Company: WIA
Filing Date: 2025-01-28
Form Type: N-CSR
Source: 0001133228-25-000566
Chunk: 4

Company: WESTERN ASSET INFLATION-LINKED INCOME FUND
Filing Date: 2025-01-28
Form: N-CSR
Chunk 4
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 to structured products and emerging markets.

2 Western Asset Inflation-Linked Income Fund 2024 Annual Report

The Fund employed interest rate futures to manage its yield curve positioning and interest rate risk. In aggregate, the use of these instruments detracted from performance. Futures on commodities, which were used to manage the Fund’s commodity exposure, contributed to performance. Index credit default swaps were employed to achieve synthetic exposure to corporate bonds, and in aggregate, contributed to performance. Finally, the Fund used foreign exchange forwards and futures to hedge positions, as well as to take outright positions in a variety of emerging and developed market currencies. These instruments were net detractors from performance. Leverage was used to enhance the Fund’s yield. The Fund ended the reporting period with leverage as a percentage of total assets of roughly 34% versus 39% when the period began. The use of leverage contributed to performance during the reporting period. Performance review For the twelve months ended November 30, 2024, Western Asset Inflation-Linked Income Fund returned 5.97% based on its net asset value (NAV) v and 11.94% based on its New York Stock Exchange (NYSE) market price per share. The Fund’s unmanaged benchmarks, the Bloomberg U.S. Government Inflation-Linked 1-10 Year Index vi and the Bloomberg U.S. Government Inflation-Linked All Maturities Index vii , returned 6.17% and 6.30%, respectively, for the same period. The Bloomberg World Government Inflation-Linked All Maturities Index viii and the Fund’s Custom Benchmark ix returned 4.11% and 6.50%, respectively, over the same time frame. The Fund has adopted a managed distribution policy. Pursuant to this policy, the Fund intends to make regular monthly distributions to common shareholders at a fixed rate per common share, which rate may be adjusted from time to time by the Fund’s Board. This policy has no impact on the Fund’s investment strategy and may reduce the Fund’s NAV. The Fund’s investment adviser believes the policy helps maintain the Fund’s competitiveness and may benefit the Fund’s market price and premium/discount to the Fund’s NAV. During the twelve-month period, the Fund made distributions to shareholders totaling $0.60 per share of which $0.14 will be treated as a return of capital for tax purposes. * The performance table shows the Fund’s twelve-month total return based on its NAV and market price as of November 30, 202