NPORT-EX 1 Emerging_Mkts_Debt_Fund.htm EX-EMD

WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  
SOVEREIGN BONDS - 82.3%          

Angola - 1.2%

         

Angolan Government International

         

Bond, Senior Notes

     9.500     11/12/25        1,720,000     $ 1,957,936 (a) 

Angolan Government International

         

Bond, Senior Notes

     8.250     5/9/28        2,500,000       2,614,900 (a) 

Angolan Government International

         

Bond, Senior Notes

     8.250     5/9/28        800,000       836,768 (b) 

Angolan Government International

         

Bond, Senior Notes

     9.375     5/8/48        3,870,000       4,194,693 (a) 

Angolan Government International

         

Bond, Senior Notes

     9.375     5/8/48        2,000,000       2,167,800 (b) 
         

 

 

 

Total Angola

            11,772,097  
         

 

 

 

Argentina - 7.8%

         

Argentina Bonar Bonds (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 2.000%)

     45.563     4/3/22        18,500,000 ARS      419,141 (c) 

Argentina POM Politica Monetaria, Bonds (Argentina Central Bank 7 Day Repo Reference Rate)

     67.546     6/21/20        192,070,000 ARS      4,893,334 (c) 

Argentine Bonos del Tesoro

     18.200     10/3/21        3,040,000 ARS      49,761  

Argentine Bonos del Tesoro, Bonds

     15.500     10/17/26        157,160,000 ARS      2,459,169  

Argentine Republic Government International Bond, Senior Notes

     5.625     1/26/22        1,650,000       1,426,425 (d) 

Argentine Republic Government International Bond, Senior Notes

     4.625     1/11/23        10,000       8,215 (d) 

Argentine Republic Government International Bond, Senior Notes

     7.500     4/22/26        5,100,000       4,340,737 (d) 

Argentine Republic Government International Bond, Senior Notes

     8.280     12/31/33        11,216,304       9,337,573 (d) 

Argentine Republic Government International Bond, Senior Notes

     6.875     1/11/48        34,080,000       25,176,600 (d) 

Autonomous City of Buenos Aires Argentina, Senior Notes

     7.500     6/1/27        7,600,000       6,768,560 (a)(d) 

Provincia de Buenos Aires, Senior Notes

     9.950     6/9/21        2,000,000       1,872,500 (b) 

Provincia de Buenos Aires, Senior Notes

     9.125     3/16/24        2,000,000       1,665,000 (b) 

Provincia de Buenos Aires, Senior Notes

     7.875     6/15/27        11,450,000       8,387,125 (a)(d) 

Provincia de Buenos Aires, Senior Notes

     4.000     5/15/35        1,905,776       1,138,720 (b)(d) 

Provincia de Cordoba, Senior Notes

     7.450     9/1/24        8,250,000       6,661,875 (a)(d) 
         

 

 

 

Total Argentina

            74,604,735  
         

 

 

 

 

See Notes to Schedule of Investments.

 

1


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Armenia - 0.4%

         

Republic of Armenia International Bond, Senior Notes

     6.000     9/30/20        3,850,000     $ 3,943,940 (b) 
         

 

 

 

Brazil - 1.8%

         

Brazil Notas do Tesouro Nacional Serie F, Notes

     10.000     1/1/21        5,807,000 BRL      1,548,036  

Brazil Notas do Tesouro Nacional Serie F, Notes

     10.000     1/1/23        58,562,000 BRL      15,796,413  
         

 

 

 

Total Brazil

            17,344,449  
         

 

 

 

Colombia - 3.1%

         

Colombia Government International Bond, Senior Notes

     7.375     9/18/37        16,567,000       21,723,479 (d)(e) 

Colombia Government International Bond, Senior Notes

     6.125     1/18/41        2,080,000       2,462,741 (d) 

Colombia Government International Bond, Senior Notes

     5.200     5/15/49        4,600,000       4,955,580 (d) 
         

 

 

 

Total Colombia

            29,141,800  
         

 

 

 

Costa Rica - 0.4%

         

Costa Rica Government International Bond, Senior Notes

     7.158     3/12/45        4,200,000       4,068,750 (a)(d) 
         

 

 

 

Croatia - 1.0%

         

Croatia Government International Bond, Senior Notes

     6.625     7/14/20        3,640,000       3,809,176 (a)(d) 

Croatia Government International Bond, Senior Notes

     5.500     4/4/23        5,640,000       6,123,957 (b)(d) 
         

 

 

 

Total Croatia

            9,933,133  
         

 

 

 

Dominican Republic - 1.6%

         

Dominican Republic International Bond, Senior Notes

     5.500     1/27/25        8,210,000       8,466,645 (a)(d) 

Dominican Republic International Bond, Senior Notes

     6.850     1/27/45        6,300,000       6,764,625 (a)(d) 
         

 

 

 

Total Dominican Republic

            15,231,270  
         

 

 

 

 

See Notes to Schedule of Investments.

 

2


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Ecuador - 3.3%

         

Ecuador Government International Bond, Senior Notes

     10.750     3/28/22        5,270,000     $ 5,908,987 (b)(d) 

Ecuador Government International Bond, Senior Notes

     10.750     3/28/22        4,210,000       4,720,463 (a)(d) 

Ecuador Government International Bond, Senior Notes

     7.875     1/23/28        19,400,000       18,522,150 (a) 

Ecuador Government International Bond, Senior Notes

     10.750     1/31/29        2,340,000       2,586,285 (a) 
         

 

 

 

Total Ecuador

            31,737,885  
         

 

 

 

Egypt - 2.7%

         

Egypt Government International Bond, Senior Notes

     6.125     1/31/22        5,430,000       5,505,135 (a) 

Egypt Government International Bond, Senior Notes

     8.500     1/31/47        5,100,000       5,218,774 (a) 

Egypt Government International Bond, Senior Notes

     8.700     3/1/49        14,270,000       14,876,960 (a) 
         

 

 

 

Total Egypt

            25,600,869  
         

 

 

 

El Salvador - 0.7%

         

El Salvador Government International Bond, Senior Notes

     6.375     1/18/27        6,380,000       6,276,389 (a)(d) 
         

 

 

 

Ethiopia - 0.3%

         

Ethiopia International Bond, Senior Notes

     6.625     12/11/24        2,500,000       2,548,625 (b) 
         

 

 

 

Georgia - 0.3%

         

Georgia Government International Bond

     6.875     4/12/21        2,360,000       2,501,010 (b)(d) 
         

 

 

 

Ghana - 3.7%

         

Ghana Government International Bond, Senior Notes

     7.875     8/7/23        2,323,700       2,432,393 (b) 

Ghana Government International Bond, Senior Notes

     8.125     1/18/26        1,620,000       1,666,575 (a)(d) 

Ghana Government International Bond, Senior Notes

     7.875     3/26/27        5,400,000       5,462,267 (a) 

Ghana Government International Bond, Senior Notes

     7.625     5/16/29        3,350,000       3,282,759 (a)(d) 

Ghana Government International Bond, Senior Notes

     10.750     10/14/30        5,270,000       6,430,296 (a)(d) 

Ghana Government International Bond, Senior Notes

     8.950     3/26/51        10,800,000       10,852,758 (a) 

Republic of Ghana Government Bonds

     18.000     7/26/21        11,000,000 GHS      2,076,960  

Republic of Ghana Government Bonds

     17.600     11/28/22        18,000,000 GHS      3,280,991  
         

 

 

 

Total Ghana

            35,484,999  
         

 

 

 

 

See Notes to Schedule of Investments.

 

3


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Guatemala - 0.3%

         

Guatemala Government Bond, Senior Notes

     4.375     6/5/27        2,700,000     $ 2,600,910 (a)(d) 
         

 

 

 

Honduras - 0.5%

         

Honduras Government International Bond, Senior Notes

     7.500     3/15/24        960,000       1,057,200 (b) 

Honduras Government International Bond, Senior Notes

     6.250     1/19/27        3,500,000       3,714,375 (a) 
         

 

 

 

Total Honduras

            4,771,575  
         

 

 

 

Hungary - 1.5%

         

Hungary Government International Bond, Senior Notes

     5.750     11/22/23        12,608,000       13,964,734 (d) 
         

 

 

 

Indonesia - 9.7%

         

Indonesia Government International Bond, Senior Notes

     4.875     5/5/21        213,000       221,113 (b)(d) 

Indonesia Government International Bond, Senior Notes

     4.875     5/5/21        1,060,000       1,100,375 (a)(d) 

Indonesia Government International Bond, Senior Notes

     3.375     4/15/23        4,720,000       4,732,045 (a)(d) 

Indonesia Government International Bond, Senior Notes

     5.875     1/15/24        7,049,000       7,786,220 (a)(d) 

Indonesia Government International Bond, Senior Notes

     6.625     2/17/37        3,210,000       3,935,534 (b)(d) 

Indonesia Government International Bond, Senior Notes

     5.250     1/17/42        2,520,000       2,717,150 (b)(d) 

Indonesia Government International Bond, Senior Notes

     5.250     1/17/42        20,750,000       22,373,355 (a)(d) 

Indonesia Government International Bond, Senior Notes

     4.750     7/18/47        20,800,000       21,338,387 (a)(d)(e) 

Indonesia Treasury Bond, Senior Notes

     7.000     5/15/22        133,900,000,000 IDR      9,430,923  

Indonesia Treasury Bond, Senior Notes

     8.375     9/15/26        131,422,000,000 IDR      9,706,678  

Indonesia Treasury Bond, Senior Notes

     8.375     3/15/34        126,438,000,000 IDR      9,136,211  
         

 

 

 

Total Indonesia

            92,477,991  
         

 

 

 

 

See Notes to Schedule of Investments.

 

4


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Ivory Coast - 0.8%

         

Ivory Coast Government International Bond, Senior Notes

     5.375     7/23/24        1,350,000     $ 1,324,130 (a) 

Ivory Coast Government International Bond, Senior Notes

     6.375     3/3/28        2,680,000       2,618,601 (a)(d) 

Ivory Coast Government International Bond, Senior Notes

     6.125     6/15/33        3,540,000       3,269,144 (a)(d) 
         

 

 

 

Total Ivory Coast

            7,211,875  
         

 

 

 

Jamaica - 0.6%

         

Jamaica Government International Bond, Senior Notes

     6.750     4/28/28        3,390,000       3,779,884 (d) 

Jamaica Government International Bond, Senior Notes

     8.000     3/15/39        1,760,000       2,114,218 (d) 
         

 

 

 

Total Jamaica

            5,894,102  
         

 

 

 

Jordan - 0.4%

         

Jordan Government International Bond, Senior Notes

     6.125     1/29/26        440,000       444,562 (a) 

Jordan Government International Bond, Senior Notes

     5.750     1/31/27        2,840,000       2,789,332 (a) 

Jordan Government International Bond, Senior Notes

     7.375     10/10/47        320,000       315,958 (a) 
         

 

 

 

Total Jordan

            3,549,852  
         

 

 

 

Kazakhstan - 1.1%

         

Kazakhstan Government International Bond, Senior Notes

     3.875     10/14/24        9,890,000       10,205,244 (b)(d) 
         

 

 

 

Kenya - 0.6%

         

Kenya Government International Bond, Senior Notes

     6.875     6/24/24        200,000       205,802 (a)(d) 

Kenya Government International Bond, Senior Notes

     7.250     2/28/28        5,300,000       5,366,674 (a)(d) 
         

 

 

 

Total Kenya

            5,572,476  
         

 

 

 

Lebanon - 1.1%

         

Lebanon Government International Bond, Senior Notes

     6.000     1/27/23        12,800,000       10,966,029 (b) 
         

 

 

 

Lithuania - 0.6%

         

Lithuania Government International Bond, Senior Notes

     6.125     3/9/21        5,850,000       6,193,845 (a)(d) 
         

 

 

 

Mexico - 1.9%

         

Mexican Bonos, Bonds

     6.500     6/9/22        199,640,000 MXN      9,915,223 (d) 

Mexico Government International Bond, Senior Notes

     6.050     1/11/40        1,132,000       1,297,838 (d) 

Mexico Government International Bond, Senior Notes

     4.350     1/15/47        7,350,000       6,907,162 (d) 
         

 

 

 

Total Mexico

            18,120,223  
         

 

 

 

 

See Notes to Schedule of Investments.

 

5


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Nigeria - 2.1%

          

Nigeria Government International Bond, Senior Notes

     7.625     11/21/25        3,000,000      $ 3,206,880 (a)(d) 

Nigeria Government International Bond, Senior Notes

     7.875     2/16/32        2,200,000        2,291,965 (b)(d) 

Nigeria Government International Bond, Senior Notes

     7.875     2/16/32        4,120,000        4,292,224 (a)(d) 

Nigeria Government International Bond, Senior Notes

     7.625     11/28/47        2,970,000        2,897,158 (a)(d) 

Nigeria Government International Bond, Senior Notes

     9.248     1/21/49        6,200,000        6,891,709 (a)(d) 
          

 

 

 

Total Nigeria

             19,579,936  
          

 

 

 

Oman - 1.4%

          

Oman Government International Bond, Senior Notes

     4.750     6/15/26        5,270,000        4,827,541 (a) 

Oman Government International Bond, Senior Notes

     5.375     3/8/27        830,000        773,975 (a) 

Oman Government International Bond, Senior Notes

     5.625     1/17/28        7,900,000        7,425,052 (a)(d) 
          

 

 

 

Total Oman

             13,026,568  
          

 

 

 

Panama - 0.2%

          

Panama Government International Bond, Senior Notes

     9.375     4/1/29        910,000        1,332,240 (d) 

Panama Government International Bond, Senior Notes

     6.700     1/26/36        159,000        208,290 (d) 
          

 

 

 

Total Panama

             1,540,530  
          

 

 

 

Paraguay - 0.6%

          

Paraguay Government International Bond, Senior Notes

     5.000     4/15/26        3,500,000        3,696,630 (a)(d) 

Paraguay Government International Bond, Senior Notes

     5.400     3/30/50        1,910,000        2,006,694 (a)(d) 
          

 

 

 

Total Paraguay

             5,703,324  
          

 

 

 

 

See Notes to Schedule of Investments.

 

6


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Peru - 5.5%

         

Peruvian Government International Bond, Senior Notes

     7.350     7/21/25        10,300,000     $ 12,988,300 (d) 

Peruvian Government International Bond, Senior Notes

     8.750     11/21/33        19,998,000       31,396,860 (d)(e) 

Peruvian Government International Bond, Senior Notes

     6.550     3/14/37        6,189,000       8,362,948 (d) 
         

 

 

 

Total Peru

            52,748,108  
         

 

 

 

Philippines - 0.5%

         

Philippine Government International Bond, Senior Notes

     3.950     1/20/40        4,600,000       4,855,203 (d) 
         

 

 

 

Poland - 2.9%

         

Republic of Poland Government International Bond, Senior Notes

     5.125     4/21/21        10,940,000       11,478,686 (d)(e) 

Republic of Poland Government International Bond, Senior Notes

     5.000     3/23/22        14,784,000       15,700,815 (d)(e) 
         

 

 

 

Total Poland

            27,179,501  
         

 

 

 

Qatar - 2.5%

         

Qatar Government International Bond, Senior Notes

     5.103     4/23/48        7,920,000       8,692,200 (a)(e) 

Qatar Government International Bond, Senior Notes

     4.817     3/14/49        14,100,000       14,861,851 (a)(e) 
         

 

 

 

Total Qatar

            23,554,051  
         

 

 

 

Romania - 0.2%

         

Romanian Government International Bond, Senior Notes

     4.875     1/22/24        1,570,000       1,674,429 (a)(d) 
         

 

 

 

Russia - 5.4%

         

Russian Federal Bond — OFZ

     7.000     1/25/23        964,000,000 RUB      14,289,943  

Russian Federal Bond — OFZ

     8.150     2/3/27        289,580,000 RUB      4,439,138  

Russian Federal Bond — OFZ

     7.050     1/19/28        83,026,000 RUB      1,181,047  

Russian Foreign Bond — Eurobond, Senior Notes

     12.750     6/24/28        790,000       1,274,366 (b)(d) 

Russian Foreign Bond — Eurobond, Senior Notes

     7.500     3/31/30        20,158,875       22,514,843 (b)(d) 

Russian Foreign Bond — Eurobond, Senior Notes

     5.625     4/4/42        3,400,000       3,684,750 (a)(d) 

Russian Foreign Bond — Eurobond, Senior Notes

     5.875     9/16/43        3,400,000       3,805,756 (a)(d) 
         

 

 

 

Total Russia

            51,189,843  
         

 

 

 

 

See Notes to Schedule of Investments.

 

7


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Senegal - 1.9%

         

Senegal Government International Bond

     6.250     5/23/33        8,100,000     $ 7,798,324 (a) 

Senegal Government International Bond, Senior Notes

     6.250     7/30/24        2,170,000       2,257,049 (b) 

Senegal Government International Bond, Senior Notes

     4.750     3/13/28        4,800,000 EUR      5,334,406 (a) 

Senegal Government International Bond, Senior Notes

     6.750     3/13/48        2,650,000       2,452,575 (a) 
         

 

 

 

Total Senegal

            17,842,354  
         

 

 

 

South Africa - 0.5%

         

Republic of South Africa Government International Bond, Senior Notes

     5.375     7/24/44        5,000,000       4,665,815 (d) 
         

 

 

 

Sri Lanka - 2.1%

         

Sri Lanka Government International Bond, Senior Notes

     6.250     10/4/20        7,500,000       7,630,028 (b)(d) 

Sri Lanka Government International Bond, Senior Notes

     5.875     7/25/22        3,460,000       3,476,366 (b)(d) 

Sri Lanka Government International Bond, Senior Notes

     6.125     6/3/25        4,000,000       3,905,024 (b)(d) 

Sri Lanka Government International Bond, Senior Notes

     6.200     5/11/27        4,900,000       4,715,103 (a)(d) 
         

 

 

 

Total Sri Lanka

            19,726,521  
         

 

 

 

Turkey - 1.9%

         

Export Credit Bank of Turkey, Senior Notes

     5.000     9/23/21        4,291,000       4,002,430 (a)(d) 

Turkey Government International Bond, Senior Notes

     3.250     3/23/23        850,000       754,518 (d) 

Turkey Government International Bond, Senior Notes

     5.750     3/22/24        450,000       426,798 (d) 

Turkey Government International Bond, Senior Notes

     4.250     4/14/26        5,400,000       4,549,198 (d) 

Turkey Government International Bond, Senior Notes

     6.125     10/24/28        1,000,000       911,795 (d) 

Turkey Government International Bond, Senior Notes

     4.875     4/16/43        10,660,000       7,921,616 (d) 
         

 

 

 

Total Turkey

            18,566,355  
         

 

 

 

 

See Notes to Schedule of Investments.

 

8


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Ukraine - 2.4%

         

Ukraine Government International Bond, Senior Notes

     7.750     9/1/20        3,240,000     $ 3,238,215 (a)(d) 

Ukraine Government International Bond, Senior Notes

     7.750     9/1/24        5,640,000       5,446,615 (a)(d) 

Ukraine Government International Bond, Senior Notes

     9.750     11/1/28        13,480,000       13,928,210 (b) 
         

 

 

 

Total Ukraine

            22,613,040  
         

 

 

 

United Arab Emirates - 0.6%

         

Abu Dhabi Government International Bond, Senior Notes

     4.125     10/11/47        5,400,000       5,464,260 (a) 
         

 

 

 

Uruguay - 2.1%

         

Uruguay Government International Bond, Senior Notes

     9.875     6/20/22        142,400,000 UYU      4,234,045 (a) 

Uruguay Government International Bond, Senior Notes

     9.875     6/20/22        85,770,000 UYU      2,550,239 (b) 

Uruguay Government International Bond, Senior Notes

     4.375     10/27/27        2,943,154       3,105,396 (d) 

Uruguay Government International Bond, Senior Notes

     5.100     6/18/50        5,760,000       6,170,400 (d) 

Uruguay Government International Bond, Senior Notes

     4.975     4/20/55        3,700,000       3,885,000 (d) 
         

 

 

 

Total Uruguay

            19,945,080  
         

 

 

 

Venezuela - 1.0%

         

Venezuela Government International Bond, Senior Notes

     7.750     10/13/19        22,130,000       6,445,362 *(b)(f) 

Venezuela Government International Bond, Senior Notes

     8.250     10/13/24        7,000,000       2,108,750 *(b)(f) 

Venezuela Government International Bond, Senior Notes

     9.250     9/15/27        4,205,000       1,345,600 *(f) 
         

 

 

 

Total Venezuela

            9,899,712  
         

 

 

 

Vietnam - 1.1%

         

Vietnam Government International Bond, Senior Notes

     6.750     1/29/20        1,690,000       1,739,635 (b)(d) 

Vietnam Government International Bond, Senior Notes

     4.800     11/19/24        8,700,000       9,124,813 (a)(d) 
         

 

 

 

Total Vietnam

            10,864,448  
         

 

 

 

TOTAL SOVEREIGN BONDS
(Cost - $781,465,021)

 

       782,357,885  
         

 

 

 

 

See Notes to Schedule of Investments.

 

9


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
CORPORATE BONDS & NOTES - 52.4%           
COMMUNICATION SERVICES - 2.3%           

Diversified Telecommunication Services - 0.8%

          

Ooredoo International Finance Ltd., Senior Notes

     4.750     2/16/21        2,710,000      $ 2,783,441 (a)(d) 

Turk Telekomunikasyon AS, Senior Notes

     6.875     2/28/25        4,680,000        4,494,770 (a)(d) 
          

 

 

 

Total Diversified Telecommunication Services

             7,278,211  
          

 

 

 

Media - 0.7%

          

Grupo Televisa SAB, Senior Notes

     6.625     1/15/40        1,480,000        1,737,676 (d) 

Myriad International Holdings BV, Senior Notes

     5.500     7/21/25        2,750,000        2,948,825 (a)(d) 

Myriad International Holdings BV, Senior Notes

     4.850     7/6/27        2,250,000        2,316,141 (a)(d) 
          

 

 

 

Total Media

             7,002,642  
          

 

 

 

Wireless Telecommunication Services - 0.8%

          

Millicom International Cellular SA, Senior Notes

     5.125     1/15/28        2,650,000        2,547,313 (a)(d) 

Millicom International Cellular SA, Senior Notes

     6.250     3/25/29        4,710,000        4,803,305 (a) 

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

     7.748     2/2/21        440,000        476,951 (a)(d) 
          

 

 

 

Total Wireless Telecommunication Services

 

        7,827,569  
          

 

 

 

TOTAL COMMUNICATION SERVICES

             22,108,422  
          

 

 

 
CONSUMER DISCRETIONARY - 0.6%           

Hotels, Restaurants & Leisure - 0.6%

          

Gohl Capital Ltd., Senior Notes

     4.250     1/24/27        3,130,000        3,114,187 (b)(d) 

Sands China Ltd., Senior Notes

     5.125     8/8/25        2,500,000        2,609,222 (d) 
          

 

 

 

TOTAL CONSUMER DISCRETIONARY

             5,723,409  
          

 

 

 
CONSUMER STAPLES - 0.1%           

Food & Staples Retailing - 0.1%

          

Prosperous Ray Ltd., Senior Notes

     4.625     11/12/23        680,000        714,325 (b)(d) 
          

 

 

 
ENERGY - 21.8%           

Oil, Gas & Consumable Fuels - 21.8%

          

Borets Finance DAC, Senior Notes

     6.500     4/7/22        2,000,000        2,030,820 (a)(d) 

CNOOC Curtis Funding No 1 Pty Ltd., Senior Notes

     4.500     10/3/23        2,750,000        2,892,048 (b)(d) 

Dolphin Energy Ltd. LLC, Senior Secured Notes

     5.888     6/15/19        604,296        607,870 (b)(d) 

Ecopetrol SA, Senior Notes

     5.875     9/18/23        3,010,000        3,295,197 (d) 

 

See Notes to Schedule of Investments.

 

10


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Oil, Gas & Consumable Fuels - (continued)

          

Ecopetrol SA, Senior Notes

     5.875     5/28/45        7,160,000      $ 7,446,400 (d) 

GNL Quintero SA, Senior Notes

     4.634     7/31/29        1,877,000        1,946,918 (a)(d) 

KazMunayGas National Co. JSC, Senior Notes

     4.400     4/30/23        4,000,000        4,097,628 (b) 

KazMunayGas National Co. JSC, Senior Notes

     4.750     4/19/27        5,160,000        5,303,654 (a)(d) 

KazMunayGas National Co. JSC, Senior Notes

     5.750     4/19/47        4,970,000        5,189,773 (a)(d) 

KazMunayGas National Co. JSC, Senior Notes

     6.375     10/24/48        5,300,000        5,809,213 (a)(d) 

KazTransGas JSC, Senior Notes

     4.375     9/26/27        5,900,000        5,735,632 (a)(d) 

Lukoil International Finance BV, Senior Notes

     6.656     6/7/22        3,524,000        3,803,235 (b)(d) 

Lukoil International Finance BV, Senior Notes

     4.750     11/2/26        3,500,000        3,562,125 (a)(d) 

Pertamina Persero PT, Senior Notes

     5.250     5/23/21        6,760,000        7,034,355 (a)(d) 

Pertamina Persero PT, Senior Notes

     4.875     5/3/22        2,540,000        2,647,272 (a)(d) 

Petrobras Global Finance BV, Senior Notes

     5.375     1/27/21        16,220,000        16,726,875 (d)(e) 

Petrobras Global Finance BV, Senior Notes

     8.375     5/23/21        1,000,000        1,101,500 (d) 

Petrobras Global Finance BV, Senior Notes

     7.375     1/17/27        5,600,000        6,173,160 (d) 

Petrobras Global Finance BV, Senior Notes

     5.750     2/1/29        6,000,000        5,958,000 (e) 

Petrobras Global Finance BV, Senior Notes

     6.850     6/5/2115        16,800,000        16,311,960 (d) 

Petroleos de Venezuela SA, Senior Notes

     9.000     11/17/21        16,630,000        4,569,924 (b)(f) 

Petroleos de Venezuela SA, Senior Notes

     6.000     5/16/24        8,145,000        1,901,858 (b)(f) 

Petroleos del Peru SA, Senior Notes

     4.750     6/19/32        10,800,000        11,110,500 (a)(d) 

Petroleos Mexicanos, Senior Notes

     4.500     1/23/26        6,000,000        5,593,800 (d) 

Petroleos Mexicanos, Senior Notes

     6.875     8/4/26        2,561,000        2,675,733 (d) 

Petroleos Mexicanos, Senior Notes

     6.625     6/15/35        14,060,000        13,321,850 (d) 

Petroleos Mexicanos, Senior Notes

     6.350     2/12/48        3,400,000        3,014,610 (d) 

Petronas Capital Ltd., Senior Notes

     5.250     8/12/19        10,270,000        10,372,823 (a)(d) 

Petronas Capital Ltd., Senior Notes

     5.250     8/12/19        1,388,000        1,401,897 (b)(d) 

Ras Laffan Liquefied Natural Gas Co. Ltd. 3, Senior Secured Notes

     6.750     9/30/19        6,218,000        6,337,989 (b)(d) 

 

See Notes to Schedule of Investments.

 

11


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Oil, Gas & Consumable Fuels - (continued)

         

Reliance Holding USA Inc., Senior Notes

     4.500     10/19/20        6,610,000     $ 6,728,818 (a)(d) 

Sinopec Group Overseas Development 2017 Ltd., Senior Notes

     4.000     9/13/47        10,060,000       10,012,678 (b)(d) 

Transportadora de Gas del Peru SA, Senior Notes

     4.250     4/30/28        1,080,000       1,101,600 (b)(d) 

Transportadora de Gas del Peru SA, Senior Notes

     4.250     4/30/28        5,420,000       5,528,400 (a)(d) 

Transportadora de Gas del Sur SA, Senior Notes

     6.750     5/2/25        3,000,000       2,838,000 (a)(d) 

Transportadora de Gas Internacional SA ESP, Senior Notes

     5.550     11/1/28        2,300,000       2,492,625 (a)(d) 

Ultrapar International SA, Senior Notes

     5.250     10/6/26        3,190,000       3,221,900 (a)(d) 

YPF SA, Senior Notes

     8.500     3/23/21        4,700,000       4,759,925 (a)(d) 

YPF SA, Senior Notes

     16.500     5/9/22        78,563,600 ARS      1,161,273 (a) 

YPF SA, Senior Notes

     16.500     5/9/22        39,570,000 ARS      584,897 (b) 

YPF SA, Senior Notes (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 4.000%)

     51.729     7/7/20        3,000,000       1,159,814 (b)(c)(d) 
         

 

 

 

TOTAL ENERGY

            207,564,549  
         

 

 

 
FINANCIALS - 8.4%          

Banks - 6.6%

         

Banco Bilbao Vizcaya Argentaria Colombia SA, Subordinated Notes

     4.875     4/21/25        2,450,000       2,546,775 (a)(d) 

Banco del Estado de Chile, Senior Notes

     4.125     10/7/20        1,110,000       1,125,886 (d) 

Banco Mercantil del Norte SA, Junior Subordinated Notes (7.625% to 1/10/28 then 10 year Treasury Constant Maturity Rate + 5.353%)

     7.625     1/10/28        5,900,000       5,929,500 (a)(c)(d)(g) 

Banco Nacional de Costa Rica, Senior Notes

     5.875     4/25/21        5,090,000       5,121,812 (a)(d) 

BBVA Banco Continental SA, Subordinated Notes (5.250% to 9/22/24 then 5 year Treasury Constant Maturity Rate + 2.750%)

     5.250     9/22/29        980,000       1,032,685 (a)(c)(d) 

BBVA Bancomer SA, Subordinated Notes (5.350% to 11/12/24 then 5 year Treasury Constant Maturity Rate + 3.000%)

     5.350     11/12/29        1,350,000       1,301,427 (a)(c)(d) 

 

See Notes to Schedule of Investments.

 

12


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Banks - (continued)

          

HSBC Holdings PLC, Senior Notes

     4.300     3/8/26        1,890,000      $ 1,962,925 (d) 

Itau Unibanco Holding SA, Junior Subordinated Notes (6.500% to 3/19/23 then 5 Year Treasury Constant Maturiy Rate + 3.863%)

     6.500     3/19/23        6,970,000        6,917,795 (a)(c)(d)(g) 

Russian Agricultural Bank OJSC Via RSHB Capital SA, Subordinated Notes

     8.500     10/16/23        16,770,000        17,455,893 (b)(d) 

Shinhan Bank Co. Ltd., Subordinated Notes

     3.875     3/24/26        1,260,000        1,264,957 (a)(d) 

TC Ziraat Bankasi AS, Senior Notes

     5.125     9/29/23        10,810,000        9,432,428 (a)(d) 

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

     7.000     1/31/24        2,340,000        2,376,539 (a)(c)(d)(g) 

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

     7.296     4/2/34        6,410,000        6,471,098 (a)(c)(h) 
          

 

 

 

Total Banks

             62,939,720  
          

 

 

 

Diversified Financial Services - 1.8%

          

Banco Nacional de Comercio Exterior SNC, Senior Notes

     4.375     10/14/25        5,760,000        5,720,717 (a)(d) 

DAE Funding LLC, Senior Notes

     4.500     8/1/22        4,700,000        4,747,000 (a)(d) 

DAE Funding LLC, Senior Notes

     5.000     8/1/24        2,880,000        2,923,200 (a)(d) 

Park Aerospace Holdings Ltd., Senior Notes

     5.250     8/15/22        1,000,000        1,027,400 (a)(d) 

Park Aerospace Holdings Ltd., Senior Notes

     5.500     2/15/24        1,980,000       

 

2,060,487

 

(a)(d)  

 

          

 

 

 

Total Diversified Financial Services

             16,478,804  
          

 

 

 

TOTAL FINANCIALS

             79,418,524  
          

 

 

 
INDUSTRIALS - 2.0%           

Industrial Conglomerates - 1.2%

          

Alfa SAB de CV, Senior Notes

     6.875     3/25/44        1,000,000        1,087,510 (a)(d) 

General Electric Co., Senior Notes

     3.150     9/7/22        5,025,000        5,009,653 (d) 

Sinochem Overseas Capital Co. Ltd., Senior Notes

     4.500     11/12/20        5,220,000        5,332,914 (a)(d) 
          

 

 

 

Total Industrial Conglomerates

             11,430,077  
          

 

 

 

Road & Rail - 0.3%

          

Empresa de Transporte de Pasajeros Metro SA, Senior Notes

     5.000     1/25/47        2,560,000        2,709,786 (a)(d) 
          

 

 

 

 

See Notes to Schedule of Investments.

 

13


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Transportation Infrastructure - 0.5%

          

DP World PLC, Senior Notes

     5.625     9/25/48        3,400,000      $ 3,547,131 (a)(d) 

Pelabuhan Indonesia II PT, Senior Notes

     4.250     5/5/25        1,000,000        1,014,520 (a)(d) 
          

 

 

 

Total Transportation Infrastructure

             4,561,651  
          

 

 

 

TOTAL INDUSTRIALS

             18,701,514  
          

 

 

 
MATERIALS - 10.1%           

Chemicals - 4.8%

          

Braskem America Finance Co., Senior Notes

     7.125     7/22/41        210,000        243,075 (b)(d) 

Braskem Finance Ltd., Senior Notes

     6.450     2/3/24        2,350,000        2,563,169 (d) 

Chandra Asri Petrochemical Tbk PT, Senior Notes

     4.950     11/8/24        2,160,000        2,060,698 (a)(d) 

CNAC HK Finbridge Co. Ltd., Senior Notes

     4.625     3/14/23        10,700,000        11,117,139 (b)(d) 

CNAC HK Finbridge Co. Ltd., Senior Notes

     4.125     7/19/27        3,950,000        3,997,886 (b)(d) 

Equate Petrochemical BV, Senior Notes

     3.000     3/3/22        492,000        486,191 (b)(d) 

Equate Petrochemical BV, Senior Notes

     4.250     11/3/26        1,300,000        1,315,397 (a)(d) 

Equate Petrochemical BV, Senior Notes

     4.250     11/3/26        200,000        202,369 (b)(d) 

Mexichem SAB de CV, Senior Notes

     4.875     9/19/22        2,101,000        2,187,666 (a)(d) 

Mexichem SAB de CV, Senior Notes

     5.875     9/17/44        4,960,000        4,918,733 (a)(d) 

OCP SA, Senior Notes

     5.625     4/25/24        4,900,000        5,155,295 (a)(d) 

OCP SA, Senior Notes

     4.500     10/22/25        5,590,000        5,547,728 (a)(d) 

Phosagro OAO Via Phosagro Bond Funding DAC, Senior Notes

     3.950     11/3/21        5,600,000        5,570,992 (a)(d) 
          

 

 

 

Total Chemicals

             45,366,338  
          

 

 

 

Construction Materials - 0.3%

          

Cemex SAB de CV, Senior Secured Notes

     6.125     5/5/25        2,920,000        3,029,500 (a)(d) 
          

 

 

 

Metals & Mining - 3.4%

          

Indonesia Asahan Aluminium Persero PT, Senior Notes

     5.230     11/15/21        4,000,000        4,165,672 (a)(d) 

Indonesia Asahan Aluminium Persero PT, Senior Notes

     5.710     11/15/23        10,120,000        10,927,728 (a)(d) 

Indonesia Asahan Aluminium Persero PT, Senior Notes

     6.757     11/15/48        4,500,000        5,193,859 (a)(d) 

 

See Notes to Schedule of Investments.

 

14


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Metals & Mining - (continued)

          

Southern Copper Corp., Senior Notes

     7.500     7/27/35        310,000      $ 391,282 (d) 

Southern Copper Corp., Senior Notes

     6.750     4/16/40        8,490,000        10,222,618 (d) 

Southern Copper Corp., Senior Notes

     5.250     11/8/42        1,110,000        1,158,794 (d) 

Vale Overseas Ltd., Senior Notes

     4.375     1/11/22        291,000        298,130 (d) 
          

 

 

 

Total Metals & Mining

             32,358,083  
          

 

 

 

Paper & Forest Products - 1.6%

          

Inversiones CMPC SA, Senior Notes

     4.500     4/25/22        2,350,000        2,408,664 (a)(d) 

Inversiones CMPC SA, Senior Notes

     4.375     5/15/23        2,070,000        2,111,727 (a)(d) 

Suzano Austria GmbH, Senior Notes

     5.750     7/14/26        5,450,000        5,821,145 (a)(d) 

Suzano Austria GmbH, Senior Notes

     6.000     1/15/29        4,440,000        4,740,632 (a)(d) 
          

 

 

 

Total Paper & Forest Products

             15,082,168  
          

 

 

 

TOTAL MATERIALS

             95,836,089  
          

 

 

 
REAL ESTATE - 2.6%           

Real Estate Management & Development - 2.6%

          

China Aoyuan Group Ltd., Senior Secured Notes

     7.950     9/7/21        4,000,000        4,132,680 (b) 

China Overseas Finance Cayman III Ltd., Senior Notes

     5.375     10/29/23        2,460,000        2,658,359 (b)(d) 

China Overseas Finance Cayman VII Ltd., Senior Notes

     4.250     4/26/23        6,000,000        6,189,168 (b) 

Country Garden Holdings Co. Ltd., Senior Secured Notes

     4.750     7/25/22        10,000,000        9,775,450 (b) 

Yuzhou Properties Co. Ltd., Senior Secured Notes

     6.000     10/25/23        2,000,000        1,910,444 (b)(d) 
          

 

 

 

TOTAL REAL ESTATE

             24,666,101  
          

 

 

 
UTILITIES - 4.5%           

Electric Utilities - 4.1%

          

Abu Dhabi National Energy Co. PJSC, Senior Notes

     4.875     4/23/30        5,100,000        5,422,320 (a)(d) 

Comision Federal de Electricidad, Senior Notes

     4.875     1/15/24        2,340,000        2,404,373 (a)(d) 

Enel Chile SA, Senior Notes

     4.875     6/12/28        5,150,000        5,444,065 (d) 

Eskom Holdings SOC Ltd.

     6.350     8/10/28        5,000,000        5,155,355 (b) 

Kallpa Generacion SA, Senior Notes

     4.875     5/24/26        2,270,000        2,360,800 (b)(d) 

Pampa Energia SA, Senior Notes

     7.375     7/21/23        1,490,000        1,395,400 (b)(d) 

Pampa Energia SA, Senior Notes

     7.500     1/24/27        4,950,000        4,387,185 (a)(d) 

 

See Notes to Schedule of Investments.

 

15


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

     RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Electric Utilities - (continued)

 

    

Perusahaan Listrik Negara PT, Senior Notes

 

     5.450     5/21/28        4,810,000     $ 5,148,550 (a)(d) 

Perusahaan Listrik Negara PT, Senior Notes

 

     5.250     5/15/47        7,810,000       7,755,740 (b)(d) 
            

 

 

 

Total Electric Utilities

               39,473,788  
            

 

 

 

Independent Power and Renewable Electricity Producers - 0.4%

 

Enel Generacion Chile SA, Senior Notes

 

     4.250     4/15/24        500,000       511,925 (d) 

Minejesa Capital BV, Senior Secured Notes

 

     5.625     8/10/37        3,100,000       3,087,786 (a)(d) 
            

 

 

 

Total Independent Power and Renewable Electricity Producers

 

    3,599,711  
            

 

 

 

TOTAL UTILITIES

               43,073,499  
            

 

 

 

TOTAL CORPORATE BONDS & NOTES
(Cost - $489,386,116)

 

    497,806,432  
            

 

 

 
NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 0.2%

 

Argentina - 0.2%

            

Bonos de la Nacion Argentina con Ajuste por CER, Bonds
(Cost - $3,766,015)

 

     4.000     3/6/20        87,787,008 ARS      1,948,542  
            

 

 

 
     COUNTERPARTY      EXPIRATION
DATE
    CONTRACTS      NOTIONAL
AMOUNT†
       

PURCHASED OPTIONS - 0.1%

OTC PURCHASED OPTIONS - 0.1%

 

 

 
 

Euro/U.S. Dollar, Put @ $1.15

     JPMorgan Chase & Co.        10/21/19       16,000,000        16,000,000       420,031  

U.S. Dollar/Brazilian Real, Put @ 3.65BRL

     Barclays Bank PLC        7/16/19       9,250,000        9,250,000       48,465  

U.S. Dollar/ Colombian Peso, Put @ 3,050.00COP

     Citibank N.A.        8/30/19       9,500,000        9,500,000       72,257  

U.S. Dollar/Indian Rupee, Put @ 71.00INR

     Barclays Bank PLC        7/11/19       18,400,000        18,400,000       408,928  

U.S. Dollar/Indian Rupee, Put @ 69.20INR

     JPMorgan Chase & Co.        9/23/19       19,240,000        19,240,000       189,503  

U.S. Dollar/ Indonesian Rupiah, Put @ 14,000.00IDR

     JPMorgan Chase & Co.        7/12/19       9,200,000        9,200,000       44,767  
            

 

 

 

TOTAL PURCHASED OPTIONS
(Cost - $1,450,048)

 

            1,183,951  
            

 

 

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $1,276,067,200)

 

    1,283,296,810  
            

 

 

 

 

See Notes to Schedule of Investments.

 

16


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SECURITY

          RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  
SHORT-TERM INVESTMENTS - 6.2%             
SOVEREIGN BONDS - 4.2%             

Egypt - 2.6%

            

Egypt Treasury Bills

        8.375     4/23/19        157,200,000 EGP    $ 9,025,122 (i) 

Egypt Treasury Bills

        15.655     10/1/19        286,425,000 EGP      15,359,289 (i) 
            

 

 

 

Total Egypt

               24,384,411  
            

 

 

 

Argentina - 1.1%

            

Argentina Treasury Bills

        (97.124 )%      4/12/19        306,000,000 ARS      7,929,938 (i) 

Argentina Treasury Bills

        6.679     2/28/20        131,400,000 ARS      2,856,133 (i) 
            

 

 

 

Total Argentina

               10,786,071  
            

 

 

 

Nigeria - 0.5%

            

Nigeria OMO Bill

        13.955     2/20/20        1,954,980,000 NGN      4,819,072 (i) 
            

 

 

 

TOTAL SOVEREIGN BONDS
(Cost - $40,504,537)

               39,989,554  
            

 

 

 
                         SHARES        
MONEY MARKET FUNDS - 2.0%             

Dreyfus Government Cash Management, Institutional Shares
(Cost - $18,787,634)

 

     2.385        18,787,634       18,787,634  
            

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(Cost - $59,292,171)

               58,777,188  
            

 

 

 

TOTAL INVESTMENTS - 141.2%
(Cost - $1,335,359,371)

               1,342,073,998  

Liabilities in Excess of Other Assets - (41.2)%

               (391,493,286
            

 

 

 

TOTAL NET ASSETS - 100.0%

             $ 950,580,712  
            

 

 

 

 

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

 

*

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)

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.

 

(c)

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.

 

(d)

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

 

(e)

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

 

(f)

The coupon payment on these securities is currently in default as of March 31, 2019.

 

(g)

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

 

(h)

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

 

(i)

Rate shown represents yield-to-maturity.

 

See Notes to Schedule of Investments.

 

17


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

Abbreviations used in this schedule:

 

ARS    — Argentine Peso
BRL    — Brazilian Real
CER    — Coeficente de Establilzacion de Referencia
COP    — Colombian Peso
EGP    — Egyptian Pound
EUR    — Euro
GHS    — Ghanaian Cedi
ICE    — Intercontinental Exchange
IDR    — Indonesian Rupiah
INR    — Indian Rupee
JSC    — Joint Stock Company
MXN    — Mexican Peso
NGN    — Nigerian Naira
OJSC    — Open Joint Stock Company
PJSC    — Private Joint Stock Company
RUB    — Russian Ruble
USD    — United States Dollar
UYU    — Uruguayan Peso

At March 31, 2019, the Fund had the following open reverse repurchase agreements:

 

COUNTERPARTY

   RATE     EFFECTIVE
DATE
     MATURITY
DATE
    FACE AMOUNT
OF REVERSE
REPURCHASE
AGREEMENTS
     ASSET CLASS OF
COLLATERAL*
   COLLATERAL
VALUE
 

Barclays Bank PLC

     2.650     10/1/2018        TBD **    $ 4,131,250      Sovereign Bonds    $ 5,129,420  

Barclays Bank PLC

     2.650     10/17/2018        TBD **      36,472,500      Sovereign Bonds      41,004,168  

Barclays Bank PLC

     2.650     11/19/2018        TBD **      3,164,019      Sovereign Bonds      4,103,536  

Barclays Bank PLC

     2.650     11/20/2018        TBD **      4,746,716      Sovereign Bonds      6,155,304  

Barclays Bank PLC

     2.850     1/31/2019        TBD **      16,639,587      Sovereign Bonds      19,668,750  

Credit Suisse First Boston

     3.000     12/21/2018        TBD **      7,128,000      Sovereign Bonds      8,692,200  

Credit Suisse First Boston

     3.200     12/21/2018        TBD **      8,925,000      Sovereign Bonds      10,492,400  

Credit Suisse First Boston

     3.300     12/21/2018        TBD **      4,575,000      Corporate Bonds &
Notes
     5,958,000  

JPMorgan Chase & Co.

     2.550     3/1/2019        4/3/2019       6,149,325      Corporate Bonds &
Notes
     7,218,750  

JPMorgan Chase & Co.

     2.850     3/29/2019        TBD **      12,471,641      Sovereign Bonds      14,756,448  
         

 

 

       

 

 

 
          $ 104,403,038         $ 123,178,976  
         

 

 

       

 

 

 

 

*

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

 

**

TBD — To Be Determined; These reverse repurchase agreements have no maturity dates because they are renewed daily and can be terminated by either the Fund or the counterparty in accordance with the terms of the agreements. The rates for these agreements are variable. The rate disclosed is the rate as of March 31, 2019.

 

See Notes to Schedule of Investments.

 

18


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

SCHEDULE OF WRITTEN OPTIONS

OTC WRITTEN OPTIONS

 

SECURITY

   COUNTERPARTY    EXPIRATION
DATE
     STRIKE
PRICE
    CONTRACTS      NOTIONAL
AMOUNT†
     VALUE  

Euro/U.S. Dollar, Call

   JPMorgan
Chase & Co.
     10/21/19      $ 1.22       16,000,000        16,000,000      $ 38,011  

U.S. Dollar/Brazilian Real, Call

   Barclays Bank
PLC
     7/16/19        3.95 BRL      9,250,000        9,250,000        277,718  

U.S. Dollar/Colombian Peso, Call

   Citibank N.A.      8/30/19        3,250.00 COP      9,500,000        9,500,000        215,017  

U.S. Dollar/Colombian Peso, Put

   Citibank N.A.      8/30/19        2,950.00 COP      9,500,000        9,500,000        27,054  

U.S. Dollar/Indian Rupee, Call

   Barclays Bank
PLC
     7/11/19        75.00 INR      18,400,000        18,400,000        50,072  

U.S. Dollar/Indian Rupee, Call

   JPMorgan
Chase & Co.
     9/23/19        71.50 INR      19,240,000        19,240,000        327,905  

U.S. Dollar/Indian Rupee, Put

   Barclays Bank
PLC
     7/11/19        69.00 INR      18,400,000        18,400,000        151,791  

U.S. Dollar/ Indonesian Rupiah, Call

   JPMorgan
Chase & Co.
     7/12/19        15,200.00 IDR      9,200,000        9,200,000        49,241  
                

 

 

 

TOTAL OTC WRITTEN OPTIONS
(Premiums received - $1,557,001)

 

      $ 1,136,809  
                

 

 

 

 

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

Abbreviations used in this schedule:

 

BRL    — Brazilian Real
COP    — Colombian Peso
IDR    — Indonesian Rupiah
INR    — Indian Rupee

At March 31, 2019, the Fund had the following open futures contracts:

 

     NUMBER OF
CONTRACTS
     EXPIRATION
DATE
     NOTIONAL
AMOUNT
     MARKET
VALUE
     UNREALIZED
DEPRECIATION
 
Contracts to Sell:               

U.S. Treasury 10-Year Notes

     1,323        6/19      $ 161,558,753      $ 164,341,406      $ (2,782,653

At March 31, 2019, the Fund had the following open forward foreign currency contracts:

 

CURRENCY
PURCHASED
     CURRENCY
SOLD
    

COUNTERPARTY

   SETTLEMENT
DATE
     UNREALIZED
APPRECIATION
(DEPRECIATION)
 
USD      10,863,959        RUB        733,339,000      Bank of America N.A.      4/15/19      $ (282,132
BRL      9,483,720        USD        2,534,060      Citibank N.A.      4/15/19        (114,559
USD      9,532,305        MXN        187,000,000      Citibank N.A.      4/15/19        (76,096

 

See Notes to Schedule of Investments.

 

19


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

CURRENCY
PURCHASED
     CURRENCY
SOLD
    

COUNTERPARTY

   SETTLEMENT
DATE
     UNREALIZED
APPRECIATION
(DEPRECIATION)
 
IDR      147,991,378,000        USD        10,356,290      JPMorgan Chase & Co.      4/15/19      $ 14,621  
USD      2,534,670        BRL        9,483,720      JPMorgan Chase & Co.      4/15/19        115,168  
USD      14,442,887        IDR        206,027,785,494      JPMorgan Chase & Co.      4/15/19        4,913  
USD      4,991,337        EUR        4,300,000      Citibank N.A.      4/17/19        160,248  
USD      20,950,517        SAR        78,665,000      Bank of America N.A.      11/14/19        (16,135
                 

 

 

 
Total                   $ (193,972
                 

 

 

 

Abbreviations used in this table:

 

BRL    — Brazilian Real
EUR    — Euro
IDR    — Indonesian Rupiah
MXN    — Mexican Peso
RUB    — Russian Ruble
SAR    — Saudi Arabian Riyal
USD    — United States Dollar

At March 31, 2019, the Fund had the following open swap contracts:

 

OTC CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - BUY PROTECTION1

 

SWAP COUNTERPARTY
(REFERENCE ENTITY)

  NOTIONAL
AMOUNT2
    TERMINATION
DATE
    IMPLIED
CREDIT
SPREAD AT
MARCH 31,
20193
    PERIODIC
PAYMENTS
MADE BY
THE FUND
    MARKET
VALUE
    UPFRONT
PREMIUMS PAID
(RECEIVED)
    UNREALIZED
DEPRECIATION
 
Barclays Bank PLC (Republic of Korea, 7.125%, due 4/16/19)   $ 11,200,000       12/20/22       0.235%       1.000% quarterly     $ (307,618   $ (115,317   $ (192,301
Barclays Bank PLC (Saudi Government International Bond, 2.375%, due 10/26/21)     21,000,000       12/20/22       0.636%       1.000% quarterly       (272,682     21,863       (294,545
 

 

 

         

 

 

   

 

 

   

 

 

 

Total

  $ 32,200,000           $ (580,300   $ (93,454   $ (486,846
 

 

 

         

 

 

   

 

 

   

 

 

 

 

See Notes to Schedule of Investments.

 

20


WESTERN ASSET EMERGING MARKETS DEBT FUND INC.

 

Schedule of investments (unaudited) (cont’d)    March 31, 2019

 

1 

If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index.

 

2 

The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

 

3 

Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.

 

Percentage shown is an annual percentage rate.

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.

 

21


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 to seek high current income and the Fund’s secondary objective is to seek capital appreciation.

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. 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 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 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.

 

22


Notes to Schedule of Investments (unaudited) (continued)

 

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)

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

 

23


Notes to Schedule of Investments (unaudited) (continued)

 

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

     —        $ 782,357,885        —        $ 782,357,885  

Corporate Bonds & Notes

     —          497,806,432        —          497,806,432  

Non-U.S. Treasury Inflation

           

Protected Securities

     —          1,948,542        —          1,948,542  

Purchased Options

     —          1,183,951        —          1,183,951  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Long-Term Investments

     —          1,283,296,810        —          1,283,296,810  
  

 

 

    

 

 

    

 

 

    

 

 

 

Short-Term Investments†:

           

Sovereign Bonds

     —          39,989,554        —          39,989,554  

Money Market Funds

   $ 18,787,634               —          18,787,634  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Short-Term Investments

     18,787,634        39,989,554        —          58,777,188  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 18,787,634      $ 1,323,286,364        —        $ 1,342,073,998  
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments:

           

Forward Foreign Currency Contracts

     —        $ 294,950        —        $ 294,950  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 18,787,634      $ 1,323,581,314        —        $ 1,342,368,948  
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

 

DESCRIPTION

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

Other Financial Instruments:

           

Written Options

     —        $ 1,136,809        —        $ 1,136,809  

Futures Contracts

   $ 2,782,653        —          —          2,782,653  

Forward Foreign Currency Contracts

     —          488,922        —          488,922  

OTC Credit Default Swaps on Sovereign Issues - Buy Protection‡

     —          580,300        —          580,300  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,782,653      $ 2,206,031        —        $ 4,988,684  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

See Schedule of Investments for additional detailed categorizations.

 

Value includes any premium paid or received with respect to swap contracts.

 

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