fiduciary duty to Legg Mason’s clients, and that all Covered Persons must
    therefore avoid activities, interests and relationships that might (i) present a conflict of interest or the appearance of a conflict of interest, or (ii) otherwise interfere with Legg Mason’s ability to make decisions in the best
    interests of any of its clients. In particular, Covered Persons must at all times comply with the following standards of business conduct:

    1)

    Compliance with Applicable Law. All Covered Persons must comply with the Federal Securities Laws that apply to
    the business of Legg Mason.

    2)

    Clients Come First. Covered Persons must scrupulously avoid serving their personal interests ahead of the
    interests of clients. For example, a Covered Person may not induce or cause a client to take action, or not to take action, for the Covered Person’s personal benefit at the expense of the client’s best interests.

    3)

    Avoid Taking Advantage. Covered Persons may not use their knowledge of the Legg Mason Registered Advisers’
    investment activities or client portfolio holdings to profit by the market effect of such activities or to engage in short-term or other abusive trading in Reportable Funds.

    4.

    Avoid Other Inappropriate Relationships or Activities. Covered Persons should avoid relationships or activities
    that could call into question the Covered Person’s ability to exercise independent judgment in the best interests of Legg Mason’s clients. In particular, Covered Persons should take note of the provisions of the Legg Mason Code of Conduct
    and the Legg Mason Employee Handbook that pertain to confidentiality, corporate opportunities, gifts and entertainment, insider trading and outside business activities. In addition, Covered Persons who are registered representatives of LMIS should
    also take note of LMIS’s policies and procedures pertaining to these activities.

    1


    5.

    Observe the Spirit of the Code. Doubtful situations should be resolved in favor of Legg Mason’s clients.
    Technical compliance with the Code’s procedures will not automatically insulate from scrutiny any personal Securities Transactions or other course of conduct that might indicate an abuse of these governing principles.

    C. Duty to Report Violations

    Covered Persons must
    promptly report all violations of this Code to the Compliance Department.

    D. Fiduciary Duty / Political Contributions

    Covered Persons are prohibited from making political contributions for the purpose of obtaining or retaining any Legg Mason Registered Adviser or its
    affiliates as investment advisers. Covered Persons are specifically prohibited from making political contributions to any person for the purpose of influencing the selection or retention of an investment adviser by a government entity. Covered
    Persons will be required to certify annually that they have and will comply with this provision.

    II Personal Securities Transactions

    A. Prohibited Transactions in Individual Securities

    Covered Persons are subject to the following restrictions on their personal trading activities in individual securities:

    1)

    Fraudulent Transactions. In connection with the purchase or sale, directly or indirectly, by a Covered Person
    of (A) a Reportable Security which, within the most recent fifteen (15) calendar days, (i) is or has been held by a Legg Mason client, or (ii) is being or has been considered by a Legg Mason Registered Adviser for purchase by a
    client, or (B) an Equivalent Security thereof, Covered Persons are prohibited from:

    a.

    Employing any device, scheme or artifice to defraud Legg Mason’s clients;

    b.

    Making any untrue statement of a material fact or omitting to state a material fact necessary to make the
    statements made, in light of the circumstances under which they were made, not misleading;

    c.

    Engaging in any act, practice or course of business that operates or would operate as a fraud or deceit on Legg
    Mason’s clients; o

    d.

    Engaging in any manipulative practice with respect to Legg Mason’s clients.

    2)

    Inside Information. Covered Persons are prohibited from engaging in any transaction in a Security (or
    Equivalent Security) at a time when the Covered Person is in possession of material non-public information regarding the Security or the issuer of the Security.

    3)

    Market Manipulation. Covered Persons are prohibited from engaging in any transactions in a Security (or
    Equivalent Security) intended to raise, lower or maintain the price of that Security or to create a false appearance of active trading in that Security.

    4.

    Trading on the Knowledge of Client Transactions. Covered Persons are prohibited from engaging in any
    transactions in a Security (or an Equivalent Security) on the basis of any information they may be in possession of to the effect that (i) a Legg Mason Registered Adviser is or may be considering an investment in or sale of such Security on
    behalf of its clients or (ii) has or may have an open order in such Security on behalf of its clients.

    2


    5.

    Legg Mason, Inc. Stock. Covered Persons are prohibited from engaging in any transaction in Legg Mason
    securities that is not in compliance with the “Legg Mason, Inc. Policies and Procedures Regarding Acquisitions and Dispositions of Legg Mason Securities,” as the same may be amended from time to time. A copy of this policy is available on
    the Legg Mason Legal and Compliance Website.

    B. Prohibited Transactions in Reportable Funds

    1)

    Market Timing in Reportable Funds. No Covered Person may use his or her knowledge of the portfolio holdings or
    investment activities of a Reportable Fund to engage in any short-term or other abusive trading strategy involving such Fund that may conflict with the best interests of the Fund and its shareholders.

    2)

    60-Day Holding Period for Investments in Proprietary Funds. Subject to
    the exemptions set forth below, no Covered Person may sell (or exchange out of) shares of a Proprietary Fund in which the Covered Person has a Beneficial Interest if the Covered Person has not held the shares of the same Proprietary Fund for sixty
    (60) calendar days, including any individual retirement account or 401(k) participant account.

    3)

    Additionally, Proprietary Funds that are sold in the LM 401(k) account are also subject to a 60-day minimum waiting period. No Covered Person may buy (or exchange into) shares of a Proprietary Fund within sixty (60) calendar days of a sell of (or exchange out of) shares of the same Proprietary Fund
    within the same LM 401(k) account.

    The following Securities Transactions involving Proprietary Funds are exempt from the 60-day minimum holding period requirement set forth in this Section II.B.2 and II.B.3:

    a.

    Money Market Funds and Other Short-Term Trading Vehicles. Purchases or redemptions of Proprietary Funds that
    are money market funds or that hold themselves out as short-term trading vehicles.

    b.

    Managed Accounts. Transactions in Proprietary Funds held in a Managed Account in connection with which the
    Covered Person has no direct or indirect influence or control over the account, is neither consulted nor advised of the trade before it is executed, and has no knowledge of specific management actions taken by a trustee or investment manager.

    c.

    Systematic Investment. Purchases or redemptions of Proprietary Funds pursuant to an Automatic Investment Plan
    where a prescribed purchase or sale is made automatically on a regular predetermined basis without affirmative action by the Covered Person or pursuant to a similar arrangement approved by the Compliance Department (for example, automated payroll
    deduction investments by 401(k) participants or automatic dividend reinvestment).

    C.
    Pre-Approval of Investments in Initial Public Offerings and Private Placements

    Covered Persons are prohibited
    from acquiring a Beneficial Interest in a Reportable Security through an initial public offering (other than a new offering of securities issued by a registered open-end investment company) or Private
    Placement without the prior written approval of the Compliance Department. Requests for such approval shall be submitted to the Compliance Department through Fidelity National Information Services, Inc. (“FIS”)/PTA using substantially the
    form of “Request for Approval to Invest in an Initial Public Offering or Private Placement” attached hereto as Appendix A.

    3


    D. Reporting and Trading Requirements

    1)

    Acknowledgement of Receipt; Initial and Periodic Disclosure of Personal Holdings; Annual Certification.

    a.

    Within ten (10) calendar days of being identified as a Covered Person under this Code, each Covered Person
    must acknowledge that he or she has received and reviewed a copy of the Code, and has disclosed all Securities holdings in which such Covered Person has a Beneficial Interest..

    b.

    Thereafter, on an annual basis, each Covered Person shall give the same acknowledgements and, in addition,
    shall certify that he or she has complied with all applicable provisions of the Code.

    c.

    Such acknowledgments and certifications shall be provided through FIS/PTA using substantially the form of the
    “Acknowledgement of Receipt of Code of Ethics, Personal Holdings Report and Annual Certification” attached hereto as Appendix B.

    2)

    Execution of Personal Securities Transactions.

    a.

    Approved Accounts. Unless one of the following exceptions applies, Covered Persons must execute their personal
    securities transactions involving any Reportable Securities or Reportable Funds in which they have or acquire a Beneficial Interest through one of the following two types of accounts (“Approved Accounts”):

    i.

    Approved Securities Accounts. Securities accounts (including IRA accounts) with financial intermediaries that
    have been approved by the Compliance Department (an “Approved Securities Account”); o

    ii.

    Approved Retirement Accounts. Participant accounts in retirement plans approved by the Compliance Department on
    the grounds that either (i) automated feeds into FIS/PTA have been established, or (ii) sufficient policies and procedures are in place to protect any Reportable Funds that may be in the plan from the types of activities prohibited by
    Sections A and B above (an “Approved Retirement Account”).1

    b.

    Exceptions. The following types of accounts are exempt from the requirements of section 2.a above, subject to
    compliance with the conditions set forth below:

    i.

    Mutual Fund-Only and Managed Accounts. Covered Persons may have or acquire a Beneficial Interest in Mutual
    Fund-Only and Managed Accounts that are not Approved Securities Accounts, provided that the requirement set forth in this Code relating to a Managed Account or Mutual Fund-Only Account, as the case may be, are satisfied. To qualify for this
    exemption, a Covered Person must deliver to the Compliance Department through FIS/PTA a certification in substantially the form of the “Certificate for Managed Accounts or Mutual Fund-Only Accounts” attached hereto as Appendix D.

    ii.

    Outside Retirement Accounts. Covered Persons may have or acquire a Beneficial Interest in a retirement account
    other than an Approved Retirement Account (an “Outside Retirement Account”), provided that the Covered Person complies with the certification or reporting requirements set forth in Section 3.c below, and provided further that, for
    purposes of this Code, an IRA account shall be treated as a securities account and not as a retirement account.

    1

    A list of the approved financial intermediaries and retirement plans may by found on the Legal and Compliance
    home page on LMEX.

    4 4


    iii.

    Dividend Reinvestment Plans. Covered Person may have or acquire a Beneficial Interest in securities held in a
    dividend reinvestment plan account directly with the issuer of the securities or its transfer agent (a “Dividend Reinvestment Plan”), subject to compliance with the requirements of Section 3.a below.

    c.

    Outside Securities Accounts. Covered Persons that have or acquire a Beneficial Interest in a securities account
    (including an IRA account) other than an Approved Account, Mutual Fund-Only Account, Managed Account or Outside Retirement Account (an “Outside Securities Account”) must obtain the prior written approval to maintain such account from the
    Compliance Department.

    i.

    A request for such approval must be submitted to the Compliance Department through FIS/PTA using substantially
    the form of “Request for Approval for an Outside Securities Account” attached hereto as Appendix C. Such approvals will only be granted in extraordinary circumstances.

    ii.

    If the Compliance Department does not approve such request, the Covered Person must arrange to transfer or
    convert such account into an Approved Account, Managed Account, Mutual Fund-Only Account or Outside Retirement Account as promptly as practicable.

    6.

    Transaction Reporting Requirements. Covered Persons shall report all Securities Transactions in which they have
    a Beneficial Interest to the Compliance Department in accordance with the following provisions:

    a.

    Approved Accounts, Managed Accounts, Mutual Fund Only and Dividend Reinvestment Plan Accounts. Covered Persons
    será no be required to arrange for the delivery of duplicate copies of confirmations or periodic statements for any Approved Accounts, Managed Accounts, Mutual Fund Only Accounts or Dividend Reinvestment Plans in which they have or acquire a
    Beneficial Interest. However, the existence of all such accounts must be disclosed to the Compliance Department pursuant to either Section II.D.1 above or II.D.4 below. In addition, copies of any statements for any Managed Accounts, Mutual Fund Only
    Accounts or Dividend Reinvestment Plans must be made available for review at the specific request of the Compliance Department.

    b.

    Outside Securities Accounts. For any Outside Securities Account approved by the Compliance Department, a
    Covered Person must arrange for the Compliance Department to receive, directly from the applicable broker-dealer, bank or other financial intermediary, duplicate copies of each confirmation and periodic statement issued by such financial
    intermediary in respect of such Outside Securities Account.

    i.

    Periodic statements must be received by the Compliance Department no later than thirty (30) calendar days
    after the close of each calendar quarter. Confirmations must be delivered to the Compliance Department contemporaneously with delivery to the applicable Covered Person.

    ii.

    A form of letter that may be used to request duplicate confirmations and periodic statements from financial
    intermediaries is attached as Appendix E. If a Covered Person is not able to arrange for duplicate confirmations and periodic statements to be sent, the Covered Person must immediately cease trading in such account and notify the Compliance
    Department.

    iii.

    It shall be the Covered Person’s responsibility to promptly input into FIS/PTA all initially required
    information relating to any holdings in an Outside Securities Account. and to notify the Compliance Department on the same day of any subsequent Securities Transactions in such Outside Retirement Account.

    5 5


    d.

    Outside Retirement Accounts. For any Outside Retirement Account in which a Covered Person has a Beneficial
    Interest, such Covered Person must either:

    i.

    Certify that such account does not hold any shares of a Reportable Fund or Reportable Security and that no
    Securities Transactions involving a Reportable Fund or Reportable Security have been executed in such account (such certifications shall be provided to the Compliance Department through FIS/PTA using substantially the form of the “Certificate
    for Outside Retirement Accounts” attached hereto as Appendix F); or.

    ii.

    If a Covered Person is unable to provide such certification with respect to an Outside Retirement Account, the
    Covered Person must notify the Compliance Department and provide the Compliance Department with duplicate copies of each confirmation and periodic statement issued by such financial intermediary in respect of such Outside Retirement Account.

    (a)

    Periodic statements must be received by the Compliance Department no later than thirty (30) calendar days
    after the close of each calendar quarter.

    (b)

    It shall be the Covered Person’s responsibility to promptly input into FIS/PTA all initially required
    information relating to any holdings in an Outside Retirement Account and to notify the Compliance Department on the same day of any subsequent Securities Transactions in such Outside Retirement Account.

    7.

    New Reportable Accounts. If a Covered Person opens a new reportable account that has not previously been
    disclosed, the Covered Person must notify the Compliance Department in writing within ten (10) calendar days of the existence of the account and make arrangements to comply with the requirements set forth in Sections II.D.2 & 3 above.

    8.

    Disclaimers. Any report of a Securities Transaction for the benefit of a person other than the individual in
    whose account the transaction is placed may contain a statement that the report should not be construed as an admission by the person making the report that he or she has any direct or indirect beneficial ownership in the Security to which the
    report relates.

    9.

    Availability of Reports. All information supplied pursuant to this Code may be made available for inspection to
    the CCO of any affected Legg Mason Registered Adviser or Reportable Fund, the board of directors of each company employing the Covered Person, the board of directors of any affected Reportable Fund, the Compliance Department, the Covered
    Person’s department manager (or designee), any party to which any investigation is referred by any of the foregoing, the Securities and Exchange Commission, any self-regulatory organization of which Legg Mason is a member, any state securities
    commission, and any attorney or agent of the foregoing or of the Reportable Funds.

    10)

    Outside Business Activities. No Covered Person may engage in outside business activities or serve on the board
    of directors of a publicly-held company absent prior written authorization of (i) the Compliance Department, and (ii) in the case of service on the board of directors of a publicly-held company, the General Counsel of Legg Mason, Inc.

    a.

    A request for such approval must be submitted to the Compliance Department through FIS/PTA using substantially
    the form of “Request for Approval of Outside Business Activities” attached hereto as Appendix G.

    b.

    Requests for approval to serve as a director of a publicly held company will rarely be approved.

    6


    III. Personal Securities Transactions

    A. Surveillance

    The Compliance Department shall be
    responsible for maintaining a surveillance program reasonably designed to monitor the personal trading activities of all Covered Persons for compliance with the provisions of this Code and for investigating any suspected violation of the Code. Upon
    reaching the conclusion that a violation of the Code has occurred, the Compliance Department shall report the results of such investigation to the applicable Covered Person, the Covered Person’s department manager and to the CCOs of any
    affected Legg Mason Registered Adviser or Reportable Fund.

    B. Remedies

    1)

    Authority. The Compliance Department has authority to determine the remedy for any violation of the Code,
    including appropriate disposition of any monies forfeited pursuant to this provision. Failure to promptly comply with any sanction directive may result in the imposition of additional sanctions.

    2)

    Sanctions. If the Compliance Department determines that a Covered Person has committed a violation of the Code,
    the Compliance Department may, in consultation with the Human Resources Department and the Covered Person’s supervisor, as appropriate, impose sanctions and take other actions as it deems appropriate, including a verbal warning, a letter of
    caution or warning, suspension of personal trading rights, suspension of employment (with or without compensation), fine, civil referral to the Securities and Exchange Commission, criminal referral, and termination of employment of the violator for
    cause. The Compliance Department may also require the Covered Person to reverse the transaction in question and forfeit any profit or absorb any loss associated or derived as a result. The amount of profit shall be calculated by the Compliance
    Department. No member of the Compliance Department may review his or her own transaction or those of his or her supervisors. If necessary, the General Counsel of Legg Mason or the CCO of the relevant Legg Mason Registered Adviser shall review these
    transactions..

    C. Exceptions to the Code

    Although exceptions to the Code will rarely be granted, the Compliance Department may grant exceptions to the requirements of the Code if the Compliance
    Department finds that the proposed conduct involves negligible opportunity for abuse. All such exceptions must be in writing.

    IV. Definitions

    When used in the Code, the following terms have the meanings set forth below:

    A. General Defined Terms

    “CCO” means the Chief
    Compliance Officer of any Reportable Fund, Legg Mason Registered Adviser or Legg Mason entity that is a principal underwriter of a Reportable Fund.

    “Code” means this Code of Ethics, as the same may be amended from time to time.

    “Compliance Department” means the Legal and Compliance Department of Legg Mason.

    “Covered Person” means any employee of Legg Mason & Co., LLC who is covered by this Code in accordance with the provisions of Section I.A
    above.

    7 7


    “Federal Securities Laws” means the Securities Act of 1933, as amended, the Securities Exchange Act of
    1934, as amended, the Sarbanes-Oxley Act of 2002, the Investment Company Act, the Investment Advisers Act, Title V of the Gramm-Leach-Bliley Act, any rules adopted by the Securities and Exchange Commission under any of these statutes, the Bank
    Secrecy Act as it applies to Legg Mason and any Reportable Funds, and any rule adopted thereunder by the Securities and Exchange Commission or the Department of the Treasury.

    “Investment Advisers Act” means the Investment Advisers Act of 1940, as amended.

    “Investment Company Act” means the Investment Company Act of 1940, as amended.

    “Legg Mason” means Legg Mason, Inc. and its subsidiaries and affiliates.

    “Legg Mason Registered Advisers” means those subsidiaries of Legg Mason that are registered as investment advisers under the Investment Advisers
    Act.

    “FIS/PTA” means FIS Personal Trading Assistant, a web browser-based automated personal trading compliance platform used by the Compliance
    Department to administer this Code.

    B. Terms Defining the Scope of a Beneficial Interest in a Security

    “Beneficial Interest” means the opportunity, directly or indirectly, through any contract, arrangement, understanding, relationship or otherwise, to
    profit, or share in any profit derived from, a transaction in the subject Securities.

    A Covered Person is deemed to have a Beneficial Interest in the
    following:

    1)

    Any Security owned individually by the Covered Person.

    2)

    Any Security owned jointly by the Covered Person with others (for example, joint accounts, spousal accounts,
    partnerships, trusts and controlling interests in corporations).

    3)

    Any Security in which a member of the Covered Person’s Immediate Family has a Beneficial Interest if:

    a.

    The Security is held in an account over which the Covered Person has decision making authority (for example,
    the Covered Person acts as trustee, executor, or guardian); o

    b.

    The Security is held in an account for which the Covered Person acts as a broker or investment adviser
    representative.

    A Covered Person is presumed to have a Beneficial Interest in any Security in which a member of the Covered
    Person’s Immediate Family has a Beneficial Interest if the Immediate Family member resides in the same household as the Covered Person.

    Ninguna
    uncertainty as to whether a Covered Person has a Beneficial Interest in a Security should be brought to the attention of the Compliance Department. Such questions will be resolved in accordance with, and this definition shall be subject to, the
    definition of “beneficial owner” found in Rules 16a-1(a) (2) and (5) promulgated under the Securities Exchange Act of 1934, as amended.

    8


    “Immediate Family” of a Covered Person means any of the following persons:

    child grandparent son-in-law
    stepchild esposa daughter-in-law
    grandchild sibling brother-in-law
    parent mother-in-law sister-in-law
    stepparent father-in-law

    Immediate Family includes adoptive relationships, domestic partner relationships and other relationships (whether or not
    recognized by law) that the Compliance Department determines could lead to the possible conflicts of interest, diversions of corporate opportunity, or appearances of impropriety, which this Code is intended to prevent.

    C. Terms Defining the Scope of a Reportable Transaction

    “Automatic Investment Plan” means a program in which regular periodic purchases (or withdrawals) are made automatically in or from investment
    accounts in accordance with a predetermined schedule and allocation. An Automatic Investment Plan includes a dividend reinvestment plan.

    “Equivalent
    Security” means any Security issued by the same entity as the issuer of a subject Security, including options, rights, stock appreciation rights, warrants, preferred stock, restricted stock, phantom stock, bonds, and other obligations of that
    company or Security otherwise convertible into that Security. Options on Securities are included even if, technically, they are issued by the Options Clearing Corporation or a similar entity.

    “Managed Account” means an account where a Covered Person has no:

    •

    Direct or indirect influence or control over the account (for example, the trustee or investment manager simply
    summarizes, describes, or explains account activity without the Covered Person providing directions or suggestions);

    •

    Knowledge of the transaction before it is completed (for example, transactions effected for a Covered Person by a
    trustee of a blind trust, or discretionary trades made by an investment manager retained by the Covered Person, in connection with which the Covered Person is neither consulted nor advised of the trade before it is executed); y

    •

    Knowledge of the specific management actions taken by a trustee or investment manager and no right to intervene
    in the trustee’s or investment manager’s management (for example, the Covered Person is not consulted as to the allocation of investments for the account).

    “Mutual Fund-Only Account” means a Securities account or account held directly with a mutual fund that holds only
    non-Reportable Funds and in which no other type of Securities may be held. For purposes of this Code, a Mutual Fund-Only Account includes a 529 plan or variable annuity life insurance account that holds only non-Reportable Funds and in which no other type of Securities may be held.

    9 9


    “Private Placement” means a Securities offering that is exempt from registration pursuant to
    Section 4(2) or Section 4(6) of the Securities Act of 1933, as amended (the “Securities Act”), or pursuant to Rules 504, 505 or 506 of Regulation D under the Securities Act.

    “Proprietary Fund” means an open-end investment company registered under the Investment Company Act (or any
    portfolio or series thereof, as the case may be) that is part of one of the fund families sponsored by Legg Mason or its affiliates.

    “Reportable
    Fund” means (a) any fund registered under the Investment Company Act for which a Legg Mason Registered Adviser serves as an investment adviser, or (b) any fund registered under the Investment Company Act whose investment adviser or
    principal underwriter is controlled by or under common control with Legg Mason. For purposes of this definition, “investment adviser” has the same meaning as it does in section 2(a)(20) of the Investment Company Act, and
    “control” has the same meaning as it does in Section 2(a)(9) of the Investment Company Act.

    “Reportable Security” means any
    Security (as defined herein) other than the following types of Securities:

    1)

    Direct obligations of the Government of the United States;

    2)

    Bankers acceptances, bank certificates of deposit, commercial paper and high quality short-term debt
    instruments, including repurchase agreements; y

    3)

    Shares of open-end mutual funds that are not Reportable Funds.

    “Securities Transaction” means a purchase or sale of Securities in which a Covered Person has or acquires a Beneficial
    Interest.

    “Security” includes stock, notes, bonds, debentures, and other evidences of indebtedness (including loan participations and
    assignments), limited partnership interests, investment contracts, closed-end investment companies, and all derivative instruments of the foregoing, such as options and warrants. “Security” does not
    include futures or options on futures, but the purchase and sale of such instruments are nevertheless subject to the reporting requirements of the Code.

    10

    CERTIFICATIONS PURSUANT TO SECTION 302

    EX-99.CERT

    CERTIFICATIONS

    I, Jane Trust, certify that:

    1)

    I have reviewed this report on Form N-CSR Western Asset
    Inflation-Linked Opportunities & Income Fund;

    2)

    Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
    material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

    3)

    Based on my knowledge, the financial statements, and other financial information included in this report,
    fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the
    periods presented in this report;

    4.

    The registrant’s other certifying officers and I are responsible for establishing and maintaining
    disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
    30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

    a)

    Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
    designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
    being prepared;

    b)

    Designed such internal control over financial reporting, or caused such internal control over financial
    reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
    principles;

    c)

    Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this
    report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; y

    d)

    Disclosed in this report any change in the registrant’s internal control over financial reporting that
    occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; y

    5.

    The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the
    audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

    a)

    All significant deficiencies and material weaknesses in the design or operation of internal control over
    financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; y

    b)

    Any fraud, whether or not material, that involves management or other employees who have a significant role in
    the registrant’s internal control over financial reporting.

    Date: January 29, 2020

    /s/ Jane Trust

    Jane Trust
    President

    CERTIFICATIONS

    I, Christopher Berarducci, certify that:

    1)

    I have reviewed this report on Form N-CSR of Western Asset
    Inflation-Linked Opportunities & Income Fund;

    2)

    Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a
    material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

    3)

    Based on my knowledge, the financial information included in this report, and the financial statements on which
    the financial information is based, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the
    registrant as of, and for, the periods presented in this report;

    4.

    The registrant’s other certifying officers and I are responsible for establishing and maintaining
    disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule
    30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

    a)

    Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be
    designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is
    being prepared;

    b)

    Designed such internal control over financial reporting, or caused such internal control over financial
    reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting
    principles;

    c)

    Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this
    report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; y

    d)

    Disclosed in this report any change in the registrant’s internal control over financial reporting that
    occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; y

    5.

    The registrant’s other certifying officers and I have disclosed to the registrant’s auditors and the
    audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

    a)

    All significant deficiencies and material weaknesses in the design or operation of internal control over
    financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; y

    b)

    Any fraud, whether or not material, that involves management or other employees who have a significant role in
    the registrant’s internal control over financial reporting.

    Date: January 29, 2020

    /s/ Christopher Berarducci

    Christopher Berarducci
    Principal Financial Officer

    CERTIFICATIONS PURSUANT TO SECTION 906

    EX-99.906CERT

    CERTIFICATION

    Jane Trust,
    President, and Christopher Berarducci, Principal Financial Officer of Western Asset Inflation-Linked Opportunities & Income Fund (the “Registrant”), each certify to the best of their knowledge that:

    1.    The Registrant’s periodic report on Form N-CSR for the period ended
    November 30, 2019 (the “Form N-CSR”) fully complies with the requirements of section 15(d) of the Securities Exchange Act of 1934, as amended; y

    2.    The information contained in the Form N-CSR fairly presents, in all material
    respects, the financial condition and results of operations of the Registrant.

    President Principal Financial Officer
    Western Asset Inflation-Linked Opportunities & Income Fund Western Asset Inflation-Linked Opportunities & Income Fund

    /s/ Jane Trust

    /s/ Christopher Berarducci

    Jane Trust Christopher Berarducci
    Date: January 29, 2020 Date: January 29, 2020

    This certification is being furnished to the Securities and Exchange Commission solely pursuant to 18 U.S.C. § 1350 and
    is not being filed as part of the Form N-CSR with the Commission.

    Fuente

    Descargo de responsabilidad

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