NPORT-EX 2 LMF3000WAHighIncFdIIInc.htm HTML

WESTERN ASSET HIGH INCOME FUND II INC.

 

Schedule of investments (unaudited)    January 31, 2021

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
CORPORATE BONDS & NOTES - 122.7%           
COMMUNICATION SERVICES - 26.1%           

Diversified Telecommunication Services - 7.1%

          

Altice France Holding SA, Senior Secured Notes

     10.500     5/15/27        1,240,000      $ 1,392,675 (a) 

Altice France SA, Senior Secured Notes

     7.375     5/1/26        12,630,000        13,226,136 (a)(b) 

Altice France SA, Senior Secured Notes

     8.125     2/1/27        2,530,000        2,792,222 (a)(b) 

CenturyLink Inc., Senior Notes

     4.500     1/15/29        2,350,000        2,416,587 (a) 

Cogent Communications Group Inc., Senior Secured Notes

     5.375     3/1/22        720,000        739,969 (a)(b) 

Frontier Communications Corp., Senior Secured Notes

     5.000     5/1/28        2,770,000        2,877,338 (a) 

Intelsat Jackson Holdings SA, Senior Secured Notes

     8.000     2/15/24        2,660,000        2,730,916 (a)(b) 

Telecom Italia Capital SA, Senior Notes

     6.000     9/30/34        2,660,000        3,190,337  

Telecom Italia SpA, Senior Notes

     5.303     5/30/24        410,000        446,076 (a)(b) 
          

 

 

 

Total Diversified Telecommunication Services

             29,812,256  
          

 

 

 

Entertainment - 0.9%

          

Netflix Inc., Senior Notes

     5.875     11/15/28        1,545,000        1,940,906 (b)  

Netflix Inc., Senior Notes

     6.375     5/15/29        1,305,000        1,691,880 (b)  
          

 

 

 

Total Entertainment

             3,632,786  
          

 

 

 

Media - 10.9%

          

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

     5.125     5/1/27        4,850,000        5,106,056 (a)(b) 

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

     5.875     5/1/27        1,100,000        1,144,275 (a)(b) 

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

     5.000     2/1/28        6,010,000        6,319,515 (a)(b) 

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

     4.500     8/15/30        5,105,000        5,382,585 (a) 

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

     4.500     5/1/32        2,900,000        3,020,263 (a) 

DISH DBS Corp., Senior Notes

     5.875     11/15/24        5,780,000        5,998,108 (b)  

DISH DBS Corp., Senior Notes

     7.750     7/1/26        11,459,000        12,446,651 (b) 

Univision Communications Inc., Senior Secured Notes

     9.500     5/1/25        2,490,000        2,732,775 (a) 

UPC Holding BV, Senior Secured Notes

     5.500     1/15/28        2,505,000        2,625,553 (a)(b) 

 

See Notes to Schedule of Investments.

 

 

Western Asset High Income Fund II Inc. 2021 Quarterly Report    

 

 

 

1


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Media - (continued)

          

Virgin Media Secured Finance PLC, Senior Secured Notes

     5.500     8/15/26        600,000      $ 627,375 (a)  

Virgin Media Secured Finance PLC, Senior Secured Notes

     5.500     5/15/29        500,000        537,350 (a)  
          

 

 

 

Total Media

             45,940,506  
          

 

 

 

Wireless Telecommunication Services - 7.2%

          

CSC Holdings LLC, Senior Notes

     6.500     2/1/29        610,000        679,955 (a)  

Sprint Capital Corp., Senior Notes

     6.875     11/15/28        2,200,000        2,828,375 (b)  

Sprint Capital Corp., Senior Notes

     8.750     3/15/32        5,170,000        7,902,345 (b)  

Sprint Communications Inc., Senior Notes

     11.500     11/15/21        4,285,000        4,619,680 (b)  

Sprint Corp., Senior Notes

     7.250     9/15/21        4,400,000        4,550,700 (b)  

Sprint Corp., Senior Notes

     7.875     9/15/23        110,000        127,188 (b)  

T-Mobile USA Inc., Senior Notes

     6.000     3/1/23        1,900,000        1,904,750 (b)  

T-Mobile USA Inc., Senior Notes

     6.500     1/15/26        310,000        320,125 (b)  

T-Mobile USA Inc., Senior Secured Notes

     2.550     2/15/31        2,500,000        2,563,825 (a)  

VEON Holdings BV, Senior Notes

     7.504     3/1/22        1,620,000        1,718,925 (c)  

VEON Holdings BV, Senior Notes

     7.504     3/1/22        700,000        742,745 (a)(b)  

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

     7.748     2/2/21        2,300,000        2,304,227 (a)(b) 
          

 

 

 

Total Wireless Telecommunication Services

             30,262,840  
          

 

 

 

TOTAL COMMUNICATION SERVICES

             109,648,388  
          

 

 

 
CONSUMER DISCRETIONARY - 18.2%           

Auto Components - 2.9%

          

Adient Global Holdings Ltd., Senior Notes

     4.875     8/15/26        2,143,000        2,172,466 (a)(b) 

Adient US LLC, Senior Secured Notes

     9.000     4/15/25        2,410,000        2,699,200 (a)  

American Axle & Manufacturing Inc., Senior Notes

     6.500     4/1/27        4,271,000        4,473,019 (b)  

JB Poindexter & Co. Inc., Senior Notes

     7.125     4/15/26        2,740,000        2,924,950 (a)(b) 
          

 

 

 

Total Auto Components

             12,269,635  
          

 

 

 

Automobiles - 2.4%

          

Ford Motor Co., Senior Notes

     9.000     4/22/25        2,980,000        3,635,704  

Ford Motor Credit Co. LLC, Senior Notes

     3.336     3/18/21        600,000        601,444  

Ford Motor Credit Co. LLC, Senior Notes

     3.813     10/12/21        300,000        304,547  

Ford Motor Credit Co. LLC, Senior Notes

     4.250     9/20/22        1,300,000        1,344,395  

Ford Motor Credit Co. LLC, Senior Notes

     4.000     11/13/30        1,510,000        1,549,637  

General Motors Co., Senior Notes

     6.125     10/1/25        460,000        554,325  

Nissan Motor Co. Ltd., Senior Notes

     4.810     9/17/30        1,930,000        2,153,208 (a)  
          

 

 

 

Total Automobiles

             10,143,260  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

 

2

 

    Western Asset High Income Fund II Inc. 2021 Quarterly Report

 


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Diversified Consumer Services - 1.4%

         

Carriage Services Inc., Senior Notes

     6.625     6/1/26        2,190,000     $ 2,318,246 (a)(b) 

Service Corp. International, Senior Notes

     7.500     4/1/27        2,090,000       2,546,791 (b)  

Weight Watchers International Inc., Senior Notes

     8.625     12/1/25        1,000,000       1,043,045 (a) 
         

 

 

 

Total Diversified Consumer Services

            5,908,082  
         

 

 

 

Hotels, Restaurants & Leisure - 7.4%

         

1011778 BC ULC/New Red Finance Inc., Senior Secured Notes

     4.250     5/15/24        1,524,000       1,552,316 (a)(b) 

Carnival Corp., Senior Notes

     7.625     3/1/26        1,160,000       1,228,875 (a) 

IRB Holding Corp., Senior Secured Notes

     7.000     6/15/25        1,480,000       1,610,011 (a) 

NCL Corp. Ltd., Senior Secured Notes

     12.250     5/15/24        3,180,000       3,706,354 (a) 

NCL Corp. Ltd., Senior Secured Notes

     10.250     2/1/26        2,920,000       3,394,500 (a) 

Saga PLC, Senior Notes

     3.375     5/12/24        2,205,000 GBP      2,780,491 (c) 

Silversea Cruise Finance Ltd., Senior Secured Notes

     7.250     2/1/25        1,803,000       1,864,978 (a)(b) 

Viking Cruises Ltd., Senior Notes

     5.875     9/15/27        2,870,000       2,753,406 (a)(b) 

Viking Cruises Ltd., Senior Notes

     7.000     2/15/29        2,430,000       2,426,962 (a) 

Viking Ocean Cruises Ship VII Ltd., Secured Notes

     5.625     2/15/29        1,210,000       1,206,975 (a) 

VOC Escrow Ltd., Senior Secured Notes

     5.000     2/15/28        1,490,000       1,449,301 (a)(b) 

Wynn Macau Ltd., Senior Notes

     5.500     10/1/27        780,000       809,250 (a)  

Wynn Macau Ltd., Senior Notes

     5.625     8/26/28        1,640,000       1,689,733 (a) 

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes

     7.750     4/15/25        3,440,000       3,698,120 (a) 

Yum! Brands Inc., Senior Notes

     7.750     4/1/25        780,000       857,111 (a)  
         

 

 

 

Total Hotels, Restaurants & Leisure

            31,028,383  
         

 

 

 

Specialty Retail - 4.0%

         

L Brands Inc., Senior Secured Notes

     6.875     7/1/25        1,160,000       1,264,928 (a) 

Michaels Stores Inc., Senior Notes

     8.000     7/15/27        1,560,000       1,674,488 (a)(b) 

PetSmart Inc., Senior Secured Notes

     5.875     6/1/25        9,690,000       9,998,869 (a)(b) 

PetSmart Inc./PetSmart Finance Corp., Senior Secured Notes

     4.750     2/15/28        400,000       400,000 (a)(d) 

Sally Holdings LLC/Sally Capital Inc., Senior Notes

     5.500     11/1/23        1,680,000       1,689,450  

Sally Holdings LLC/Sally Capital Inc.,

         

Senior Notes

     5.625     12/1/25        1,460,000       1,504,713 (b)  
         

 

 

 

Total Specialty Retail

            16,532,448  
         

 

 

 

Textiles, Apparel & Luxury Goods - 0.1%

         

Hanesbrands Inc., Senior Notes

     4.875     5/15/26        450,000       487,688 (a)(b) 
         

 

 

 

TOTAL CONSUMER DISCRETIONARY

            76,369,496  
         

 

 

 

 

See Notes to Schedule of Investments.

 

 

Western Asset High Income Fund II Inc. 2021 Quarterly Report    

 

 

 

3


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
CONSUMER STAPLES - 2.4%           

Food Products - 2.1%

          

Kraft Heinz Foods Co., Senior Notes

     4.625     1/30/29        3,500,000      $ 4,000,626 (b) 

Kraft Heinz Foods Co., Senior Notes

     4.250     3/1/31        390,000        439,608  

Kraft Heinz Foods Co., Senior Notes

     5.000     7/15/35        670,000        794,451  

Kraft Heinz Foods Co., Senior Notes

     5.000     6/4/42        160,000        185,178  

Kraft Heinz Foods Co., Senior Notes

     4.375     6/1/46        700,000        746,565  

Pilgrim’s Pride Corp., Senior Notes

     5.875     9/30/27        2,245,000        2,391,935 (a)(b) 
          

 

 

 

Total Food Products

             8,558,363  
          

 

 

 

Household Products - 0.3%

          

Spectrum Brands Inc., Senior Notes

     5.750     7/15/25        1,330,000        1,372,626 (b) 
          

 

 

 

TOTAL CONSUMER STAPLES

             9,930,989  
          

 

 

 
ENERGY - 23.7%           

Oil, Gas & Consumable Fuels - 23.7%

          

Apache Corp., Senior Notes

     5.100     9/1/40        1,800,000        1,825,983  

Berry Petroleum Co. LLC, Senior Notes

     7.000     2/15/26        370,000        352,817 (a)  

Blue Racer Midstream LLC/Blue Racer

          

Finance Corp., Senior Notes

     7.625     12/15/25        840,000        890,404 (a)  

Continental Resources Inc., Senior Notes

     3.800     6/1/24        330,000        338,869  

Continental Resources Inc., Senior Notes

     4.375     1/15/28        240,000        245,050  

Continental Resources Inc., Senior Notes

     4.900     6/1/44        1,320,000        1,277,925 (b) 

Ecopetrol SA, Senior Notes

     6.875     4/29/30        1,270,000        1,582,737  

Ecopetrol SA, Senior Notes

     5.875     5/28/45        2,500,000        2,839,750 (b) 

EnLink Midstream LLC, Senior Notes

     5.625     1/15/28        890,000        890,000 (a)  

EQM Midstream Partners LP, Senior

          

Notes

     6.500     7/1/27        770,000        825,602 (a)  

EQT Corp., Senior Notes

     3.000     10/1/22        1,720,000        1,750,066  

EQT Corp., Senior Notes

     3.900     10/1/27        1,750,000        1,820,000  

EQT Corp., Senior Notes

     8.750     2/1/30        2,320,000        2,961,410  

Kinder Morgan Inc., Senior Notes

     7.750     1/15/32        1,950,000        2,882,798 (b) 

MEG Energy Corp., Secured Notes

     6.500     1/15/25        340,000        350,659 (a)  

MEG Energy Corp., Senior Notes

     7.000     3/31/24        2,760,000        2,801,262 (a)(b) 

MEG Energy Corp., Senior Notes

     5.875     2/1/29        1,030,000        1,024,850 (a)(d) 

NGPL PipeCo LLC, Senior Notes

     7.768     12/15/37        1,900,000        2,577,372 (a)(b) 

Occidental Petroleum Corp., Senior Notes

     6.950     7/1/24        1,000,000        1,087,500  

Occidental Petroleum Corp., Senior Notes

     2.900     8/15/24        1,640,000        1,588,750  

Occidental Petroleum Corp., Senior Notes

     5.875     9/1/25        1,190,000        1,249,143  

Occidental Petroleum Corp., Senior Notes

     5.550     3/15/26        980,000        1,031,617  

Occidental Petroleum Corp., Senior Notes

     6.200     3/15/40        1,330,000        1,386,525  

 

See Notes to Schedule of Investments.

 

 

 

4

 

    Western Asset High Income Fund II Inc. 2021 Quarterly Report

 


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Oil, Gas & Consumable Fuels - (continued)

          

PBF Holding Co. LLC/PBF Finance Corp., Senior Secured Notes

     9.250     5/15/25        650,000      $ 627,949 (a) 

Petrobras Global Finance BV, Senior Notes

     4.375     5/20/23        800,000        859,408  

Petrobras Global Finance BV, Senior Notes

     5.750     2/1/29        7,580,000        8,809,855 (b)  

Petrobras Global Finance BV, Senior Notes

     6.750     1/27/41        6,620,000        7,888,226  

Petroleos Mexicanos, Senior Notes

     6.375     1/23/45        2,970,000        2,563,110 (b)  

Range Resources Corp., Senior Notes

     4.875     5/15/25        1,009,000        989,004  

Range Resources Corp., Senior Notes

     9.250     2/1/26        8,231,000        8,980,350 (b)  

Range Resources Corp., Senior Notes

     8.250     1/15/29        710,000        746,831 (a)  

Rockies Express Pipeline LLC, Senior Notes

     6.875     4/15/40        1,430,000        1,598,025 (a)(b) 

Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes

     5.875     4/15/26        300,000        314,815 (b)  

Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes

     6.500     7/15/27        1,150,000        1,239,125 (b)  

Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes

     6.875     1/15/29        270,000        298,519  

Transportadora de Gas del Sur SA, Senior Notes

     6.750     5/2/25        1,860,000        1,631,387 (a)(b) 

Western Midstream Operating LP, Senior Notes

     5.300     2/1/30        2,690,000        2,962,591 (b)  

Western Midstream Operating LP, Senior Notes

     5.300     3/1/48        1,540,000        1,582,350  

Western Midstream Operating LP, Senior Notes

     6.500     2/1/50        10,952,000       
12,340,604
(b) 
 

Williams Cos. Inc., Senior Notes

     3.700     1/15/23        1,040,000        1,095,775 (b)  

Williams Cos. Inc., Senior Notes

     4.550     6/24/24        1,280,000        1,427,402 (b)  

Williams Cos. Inc., Senior Notes

     7.500     1/15/31        780,000        1,060,209 (b)  

Williams Cos. Inc., Senior Notes

     5.750     6/24/44        3,900,000        4,923,786 (b)  

WPX Energy Inc., Senior Notes

     8.250     8/1/23        1,070,000        1,233,400 (b)  

YPF SA, Senior Notes

     8.500     7/28/25        3,920,000        2,654,624 (a)(b) 

YPF SA, Senior Notes

     6.950     7/21/27        570,000        351,314 (a)  
          

 

 

 

TOTAL ENERGY

             99,759,748  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

Western Asset High Income Fund II Inc. 2021 Quarterly Report    

 

 

 

5


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
FINANCIALS - 17.1%           

Banks - 11.7%

          

Bank of America Corp., Junior Subordinated Notes (6.500% to 10/23/24 then 3 mo. USD LIBOR + 4.174%)

     6.500     10/23/24        2,550,000      $ 2,908,785 (b)(e)(f) 

Barclays Bank PLC, Subordinated Notes

     10.179     6/12/21        1,970,000        2,038,269 (a)(b) 

Barclays PLC, Junior Subordinated Notes (8.000% to 6/15/24 then 5 year Treasury Constant Maturity Rate + 5.672%)

     8.000     6/15/24        1,150,000        1,290,014 (b)(e)(f) 

BBVA Bancomer SA, Subordinated Notes (5.125% to 1/17/28 then 5 year Treasury Constant Maturity Rate + 2.650%)

     5.125     1/18/33        4,080,000        4,323,984 (a)(f) 

BNP Paribas SA, Junior Subordinated Notes (7.375% to 8/19/25 then USD 5 year ICE Swap Rate + 5.150%)

     7.375     8/19/25        1,820,000        2,103,798 (a)(b)(e)(f) 

Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%)

     5.950     5/15/25        750,000        816,562 (b)(e)(f) 

Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%)

     6.300     5/15/24        5,400,000        5,786,694 (b)(e)(f) 

Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%)

     8.125     12/23/25        2,510,000        3,040,042 (a)(b)(e)(f) 

HSBC Holdings PLC, Junior Subordinated Notes (6.500% to 3/23/28 then USD 5 year ICE Swap Rate + 3.606%)

     6.500     3/23/28        1,610,000        1,819,984 (b)(e)(f) 

Intesa Sanpaolo SpA, Subordinated Notes

     5.017     6/26/24        2,180,000        2,372,766 (a) 

Intesa Sanpaolo SpA, Subordinated Notes

     5.710     1/15/26        4,250,000        4,816,090 (a)(b) 

JPMorgan Chase & Co., Junior Subordinated Notes (6.100% to 10/1/24 then 3 mo. USD LIBOR + 3.330%)

     6.100     10/1/24        2,410,000        2,634,445 (b)(e)(f) 

Natwest Group PLC, Junior Subordinated Notes (7.648% to 9/30/31 then 3 mo. USD LIBOR + 2.500%)

     7.648     9/30/31        3,530,000        5,373,437 (b)(e)(f) 

Natwest Group PLC, Junior Subordinated Notes (8.625% to 8/15/21 then USD 5 year ICE Swap Rate + 7.598%)

     8.625     8/15/21        1,370,000        1,420,991 (b)(e)(f) 

 

See Notes to Schedule of Investments.

 

 

 

6

 

    Western Asset High Income Fund II Inc. 2021 Quarterly Report

 


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Banks - (continued)

         

Santander UK Group Holdings PLC, Junior Subordinated Notes (7.375% to 6/24/22 then GBP 5 year Swap Rate + 5.543%)

     7.375     6/24/22        1,640,000 GBP    $ 2,339,737 (b)(c)(e)(f) 

TC Ziraat Bankasi AS, Senior Notes

     5.125     9/29/23        2,530,000       2,562,068 (a)(b) 

UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%)

     7.296     4/2/34        2,840,000       3,374,147 (a)(b)(f) 
         

 

 

 

Total Banks

            49,021,813  
         

 

 

 

Capital Markets - 2.6%

         

Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then 5 year Treasury Constant Maturity Rate + 4.332%)

     7.250     9/12/25        4,820,000       5,428,742 (a)(b)(e)(f) 

UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%)

     7.000     1/31/24        5,170,000       5,677,668 (a)(e)(f) 
         

 

 

 

Total Capital Markets

            11,106,410  
         

 

 

 

Consumer Finance - 0.8%

         

Navient Corp., Senior Notes

     5.875     10/25/24        1,170,000       1,244,588 (b) 

Navient Corp., Senior Notes

     6.750     6/15/26        1,990,000       2,199,577 (b) 
         

 

 

 

Total Consumer Finance

            3,444,165  
         

 

 

 

Diversified Financial Services - 1.6%

         

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes

     4.450     12/16/21        150,000       154,411  

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes

     4.625     10/15/27        2,100,000       2,379,205  

Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK)

     6.500     9/15/24        4,642,400       4,166,554 (a)(b)(g) 
         

 

 

 

Total Diversified Financial Services

            6,700,170  
         

 

 

 

Insurance - 0.4%

         

MetLife Capital Trust IV, Junior Subordinated Notes

     7.875     12/15/37        1,100,000       1,563,760 (a)(b) 
         

 

 

 

TOTAL FINANCIALS

            71,836,318  
         

 

 

 
HEALTH CARE - 9.9%          

Health Care Providers & Services - 2.7%

         

CHS/Community Health Systems Inc., Senior Secured Notes

     8.000     3/15/26        1,900,000       2,044,400 (a)(b) 

CHS/Community Health Systems Inc., Senior Secured Notes

     4.750     2/15/31        80,000       80,100 (a)(d) 

HCA Inc., Senior Notes

     5.625     9/1/28        600,000       703,767 (b)  

 

See Notes to Schedule of Investments.

 

 

Western Asset High Income Fund II Inc. 2021 Quarterly Report    

 

 

 

7


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Health Care Providers & Services - (continued)

          

HCA Inc., Senior Notes

     7.500     11/15/95        2,205,000      $ 2,898,020 (b) 

Legacy LifePoint Health LLC, Senior Secured Notes

     6.750     4/15/25        1,140,000        1,219,800 (a) 

Magellan Health Inc., Senior Notes

     4.900     9/22/24        2,530,000        2,786,428 (b)  

Tenet Healthcare Corp., Secured Notes

     6.250     2/1/27        1,000,000        1,054,800 (a)(b) 

Tenet Healthcare Corp., Senior Secured Notes

     7.500     4/1/25        610,000        659,947 (a)  
          

 

 

 

Total Health Care Providers & Services

             11,447,262  
          

 

 

 

Pharmaceuticals - 7.2%

          

Bausch Health Americas Inc., Senior Notes

     8.500     1/31/27        4,660,000        5,167,544 (a) 

Bausch Health Cos. Inc., Senior Notes

     6.125     4/15/25        4,530,000        4,645,787 (a)(b) 

Bausch Health Cos. Inc., Senior Notes

     9.000     12/15/25        500,000        549,788 (a)(b) 

Bausch Health Cos. Inc., Senior Secured Notes

     7.000     3/15/24        740,000        757,168 (a)(b) 

Teva Pharmaceutical Finance Co. BV, Senior Notes

     2.950     12/18/22        9,888,000        9,931,260 (b)  

Teva Pharmaceutical Finance Netherlands III BV, Senior Notes

     2.200     7/21/21        4,280,000        4,284,224  

Teva Pharmaceutical Finance Netherlands III BV, Senior Notes

     2.800     7/21/23        3,850,000        3,823,974 (b)  

Teva Pharmaceutical Finance Netherlands III BV, Senior Notes

     6.000     4/15/24        1,160,000        1,224,351  
          

 

 

 

Total Pharmaceuticals

             30,384,096  
          

 

 

 

TOTAL HEALTH CARE

             41,831,358  
          

 

 

 
INDUSTRIALS - 12.0%           

Aerospace & Defense - 0.8%

          

TransDigm Inc., Senior Secured Notes

     8.000     12/15/25        3,220,000        3,525,095 (a) 
          

 

 

 

Airlines - 9.6%

          

Continental Airlines Pass-Through Trust

     5.983     4/19/22        2,593,881        2,660,136 (b)  

Delta Air Lines Inc., Senior Notes

     3.400     4/19/21        390,000        391,679  

Delta Air Lines Inc., Senior Notes

     3.625     3/15/22        3,000,000        3,052,113  

Delta Air Lines Inc., Senior Notes

     3.800     4/19/23        5,160,000        5,292,214  

Delta Air Lines Inc., Senior Notes

     2.900     10/28/24        1,070,000        1,052,013 (b)  

Delta Air Lines Inc., Senior Notes

     7.375     1/15/26        880,000        1,011,597  

Delta Air Lines Inc., Senior Secured Notes

     7.000     5/1/25        7,670,000        8,899,024 (a) 

Delta Air Lines Pass-Through Certificates Trust

     8.021     8/10/22        463,502        464,741 (b)  

 

See Notes to Schedule of Investments.

 

 

 

8

 

    Western Asset High Income Fund II Inc. 2021 Quarterly Report

 


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Airlines - (continued)

          

Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes

     5.750     1/20/26        1,560,000      $ 1,626,300 (a)(d) 

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes

     6.500     6/20/27        3,190,000        3,493,050 (a) 

Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes

     8.000     9/20/25        6,730,000        7,645,280 (a) 

United Airlines Holdings Inc., Senior Notes

     4.250     10/1/22        3,165,000        3,168,956  

United Airlines Holdings Inc., Senior Notes

     5.000     2/1/24        980,000        968,656  

United Airlines Pass-Through Trust

     4.875     1/15/26        410,000        419,225 (d)  
          

 

 

 

Total Airlines

             40,144,984  
          

 

 

 

Building Products - 0.6%

          

Standard Industries Inc., Senior Notes

     5.000     2/15/27        2,580,000        2,691,263 (a)(b) 
          

 

 

 

Commercial Services & Supplies - 0.4%

          

GFL Environmental Inc., Senior Notes

     8.500     5/1/27        1,404,000        1,554,930 (a)(b) 
          

 

 

 

Trading Companies & Distributors - 0.6%

          

H&E Equipment Services Inc., Senior Notes

     3.875     12/15/28        1,940,000        1,933,016 (a) 

United Rentals North America Inc., Senior Notes

     5.500     5/15/27        606,000        648,716  
          

 

 

 

Total Trading Companies & Distributors

             2,581,732  
          

 

 

 

TOTAL INDUSTRIALS

             50,498,004  
          

 

 

 
INFORMATION TECHNOLOGY - 2.3%           

Communications Equipment - 1.0%

          

CommScope Inc., Senior Notes

     8.250     3/1/27        4,001,000        4,313,858 (a)(b) 

CommScope Technologies LLC, Senior Notes

     6.000     6/15/25        68,000        69,530 (a)  
          

 

 

 

Total Communications Equipment

             4,383,388  
          

 

 

 

Semiconductors & Semiconductor Equipment - 0.2%

          

Sensata Technologies UK Financing Co. PLC, Senior Notes

     6.250     2/15/26        900,000        931,235 (a)  
          

 

 

 

Technology Hardware, Storage & Peripherals - 1.1%

          

Dell International LLC/EMC Corp., Senior Notes

     7.125     6/15/24        1,230,000        1,278,708 (a)(b) 

Seagate HDD Cayman, Senior Notes

     4.750     6/1/23        1,700,000        1,825,273 (b)  

 

See Notes to Schedule of Investments.

 

 

Western Asset High Income Fund II Inc. 2021 Quarterly Report    

 

 

 

9


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Technology Hardware, Storage & Peripherals - (continued)

 

     

Seagate HDD Cayman, Senior Notes

     4.750     1/1/25        850,000      $ 921,889 (b)  

Seagate HDD Cayman, Senior Notes

     4.875     6/1/27        495,000        553,110  
          

 

 

 

Total Technology Hardware, Storage & Peripherals

 

          4,578,980  
          

 

 

 

TOTAL INFORMATION TECHNOLOGY

             9,893,603  
          

 

 

 
MATERIALS - 7.9%           

Chemicals - 0.6%

          

Braskem America Finance Co., Senior Notes

     7.125     7/22/41        700,000        796,001 (b)(c) 

INEOS Quattro Finance 2 PLC, Senior Secured Notes

     3.375     1/15/26        390,000        392,194 (a)  

Orbia Advance Corp SAB de CV, Senior Notes

     5.875     9/17/44        1,000,000        1,226,250 (a)(b) 
          

 

 

 

Total Chemicals

             2,414,445  
          

 

 

 

Containers & Packaging - 2.6%

          

ARD Finance SA, Senior Secured Notes (6.500% Cash or 7.250% PIK)

     6.500     6/30/27        2,790,000        2,936,475 (a)(b)(g) 

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

     6.000     2/15/25        5,408,000        5,572,295 (a)(b) 

Pactiv LLC, Senior Notes

     7.950     12/15/25        920,000        1,044,200 (b)  

Trivium Packaging Finance BV, Senior Notes

     8.500     8/15/27        1,230,000        1,338,295 (a) 
          

 

 

 

Total Containers & Packaging

             10,891,265  
          

 

 

 

Metals & Mining - 4.7%

          

ArcelorMittal SA, Senior Notes

     7.250     10/15/39        3,200,000        4,584,068 (b)  

First Quantum Minerals Ltd., Senior Notes

     7.250     4/1/23        3,590,000        3,672,229 (a) 

Freeport-McMoRan Inc., Senior Notes

     3.550     3/1/22        760,000        776,663 (b)  

Freeport-McMoRan Inc., Senior Notes

     3.875     3/15/23        910,000        952,426 (b)  

Freeport-McMoRan Inc., Senior Notes

     4.250     3/1/30        750,000        813,750  

Freeport-McMoRan Inc., Senior Notes

     5.450     3/15/43        3,870,000        4,844,698 (b)  

Vale Overseas Ltd., Senior Notes

     6.875     11/21/36        2,960,000        4,246,268 (b)  
          

 

 

 

Total Metals & Mining

             19,890,102  
          

 

 

 

TOTAL MATERIALS

             33,195,812  
          

 

 

 
REAL ESTATE - 1.0%           

Equity Real Estate Investment Trusts (REITs) - 0.8%

 

       

CoreCivic Inc., Senior Notes

     4.750     10/15/27        1,140,000        914,850  

Diversified Healthcare Trust, Senior Notes

     9.750     6/15/25        860,000        977,012 (b)  

Service Properties Trust, Senior Notes

     5.500     12/15/27        1,160,000        1,240,221  
          

 

 

 

Total Equity Real Estate Investment Trusts (REITs)

 

          3,132,083  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

 

10

 

    Western Asset High Income Fund II Inc. 2021 Quarterly Report

 


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

  RATE     MATURITY
DATE
    FACE
AMOUNT†
    VALUE  

Real Estate Management & Development - 0.2%

       

Kennedy-Wilson Inc., Senior Notes

    5.000     3/1/31       1,000,000     $ 1,003,750 (d) 
       

 

 

 

TOTAL REAL ESTATE

          4,135,833  
       

 

 

 
UTILITIES - 2.1%        

Electric Utilities - 0.3%

       

Pampa Energia SA, Senior Notes

    7.500     1/24/27       1,590,000       1,306,471 (a) 
       

 

 

 

Gas Utilities - 1.2%

       

Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes

    5.875     3/1/27       4,650,000       4,862,156 (b) 
       

 

 

 

Independent Power and Renewable Electricity Producers - 0.6%

       

Minejesa Capital BV, Senior Secured Notes

    4.625     8/10/30       2,380,000       2,581,729 (a)(b) 
       

 

 

 

TOTAL UTILITIES

          8,750,356  
       

 

 

 

TOTAL CORPORATE BONDS & NOTES
(Cost - $433,396,469)

          515,849,905  
       

 

 

 
SOVEREIGN BONDS - 7.5%        

Argentina - 0.7%

       

Argentine Republic Government International Bond, Senior Notes

    1.000     7/9/29       558,141       232,745  

Argentine Republic Government International Bond, Senior Notes, Step Bond (0.125% to 7/9/21 then 0.500%)

    0.125     7/9/30       4,142,500       1,594,862  

Provincia de Buenos Aires, Senior Notes

    9.950     6/9/21       3,150,000       1,220,657 *(a)(h) 
       

 

 

 

Total Argentina

          3,048,264  
       

 

 

 

Brazil - 1.2%

       

Brazil Notas do Tesouro Nacional Serie F, Notes

    10.000     1/1/23       4,099,000 BRL      815,706  

Brazil Notas do Tesouro Nacional Serie F, Notes

    10.000     1/1/25       3,960,000 BRL      816,217  

Brazil Notas do Tesouro Nacional Serie F, Notes

    10.000     1/1/27       567,000 BRL      118,849  

Brazilian Government International Bond, Senior Notes

    3.875     6/12/30       3,175,000       3,275,806  
       

 

 

 

Total Brazil

          5,026,578  
       

 

 

 

Costa Rica - 0.1%

       

Costa Rica Government International Bond, Senior Notes

    7.158     3/12/45       460,000       457,125 (a)  
       

 

 

 

Egypt - 0.6%

       

Egypt Government International Bond, Senior Notes

    7.600     3/1/29       2,230,000       2,518,573 (a) 
       

 

 

 

 

See Notes to Schedule of Investments.

 

 

Western Asset High Income Fund II Inc. 2021 Quarterly Report    

 

 

 

11


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Ghana - 0.3%

         

Ghana Government International Bond, Senior Notes

     7.625     5/16/29        1,080,000     $ 1,144,465 (a) 
         

 

 

 

Guatemala - 0.2%

         

Guatemala Government Bond, Senior Notes

     4.375     6/5/27        970,000       1,057,358 (a) 
         

 

 

 

Indonesia - 1.0%

         

Indonesia Government International Bond, Senior Notes

     1.850     3/12/31        3,600,000       3,553,385  

Indonesia Treasury Bond, Senior Notes

     8.250     7/15/21        10,046,000,000 IDR      731,131  
         

 

 

 

Total Indonesia

            4,284,516  
         

 

 

 

Ivory Coast - 0.1%

         

Ivory Coast Government International Bond, Senior Notes

     5.750     12/31/32        353,473       359,223 (a)  
         

 

 

 

Nigeria - 0.3%

         

Nigeria Government International Bond, Senior Notes

     7.875     2/16/32        1,130,000       1,239,859 (c) 
         

 

 

 

Oman - 0.4%

         

Oman Government International Bond, Senior Notes

     5.625     1/17/28        1,500,000       1,558,050 (a) 
         

 

 

 

Paraguay - 0.3%

         

Paraguay Government International Bond, Senior Notes

     2.739     1/29/33        1,190,000       1,218,620 (a) 
         

 

 

 

Peru - 1.2%

         

Peruvian Government International Bond, Senior Notes

     1.862     12/1/32        5,000,000       4,941,925  
         

 

 

 

Russia - 0.3%

         

Russian Federal Bond - OFZ

     7.000     1/25/23        98,290,000 RUB      1,355,176  
         

 

 

 

Turkey - 0.6%

         

Turkey Government International Bond, Senior Notes

     4.250     4/14/26        2,400,000       2,389,776  
         

 

 

 

Ukraine - 0.2%

         

Ukraine Government International Bond, Senior Notes

     7.375     9/25/32        800,000       860,576 (a)  
         

 

 

 

TOTAL SOVEREIGN BONDS
(Cost - $30,768,890)

            31,460,084  
         

 

 

 
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 6.3%          

U.S. Government Obligations - 6.3%

         

U.S. Treasury Notes

     2.250     4/30/21        4,000,000       4,020,994 (i) 

U.S. Treasury Notes

     1.875     8/31/22        3,400,000       3,495,094 (i) 

U.S. Treasury Notes

     1.625     5/31/23        1,000,000       1,034,648 (i) 

U.S. Treasury Notes

     2.750     8/31/23        4,000,000       4,268,125 (i) 

 

See Notes to Schedule of Investments.

 

 

 

12

 

    Western Asset High Income Fund II Inc. 2021 Quarterly Report

 


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

U.S. Government Obligations - (continued)

          

U.S. Treasury Notes

     2.125     3/31/24        3,000,000      $ 3,182,227 (i) 

U.S. Treasury Notes

     2.000     6/30/24        3,000,000        3,181,406 (i) 

U.S. Treasury Notes

     0.625     8/15/30        3,000,000        2,882,344  

U.S. Treasury Notes

     0.875     11/15/30        4,500,000        4,415,976  
          

 

 

 

TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost - $25,609,389)

             26,480,814  
          

 

 

 
SENIOR LOANS - 2.1%           
CONSUMER DISCRETIONARY - 0.4%           

Specialty Retail - 0.4%

          

PetSmart Inc., Term Loan B

           1/29/28        1,830,000        1,811,700 (j) 
          

 

 

 
INDUSTRIALS - 1.2%           

Airlines - 1.2%

          

Delta Air Lines Inc., Initial Term Loan (1 mo. USD LIBOR + 4.750%)

     4.871     4/29/23        1,998,690        2,024,090 (f)(j)(k)(l) 

Jetblue Airways Corp., Term Loan (the greater of 3 mo. USD LIBOR or 1.000% + 5.250%)

     6.250     6/17/24        2,388,750        2,477,731 (f)(k)(l) 

Mileage Plus Holdings LLC, Initial Term Loan (the greater of 3 mo. USD LIBOR or 1.000% + 5.250%)

     6.250     6/21/27        500,000        533,889 (f)(k)(l) 
          

 

 

 

TOTAL INDUSTRIALS

             5,035,710  
          

 

 

 
MATERIALS - 0.5%           

Chemicals - 0.5%

          

Ineos US Petrochem LLC, 2026 Dollar Term Loan B

           1/29/26        2,250,000        2,260,548 (j) 
          

 

 

 

TOTAL SENIOR LOANS
(Cost - $8,958,424)

             9,107,958  
          

 

 

 
                  SHARES         
COMMON STOCKS - 1.0%           
CONSUMER DISCRETIONARY - 0.3%           

Specialty Retail - 0.3%

          

Party City Holdings Inc.

          149,144        1,072,346 *(m) 
          

 

 

 
ENERGY - 0.7%           

Energy Equipment & Services - 0.0%††

          

Hercules Offshore Inc. (Escrow)

          96,800        57,633 *(m)(n) 

KCAD Holdings I Ltd.

          533,873,172        0 *(m)(n)(o)  
          

 

 

 

Total Energy Equipment & Services

             57,633  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

Western Asset High Income Fund II Inc. 2021 Quarterly Report    

 

 

 

13


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

SECURITY

     SHARES     VALUE  

Oil, Gas & Consumable Fuels - 0.7%

         

Oasis Petroleum Inc.

          83,054     $ 3,112,033 *(b) 
         

 

 

 

TOTAL ENERGY

            3,169,666  
         

 

 

 

TOTAL COMMON STOCKS
(Cost - $14,315,845)

            4,242,012  
         

 

 

 
     RATE     MATURITY
DATE
     FACE
AMOUNT†
       
CONVERTIBLE BONDS & NOTES - 1.0%          
COMMUNICATION SERVICES - 1.0%          

Media - 1.0%

         

DISH Network Corp., Senior Notes
(Cost - $3,694,308)

     3.375     8/15/26        4,475,000       4,137,552  
         

 

 

 
                  SHARES        
PREFERRED STOCKS - 1.0%          
FINANCIALS - 1.0%          

Banks - 1.0%

         

GMAC Capital Trust I (3 mo. USD LIBOR + 5.785%)
(Cost - $3,419,137)

     6.007        155,800       4,131,816 (b)(f)  
         

 

 

 
                  FACE
AMOUNT†
       
NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 0.0%††          

Argentina - 0.0%††

         

Argentina Treasury Bond
(Cost - $97,267)

     1.000     8/5/21        12,589,385 ARS      82,449 (m)  
         

 

 

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $520,259,729)

            595,492,590  
         

 

 

 
                  SHARES        
SHORT-TERM INVESTMENTS - 2.0%          

Dreyfus Government Cash Management, Institutional Shares
(Cost - $8,452,880)

     0.030        8,452,880       8,452,880  
         

 

 

 

TOTAL INVESTMENTS - 143.6%
(Cost - $528,712,609)

            603,945,470  

Liabilities in Excess of Other Assets - (43.6)%

            (183,434,411
         

 

 

 

TOTAL NET ASSETS - 100.0%

          $ 420,511,059  
         

 

 

 

 

See Notes to Schedule of Investments.

 

 

 

14

 

    Western Asset High Income Fund II Inc. 2021 Quarterly Report

 


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

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

 

††

Represents less than 0.1%.

 

*

Non-income producing security.

 

(a)

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

 

(b)

All or a portion of this security is pledged as collateral pursuant to the loan agreement.

 

(c)

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

 

(d)

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

 

(e)

Security has no maturity date. The date shown represents the next call date.

 

(f)

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.

 

(g)

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

 

(h)

The coupon payment on this security is currently in default as of January 31, 2021.

 

(i)

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

 

(j)

All or a portion of this loan is unfunded as of January 31, 2021. The interest rate for fully unfunded term loans is to be determined.

 

(k)

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

 

(l)

Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

 

(m)

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

 

(n)

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

 

(o)

Value is less than $1.

Abbreviation(s) used in this schedule:

 

ARS    — Argentine Peso
BRL    — Brazilian Real
GBP    — British Pound
ICE    — Intercontinental Exchange
IDR    — Indonesian Rupiah
LIBOR    — London Interbank Offered Rate
OFZ    — Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
OJSC    — Open Joint Stock Company
PIK    Payment-In-Kind
RUB    — Russian Ruble
USD    — United States Dollar

 

See Notes to Schedule of Investments.

 

 

Western Asset High Income Fund II Inc. 2021 Quarterly Report    

 

 

 

15


WESTERN ASSET HIGH INCOME FUND II INC.

 

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

 

At January 31, 2021, 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
 

Deutsche Bank Securities Inc.

     0.190     12/1/2020        2/26/2021      $ 19,120,750        U.S. Government & Agency Obligations      $ 19,182,494  

 

*

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

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

 

Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Depreciation
 
USD      128,697        GBP        94,806      Citibank N.A.      4/19/21      $ (1,259
EUR      4,505,481        USD        5,540,684      Goldman Sachs Group Inc.      4/19/21        (63,171
USD      1,622,658        GBP        1,200,000      Goldman Sachs Group Inc.      4/19/21        (22,248
                 

 

 

 

Total

                 $ (86,678
                 

 

 

 

Abbreviation(s) used in this table:

 

EUR    — Euro
GBP    — British Pound
USD    — United States Dollar

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedule of Investments.

 

 

 

16

 

    Western Asset High Income Fund II Inc. 2021 Quarterly Report

 


Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset High Income Fund II Inc. (the “Fund”) was incorporated in Maryland and is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund seeks to maximize current income by investing at least 80% of its net assets, plus any borrowings for investment purposes, in high-yield debt securities. As a secondary objective, the Fund seeks capital appreciation to the extent consistent with its objective of seeking to maximize current income. On August 14, 2020, the Board of Directors of the Fund approved amendments to the Fund’s bylaws. The amended and restated bylaws were subsequently filed on Form 8-K and are available on the Securities and Exchange Commission’s website at www.sec.gov.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services 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. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/ dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.

The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of

 

   

 

 

17


Notes to Schedule of Investments (unaudited) (continued)

 

Directors. 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.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.

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

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

 

   

Level 1 – quoted prices in active markets for identical investments

 

   

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

 

   

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

 

 

 

18

   


Notes to Schedule of Investments (unaudited) (continued)

 

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

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

 

ASSETS

 

DESCRIPTION

   QUOTED PRICES
(LEVEL 1)
     OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)
     SIGNIFICANT
UNOBSERVABLE
INPUTS

(LEVEL 3)
     TOTAL  

Long-Term Investments†:

           

Corporate Bonds & Notes

     —        $ 515,849,905        —        $ 515,849,905  

Sovereign Bonds

     —          31,460,084        —          31,460,084  

U.S. Government & Agency Obligations

     —          26,480,814        —          26,480,814  

Senior Loans

     —          9,107,958        —          9,107,958  

Common Stocks:

           

Consumer Discretionary

     —          1,072,346        —          1,072,346  

Energy

   $ 3,112,033        —        $ 57,633        3,169,666  

Convertible Bonds & Notes

     —          4,137,552        —          4,137,552  

Preferred Stocks

     4,131,816        —          —          4,131,816  

Non-U.S. Treasury Inflation Protected Securities

     —          82,449        —          82,449  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Long-Term Investments

     7,243,849        588,191,108        57,633        595,492,590  
  

 

 

    

 

 

    

 

 

    

 

 

 

Short-Term Investments†

     8,452,880        —          —          8,452,880  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 15,696,729      $ 588,191,108      $ 57,633      $ 603,945,470  
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

 

DESCRIPTION

   QUOTED PRICES
(LEVEL 1)
     OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)
     SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
     TOTAL  

Other Financial Instruments:

           

Forward Foreign Currency Contracts

     —        $ 86,678        —        $ 86,678  

 

See Schedule of Investments for additional detailed categorizations.

 

   

 

 

19