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

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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 PS12,089,186

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 PS374,750

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 PS2,235,999 (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 PS472,582

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 PS4,082,608

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 PS5,714,045 (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 PS6,000,000
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%

PS779,520,367

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** PS20,137,500 U.S. Treasury Inflation Protected Securities PS21,494,745
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
PS358,962,500 PS364,278,000

* *

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 PS131.00 669 PS669,000 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 PS160.00 167 PS167,000 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 PS46,195,067 PS46,593,938 PS398,871
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

PS530,389

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 PS95,600,000 5/3/20 2.023%* CPURNSA* * - PS126,597

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 PS42,285,000 12/20/24 1.000% quarterly PS1,018,603 PS811,412 PS207,191

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)

PS1,113,328,122

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 PS779,520,367
Net Assets:

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

PS819,718,608

Total distributable earnings (loss)

(40,198,241)
Total Net Assets PS779,520,367
Shares Outstanding 61,184,134
Net Asset Value PS12.74

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

PS37,707,043

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 PS74,387,673

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

PS23,613,004 PS25,716,139

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

PS779,520,367 PS731,564,240

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

PS74,387,673

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

PS24,671,538

* *

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 PS4,609,204
Restricted cash 20,062,334
Total cash and restricted cash shown in the Consolidated Statement of Cash Flows PS24,671,538

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 1.407 7 1.13 0.95

Net investment income

3.07 3.36 3.04 3.007 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

- PS843,286,369 - PS843,286,369

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

PS253,344 - - 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 PS18,803,733 PS1,094,524,389 - PS1,113,328,122
Other Financial Instruments:

Futures Contracts

PS2,365,043 - - PS2,365,043

Forward Foreign Currency Contracts

- PS536,551 - 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 PS2,365,043 PS870,339 - PS3,235,382
Total PS21,168,776 PS1,095,394,728 - PS1,116,563,504

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

PS2,433,891 - - PS2,433,891

Futures Contracts

1,834,654 - - 1,834,654

Forward Foreign Currency Contracts

- PS944,202 - 944,202

Centrally Cleared Interest Rate Swaps

- 1,341,511 - 1,341,511
Total PS4,268,545 PS2,285,713 - PS6,554,258

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 PS46,479,367 PS324,648,419
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 PS1,085,223,180 PS48,185,343 PS(20,080,401) PS28,104,942
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 PS253,344 - - PS253,344
Futures contracts3 2,343,573 PS21,470 - 2,365,043
OTC swap contracts4 4 126,597 - - 126,597
Centrally cleared swap contracts5 5 - - PS207,191 207,191
Forward foreign currency contracts - 536,551 - 536,551
Total PS2,723,514 PS558,021 PS207,191 PS3,488,726

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 PS2,433,891 - - PS2,433,891
Futures contracts3 285,569 PS 352,783 PS1,196,302 1,834,654
Centrally cleared swap contracts5 5 1,341,511 - - 1,341,511
Forward foreign currency contracts - 944,202 - 944,202
Total PS4,060,971 PS1,296,985 PS1,196,302 PS6,554,258

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) - PS6,292,411 (13,406,472)
Swap contracts 103,740 - PS507,809 - 611,549
Forward foreign currency contracts - 2,789,225 - - 2,789,225
Total PS(18,447,532) PS1,583,756 PS507,809 PS6,292,411 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 PS68,675 - - - PS68,675
Written options (176,993) - - - (176,993)
Futures contracts 3,212,809 PS651,479 - PS(656,068) 3,208,220
Swap contracts (1,214,914) - PS416,151 - (798,763)
Forward foreign currency contracts - 1,021,739 - - 1,021,739
Total PS1,889,577 PS1,673,218 PS416,151 PS(656,068) PS3,322,878

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 PS278,040 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 PS663,148 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 PS0.0360
1/24/2020 1/31/2020 PS0.0360
2/21/2020 2/28/2020 PS0.0360

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 PS26,431,546 PS26,431,546

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

Undistributed ordinary income — net PS12,965,434
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 inclu