N-Q 1 d104826dnq.htm WESTERN ASSET HIGH INCOME FUND II INC. Western Asset High Income Fund II Inc.

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-08709

Western Asset High Income Fund II Inc.

(Exact name of registrant as specified in charter)

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

(Address of principal executive offices) (Zip code)

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

Registrant’s telephone number, including area code: (888)777-0102

Date of fiscal year end: April 30

Date of reporting period: January 31, 2016

 

 

 


 

ITEM 1. SCHEDULE OF INVESTMENTS.


WESTERN ASSET HIGH INCOME FUND II INC.

FORM N-Q

JANUARY 31, 2016


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  
CORPORATE BONDS & NOTES - 120.6%          
CONSUMER DISCRETIONARY - 22.3%          

Auto Components - 0.2%

         

Europcar Groupe SA, Secured Notes

     5.750     6/15/22         860,000 EUR    $ 947,923 (a) 
         

 

 

 

Diversified Consumer Services - 1.0%

         

Co-operative Group Holdings 2011 Ltd., Senior Notes

     6.875     7/8/20         337,000 GBP      515,784 (b) 

Co-operative Group Holdings 2011 Ltd., Senior Notes

     7.500     7/8/26         500,000 GBP      776,394   

Service Corp. International, Senior Notes

     7.500     4/1/27         2,090,000        2,408,725 (c) 

StoneMor Partners LP/Cornerstone Family Services of WV, Senior Bonds

     7.875     6/1/21         1,810,000        1,864,300 (c) 
         

 

 

 

Total Diversified Consumer Services

            5,565,203   
         

 

 

 

Hotels, Restaurants & Leisure - 4.7%

         

Bossier Casino Venture Holdco Inc., Senior Secured Bonds

     14.000     2/9/18         2,510,434        2,243,324 (a)(c)(d)(e)(f) 

Carrols Restaurant Group Inc., Secured Notes

     8.000     5/1/22         1,910,000        2,022,212 (c) 

CCM Merger Inc., Senior Notes

     9.125     5/1/19         3,360,000        3,477,600 (a)(c) 

CEC Entertainment Inc., Senior Notes

     8.000     2/15/22         3,970,000        3,453,900 (c) 

Downstream Development Authority of the Quapaw Tribe of Oklahoma, Senior Secured Notes

     10.500     7/1/19         2,580,000        2,496,150 (a)(c) 

Fontainebleau Las Vegas Holdings LLC, Senior Secured Notes

     10.250     6/15/15         975,000        1,926 *(a)(c)(g) 

Gala Electric Casinos Ltd., Secured Notes

     11.500     6/1/19         1,097,091 GBP      1,639,859 (b) 

Greektown Holdings LLC/Greektown Mothership Corp., Senior Secured Notes

     8.875     3/15/19         850,000        841,500 (a)(c) 

Landry’s Holdings II Inc., Senior Notes

     10.250     1/1/18         1,530,000        1,518,525 (a)(c) 

Landry’s Inc., Senior Notes

     9.375     5/1/20         6,978,000        7,405,402 (a)(c) 

Viking Cruises Ltd., Senior Notes

     8.500     10/15/22         1,820,000        1,697,150 (a)(c) 
         

 

 

 

Total Hotels, Restaurants & Leisure

            26,797,548   
         

 

 

 

Household Durables - 2.5%

         

Century Intermediate Holding Co. 2, Senior Notes

     9.750     2/15/19         3,860,000        3,951,675 (a)(c)(d) 

Shea Homes LP/Shea Homes Funding Corp., Senior Notes

     6.125     4/1/25         3,120,000        3,134,415 (a)(c) 

William Lyon Homes Inc., Senior Notes

     8.500     11/15/20         2,980,000        3,091,750 (c) 

William Lyon Homes Inc., Senior Notes

     7.000     8/15/22         610,000        588,650   

Woodside Homes Co., LLC/Woodside Homes Finance Inc., Senior Notes

     6.750     12/15/21         3,940,000        3,437,650 (a)(c) 
         

 

 

 

Total Household Durables

            14,204,140   
         

 

 

 

Media - 10.8%

         

AMC Entertainment Inc., Senior Subordinated Notes

     5.750     6/15/25         1,930,000        1,971,013 (c) 

CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes

     5.875     5/1/27         3,100,000        3,061,250 (a)(c) 

CCO Safari II LLC, Senior Secured Notes

     4.908     7/23/25         3,510,000        3,518,757 (a)(c) 

CCO Safari II LLC, Senior Secured Notes

     6.484     10/23/45         1,480,000        1,493,881 (a)(c) 

Clear Channel Worldwide Holdings Inc., Senior Subordinated Notes

     7.625     3/15/20         260,000        206,375 (c) 

DISH DBS Corp., Senior Notes

     7.875     9/1/19         1,815,000        1,973,813 (c) 

DISH DBS Corp., Senior Notes

     6.750     6/1/21         2,270,000        2,321,075 (c) 

DISH DBS Corp., Senior Notes

     5.875     7/15/22         5,230,000        4,935,812 (c) 

DISH DBS Corp., Senior Notes

     5.875     11/15/24         1,020,000        911,625 (c) 

Gibson Brands Inc., Senior Secured Notes

     8.875     8/1/18         2,710,000        1,558,250 (a)(c) 

iHeartCommunications Inc., Senior Notes

     14.000     2/1/21         3,120,000        798,720 (c)(d) 

Lamar Media Corp., Senior Notes

     5.750     2/1/26         350,000        361,375 (a) 

New Cotai LLC/New Cotai Capital Corp., Senior Secured Notes

     10.625     5/1/19         3,036,201        2,132,931 (a)(c)(d) 

Numericable-SFR SAS, Senior Secured Bonds

     6.250     5/15/24         11,070,000        10,848,600 (a) 

 

See Notes to Schedule of Investments.

 

1


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Media - (continued)

         

Time Warner Cable Inc., Senior Notes

     8.750     2/14/19         2,500,000      $ 2,889,398 (c) 

Time Warner Cable Inc., Senior Notes

     8.250     4/1/19         1,336,000        1,539,617 (c) 

Tribune Media Co., Senior Notes

     5.875     7/15/22         1,430,000        1,430,000 (a)(c) 

Univision Communications Inc., Senior Notes

     8.500     5/15/21         4,450,000        4,433,312 (a)(c) 

UPC Holding BV, Junior Secured Subordinated Notes

     6.375     9/15/22         5,060,000 EUR      5,812,583 (a) 

Virgin Media Finance PLC, Senior Notes

     6.375     4/15/23         5,620,000        5,781,575 (a)(c) 

Virgin Media Finance PLC, Senior Notes

     6.000     10/15/24         3,990,000        4,034,887 (a)(c) 
         

 

 

 

Total Media

            62,014,849   
         

 

 

 

Multiline Retail - 0.4%

         

Neiman Marcus Group LLC, Senior Secured Notes

     7.125     6/1/28         660,000        577,500 (c) 

Neiman Marcus Group Ltd. LLC, Senior Notes

     8.750     10/15/21         2,940,000        1,881,600 (a)(c)(d) 
         

 

 

 

Total Multiline Retail

            2,459,100   
         

 

 

 

Specialty Retail - 2.6%

         

American Greetings Corp., Senior Notes

     7.375     12/1/21         2,480,000        2,532,700 (c) 

Guitar Center Inc., Senior Secured Bonds

     6.500     4/15/19         6,850,000        5,805,375 (a)(c) 

Hot Topic Inc., Senior Secured Notes

     9.250     6/15/21         1,570,000        1,413,000 (a)(c) 

L Brands Inc., Debentures

     6.950     3/1/33         800,000        804,500 (c) 

L Brands Inc., Senior Notes

     6.875     11/1/35         2,380,000        2,469,250 (a)(c) 

Sally Holdings LLC/Sally Capital Inc., Senior Notes

     5.625     12/1/25         1,650,000        1,711,875 (c) 
         

 

 

 

Total Specialty Retail

            14,736,700   
         

 

 

 

Textiles, Apparel & Luxury Goods - 0.1%

         

Empire Today LLC/Empire Today Finance Corp., Senior Secured Notes

     11.375     2/1/17         590,000        572,300 (a)(c) 
         

 

 

 

TOTAL CONSUMER DISCRETIONARY

            127,297,763   
         

 

 

 
CONSUMER STAPLES - 6.5%          

Beverages - 1.3%

         

Carolina Beverage Group LLC/Carolina Beverage Group Finance Inc., Secured Notes

     10.625     8/1/18         2,610,000        2,570,850 (a)(c) 

Cott Beverages Inc., Senior Notes

     6.750     1/1/20         2,140,000        2,209,550 (c) 

DS Services of America Inc., Secured Notes

     10.000     9/1/21         2,390,000        2,694,725 (a)(c) 
         

 

 

 

Total Beverages

            7,475,125   
         

 

 

 

Food & Staples Retailing - 1.0%

         

Beverages & More Inc., Senior Secured Notes

     10.000     11/15/18         3,610,000        3,298,637 (a)(c) 

Dollar Tree Inc., Senior Notes

     5.750     3/1/23         2,210,000        2,339,838 (a)(c) 
         

 

 

 

Total Food & Staples Retailing

            5,638,475   
         

 

 

 

Food Products - 2.2%

         

Dole Food Co. Inc., Senior Secured Notes

     7.250     5/1/19         2,440,000        2,397,300 (a)(c) 

Hearthside Group Holdings LLC/Hearthside Finance Co., Senior Notes

     6.500     5/1/22         2,300,000        2,121,750 (a)(c) 

Pilgrim’s Pride Corp., Senior Notes

     5.750     3/15/25         3,090,000        2,981,850 (a)(c) 

Simmons Foods Inc., Secured Notes

     7.875     10/1/21         5,010,000        4,446,375 (a)(c) 

TreeHouse Foods Inc., Senior Notes

     6.000     2/15/24         670,000        690,938 (a) 
         

 

 

 

Total Food Products

            12,638,213   
         

 

 

 

Household Products - 1.4%

         

Central Garden & Pet Co., Senior Notes

     6.125     11/15/23         1,290,000        1,325,475 (c) 

Kronos Acquisition Holdings Inc., Senior Notes

     9.000     8/15/23         690,000        596,850 (a) 

Spectrum Brands Inc., Senior Notes

     6.125     12/15/24         1,630,000        1,703,350 (a)(c) 

Spectrum Brands Inc., Senior Notes

     5.750     7/15/25         3,350,000        3,450,500 (a)(c) 

Sun Products Corp., Senior Notes

     7.750     3/15/21         850,000        782,000 (a)(c) 
         

 

 

 

Total Household Products

            7,858,175   
         

 

 

 

Tobacco - 0.6%

         

Alliance One International Inc., Secured Notes

     9.875     7/15/21         4,500,000        3,583,125 (c) 
         

 

 

 

TOTAL CONSUMER STAPLES

            37,193,113   
         

 

 

 

 

See Notes to Schedule of Investments.

 

2


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
ENERGY - 13.8%           

Energy Equipment & Services - 1.4%

          

Atwood Oceanics Inc., Senior Notes

     6.500     2/1/20         1,923,000       $ 692,280 (c) 

CGG, Senior Notes

     6.500     6/1/21         2,520,000         971,208   

CGG, Senior Notes

     6.875     1/15/22         480,000         182,400   

KCA Deutag UK Finance PLC, Senior Secured Notes

     7.250     5/15/21         880,000         532,400 (a) 

Parker Drilling Co., Senior Notes

     7.500     8/1/20         3,140,000         2,205,850 (c) 

SESI LLC, Senior Notes

     7.125     12/15/21         2,780,000         1,980,750 (c) 

Sierra Hamilton LLC/Sierra Hamilton Finance Inc., Senior Secured Notes

     12.250     12/15/18         2,730,000         1,337,700 (a)(c) 
          

 

 

 

Total Energy Equipment & Services

             7,902,588   
          

 

 

 

Oil, Gas & Consumable Fuels - 12.4%

          

Approach Resources Inc., Senior Notes

     7.000     6/15/21         1,600,000         324,160 (c) 

Berry Petroleum Co., Senior Notes

     6.750     11/1/20         1,550,000         348,750 (c) 

California Resources Corp., Senior Notes

     5.500     9/15/21         7,550,000         1,547,750   

Calumet Specialty Products Partners LP/Calumet Finance Corp., Senior Notes

     7.625     1/15/22         2,130,000         1,565,550 (c) 

Carrizo Oil & Gas Inc., Senior Notes

     7.500     9/15/20         1,750,000         1,369,375 (c) 

Chesapeake Energy Corp., Senior Notes

     6.875     11/15/20         4,340,000         1,171,800 (c) 

Chesapeake Energy Corp., Senior Notes

     5.375     6/15/21         940,000         249,100   

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Senior Notes

     6.125     3/1/22         2,919,000         1,773,292 (c) 

Endeavor Energy Resources LP/EER Finance Inc., Senior Notes

     7.000     8/15/21         1,090,000         931,950 (a)(c) 

Enterprise Products Operating LLC, Junior Subordinated Notes

     8.375     8/1/66         285,000         228,713 (c)(h) 

EP Energy LLC/Everest Acquisition Finance Inc., Senior Notes

     9.375     5/1/20         2,730,000         1,173,900 (c) 

EV Energy Partners LP/EV Energy Finance Corp., Senior Notes

     8.000     4/15/19         510,000         170,850   

Gazprom OAO Via Gaz Capital SA, Loan Participation Notes, Senior Notes

     6.510     3/7/22         3,580,000         3,627,166 (a) 

Globe Luxembourg SCA, Senior Secured Notes

     9.625     5/1/18         5,640,000         3,919,800 (a)(c) 

Halcon Resources Corp., Senior Notes

     9.750     7/15/20         7,141,000         1,071,150   

Halcon Resources Corp., Senior Notes

     8.875     5/15/21         115,000         17,250   

Kinder Morgan Inc., Medium-Term Notes

     7.750     1/15/32         1,950,000         1,838,862 (c) 

Lonestar Resources America Inc., Senior Notes

     8.750     4/15/19         1,080,000         550,800 (a)(c) 

LUKOIL International Finance BV, Bonds

     6.356     6/7/17         1,720,000         1,791,380 (b) 

LUKOIL International Finance BV, Senior Notes

     4.563     4/24/23         2,040,000         1,858,695 (a) 

Magnum Hunter Resources Corp., Senior Notes

     9.750     5/15/20         8,070,000         2,057,850 *(c)(i) 

MEG Energy Corp., Senior Notes

     6.500     3/15/21         5,300,000         3,034,250 (a) 

MEG Energy Corp., Senior Notes

     6.375     1/30/23         610,000         315,309 (a) 

Milagro Oil & Gas Inc., Secured Notes

     10.500     5/15/16         3,290,000         1,003,450 *(c)(f)(i) 

Murray Energy Corp., Senior Secured Notes

     11.250     4/15/21         8,900,000         1,268,250 (a) 

Natural Resource Partners LP/Natural Resource Partners Finance Corp., Senior Notes

     9.125     10/1/18         2,950,000         1,666,750 (c) 

Oasis Petroleum Inc., Senior Notes

     7.250     2/1/19         2,240,000         1,405,600   

Oasis Petroleum Inc., Senior Notes

     6.500     11/1/21         3,238,000         1,958,990 (c) 

Oasis Petroleum Inc., Senior Notes

     6.875     1/15/23         1,540,000         885,500   

Pacific Exploration and Production Corp., Senior Notes

     7.250     12/12/21         2,350,000         305,500 (a)(c) 

Petrobras Global Finance BV, Senior Notes

     6.750     1/27/41         3,980,000         2,521,131   

Petroleos de Venezuela SA, Senior Bonds

     6.000     5/16/24         12,780,000         3,802,050 (b) 

 

See Notes to Schedule of Investments.

 

3


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Oil, Gas & Consumable Fuels - (continued)

         

Petroleos de Venezuela SA, Senior Notes

     8.500     11/2/17         749,333      $ 310,898 (b) 

Puma International Financing SA, Senior Bonds

     6.750     2/1/21         4,610,000        4,287,503 (a)(c) 

Quicksilver Resources Inc., Senior Notes

     11.000     7/1/21         1,335,000        30,038 *(c)(i) 

Rice Energy Inc., Senior Notes

     6.250     5/1/22         600,000        457,500 (c) 

Rice Energy Inc., Senior Notes

     7.250     5/1/23         2,352,000        1,816,920   

Rosneft Finance SA, Senior Notes

     7.500     7/18/16         270,000        275,656 (a) 

Rosneft Finance SA, Senior Notes

     6.625     3/20/17         230,000        236,531 (b) 

Rosneft Finance SA, Senior Notes

     7.875     3/13/18         1,390,000        1,476,465 (a)(c) 

RSP Permian Inc., Senior Notes

     6.625     10/1/22         5,280,000        4,725,600 (c) 

Samson Investment Co., Senior Notes

     9.750     2/15/20         2,730,000        4,095 *(i) 

Sanchez Energy Corp., Senior Notes

     6.125     1/15/23         9,910,000        4,013,550   

Shelf Drilling Holdings Ltd., Senior Secured Notes

     8.625     11/1/18         1,810,000        1,276,050 (a)(c) 

Whiting Petroleum Corp., Senior Notes

     6.250     4/1/23         2,530,000        1,593,900   

WPX Energy Inc., Senior Notes

     7.500     8/1/20         150,000        94,965   

WPX Energy Inc., Senior Notes

     8.250     8/1/23         1,480,000        950,900 (c) 

YPF SA, Senior Notes

     8.500     7/28/25         3,530,000        3,302,756 (a) 
         

 

 

 

Total Oil, Gas & Consumable Fuels

            70,608,250   
         

 

 

 

TOTAL ENERGY

            78,510,838   
         

 

 

 
FINANCIALS - 17.7%          

Banks - 8.9%

         

Bank of America Corp., Junior Subordinated Notes

     6.500     10/23/24         1,190,000        1,244,657 (c)(h)(j) 

Barclays Bank PLC, Subordinated Notes

     10.179     6/12/21         3,710,000        4,941,534 (a)(c) 

Barclays Bank PLC, Subordinated Notes

     7.625     11/21/22         5,000,000        5,597,140 (c) 

Barclays PLC, Junior Subordinated Bonds

     8.250     12/15/18         800,000        839,972 (c)(h)(j) 

BNP Paribas SA, Junior Subordinated Notes

     7.375     8/19/25         2,640,000        2,593,800 (a)(c)(h)(j) 

Citigroup Inc., Junior Subordinated Bonds

     6.300     5/15/24         950,000        922,688 (c)(h)(j) 

Citigroup Inc., Junior Subordinated Bonds

     5.950     5/15/25         1,580,000        1,535,049 (c)(h)(j) 

Credit Agricole SA, Junior Subordinated Notes

     8.375     10/13/19         3,180,000        3,552,235 (a)(c)(h)(j) 

Credit Agricole SA, Junior Subordinated Notes

     7.875     1/23/24         1,350,000        1,317,732 (a)(c)(h)(j) 

Credit Agricole SA, Junior Subordinated Notes

     8.125     12/23/25         960,000        961,490 (a)(h)(j) 

HSBC Holdings PLC, Junior Subordinated Bonds

     6.375     9/17/24         1,560,000        1,499,550 (c)(h)(j) 

HSBC Holdings PLC, Junior Subordinated Bonds

     6.375     3/30/25         2,000,000        1,932,220 (c)(h)(j) 

JPMorgan Chase & Co., Junior Subordinated Bonds

     6.000     8/1/23         1,270,000        1,270,794 (c)(h)(j) 

JPMorgan Chase & Co., Junior Subordinated Notes

     6.100     10/1/24         2,410,000        2,425,063 (c)(h)(j) 

M&T Bank Corp., Junior Subordinated Bonds

     6.875     6/15/16         4,400,000        4,449,500 (c)(j) 

Royal Bank of Scotland Group PLC, Junior Subordinated Bonds

     7.648     9/30/31         3,530,000        4,377,200 (c)(h)(j) 

Royal Bank of Scotland Group PLC, Subordinated Notes

     6.100     6/10/23         1,470,000        1,568,034 (c) 

Royal Bank of Scotland NV, Subordinated Bonds

     7.750     5/15/23         650,000        740,412 (c) 

Royal Bank of Scotland PLC, Subordinated Notes

     13.125     3/19/22         4,860,000 AUD      3,769,653 (b)(h) 

Sberbank of Russia Via SB Capital SA, Subordinated Notes

     5.500     2/26/24         4,420,000        3,966,950 (b)(h) 

Wells Fargo & Co., Junior Subordinated Bonds

     5.875     6/15/25         1,140,000        1,203,099 (c)(h)(j) 
         

 

 

 

Total Banks

            50,708,772   
         

 

 

 

Capital Markets - 1.0%

         

Goldman Sachs Group Inc., Subordinated Notes

     6.750     10/1/37         2,320,000        2,686,409 (c) 

Goldman Sachs Group Inc., Subordinated Notes

     5.150     5/22/45         2,480,000        2,426,266 (c) 

Pershing Square Holdings Ltd., Senior Notes

     5.500     7/15/22         1,000,000        891,300 (a) 
         

 

 

 

Total Capital Markets

            6,003,975   
         

 

 

 

Consumer Finance - 0.7%

         

Navient Corp., Medium-Term Notes, Senior Notes

     8.450     6/15/18         2,230,000        2,313,625 (c) 

Navient Corp., Senior Notes

     6.125     3/25/24         710,000        585,750   

TMX Finance LLC/TitleMax Finance Corp., Senior Secured Notes

     8.500     9/15/18         1,339,000        970,775 (a)(c) 
         

 

 

 

Total Consumer Finance

            3,870,150   
         

 

 

 

 

See Notes to Schedule of Investments.

 

4


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Diversified Financial Services - 3.1%

         

Argos Merger Sub Inc., Senior Notes

     7.125     3/15/23         4,760,000      $ 4,807,600 (a)(c) 

International Lease Finance Corp., Senior Notes

     5.750     5/15/16         800,000        809,482 (c) 

International Lease Finance Corp., Senior Notes

     8.750     3/15/17         3,385,000        3,566,436 (c) 

International Lease Finance Corp., Senior Notes

     8.875     9/1/17         5,180,000        5,555,550 (c) 

International Lease Finance Corp., Senior Notes

     8.250     12/15/20         2,160,000        2,467,800 (c) 

ZFS Finance USA Trust II, Bonds

     6.450     12/15/65         500,000        503,125 (a)(c)(h) 
         

 

 

 

Total Diversified Financial Services

            17,709,993   
         

 

 

 

Insurance - 1.3%

         

Fidelity & Guaranty Life Holdings Inc., Senior Notes

     6.375     4/1/21         1,450,000        1,493,500 (a)(c) 

Galaxy Bidco Ltd., Senior Secured Notes

     6.375     11/15/20         960,000 GBP      1,374,743 (b) 

Genworth Holdings Inc., Senior Notes

     4.900     8/15/23         1,780,000        1,059,100 (c) 

Liberty Mutual Group Inc., Junior Subordinated Bonds

     7.800     3/15/37         1,750,000        1,999,375 (a)(c) 

MetLife Capital Trust IV, Junior Subordinated Notes

     7.875     12/15/37         1,100,000        1,325,500 (a)(c) 
         

 

 

 

Total Insurance

            7,252,218   
         

 

 

 

Real Estate Investment Trusts (REITs) - 0.3%

         

Communications Sales & Leasing Inc., Senior Secured Notes

     6.000     4/15/23         1,630,000        1,560,725 (a)(c) 
         

 

 

 

Real Estate Management & Development - 2.4%

         

Caesars Entertainment Resort Properties LLC, Secured Notes

     11.000     10/1/21         1,430,000        1,251,250 (c) 

Caesars Entertainment Resort Properties LLC, Senior Secured Notes

     8.000     10/1/20         5,450,000        5,095,750   

Greystar Real Estate Partners LLC, Senior Secured Notes

     8.250     12/1/22         3,110,000        3,211,075 (a)(c) 

Howard Hughes Corp., Senior Notes

     6.875     10/1/21         4,140,000        4,160,700 (a)(c) 
         

 

 

 

Total Real Estate Management & Development

            13,718,775   
         

 

 

 

TOTAL FINANCIALS

            100,824,608   
         

 

 

 
HEALTH CARE - 7.9%          

Biotechnology - 0.2%

         

AMAG Pharmaceuticals Inc., Senior Notes

     7.875     9/1/23         1,490,000        1,359,625 (a)(c) 
         

 

 

 

Health Care Equipment & Supplies - 1.3%

         

ConvaTec Finance International SA, Senior Notes

     8.250     1/15/19         1,610,000        1,438,938 (a)(c)(d) 

DJO Finance LLC/DJO Finance Corp., Secured Notes

     10.750     4/15/20         1,860,000        1,543,800 (a)(c) 

DJO Finco Inc./DJO Finance LLC/DJO Finance Corp., Secured Notes

     8.125     6/15/21         2,120,000        1,791,400 (a)(c) 

Greatbatch Ltd., Senior Notes

     9.125     11/1/23         1,760,000        1,733,600 (a)(c) 

Immucor Inc., Senior Notes

     11.125     8/15/19         1,330,000        1,093,925   
         

 

 

 

Total Health Care Equipment & Supplies

            7,601,663   
         

 

 

 

Health Care Providers & Services - 3.3%

         

BioScrip Inc., Senior Notes

     8.875     2/15/21         1,458,000        1,170,045 (c) 

Centene Escrow Corp., Senior Notes

     5.625     2/15/21         1,190,000        1,213,800 (a) 

Centene Escrow Corp., Senior Notes

     6.125     2/15/24         810,000        834,300 (a) 

HCA Inc., Debentures

     7.500     11/15/95         2,205,000        2,127,825 (c) 

IASIS Healthcare LLC/IASIS Capital Corp., Senior Notes

     8.375     5/15/19         3,520,000        3,317,600 (c) 

Select Medical Corp., Senior Notes

     6.375     6/1/21         1,090,000        941,487   

Tenet Healthcare Corp., Senior Notes

     8.125     4/1/22         2,870,000        2,891,525 (c) 

Tenet Healthcare Corp., Senior Secured Notes

     6.000     10/1/20         2,580,000        2,741,250 (c) 

Universal Hospital Services Inc., Secured Notes

     7.625     8/15/20         4,100,000        3,628,500 (c) 
         

 

 

 

Total Health Care Providers & Services

            18,866,332   
         

 

 

 

 

See Notes to Schedule of Investments.

 

5


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Pharmaceuticals - 3.1%

         

ConvaTec Healthcare E SA, Senior Notes

     10.875     12/15/18         2,500,000 EUR    $ 2,789,228 (b)(c) 

DPx Holdings BV, Senior Notes

     7.500     2/1/22         1,130,000        1,062,200 (a)(c) 

JLL/Delta Dutch Pledgeco BV, Senior Notes

     8.750     5/1/20         4,990,000        4,428,625 (a)(d) 

Mallinckrodt International Finance SA, Senior Notes

     5.750     8/1/22         2,220,000        2,131,200 (a) 

Valeant Pharmaceuticals International Inc., Senior Notes

     6.750     8/15/18         650,000        650,406 (a) 

Valeant Pharmaceuticals International Inc., Senior Notes

     5.375     3/15/20         1,060,000        1,005,013 (a)(c) 

Valeant Pharmaceuticals International Inc., Senior Notes

     6.375     10/15/20         1,110,000        1,071,150 (a)(c) 

Valeant Pharmaceuticals International Inc., Senior Notes

     7.500     7/15/21         2,420,000        2,412,437 (a)(c) 

Valeant Pharmaceuticals International Inc., Senior Notes

     7.250     7/15/22         2,050,000        2,009,000 (a)(c) 
         

 

 

 

Total Pharmaceuticals

            17,559,259   
         

 

 

 

TOTAL HEALTH CARE

            45,386,879   
         

 

 

 
INDUSTRIALS - 17.8%          

Aerospace & Defense - 1.3%

         

Aerojet Rocketdyne Holdings Inc., Secured Notes

     7.125     3/15/21         1,490,000        1,519,800 (c) 

Bombardier Inc., Senior Notes

     7.500     3/15/18         880,000        827,200 (a)(c) 

CBC Ammo LLC/CBC FinCo Inc., Senior Notes

     7.250     11/15/21         4,430,000        3,632,600 (a)(c) 

LMI Aerospace Inc., Secured Notes

     7.375     7/15/19         1,400,000        1,330,000 (c) 
         

 

 

 

Total Aerospace & Defense

            7,309,600   
         

 

 

 

Air Freight & Logistics - 1.2%

         

Air Medical Merger Sub Corp., Senior Notes

     6.375     5/15/23         1,880,000        1,663,800 (a)(c) 

XPO Logistics Inc., Senior Notes

     7.875     9/1/19         3,120,000        3,123,900 (a)(c) 

XPO Logistics Inc., Senior Notes

     6.500     6/15/22         2,270,000        2,040,162 (a)(c) 
         

 

 

 

Total Air Freight & Logistics

            6,827,862   
         

 

 

 

Airlines - 2.1%

         

Air Canada, Pass-Through Trust, Secured Notes

     6.625     5/15/18         1,100,000        1,094,500 (a) 

American Airlines, Pass-Through Trust, Secured Notes

     7.000     1/31/18         1,033,772        1,076,415 (a)(c) 

Continental Airlines Inc., Pass-Through Certificates

     5.983     4/19/22         3,951,912        4,352,043 (c) 

Delta Air Lines Inc., Pass-Through Certificates, Secured Notes

     8.021     8/10/22         1,116,577        1,249,170 (c) 

Delta Air Lines Inc., Pass-Through Certificates, Subordinated Secured Notes

     9.750     12/17/16         451,620        477,024 (c) 

Heathrow Finance PLC, Senior Secured Notes

     7.125     3/1/17         2,450,000 GBP      3,629,373 (b)(c) 
         

 

 

 

Total Airlines

            11,878,525   
         

 

 

 

Building Products - 0.4%

         

Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Notes

     6.875     2/15/21         2,851,000        2,437,605 (a)(c) 
         

 

 

 

Commercial Services & Supplies - 2.9%

         

Garda World Security Corp., Senior Notes

     7.250     11/15/21         1,530,000        1,201,050 (a)(c) 

GFL Escrow Corp., Senior Notes

     9.875     2/1/21         1,910,000        1,931,488 (a) 

Monitronics International Inc., Senior Notes

     9.125     4/1/20         6,080,000        4,909,600 (c) 

Taylor Morrison Communities Inc./Monarch Communities Inc., Senior Notes

     5.250     4/15/21         1,241,000        1,172,745 (a)(c) 

United Rentals North America Inc., Senior Notes

     8.250     2/1/21         739,000        774,103 (c) 

United Rentals North America Inc., Senior Notes

     7.625     4/15/22         3,018,000        3,119,857 (c) 

West Corp., Senior Notes

     5.375     7/15/22         3,850,000        3,258,062 (a)(c) 
         

 

 

 

Total Commercial Services & Supplies

            16,366,905   
         

 

 

 

 

See Notes to Schedule of Investments.

 

6


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Construction & Engineering - 2.4%

         

Astaldi SpA, Senior Notes

     7.125     12/1/20         1,070,000 EUR    $ 1,120,648 (a) 

Astaldi SpA, Senior Notes

     7.125     12/1/20         240,000 EUR      251,360 (b) 

Ausdrill Finance Pty Ltd., Senior Notes

     6.875     11/1/19         2,420,000        1,712,150 (a)(c) 

Brundage-Bone Concrete Pumping Inc., Senior Secured Notes

     10.375     9/1/21         2,380,000        2,314,550 (a)(c) 

Empresas ICA SAB de CV, Senior Notes

     8.900     2/4/21         880,000        167,200 (b)(c) 

Michael Baker Holdings LLC/Michael Baker Finance Corp., Senior Notes

     8.875     4/15/19         3,259,668        2,314,364 (a)(c)(d) 

Michael Baker International LLC/CDL Acquisition Co. Inc., Senior Secured Notes

     8.250     10/15/18         3,670,000        3,165,375 (a)(c) 

Modular Space Corp., Secured Notes

     10.250     1/31/19         2,970,000        972,340 (a)(c) 

Odebrecht Finance Ltd., Senior Notes

     5.250     6/27/29         3,000,000        1,365,000 (a) 
         

 

 

 

Total Construction & Engineering

            13,382,987   
         

 

 

 

Electrical Equipment - 0.6%

         

International Wire Group Holdings Inc., Senior Secured Notes

     8.500     10/15/17         1,970,000        1,977,387 (a)(c) 

NES Rentals Holdings Inc., Senior Secured Notes

     7.875     5/1/18         1,800,000        1,395,000 (a)(c) 

Trionista TopCo GmbH, Senior Subordinated Notes

     6.875     4/30/21         150,000 EUR      170,656 (a) 
         

 

 

 

Total Electrical Equipment

            3,543,043   
         

 

 

 

Machinery - 2.8%

         

CTP Transportation Products LLC/CTP Finance Inc., Senior Secured Notes

     8.250     12/15/19         1,200,000        1,218,000 (a)(c) 

DH Services Luxembourg Sarl, Senior Notes

     7.750     12/15/20         5,370,000        5,329,725 (a)(c) 

Global Brass and Copper Inc., Senior Secured Notes

     9.500     6/1/19         2,390,000        2,509,500 (c) 

KION Finance SA, Senior Secured Notes

     6.750     2/15/20         3,027,000 EUR      3,411,552 (a) 

KraussMaffei Group GmbH, Senior Secured Notes

     8.750     12/15/20         560,000 EUR      649,817 (a) 

KraussMaffei Group GmbH, Senior Secured Notes

     8.750     12/15/20         366,400 EUR      425,166 (b) 

SIG Combibloc Holdings SCA, Senior Bonds

     7.750     2/15/23         800,000 EUR      895,889 (a) 

SPL Logistics Escrow LLC/SPL Logistics Finance Corp., Senior Secured Notes

     8.875     8/1/20         1,760,000        1,610,400 (a)(c) 
         

 

 

 

Total Machinery

            16,050,049   
         

 

 

 

Marine - 0.6%

         

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Senior Secured Notes

     8.125     11/15/21         4,110,000        3,282,863 (a)(c) 

Ultrapetrol Bahamas Ltd., Senior Secured Notes

     8.875     6/15/21         2,150,000        376,250 *(i) 
         

 

 

 

Total Marine

            3,659,113   
         

 

 

 

Road & Rail - 1.8%

         

Flexi-Van Leasing Inc., Senior Notes

     7.875     8/15/18         2,500,000        2,487,500 (a)(c) 

Florida East Coast Holdings Corp., Senior Notes

     9.750     5/1/20         490,000        297,675 (a)(c) 

Florida East Coast Holdings Corp., Senior Secured Notes

     6.750     5/1/19         4,070,000        3,734,225 (a)(c) 

Jack Cooper Holdings Corp., Senior Secured Notes

     10.250     6/1/20         4,430,000        3,521,850 (a)(c) 
         

 

 

 

Total Road & Rail

            10,041,250   
         

 

 

 

Trading Companies & Distributors - 0.5%

         

H&E Equipment Services Inc., Senior Notes

     7.000     9/1/22         3,150,000        2,898,000 (c) 
         

 

 

 

Transportation - 0.9%

         

Hapag-Lloyd AG, Senior Notes

     9.750     10/15/17         1,732,000        1,766,640 (a)(c) 

Neovia Logistics Intermediate Holdings LLC/Logistics Intermediate Finance Corp., Senior Notes

     10.000     2/15/18         3,890,000        3,617,700 (a)(c)(d) 
         

 

 

 

Total Transportation

            5,384,340   
         

 

 

 

Transportation Infrastructure - 0.3%

         

Aguila 3 SA, Senior Secured Notes

     7.875     1/31/18         1,700,000        1,734,000 (a)(c) 
         

 

 

 

TOTAL INDUSTRIALS

            101,513,279   
         

 

 

 

 

See Notes to Schedule of Investments.

 

7


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
INFORMATION TECHNOLOGY - 4.0%           

Communications Equipment - 0.4%

          

CommScope Technologies Finance LLC, Senior Notes

     6.000     6/15/25         2,410,000       $ 2,349,750 (a)(c) 
          

 

 

 

Electronic Equipment, Instruments & Components - 0.4%

          

Interface Security Systems Holdings Inc./Interface Security Systems LLC, Senior Secured Notes

     9.250     1/15/18         2,620,000         2,466,075 (c) 
          

 

 

 

Internet Software & Services - 0.6%

          

Ancestry.com Holdings LLC, Senior Notes

     9.625     10/15/18         1,390,000         1,303,125 (a)(c)(d) 

Ancestry.com Inc., Senior Notes

     11.000     12/15/20         2,100,000         2,236,500 (c) 
          

 

 

 

Total Internet Software & Services

             3,539,625   
          

 

 

 

IT Services - 2.2%

          

Compiler Finance Subordinated Inc., Senior Notes

     7.000     5/1/21         3,583,000         1,540,690 (a)(c)(f) 

First Data Corp., Secured Notes

     5.750     1/15/24         1,220,000         1,213,900 (a)(c) 

First Data Corp., Senior Notes

     7.000     12/1/23         1,860,000         1,878,600 (a)(c) 

First Data Corp., Senior Secured Notes

     5.000     1/15/24         7,780,000         7,799,450 (a) 
          

 

 

 

Total IT Services

             12,432,640   
          

 

 

 

Semiconductors & Semiconductor Equipment - 0.4%

          

QUALCOMM Inc., Senior Subordinated Notes

     4.800     5/20/45         2,130,000         1,900,346 (c) 
          

 

 

 

TOTAL INFORMATION TECHNOLOGY

             22,688,436   
          

 

 

 
MATERIALS - 11.7%           

Chemicals - 1.2%

          

Eco Services Operations LLC/Eco Finance Corp., Senior Notes

     8.500     11/1/22         926,000         810,250 (a)(c) 

Hexion Inc., Senior Secured Notes

     8.875     2/1/18         2,240,000         1,534,400 (c) 

HIG BBC Intermediate Holdings LLC/HIG BBC Holdings Corp., Senior Notes

     10.500     9/15/18         1,500,000         982,500 (a)(c)(d) 

Rain CII Carbon LLC/CII Carbon Corp., Senior Secured Notes

     8.000     12/1/18         4,000,000         3,340,000 (a)(c) 

Rain CII Carbon LLC/CII Carbon Corp., Senior Secured Notes

     8.250     1/15/21         490,000         372,405 (a)(c) 
          

 

 

 

Total Chemicals

             7,039,555   
          

 

 

 

Construction Materials - 0.7%

          

Cemex SAB de CV, Senior Secured Notes

     6.125     5/5/25         1,530,000         1,313,428 (a) 

Hardwoods Acquisition Inc., Senior Secured Notes

     7.500     8/1/21         2,540,000         1,917,700 (a)(c) 

NWH Escrow Corp., Senior Secured Notes

     7.500     8/1/21         790,000         576,700 (a) 
          

 

 

 

Total Construction Materials

             3,807,828   
          

 

 

 

Containers & Packaging - 3.8%

          

Ardagh Finance Holdings SA, Senior Notes

     8.625     6/15/19         2,748,675         2,542,524 (a)(c)(d) 

Ardagh Packaging Finance PLC, Senior Notes

     9.125     10/15/20         3,170,000         3,185,850 (a)(c) 

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA Inc., Senior Notes

     9.125     10/15/20         1,220,000         1,230,675 (a)(c) 

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA Inc., Senior Notes

     7.000     11/15/20         532,941         507,627 (a)(c) 

Ardagh Packaging Finance PLC/Ardagh MP Holdings USA Inc., Senior Notes

     6.000     6/30/21         1,960,000         1,778,700 (a)(c) 

BWAY Holding Co., Senior Notes

     9.125     8/15/21         4,070,000         3,378,100 (a)(c) 

Coveris Holdings SA, Senior Notes

     7.875     11/1/19         2,690,000         2,138,550 (a) 

Pactiv LLC, Senior Bonds

     8.375     4/15/27         5,220,000         4,593,600 (c) 

Pactiv LLC, Senior Notes

     7.950     12/15/25         920,000         805,000 (c) 

PaperWorks Industries Inc., Senior Secured Notes

     9.500     8/15/19         2,000,000         1,850,000 (a)(c) 
          

 

 

 

Total Containers & Packaging

             22,010,626   
          

 

 

 

 

See Notes to Schedule of Investments.

 

8


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Metals & Mining - 5.3%

         

ArcelorMittal, Senior Notes

     8.000     10/15/39         3,200,000      $ 2,272,000   

Barminco Finance Pty Ltd., Senior Notes

     9.000     6/1/18         3,210,000        2,487,750 (a)(c) 

Coeur Mining Inc., Senior Notes

     7.875     2/1/21         1,650,000        952,875 (c) 

Evraz Group SA, Notes

     9.500     4/24/18         680,000        704,807 (a)(c) 

Evraz Group SA, Senior Notes

     9.500     4/24/18         330,000        342,038 (b) 

Evraz Group SA, Senior Notes

     6.750     4/27/18         2,390,000        2,350,804 (a) 

FMG Resources (August 2006) Pty Ltd., Senior Secured Notes

     9.750     3/1/22         5,580,000        4,868,550 (a) 

GTL Trade Finance Inc., Senior Bonds

     5.893     4/29/24         2,996,000        2,047,766 (a) 

Midwest Vanadium Pty Ltd., Senior Secured Notes

     11.500     2/15/18         3,070,000        153,500 *(a)(f)(i) 

Mirabela Nickel Ltd., Subordinated Notes

     1.000     9/10/44         32,857        0 (a)(e)(f)(k) 

Prince Mineral Holding Corp., Senior Secured Notes

     11.500     12/15/19         240,000        188,400 (a)(c) 

Rio Tinto Finance USA Ltd., Senior Notes

     9.000     5/1/19         1,820,000        2,112,463 (c) 

Schaeffler Holding Finance BV, Senior Secured Bonds

     6.875     8/15/18         3,230,000        3,326,900 (a)(d) 

Schaeffler Holding Finance BV, Senior Secured Notes

     6.875     8/15/18         2,040,000 EUR      2,287,336 (a)(d) 

Schaeffler Holding Finance BV, Senior Secured Notes

     6.750     11/15/22         3,000,000        3,150,000 (a)(c)(d) 

St. Barbara Ltd., Senior Secured Notes

     8.875     4/15/18         570,000        555,750 (a)(c) 

Steel Dynamics Inc., Senior Notes

     6.125     8/15/19         1,300,000        1,306,500 (c) 

Vale Overseas Ltd., Senior Notes

     4.375     1/11/22         1,784,000        1,248,800   
         

 

 

 

Total Metals & Mining

            30,356,239   
         

 

 

 

Paper & Forest Products - 0.7%

         

Appvion Inc., Secured Notes

     9.000     6/1/20         3,480,000        1,200,600 (a)(c) 

Fibria Overseas Finance Ltd., Senior Notes

     5.250     5/12/24         1,340,000        1,259,600 (c) 

Resolute Forest Products Inc., Senior Notes

     5.875     5/15/23         2,030,000        1,309,350 (c) 
         

 

 

 

Total Paper & Forest Products

            3,769,550   
         

 

 

 

TOTAL MATERIALS

            66,983,798   
         

 

 

 
TELECOMMUNICATION SERVICES - 15.4%          

Diversified Telecommunication Services - 6.6%

         

Axtel SAB de CV, Senior Secured Notes

     9.000     1/31/20         2,164,000        2,316,346 (a)(c) 

CCOH Safari LLC, Senior Notes

     5.750     2/15/26         2,050,000        2,043,583 (a)(c) 

CenturyLink Inc., Senior Notes

     6.750     12/1/23         2,780,000        2,641,000 (c) 

CenturyLink Inc., Senior Notes

     7.650     3/15/42         3,170,000        2,393,350 (c) 

Frontier Communications Corp., Senior Notes

     10.500     9/15/22         2,030,000        1,981,788 (a)(c) 

Frontier Communications Corp., Senior Notes

     11.000     9/15/25         3,100,000        2,999,250 (a)(c) 

Intelsat Jackson Holdings SA, Senior Notes

     7.500     4/1/21         7,920,000        6,811,200 (c) 

Intelsat Luxembourg SA, Senior Bonds

     7.750     6/1/21         2,910,000        1,280,400 (c) 

Level 3 Financing Inc., Senior Notes

     7.000     6/1/20         750,000        789,375 (c) 

Level 3 Financing Inc., Senior Notes

     6.125     1/15/21         1,260,000        1,323,000 (c) 

Oi Brasil Holdings Cooperatief U.A., Senior Notes

     5.750     2/10/22         4,340,000        1,931,300 (a) 

Verizon Communications Inc., Senior Notes

     5.150     9/15/23         3,550,000        3,933,613 (c) 

Windstream Services LLC, Senior Notes

     7.750     10/15/20         3,700,000        3,080,250 (c) 

Windstream Services LLC, Senior Notes

     7.750     10/1/21         4,700,000        3,689,500   

Windstream Services LLC, Senior Notes

     6.375     8/1/23         630,000        458,325 (c) 
         

 

 

 

Total Diversified Telecommunication Services

            37,672,280   
         

 

 

 

Wireless Telecommunication Services - 8.8%

         

Altice Financing SA, Senior Secured Notes

     5.250     2/15/23         270,000 EUR      285,544 (a) 

Altice Financing SA, Senior Secured Notes

     6.625     2/15/23         6,240,000        6,162,000 (a) 

Neptune Finco Corp., Senior Notes

     10.125     1/15/23         400,000        424,000 (a) 

Neptune Finco Corp., Senior Notes

     6.625     10/15/25         2,510,000        2,610,400 (a)(c) 

Neptune Finco Corp., Senior Notes

     10.875     10/15/25         6,720,000        7,123,200 (a)(c) 

Sprint Capital Corp., Senior Notes

     6.875     11/15/28         3,200,000        2,124,000 (c) 

Sprint Capital Corp., Senior Notes

     8.750     3/15/32         8,610,000        6,113,100 (c) 

Sprint Communications Inc., Senior Notes

     9.000     11/15/18         7,200,000        7,380,000 (a)(c) 

Sprint Communications Inc., Senior Notes

     11.500     11/15/21         2,145,000        1,807,163   

Sprint Corp., Senior Notes

     7.250     9/15/21         4,400,000        3,190,000 (c) 

Sprint Corp., Senior Notes

     7.875     9/15/23         570,000        408,975 (c) 

 

See Notes to Schedule of Investments.

 

9


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Wireless Telecommunication Services - (continued)

          

T-Mobile USA Inc., Senior Notes

     6.542     4/28/20         1,090,000       $ 1,128,150 (c) 

T-Mobile USA Inc., Senior Notes

     6.633     4/28/21         140,000         145,425 (c) 

T-Mobile USA Inc., Senior Notes

     6.000     3/1/23         3,650,000         3,688,325 (c) 

T-Mobile USA Inc., Senior Notes

     6.500     1/15/26         740,000         743,700 (c) 

Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, Senior Notes

     9.125     4/30/18         2,220,000         2,409,199 (b) 

Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, Senior Notes

     7.748     2/2/21         2,300,000         2,379,962 (a)(c) 

VimpelCom Holdings BV, Senior Notes

     7.504     3/1/22         1,620,000         1,648,350 (b) 

VimpelCom Holdings BV, Senior Notes

     7.504     3/1/22         700,000         712,250 (a) 
          

 

 

 

Total Wireless Telecommunication Services

             50,483,743   
          

 

 

 

TOTAL TELECOMMUNICATION SERVICES

             88,156,023   
          

 

 

 
UTILITIES - 3.5%           

Electric Utilities - 1.8%

          

NRG REMA LLC, Pass-Through Certificates, Senior Secured Bonds

     9.237     7/2/17         1,465,737         1,462,989 (c) 

NRG REMA LLC, Pass-Through Certificates, Senior Secured Bonds

     9.681     7/2/26         4,320,000         4,239,000 (c) 

Red Oak Power LLC, Secured Notes

     9.200     11/30/29         4,380,000         4,555,200 (c) 
          

 

 

 

Total Electric Utilities

             10,257,189   
          

 

 

 

Independent Power and Renewable Electricity

Producers - 1.7%

          

Calpine Corp., Senior Secured Notes

     7.875     1/15/23         2,415,000         2,590,087 (a)(c) 

Mirant Mid Atlantic LLC, Pass-Through Certificates, Secured Bonds

     10.060     12/30/28         7,190,293         6,911,669 (c) 

Mirant Mid Atlantic LLC, Pass-Through Certificates, Senior Secured Notes

     9.125     6/30/17         210,604         210,867 (c) 
          

 

 

 

Total Independent Power and Renewable Electricity Producers

             9,712,623   
          

 

 

 

TOTAL UTILITIES

             19,969,812   
          

 

 

 

TOTAL CORPORATE BONDS & NOTES

(Cost - $773,004,970)

             688,524,549   
          

 

 

 
CONVERTIBLE BONDS & NOTES - 0.4%           
MATERIALS - 0.4%           

Chemicals - 0.1%

          

Hercules Inc., Junior Subordinated Bonds

     6.500     6/30/29         802,000         683,705   
          

 

 

 

Metals & Mining - 0.3%

          

Mirabela Nickel Ltd., Senior Secured Bonds

     9.500     6/24/19         2,172,320         1,281,669 (a)(d)(f) 
          

 

 

 

TOTAL CONVERTIBLE BONDS & NOTES

(Cost - $2,912,097)

             1,965,374   
          

 

 

 
SENIOR LOANS - 3.4%           
CONSUMER DISCRETIONARY - 1.0%           

Hotels, Restaurants & Leisure - 0.4%

          

Equinox Holdings Inc., Second Lien Term Loan

     9.750     7/31/20         2,510,000         2,522,550 (l)(m) 
          

 

 

 

Specialty Retail - 0.4%

          

Spencer Gifts LLC, Second Lien Term Loan

     9.250     6/29/22         2,070,000         2,080,350 (l)(m) 
          

 

 

 

Textiles, Apparel & Luxury Goods - 0.2%

          

TOMS Shoes LLC, Term Loan B

     6.500     10/28/20         1,578,075         1,037,584 (l)(m) 
          

 

 

 

TOTAL CONSUMER DISCRETIONARY

             5,640,484   
          

 

 

 
CONSUMER STAPLES - 0.2%           

Food Products - 0.2%

          

AdvancePierre Foods Inc., Second Lien Term Loan

     9.500     10/10/17         1,080,000         1,067,850 (l)(m) 
          

 

 

 
ENERGY - 0.8%           

Energy Equipment & Services - 0.3%

          

Hercules Offshore LLC, Exit Term Loan

     10.500     5/6/20         2,930,000         1,655,450 (l)(m) 
          

 

 

 

 

See Notes to Schedule of Investments.

 

10


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Oil, Gas & Consumable Fuels - 0.5%

          

Magnum Hunter Resources Inc., DIP Term Loan

     9.000     9/15/16         1,820,000       $ 1,820,000 (l)(m) 

Westmoreland Coal Co., Term Loan B

     7.500     12/16/20         1,570,423         942,254 (l)(m) 
          

 

 

 

Total Oil, Gas & Consumable Fuels

             2,762,254   
          

 

 

 

TOTAL ENERGY

             4,417,704   
          

 

 

 
HEALTH CARE - 0.8%           

Health Care Equipment & Supplies - 0.3%

          

Lantheus Medical Imaging Inc., Term Loan

     7.000 - 8.500     6/30/22         1,920,350         1,766,722 (l)(m) 
          

 

 

 

Health Care Providers & Services - 0.5%

          

Radnet Management Inc., Second Lien Term Loan

     8.000     3/25/21         2,620,000         2,469,350 (l)(m) 
          

 

 

 

TOTAL HEALTH CARE

             4,236,072   
          

 

 

 
INDUSTRIALS - 0.3%           

Commercial Services & Supplies - 0.3%

          

Kronos Inc., Second Lien Term Loan

     9.750     4/30/20         1,917,947         1,907,159 (l)(m) 
          

 

 

 
UTILITIES - 0.3%           

Electric Utilities - 0.3%

          

Panda Temple Power LLC, 2015 Term Loan B

     7.250     3/4/22         2,292,675         1,891,457 (l)(m) 
          

 

 

 

TOTAL SENIOR LOANS
(Cost - $21,863,280)

             19,160,726   
          

 

 

 
SOVEREIGN BONDS - 1.6%           

Argentina - 0.1%

          

Republic of Argentina, Senior Bonds

     7.000     4/17/17         330,000         333,314   
          

 

 

 

Hungary - 0.3%

          

Republic of Hungary, Senior Notes

     5.750     11/22/23         1,658,000         1,862,209   
          

 

 

 

Turkey - 0.8%

          

Republic of Turkey, Senior Bonds

     11.875     1/15/30         1,175,000         1,951,149 (c) 

Republic of Turkey, Senior Notes

     6.875     3/17/36         2,064,000         2,348,894   
          

 

 

 

Total Turkey

             4,300,043   
          

 

 

 

Venezuela - 0.4%

          

Bolivarian Republic of Venezuela, Senior Bonds

     9.250     9/15/27         3,050,000         1,136,125   

Bolivarian Republic of Venezuela, Senior Bonds

     9.375     1/13/34         1,164,000         408,564   

Bolivarian Republic of Venezuela, Senior Notes

     7.750     10/13/19         2,246,000         769,255 (b) 
          

 

 

 

Total Venezuela

             2,313,944   
          

 

 

 

TOTAL SOVEREIGN BONDS
(Cost - $10,959,835)

             8,809,510   
          

 

 

 
U.S. GOVERNMENT & AGENCY
OBLIGATIONS - 2.6%
          

U.S. Government Obligations - 2.6%

          

U.S. Treasury Notes (Cost - $14,995,618)

     1.375     9/30/20         15,000,000         15,049,215   
          

 

 

 
                  SHARES         
COMMON STOCKS - 3.1%           
CONSUMER DISCRETIONARY - 0.0%           

Hotels, Restaurants & Leisure - 0.0%

          

Bossier Casino Venture Holdco Inc.

          166,350         0 *(e)(f)(k) 
          

 

 

 
ENERGY - 0.3%           

Energy Equipment & Services - 0.3%

          

Hercules Offshore Inc.

          96,800         89,056

KCAD Holdings I Ltd.

          533,873,172         1,874,429 *(e)(f) 
          

 

 

 

TOTAL ENERGY

             1,963,485   
          

 

 

 

 

See Notes to Schedule of Investments.

 

11


WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited) (cont’d)    January 31, 2016

 

SECURITY

     SHARES      VALUE  
FINANCIALS - 1.6%           

Banks - 1.6%

          

Citigroup Inc.

          143,529       $ 6,111,465   

JPMorgan Chase & Co.

          48,547         2,888,546   
          

 

 

 

Total Banks

             9,000,011   
          

 

 

 

Diversified Financial Services - 0.0%

          

PB Investors II LLC

          60,468         0 *(e)(f)(k) 
          

 

 

 

TOTAL FINANCIALS

             9,000,011   
          

 

 

 
HEALTH CARE - 0.6%           

Health Care Providers & Services - 0.6%

          

Physiotherapy Associates Holdings Inc.

          31,500         3,457,440 *(e)(f) 
          

 

 

 
INDUSTRIALS - 0.4%           

Marine - 0.1%

          

DeepOcean Group Holding AS

          198,468         861,748 *(e)(f) 
          

 

 

 

Trading Companies & Distributors - 0.3%

          

H&E Equipment Services Inc.

          131,330         1,529,995   
          

 

 

 

TOTAL INDUSTRIALS

             2,391,743   
          

 

 

 
MATERIALS - 0.1%           

Metals & Mining - 0.1%

          

Mirabela Nickel Ltd.

          6,589,511         387,089 *(e)(f) 
          

 

 

 
TELECOMMUNICATION SERVICES - 0.1%           

Diversified Telecommunication Services - 0.1%

          

Axtel SAB de CV, Sponsored ADR

          171,910         531,872 *(a) 
          

 

 

 

TOTAL COMMON STOCKS
(Cost - $34,060,875)

             17,731,640   
          

 

 

 
     RATE                      
CONVERTIBLE PREFERRED STOCKS - 0.0%           
ENERGY - 0.0%           

Oil, Gas & Consumable Fuels - 0.0%

          

Rex Energy Corp. (Cost - $2,265,400)

     6.000        31,500         108,990   
          

 

 

 
PREFERRED STOCKS - 2.9%           
FINANCIALS - 2.9%           

Consumer Finance - 2.2%

          

GMAC Capital Trust I

     8.125        489,100         12,447,595 (h) 
          

 

 

 

Diversified Financial Services - 0.7%

          

Citigroup Capital XIII

     6.986        168,125       <