N-Q 1 a11-9807_5nq.htm N-Q

 

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

811-21343

 

 

Western Asset Emerging Markets Debt Fund Inc.

(Exact name of registrant as specified in charter)

 

620 Eight Avenue, 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:

December 31

 

 

 

 

Date of reporting period:

March 31, 2011

 

 


 

ITEM 1.                  SCHEDULE OF INVESTMENTS

 


 

WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

FORM N-Q

MARCH 31, 2011

 


 

Schedule of investments (unaudited)

March 31, 2011

 

WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

SOVEREIGN BONDS — 58.2%

 

 

 

 

 

 

 

 

 

Argentina — 5.1%

 

 

 

 

 

 

 

 

 

Republic of Argentina

 

7.820%

 

12/31/33

 

12,130,521

EUR

$

  13,194,375

(a)

Republic of Argentina, Discount Notes

 

8.280%

 

12/31/33

 

1,079,790

 

968,031

 

Republic of Argentina, GDP Linked Securities

 

0.000%

 

12/15/35

 

23,241,004

EUR

4,713,304

(a)

Republic of Argentina, GDP Linked Securities, Senior Bonds

 

0.000%

 

12/15/35

 

4,205,000

 

700,133

(a)

Republic of Argentina, Senior Bonds

 

7.000%

 

9/12/13

 

2,787,000

 

2,839,256

 

Republic of Argentina, Senior Bonds

 

7.000%

 

10/3/15

 

3,025,000

 

2,851,062

 

Republic of Argentina, Senior Bonds

 

2.260%

 

12/31/38

 

482,573

EUR

253,044

 

Republic of Argentina, Senior Notes

 

8.750%

 

6/2/17

 

5,914,660

 

6,083,228

 

Total Argentina

 

 

 

 

 

 

 

31,602,433

 

Brazil — 6.4%

 

 

 

 

 

 

 

 

 

Brazil Nota do Tesouro Nacional, Notes

 

10.000%

 

1/1/14

 

2,768,000

BRL

1,585,172

 

Brazil Nota do Tesouro Nacional, Notes

 

10.000%

 

1/1/17

 

48,706,000

BRL

26,461,261

 

Federative Republic of Brazil

 

7.125%

 

1/20/37

 

8,528,250

 

10,127,297

 

Federative Republic of Brazil, Senior Notes

 

4.875%

 

1/22/21

 

1,550,000

 

1,588,750

 

Total Brazil

 

 

 

 

 

 

 

39,762,480

 

Chile — 0.4%

 

 

 

 

 

 

 

 

 

Republic of Chile, Senior Notes

 

3.875%

 

8/5/20

 

2,636,000

 

2,579,985

 

Colombia — 4.5%

 

 

 

 

 

 

 

 

 

Republic of Colombia

 

7.375%

 

9/18/37

 

13,499,000

 

16,097,557

 

Republic of Colombia, Senior Bonds

 

6.125%

 

1/18/41

 

970,000

 

994,250

 

Republic of Colombia, Senior Notes

 

7.375%

 

3/18/19

 

8,945,000

 

10,778,725

 

Total Colombia

 

 

 

 

 

 

 

27,870,532

 

Hungary — 1.2%

 

 

 

 

 

 

 

 

 

Republic of Hungary, Senior Notes

 

6.250%

 

1/29/20

 

4,680,000

 

4,777,957

 

Republic of Hungary, Senior Notes

 

6.375%

 

3/29/21

 

2,390,000

 

2,401,147

 

Total Hungary

 

 

 

 

 

 

 

7,179,104

 

Indonesia — 3.5%

 

 

 

 

 

 

 

 

 

Republic of Indonesia, Senior Bonds

 

6.875%

 

1/17/18

 

3,230,000

 

3,674,125

(b)

Republic of Indonesia, Senior Bonds

 

10.250%

 

7/15/22

 

16,432,000,000

IDR

2,149,728

 

Republic of Indonesia, Senior Bonds

 

11.000%

 

9/15/25

 

34,333,000,000

IDR

4,642,003

 

Republic of Indonesia, Senior Bonds

 

10.250%

 

7/15/27

 

31,685,000,000

IDR

3,981,943

 

Republic of Indonesia, Senior Bonds

 

6.625%

 

2/17/37

 

2,660,000

 

2,872,191

(b)

Republic of Indonesia, Senior Bonds

 

9.750%

 

5/15/37

 

37,732,000,000

IDR

4,371,106

 

Total Indonesia

 

 

 

 

 

 

 

21,691,096

 

Malaysia — 0.8%

 

 

 

 

 

 

 

 

 

Government of Malaysia, Senior Bonds

 

3.835%

 

8/12/15

 

15,800,000

MYR

5,273,744

 

Mexico — 4.2%

 

 

 

 

 

 

 

 

 

Mexican Bonos, Bonds

 

8.000%

 

6/11/20

 

109,635,000

MXN

9,566,661

 

United Mexican States

 

8.125%

 

12/30/19

 

7,776,000

 

10,474,272

 

United Mexican States, Bonds

 

10.000%

 

12/5/24

 

29,520,000

MXN

2,938,238

 

United Mexican States, Medium-Term Notes

 

5.625%

 

1/15/17

 

774,000

 

857,592

 

United Mexican States, Medium-Term Notes

 

6.050%

 

1/11/40

 

1,838,000

 

1,902,330

 

Total Mexico

 

 

 

 

 

 

 

25,739,093

 

Panama — 2.0%

 

 

 

 

 

 

 

 

 

Republic of Panama

 

7.250%

 

3/15/15

 

4,638,000

 

5,414,865

 

Republic of Panama

 

9.375%

 

4/1/29

 

4,900,000

 

6,933,500

 

Total Panama

 

 

 

 

 

 

 

12,348,365

 

Peru — 3.9%

 

 

 

 

 

 

 

 

 

Republic of Peru

 

8.750%

 

11/21/33

 

6,945,000

 

9,358,387

 

Republic of Peru, Bonds

 

7.840%

 

8/12/20

 

12,452,000

PEN

4,772,625

 

Republic of Peru, Bonds

 

6.550%

 

3/14/37

 

1,128,000

 

1,226,700

 

Republic of Peru, Global Senior Bonds

 

7.350%

 

7/21/25

 

6,000,000

 

7,161,000

 

Republic of Peru, Senior Notes

 

7.125%

 

3/30/19

 

1,350,000

 

1,599,750

 

Total Peru

 

 

 

 

 

 

 

24,118,462

 

 

See Notes to Schedule of Investments.

 

1


 

Schedule of investments (unaudited) (cont’d)

March 31, 2011

 

WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Poland — 2.0%

 

 

 

 

 

 

 

 

 

Republic of Poland, Bonds

 

5.500%

 

4/25/15

 

26,265,000

PLN

$

9,207,836

 

Republic of Poland, Senior Notes

 

6.375%

 

7/15/19

 

2,950,000

 

3,297,333

 

Total Poland

 

 

 

 

 

 

 

12,505,169

 

Qatar — 0.3%

 

 

 

 

 

 

 

 

 

State of Qatar, Senior Notes

 

4.000%

 

1/20/15

 

1,630,000

 

1,691,125

(b)

Russia — 7.2%

 

 

 

 

 

 

 

 

 

RSHB Capital, Loan Participation Notes, Senior Notes

 

6.299%

 

5/15/17

 

130,000

 

136,500

(b)

RSHB Capital, Loan Participation Notes, Senior Secured Bonds

 

6.299%

 

5/15/17

 

2,728,000

 

2,871,220

(b)

RSHB Capital, Loan Participation Notes, Senior Secured Notes

 

9.000%

 

6/11/14

 

320,000

 

369,216

(b)

Russian Foreign Bond-Eurobond

 

11.000%

 

7/24/18

 

105,000

 

149,205

(b)

Russian Foreign Bond-Eurobond

 

12.750%

 

6/24/28

 

404,000

 

708,515

(b)

Russian Foreign Bond-Eurobond, Senior Bonds

 

7.500%

 

3/31/30

 

34,657,090

 

40,483,987

(b)

Total Russia

 

 

 

 

 

 

 

44,718,643

 

Turkey — 8.4%

 

 

 

 

 

 

 

 

 

Republic of Turkey, Notes

 

6.750%

 

5/30/40

 

4,190,000

 

4,368,075

 

Republic of Turkey, Senior Bonds

 

5.625%

 

3/30/21

 

950,000

 

973,750

 

Republic of Turkey, Senior Bonds

 

11.875%

 

1/15/30

 

6,800,000

 

11,305,000

 

Republic of Turkey, Senior Notes

 

7.500%

 

7/14/17

 

1,240,000

 

1,444,600

 

Republic of Turkey, Senior Notes

 

7.500%

 

11/7/19

 

2,500,000

 

2,925,000

 

Republic of Turkey, Senior Notes

 

6.875%

 

3/17/36

 

28,987,000

 

30,827,674

 

Total Turkey

 

 

 

 

 

 

 

51,844,099

 

United Arab Emirates — 0.3%

 

 

 

 

 

 

 

 

 

MDC-GMTN B.V., Senior Notes

 

5.750%

 

5/6/14

 

1,590,000

 

1,724,471

(b)

Venezuela — 8.0%

 

 

 

 

 

 

 

 

 

Bolivarian Republic of Venezuela

 

5.750%

 

2/26/16

 

33,830,000

 

25,203,350

(b)

Bolivarian Republic of Venezuela

 

7.000%

 

12/1/18

 

7,220,000

 

4,999,850

(b)

Bolivarian Republic of Venezuela

 

7.650%

 

4/21/25

 

1,674,000

 

1,025,325

 

Bolivarian Republic of Venezuela, Collective Action Securities

 

1.303%

 

4/20/11

 

4,752,000

 

4,761,504

(a)(b)

Bolivarian Republic of Venezuela, Collective Action Securities, Global Senior Bonds

 

9.375%

 

1/13/34

 

10,661,000

 

7,302,785

 

Bolivarian Republic of Venezuela, Collective Action Securities, Notes

 

10.750%

 

9/19/13

 

3,850,000

 

3,884,650

 

Bolivarian Republic of Venezuela, Global Senior Bonds

 

8.500%

 

10/8/14

 

1,959,000

 

1,796,403

 

Bolivarian Republic of Venezuela, Senior Bonds

 

9.250%

 

9/15/27

 

750,000

 

556,875

 

Total Venezuela

 

 

 

 

 

 

 

49,530,742

 

TOTAL SOVEREIGN BONDS (Cost — $337,247,033)

 

 

 

360,179,543

 

CORPORATE BONDS & NOTES — 41.6%

 

 

 

 

 

 

 

 

 

CONSUMER DISCRETIONARY — 3.5%

 

 

 

 

 

 

 

 

 

Media — 3.5%

 

 

 

 

 

 

 

 

 

Globo Communicacoes e Participacoes SA, Bonds

 

7.250%

 

4/26/22

 

1,273,000

 

1,368,475

(b)

Globo Communicacoes e Participacoes SA, Senior Bonds

 

7.250%

 

4/26/22

 

190,000

 

204,250

(b)

Grupo Televisa SA, Senior Bonds

 

6.625%

 

1/15/40

 

6,050,000

 

6,440,394

 

Grupo Televisa SA, Senior Notes

 

6.625%

 

3/18/25

 

7,980,000

 

8,805,156

 

NET Servicos de Comunicacao SA, Bonds

 

7.500%

 

1/27/20

 

4,090,000

 

4,703,500

 

TOTAL CONSUMER DISCRETIONARY

 

 

 

 

 

 

 

21,521,775

 

ENERGY — 17.6%

 

 

 

 

 

 

 

 

 

Oil, Gas & Consumable Fuels — 17.6%

 

 

 

 

 

 

 

 

 

Dolphin Energy Ltd., Senior Secured Bonds

 

5.888%

 

6/15/19

 

3,977,699

 

4,253,942

(b)

Ecopetrol SA, Senior Notes

 

7.625%

 

7/23/19

 

3,940,000

 

4,560,550

 

KazMunaiGaz Finance Sub BV, Senior Notes

 

8.375%

 

7/2/13

 

8,250,000

 

9,188,025

(b)

KazMunaiGaz Finance Sub BV, Senior Notes

 

8.375%

 

7/2/13

 

1,230,000

 

1,369,913

(b)

 

See Notes to Schedule of Investments.

 

2


 

Schedule of investments (unaudited) (cont’d)

March 31, 2011

 

WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Oil, Gas & Consumable Fuels — continued

 

 

 

 

 

 

 

LUKOIL International Finance BV, Bonds

 

6.656%

 

6/7/22

 

$

6,945,000

 

$

7,309,612

(b)

Novatek Finance Ltd., Notes

 

6.604%

 

2/3/21

 

2,700,000

 

2,848,516

(b)

Pan American Energy LLC, Senior Notes

 

7.875%

 

5/7/21

 

2,830,000

 

3,060,079

(b)

Pan American Energy LLC, Senior Notes

 

7.875%

 

5/7/21

 

1,446,000

 

1,563,560

(b)

Pemex Project Funding Master Trust, Senior Bonds

 

6.625%

 

6/15/35

 

12,609,000

 

12,711,297

 

Petrobras International Finance Co., Senior Notes

 

6.875%

 

1/20/40

 

5,535,000

 

5,823,944

 

Petrobras International Finance Co., Senior Notes

 

6.750%

 

1/27/41

 

2,330,000

 

2,412,032

 

Petroleos Mexicanos, Notes

 

8.000%

 

5/3/19

 

1,170,000

 

1,411,020

 

Petroleos Mexicanos, Senior Notes

 

5.500%

 

1/21/21

 

9,210,000

 

9,394,200

 

Petroleum Co. of Trinidad & Tobago Ltd., Senior Notes

 

9.750%

 

8/14/19

 

2,670,000

 

3,250,725

(b)

Petronas Capital Ltd.

 

5.250%

 

8/12/19

 

14,445,000

 

15,415,343

(b)

Petronas Capital Ltd., Senior Notes

 

5.250%

 

8/12/19

 

1,256,000

 

1,337,219

(b)

Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Bonds

 

6.750%

 

9/30/19

 

3,626,000

 

4,087,510

(b)

Ras Laffan Liquefied Natural Gas Co., Ltd. III, Senior Secured Notes

 

5.500%

 

9/30/14

 

4,020,000

 

4,334,416

(b)

Reliance Holdings USA Inc., Senior Notes

 

4.500%

 

10/19/20

 

3,360,000

 

3,171,514

(b)

TNK-BP Finance SA

 

6.625%

 

3/20/17

 

2,593,000

 

2,780,993

(b)

TNK-BP Finance SA, Senior Notes

 

7.500%

 

3/13/13

 

1,727,000

 

1,893,224

(b)

TNK-BP Finance SA, Senior Notes

 

7.500%

 

7/18/16

 

4,420,000

 

4,972,500

(b)

TNK-BP Finance SA, Senior Notes

 

7.500%

 

7/18/16

 

1,140,000

 

1,282,500

(b)

TNK-BP Finance SA, Senior Notes

 

7.875%

 

3/13/18

 

490,000

 

563,500

(b)

TOTAL ENERGY

 

 

 

 

 

 

 

108,996,134

 

FINANCIALS — 0.9%

 

 

 

 

 

 

 

 

 

Commercial Banks — 0.5%

 

 

 

 

 

 

 

 

 

Banco del Estado de Chile, Senior Notes

 

4.125%

 

10/7/20

 

1,630,000

 

1,528,536

(b)

ICICI Bank Ltd., Junior Subordinated Bonds

 

6.375%

 

4/30/22

 

740,000

 

738,134

(a)(b)

ICICI Bank Ltd., Subordinated Bonds

 

6.375%

 

4/30/22

 

820,000

 

816,913

(a)(b)

Total Commercial Banks

 

 

 

 

 

 

 

3,083,583

 

Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

 

 

Sinochem Overseas Capital Co., Ltd., Senior Notes

 

4.500%

 

11/12/20

 

2,645,000

 

2,515,138

(b)

TOTAL FINANCIALS

 

 

 

 

 

 

 

5,598,721

 

INDUSTRIALS — 1.5%

 

 

 

 

 

 

 

 

 

Building Products — 0.5%

 

 

 

 

 

 

 

 

 

GTL Trade Finance Inc., Senior Notes

 

7.250%

 

10/20/17

 

1,220,000

 

1,378,600

(b)

GTL Trade Finance Inc., Senior Notes

 

7.250%

 

10/20/17

 

577,000

 

652,010

(b)

Rearden G Holdings EINS GmbH, Senior Notes

 

7.875%

 

3/30/20

 

1,230,000

 

1,340,700

(b)

Total Building Products

 

 

 

 

 

 

 

3,371,310

 

Construction & Engineering — 1.0%

 

 

 

 

 

 

 

 

 

Odebrecht Finance Ltd., Senior Notes

 

7.500%

 

10/18/17

 

940,000

 

1,034,000

(b)

Odebrecht Finance Ltd., Senior Notes

 

7.000%

 

4/21/20

 

3,580,000

 

3,932,630

(b)

Odebrecht Finance Ltd., Senior Notes

 

6.000%

 

4/5/23

 

1,190,000

 

1,184,050

(b)

Total Construction & Engineering

 

 

 

 

 

 

 

6,150,680

 

TOTAL INDUSTRIALS

 

 

 

 

 

 

 

9,521,990

 

MATERIALS — 7.7%

 

 

 

 

 

 

 

 

 

Containers & Packaging — 0.5%

 

 

 

 

 

 

 

 

 

Suzano Trading Ltd., Senior Notes

 

5.875%

 

1/23/21

 

3,230,000

 

3,181,550

(b)

Metals & Mining — 6.0%

 

 

 

 

 

 

 

 

 

Corporacion Nacional del Cobre de Chile, Senior Notes

 

3.750%

 

11/4/20

 

1,800,000

 

1,689,930

(b)

CSN Resources SA, Senior Bonds

 

6.500%

 

7/21/20

 

1,550,000

 

1,658,500

(b)

CSN Resources SA, Senior Bonds

 

6.500%

 

7/21/20

 

1,506,000

 

1,611,420

(b)

Evraz Group SA, Notes

 

8.875%

 

4/24/13

 

2,320,000

 

2,554,900

(b)

Evraz Group SA, Notes

 

8.250%

 

11/10/15

 

790,000

 

887,762

(b)

Evraz Group SA, Notes

 

9.500%

 

4/24/18

 

1,250,000

 

1,471,250

(b)

Evraz Group SA, Senior Notes

 

9.500%

 

4/24/18

 

1,410,000

 

1,655,876

(b)

Southern Copper Corp., Senior Notes

 

5.375%

 

4/16/20

 

1,240,000

 

1,266,660

 

Southern Copper Corp., Senior Notes

 

6.750%

 

4/16/40

 

1,440,000

 

1,454,658

 

Vale Overseas Ltd., Notes

 

8.250%

 

1/17/34

 

8,610,000

 

10,526,646

 

Vale Overseas Ltd., Notes

 

6.875%

 

11/21/36

 

5,063,000

 

5,404,049

 

 

See Notes to Schedule of Investments.

 

3


 

Schedule of investments (unaudited) (cont’d)

March 31, 2011

 

WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Metals & Mining — continued

 

 

 

 

 

 

 

 

 

Vedanta Resources PLC, Senior Notes

 

8.750%

 

1/15/14

 

$

5,876,000

 

$

6,294,665

(b)

Vedanta Resources PLC, Senior Notes

 

9.500%

 

7/18/18

 

550,000

 

605,000

(b)

Total Metals & Mining

 

 

 

 

 

 

 

37,081,316

 

Paper & Forest Products — 1.2%

 

 

 

 

 

 

 

 

 

Celulosa Arauco y Constitucion SA, Senior Notes

 

7.250%

 

7/29/19

 

2,915,000

 

3,370,705

 

Empresas CMPC SA, Notes

 

4.750%

 

1/19/18

 

1,540,000

 

1,519,610

(b)

Fibria Overseas Finance Ltd., Senior Notes

 

7.500%

 

5/4/20

 

1,440,000

 

1,569,600

(b)

Fibria Overseas Finance Ltd., Senior Notes

 

6.750%

 

3/3/21

 

890,000

 

923,375

(b)

Total Paper & Forest Products

 

 

 

 

 

 

 

7,383,290

 

TOTAL MATERIALS

 

 

 

 

 

 

 

47,646,156

 

TELECOMMUNICATION SERVICES — 7.6%

 

 

 

 

 

 

 

 

 

Diversified Telecommunication Services — 4.6%

 

 

 

 

 

 

 

 

Axtel SAB de CV, Senior Notes

 

7.625%

 

2/1/17

 

11,981,000

 

11,292,093

(b)

Axtel SAB de CV, Senior Notes

 

7.625%

 

2/1/17

 

1,037,000

 

979,965

(b)

Axtel SAB de CV, Senior Notes

 

9.000%

 

9/22/19

 

2,207,000

 

2,129,755

(b)

Qtel International Finance Ltd., Senior Notes

 

4.750%

 

2/16/21

 

1,380,000

 

1,291,815

(b)

Telemar Norte Leste SA, Senior Notes

 

5.500%

 

10/23/20

 

2,370,000

 

2,340,375

(b)

UBS Luxembourg SA for OJSC Vimpel Communications, Loan Participation Notes

 

8.250%

 

5/23/16

 

1,124,000

 

1,247,640

(b)

Vimpel Communications, Loan Participation Notes

 

8.375%

 

4/30/13

 

1,820,000

 

1,994,720

(b)

Vimpel Communications, Notes

 

6.493%

 

2/2/16

 

505,000

 

525,200

(b)

VIP Finance Ireland Ltd. for OJSC Vimpel Communications, Loan Participation Notes, Secured Notes

 

8.375%

 

4/30/13

 

6,305,000

 

6,889,568

(b)

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

28,691,131

 

Wireless Telecommunication Services — 3.0%

 

 

 

 

 

 

 

 

America Movil SAB de CV, Senior Notes

 

5.625%

 

11/15/17

 

2,860,000

 

3,164,315

 

Indosat Palapa Co. BV, Senior Notes

 

7.375%

 

7/29/20

 

1,882,000

 

2,077,352

(b)

True Move Co., Ltd.

 

10.750%

 

12/16/13

 

1,210,000

 

1,315,875

(b)

True Move Co., Ltd.

 

10.375%

 

8/1/14

 

3,058,000

 

3,317,930

(b)

True Move Co., Ltd., Notes

 

10.750%

 

12/16/13

 

7,880,000

 

8,569,500

(b)

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

18,444,972

 

TOTAL TELECOMMUNICATION SERVICES

 

 

 

 

 

 

 

47,136,103

 

UTILITIES — 2.8%

 

 

 

 

 

 

 

 

 

Electric Utilities — 1.9%

 

 

 

 

 

 

 

 

 

Centrais Eletricas Brasileiras SA, Senior Notes

 

6.875%

 

7/30/19

 

2,605,000

 

2,930,625

(b)

Centrais Eletricas Brasileiras SA, Senior Notes

 

6.875%

 

7/30/19

 

1,580,000

 

1,777,500

(b)

EEB International Ltd.

 

8.750%

 

10/31/14

 

880,000

 

950,400

(b)

EEB International Ltd., Senior Bonds

 

8.750%

 

10/31/14

 

1,750,000

 

1,890,000

(b)

Eskom Holdings Ltd., Senior Bonds

 

5.750%

 

1/26/21

 

620,000

 

631,625

(b)

Majapahit Holding BV, Senior Notes

 

7.750%

 

1/20/20

 

2,960,000

 

3,344,800

(b)

Total Electric Utilities

 

 

 

 

 

 

 

11,524,950

 

Independent Power Producers & Energy Traders — 0.4%

 

 

 

 

 

 

 

Colbun SA, Senior Notes

 

6.000%

 

1/21/20

 

2,510,000

 

2,581,535

(b)

Multi-Utilities — 0.5%

 

 

 

 

 

 

 

 

 

E-CL SA, Notes

 

5.625%

 

1/15/21

 

1,600,000

 

1,608,330

(b)

Empresas Publicas de Medellin ESP, Senior Notes

 

7.625%

 

7/29/19

 

1,320,000

 

1,511,400

(b)

Total Multi-Utilities

 

 

 

 

 

 

 

3,119,730

 

TOTAL UTILITIES

 

 

 

 

 

 

 

17,226,215

 

TOTAL CORPORATE BONDS & NOTES (Cost — $238,480,617)

 

 

 

257,647,094

 

 

 

 

EXPIRATION
DATE

 

WARRANTS

 

 

 

WARRANTS — 0.1%

 

 

 

 

 

 

 

 

 

Bolivarian Republic of Venezuela, Oil-linked payment obligations (Cost - $364,095)

4/15/20

 

11,745

 

349,414

*

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $576,091,745)

 

 

618,176,051

 

 

See Notes to Schedule of Investments.

 

4


 

Schedule of investments (unaudited) (cont’d)

March 31, 2011

 

WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

SHORT-TERM INVESTMENTS — 0.1%

 

 

 

 

 

 

 

 

 

U.S. Government Agencies — 0.1%

 

 

 

 

 

 

 

 

 

Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes

 

0.180%

 

5/9/11

 

$

34,000

 

$

33,994

(c)(d)

Federal National Mortgage Association (FNMA), Discount Notes

 

0.240%

 

5/9/11

 

385,000

 

384,902

(c)(d)

TOTAL SHORT-TERM INVESTMENTS (Cost — $418,896)

 

 

 

418,896

 

TOTAL INVESTMENTS — 100.0% (Cost — $576,510,641#)

 

 

 

$

618,594,947

 

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

*       Non-income producing security.

(a)    Variable rate security. Interest rate disclosed is as of the most recent information available.

(b)    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, unless otherwise noted.

(c)    Rate shown represents yield-to-maturity.

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

#       Aggregate cost for federal income tax purposes is substantially the same.

 

Abbreviations used in this schedule:

BRL

- Brazilian Real

EUR

- Euro

GDP

- Gross Domestic Product

IDR

- Indonesian Rupiah

MXN

- Mexican Peso

MYR

- Malaysian Ringgit

OJSC

- Open Joint Stock Company

PEN

- Peruvian Nuevo Sol

PLN

- Polish Zloty

 

See Notes to Schedule of Investments.

 

5


 

Schedule of investments (unaudited) (cont’d)

March 31, 2011

 

WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Summary of Investments by Country **

 

Mexico

 

13.3

%

Brazil

 

12.3

%

Russia

 

11.4

%

Turkey

 

8.4

%

Venezuela

 

8.1

%

Colombia

 

5.9

%

Argentina

 

5.9

%

Peru

 

3.9

%

Malaysia

 

3.6

%

Indonesia

 

3.5

%

Cayman Islands

 

2.4

%

Chile

 

2.4

%

Thailand

 

2.1

%

Poland

 

2.0

%

Panama

 

2.0

%

Kazakhstan

 

1.7

%

Ireland

 

1.7

%

Qatar

 

1.6

%

Hungary

 

1.2

%

United Kingdom

 

1.1

%

United Arab Emirates

 

1.0

%

United States

 

0.9

%

Luxembourg

 

0.9

%

Netherlands

 

0.9

%

Trinidad and Tobago

 

0.5

%

British Virgin Islands

 

0.4

%

India

 

0.3

%

Germany

 

0.2

%

Bermuda

 

0.2

%

South Africa

 

0.1

%

Short-Term Investments

 

0.1

%

 

 

100.0

%

 

**As a percentage of total investments. Please note that Fund holdings are as of March 31, 2011 and are subject to change.

 

See Notes to Schedule of Investments.

 

6


 

Notes to Schedule of Investments (unaudited)

 

1. Organization and Significant Accounting Policies

 

Western Asset Emerging Markets Debt Fund Inc. (the “Fund”) was incorporated in Maryland on April 16, 2003 and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Board of Directors authorized 100 million shares of $0.001 par value common stock. The Fund’s primary investment objective is total return. High current income is a secondary objective.

 

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.  Debt securities are valued at the mean between the last quoted bid and asked prices provided by an independent pricing service, which are based on transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and various other relationships between securities. Publicly traded foreign government debt securities are typically traded internationally in the over-the-counter market, and are valued at the mean between the last quoted bid and asked prices as of the close of business of that market. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade.  When 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. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates fair value.

 

The Fund has adopted Financial Accounting Standards Board Codification Topic 820 (“ASC Topic 820”). ASC Topic 820 establishes a single definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund’s investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized below.

 

·                  Level 1—quoted prices in active markets for identical investments

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

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

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

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.

 

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†:

 

 

 

 

 

 

 

 

 

Sovereign bonds

 

—

 

$

360,179,543

 

—

 

$

360,179,543

 

Corporate bonds & notes

 

—

 

257,647,094

 

—

 

257,647,094

 

Warrants

 

—

 

349,414

 

—

 

349,414

 

Total long-term investments

 

—

 

$

618,176,051

 

—

 

$

618,176,051

 

Short-term investments†

 

—

 

418,896

 

—

 

418,896

 

Total investments

 

—

 

$

618,594,947

 

—

 

$

618,594,947

 

Other financial instruments:

 

 

 

 

 

 

 

 

 

Futures contracts

 

$

298,123

 

—

 

—

 

$

298,123

 

Forward foreign currency contracts

 

—

 

$

116,624

 

—

 

116,624

 

Interest rate swaps

 

—

 

49,867

 

—

 

49,867

 

Total other financial instruments

 

$

298,123

 

$

166,491

 

—

 

$

464,614

 

Total

 

$

298,123

 

$

618,761,438

 

—

 

$

619,059,561

 

 

7


 

Notes to Schedule of Investments (unaudited) (continued)

 

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

 

—

 

$

525,901

 

—

 

$

525,901

 

Total

 

—

 

$

525,901

 

—

 

$

525,901

 

 

†See Schedule of Investments for additional detailed categorizations.

 

(b) Repurchase Agreements. The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund’s holding period. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian, acting on the Fund’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.

 

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

 

Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ‘‘initial margin’’ and subsequent payments (‘‘variation margin’’) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded.

 

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

 

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

 

8


 

Notes to Schedule of Investments (unaudited) (continued)

 

When entering into a forward foreign currency contract, the Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

 

(e) Swap Agreements. The Fund invests in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes. The use of swaps involves risks that are different from those associated with ordinary portfolio transactions.

 

Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon termination of the swap agreement. Collateral, in the form of restricted cash or securities, may be required to be held in segregated accounts with the Fund’s custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Schedule of Investments.

 

Interest Rate Swaps

The Fund enters into interest rate swap contracts.  Interest rate swaps are agreements between two parties to exchange cash flows based on a notional principal amount. The Fund may elect to pay a fixed rate and receive a floating rate, or, receive a fixed rate and pay a floating rate on a notional principal amount.  Interest rate swaps are marked-to-market daily based upon quotations from market makers.

 

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

 

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

 

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

 

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

 

(h) Other Risks.  Consistent with its objective to seek high current income, the Fund may invest in instruments whose values and interest rates are linked to foreign currencies, interest rates, indices or some other financial indicator. The value at maturity or interest rates for these instruments will increase or decrease according to the change in the indicator to which they are indexed, amongst other factors. These securities are generally more volatile in nature, and the risk of loss of principal may be greater.

 

(i) Counterparty Risk and Credit-Risk-Related Contingent Features of Derivative Instruments. The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund’s investment manager attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the investment manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.

 

The Fund has entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events of default or termination and credit related contingent features.  The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or NAV over a specified period

 

9


 

Notes to Schedule of Investments (unaudited) (continued)

 

of time.  If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.

 

As of March 31, 2011, the Fund held forward foreign currency contracts with credit related contingent features which had a liability position of $525,901. If a contingent feature in the Master Agreements would have been triggered, the Fund would have been required to pay this amount to its derivatives counterparties.

 

(j) Security Transactions.  Security transactions are accounted for on a trade date basis.

 

2.  Investments

 

At March 31, 2011, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

Gross unrealized appreciation

 

$

54,103,334

 

Gross unrealized depreciation

 

(12,019,028

)

Net unrealized appreciation

 

$

42,084,306

 

 

At March 31, 2011, the Fund had the following open futures contracts:

 

Contracts to Buy:

 

NUMBER OF
CONTRACTS

 

EXPIRATION
DATE

 

BASIS
VALUE

 

MARKET
VALUE

 

UNREALIZED
GAIN

 

U.S. Treasury 10-Year Notes

 

253

 

6/11

 

$

29,816,783

 

$

30,114,906

 

$

298,123

 

 

At March 31, 2011, the Fund had the following open forward foreign currency contracts:

 

FOREIGN CURRENCY

 

COUNTERPARTY

 

LOCAL
CURRENCY

 

MARKET
VALUE

 

SETTLEMENT
DATE

 

UNREALIZED
GAIN (LOSS)

 

Contracts to Buy:

 

 

 

 

 

 

 

 

 

 

 

Euro

 

JPMorgan Chase & Co.

 

1,419,600

 

$

2,011,445

 

4/15/11

 

$

12,152

 

Russian Ruble

 

JPMorgan Chase & Co.

 

91,989,150

 

3,217,472

 

6/15/11

 

104,472

 

 

 

 

 

 

 

 

 

 

 

116,624

 

Contracts to Sell:

 

 

 

 

 

 

 

 

 

 

 

Euro

 

JPMorgan Chase & Co.

 

1,426,000

 

2,020,513

 

4/15/11

 

(6,716

)

Euro

 

JPMorgan Chase & Co.

 

2,030,000

 

2,876,327

 

4/15/11

 

(32,936

)

Euro

 

JPMorgan Chase & Co.

 

17,870,456

 

25,320,822

 

4/15/11

 

(486,249

)

 

 

 

 

 

 

 

 

 

 

(525,901

)

Net unrealized loss on open forward foreign currency contracts

 

 

 

 

 

$

(409,277

)

 

At March 31, 2011, the Fund had the following open swap contracts:

 

INTEREST RATE SWAPS

SWAP COUNTERPARTY

 

NOTIONAL
AMOUNT

 

TERMINATION
DATE

 

PAYMENTS
MADE BY THE
FUND

 

PAYMENTS
RECEIVED BY THE FUND†

 

UPFRONT
PREMIUMS
PAID
(RECEIVED)

 

UNREALIZED
APPRECIATION

 

Credit Suisse

 

$

10,229,627

 

1/2/12

 

BRL-CDI*

 

10.560

%

—

 

$

25,981

**

Credit Suisse

 

14,805,077

 

1/2/12

 

BRL-CDI*

 

10.510

%

—

 

23,886

**

Total

 

$

25,034,704

 

 

 

 

 

 

 

—

 

$

49,867

 

† Percentage shown is an annual percentage rate.

* Based on the Overnight Brazilian Interbank Deposit Rate. As of March 31, 2011, the Brazil CETIP Interbank Deposit (CDI) rate was 11.660%.

** Swap contract is valued in good faith at fair value in accordance with procedures approved by the Board of Directors (See Note 1).

 

10


 

Notes to Schedule of Investments (unaudited) (continued)

 

3. Derivative Instruments and Hedging Activities

 

Financial Accounting Standards Board Codification Topic 815 requires enhanced disclosure about an entity’s derivative and hedging activities.

 

The following is a summary of the Fund’s derivative instruments categorized by risk exposure at March 31, 2011.

 

 

 

Futures Contracts

 

Forward Foreign Currency
Contracts

 

Swap

 

 

 

Primary Underlying
Risk Disclosure

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

Contracts, at
value

 

Total

 

Interest Rate Contracts

 

$

298,123

 

—

 

—

 

—

 

$

49,867

 

$

347,990

 

Foreign Exchange Contracts

 

—

 

—

 

$

116,624

 

$

(525,901

)

—

 

(409,277

)

Total

 

$

298,123

 

—

 

$

116,624

 

$

(525,901

)

$

49,867

 

$

(61,287

)

 

During the period ended March 31, 2011, the volume of derivative activity for the Fund was as follows:

 

 

 

Average Market
Value

 

Futures contracts (to buy)

 

$

30,316,516

 

Forward foreign currency contracts (to buy)

 

2,096,801

 

Forward foreign currency contracts (to sell)

 

21,909,883

 

 

 

 

 

 

 

Average Notional
Balance

 

Interest rate swap contracts

 

$

25,034,704

 

 

11


 

ITEM 2.

CONTROLS AND PROCEDURES.

 

 

 

(a)

The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

 

 

 

 

(b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.

 

 

 

ITEM 3.

EXHIBITS.

 

 

 

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.

 


 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Western Asset Emerging Markets Debt Fund Inc.

 

 

By

/s/ R. Jay Gerken

 

 

R. Jay Gerken

 

 

Chief Executive Officer

 

 

 

Date: March 24, 2011

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By

/s/ R. Jay Gerken

 

 

R. Jay Gerken

 

 

Chief Executive Officer

 

 

 

 

Date: March 24, 2011

 

 

 

By

/s/ Kaprel Ozsolak

 

 

Kaprel Ozsolak

 

 

Chief Financial Officer

 

 

 

Date: March 24, 2011