N-Q 1 d63144dnq.htm WA HIGH YIELD DEFINED OPPORTUNITY FUND INC. WA High Yield Defined Opportunity Fund Inc.

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22444

Western Asset High Yield Defined Opportunity Fund Inc.

(Exact name of registrant as specified in charter)

620 Eighth Avenue, 49th Floor, New York, New York 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: August 31

Date of reporting period: November 30, 2015

 

 

 


 

ITEM 1. SCHEDULE OF INVESTMENTS.

 


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

FORM N-Q

NOVEMBER 30, 2015


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited)    November 30, 2015

 

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  
CORPORATE BONDS & NOTES - 87.5%          
CONSUMER DISCRETIONARY - 14.8%          

Auto Components - 0.2%

         

Europcar Groupe SA, Secured Notes

     5.750     6/15/22         490,000 EUR    $ 548,047 (a) 
         

 

 

 

Automobiles - 0.3%

         

Chrysler Group LLC/CG Co.-Issuer Inc., Secured Notes

     8.250     6/15/21         1,030,000        1,111,422   
         

 

 

 

Diversified Consumer Services - 0.7%

         

Co-operative Group Holdings 2011 Ltd., Senior Notes

     6.875     7/8/20         100,000 GBP      161,549 (b) 

Co-operative Group Holdings 2011 Ltd., Senior Notes

     7.500     7/8/26         280,000 GBP      459,172   

Service Corp. International, Senior Notes

     7.500     4/1/27         1,030,000        1,205,100   

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

     7.875     6/1/21         760,000        788,500   
         

 

 

 

Total Diversified Consumer Services

            2,614,321   
         

 

 

 

Hotels, Restaurants & Leisure - 3.3%

         

Bossier Casino Venture Holdco Inc., Senior Secured Bonds

     14.000     2/9/18         1,004,704        916,792 (a)(c)(d)(e) 

Carrols Restaurant Group Inc., Secured Notes

     8.000     5/1/22         820,000        876,375   

CCM Merger Inc., Senior Notes

     9.125     5/1/19         1,400,000        1,477,000 (a) 

CEC Entertainment Inc., Senior Notes

     8.000     2/15/22         1,700,000        1,640,500   

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

     10.500     7/1/19         1,090,000        1,139,050 (a) 

Gala Electric Casinos Ltd., Secured Notes

     11.500     6/1/19         822,396 GBP      1,319,182 (b) 

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

     8.875     3/15/19         980,000        1,011,850 (a) 

Landry’s Holdings II Inc., Senior Notes

     10.250     1/1/18         650,000        663,813 (a) 

Landry’s Inc., Senior Notes

     9.375     5/1/20         2,890,000        3,081,462 (a) 
         

 

 

 

Total Hotels, Restaurants & Leisure

            12,126,024   
         

 

 

 

Household Durables - 1.6%

         

Century Intermediate Holding Co. 2, Senior Notes

     9.750     2/15/19         1,630,000        1,685,012 (a)(c) 

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

     6.125     4/1/25         1,350,000        1,400,625 (a) 

William Lyon Homes Inc., Senior Notes

     8.500     11/15/20         950,000        1,016,500   

William Lyon Homes Inc., Senior Notes

     7.000     8/15/22         250,000        255,625   

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

     6.750     12/15/21         1,650,000        1,464,375 (a) 
         

 

 

 

Total Household Durables

            5,822,137   
         

 

 

 

Media - 6.6%

         

AMC Entertainment Inc., Senior Subordinated Notes

     5.750     6/15/25         840,000        848,400   

CCO Safari II LLC, Senior Secured Notes

     4.908     7/23/25         2,560,000        2,602,865 (a) 

CCO Safari II LLC, Senior Secured Notes

     6.484     10/23/45         640,000        667,413 (a) 

DISH DBS Corp., Senior Notes

     6.750     6/1/21         2,670,000        2,693,362   

DISH DBS Corp., Senior Notes

     5.875     7/15/22         1,380,000        1,285,125   

Gibson Brands Inc., Senior Secured Notes

     8.875     8/1/18         1,130,000        966,150 (a) 

iHeartCommunications Inc., Senior Notes

     14.000     2/1/21         3,190,000        821,425 (c) 

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

     10.625     5/1/19         1,467,997        1,229,447 (a)(c) 

Numericable-SFR SAS, Senior Secured Bonds

     6.000     5/15/22         2,100,000        2,079,000 (a) 

Numericable-SFR SAS, Senior Secured Bonds

     6.250     5/15/24         2,090,000        2,063,875 (a) 

Time Warner Cable Inc., Senior Notes

     8.250     4/1/19         550,000        637,163   

Tribune Media Co., Senior Notes

     5.875     7/15/22         610,000        611,525 (a) 

Univision Communications Inc., Senior Notes

     8.500     5/15/21         680,000        709,750 (a) 

Univision Communications Inc., Senior Secured Notes

     6.750     9/15/22         2,514,000        2,614,560 (a) 

UPC Holding BV, Junior Secured Subordinated Notes

     6.375     9/15/22         140,000 EUR      158,340 (a) 

 

See Notes to Schedule of Investments.

 

1


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Media - (continued)

         

Virgin Media Finance PLC, Senior Notes

     6.375     4/15/23         2,260,000      $ 2,319,325 (a) 

Virgin Media Finance PLC, Senior Notes

     6.000     10/15/24         1,750,000        1,747,813 (a) 

Virgin Media Finance PLC, Senior Notes

     5.750     1/15/25         200,000        195,000 (a) 
         

 

 

 

Total Media

            24,250,538   
         

 

 

 

Multiline Retail - 0.6%

         

Neiman Marcus Group LLC, Senior Secured Notes

     7.125     6/1/28         270,000        261,225   

Neiman Marcus Group Ltd. LLC, Senior Notes

     8.000     10/15/21         770,000        691,075 (a) 

Neiman Marcus Group Ltd. LLC, Senior Notes

     8.750     10/15/21         1,310,000        1,172,450 (a)(c) 
         

 

 

 

Total Multiline Retail

            2,124,750   
         

 

 

 

Specialty Retail - 1.4%

         

Guitar Center Inc., Senior Secured Bonds

     6.500     4/15/19         2,880,000        2,635,200 (a) 

Hot Topic Inc., Senior Secured Notes

     9.250     6/15/21         660,000        582,450 (a) 

L Brands Inc., Senior Notes

     6.875     11/1/35         1,050,000        1,080,188 (a) 

Sally Holdings LLC/Sally Capital Inc., Senior Notes

     5.625     12/1/25         960,000        978,000   
         

 

 

 

Total Specialty Retail

            5,275,838   
         

 

 

 

Textiles, Apparel & Luxury Goods - 0.1%

         

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

     11.375     2/1/17         240,000        230,400 (a) 
         

 

 

 

TOTAL CONSUMER DISCRETIONARY

            54,103,477   
         

 

 

 
CONSUMER STAPLES - 4.6%          

Beverages - 0.9%

         

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

     10.625     8/1/18         1,120,000        1,131,200 (a) 

Cott Beverages Inc., Senior Notes

     6.750     1/1/20         910,000        946,400   

DS Services of America Inc., Secured Notes

     10.000     9/1/21         1,000,000        1,140,000 (a) 
         

 

 

 

Total Beverages

            3,217,600   
         

 

 

 

Food & Staples Retailing - 0.4%

         

Beverages & More Inc., Senior Secured Notes

     10.000     11/15/18         1,550,000        1,486,063 (a) 
         

 

 

 

Food Products - 1.7%

         

Boparan Finance PLC, Senior Notes

     5.250     7/15/19         870,000 GBP      1,251,447 (b) 

Dole Food Co. Inc., Senior Secured Notes

     7.250     5/1/19         580,000        581,450 (a) 

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

     6.500     5/1/22         940,000        893,000 (a) 

Pilgrim’s Pride Corp., Senior Notes

     5.750     3/15/25         1,330,000        1,313,375 (a) 

Simmons Foods Inc., Secured Notes

     7.875     10/1/21         2,140,000        1,963,450 (a) 
         

 

 

 

Total Food Products

            6,002,722   
         

 

 

 

Household Products - 1.2%

         

Central Garden & Pet Co., Senior Notes

     6.125     11/15/23         570,000        579,975   

Kronos Acquisition Holdings Inc., Senior Notes

     9.000     8/15/23         310,000        292,175 (a) 

Spectrum Brands Inc., Senior Notes

     6.625     11/15/22         460,000        493,350   

Spectrum Brands Inc., Senior Notes

     6.125     12/15/24         370,000        387,575 (a) 

Spectrum Brands Inc., Senior Notes

     5.750     7/15/25         1,230,000        1,274,587 (a) 

Sun Products Corp., Senior Notes

     7.750     3/15/21         1,650,000        1,483,969 (a) 
         

 

 

 

Total Household Products

            4,511,631   
         

 

 

 

Tobacco - 0.4%

         

Alliance One International Inc., Secured Notes

     9.875     7/15/21         1,920,000        1,557,600   
         

 

 

 

TOTAL CONSUMER STAPLES

            16,775,616   
         

 

 

 

 

See Notes to Schedule of Investments.

 

2


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
ENERGY - 10.9%           

Energy Equipment & Services - 1.1%

          

Atwood Oceanics Inc., Senior Notes

     6.500     2/1/20         830,000       $ 630,800   

CGG, Senior Notes

     6.500     6/1/21         1,480,000         810,300   

Parker Drilling Co., Senior Notes

     7.500     8/1/20         2,370,000         1,884,150   

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

     12.250     12/15/18         1,140,000         786,600 (a) 
          

 

 

 

Total Energy Equipment & Services

             4,111,850   
          

 

 

 

Oil, Gas & Consumable Fuels - 9.8%

          

Approach Resources Inc., Senior Notes

     7.000     6/15/21         1,280,000         684,800   

Arch Coal Inc., Senior Notes

     7.250     6/15/21         1,530,000         36,338   

Berry Petroleum Co., Senior Notes

     6.750     11/1/20         640,000         268,800   

Berry Petroleum Co., Senior Notes

     6.375     9/15/22         1,420,000         575,100   

California Resources Corp., Senior Notes

     5.000     1/15/20         600,000         385,500   

California Resources Corp., Senior Notes

     5.500     9/15/21         3,150,000         1,905,750   

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

     7.625     1/15/22         970,000         921,500   

Carrizo Oil & Gas Inc., Senior Notes

     7.500     9/15/20         780,000         768,300   

Chesapeake Energy Corp., Senior Notes

     6.875     11/15/20         1,960,000         921,200   

Chesapeake Energy Corp., Senior Notes

     4.875     4/15/22         820,000         351,063   

Comstock Resources Inc., Senior Notes

     9.500     6/15/20         330,000         69,300   

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

     6.125     3/1/22         1,280,000         1,100,800   

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

     8.125     9/15/23         490,000         488,775 (a) 

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

     9.375     5/1/20         1,180,000         1,008,900   

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

     8.000     4/15/19         290,000         189,950   

Globe Luxembourg SCA, Senior Secured Notes

     9.625     5/1/18         4,530,000         3,765,562 (a) 

Halcon Resources Corp., Secured Notes

     8.625     2/1/20         1,510,000         1,194,787 (a) 

Halcon Resources Corp., Senior Notes

     9.750     7/15/20         3,740,000         1,196,800   

Halcon Resources Corp., Senior Notes

     8.875     5/15/21         1,540,000         477,400   

Kinder Morgan Inc., Medium-Term Notes

     7.800     8/1/31         810,000         790,178   

Linn Energy LLC/Linn Energy Finance Corp., Senior Notes

     6.250     11/1/19         370,000         90,188   

Lonestar Resources America Inc., Senior Notes

     8.750     4/15/19         450,000         294,750 (a) 

Magnum Hunter Resources Corp., Senior Notes

     9.750     5/15/20         3,530,000         1,403,175   

MEG Energy Corp., Senior Notes

     6.375     1/30/23         250,000         208,750 (a) 

MEG Energy Corp., Senior Notes

     7.000     3/31/24         2,140,000         1,824,350 (a) 

Milagro Oil & Gas Inc., Secured Notes

     10.500     5/15/16         1,360,000         428,400 *(e)(f) 

Murray Energy Corp., Senior Secured Notes

     11.250     4/15/21         4,790,000         1,113,675 *(a)(f) 

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

     9.125     10/1/18         1,280,000         876,800   

Oasis Petroleum Inc., Senior Notes

     6.500     11/1/21         410,000         350,550   

Oasis Petroleum Inc., Senior Notes

     6.875     3/15/22         2,760,000         2,380,500   

Pacific Exploration and Production Corp., Senior Notes

     7.250     12/12/21         1,000,000         317,500 (a) 

Petrobras Global Finance BV, Senior Notes

     6.750     1/27/41         540,000         372,600   

Quicksilver Resources Inc., Senior Notes

     11.000     7/1/21         760,000         47,500 *(f) 

Rice Energy Inc., Senior Notes

     6.250     5/1/22         500,000         427,500   

Rice Energy Inc., Senior Notes

     7.250     5/1/23         1,000,000         875,000 (a) 

RSP Permian Inc., Senior Notes

     6.625     10/1/22         2,220,000         2,217,225   

Samson Investment Co., Senior Notes

     9.750     2/15/20         1,170,000         5,850 *(f) 

Sanchez Energy Corp., Senior Notes

     6.125     1/15/23         4,210,000         2,915,425   

Shelf Drilling Holdings Ltd., Senior Secured Notes

     8.625     11/1/18         750,000         563,437 (a) 

Whiting Canadian Holding Co. ULC, Senior Notes

     8.125     12/1/19         1,130,000         1,179,726   

WPX Energy Inc., Senior Notes

     7.500     8/1/20         80,000         75,800   

WPX Energy Inc., Senior Notes

     8.250     8/1/23         620,000         581,250   
          

 

 

 

Total Oil, Gas & Consumable Fuels

             35,650,754   
          

 

 

 

TOTAL ENERGY

             39,762,604   
          

 

 

 

 

See Notes to Schedule of Investments.

 

3


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  
FINANCIALS - 12.8%          

Banks - 7.0%

         

Bank of America Corp., Junior Subordinated Notes

     6.500     10/23/24         650,000      $ 687,375 (g)(h) 

Barclays Bank PLC, Subordinated Notes

     10.179     6/12/21         1,550,000        2,034,009 (a) 

Barclays Bank PLC, Subordinated Notes

     7.625     11/21/22         1,750,000        1,980,781   

Barclays PLC, Junior Subordinated Bonds

     8.250     12/15/18         340,000        364,721 (g)(h) 

BNP Paribas SA, Junior Subordinated Notes

     7.375     8/19/25         570,000        586,388 (a)(g)(h) 

Citigroup Inc., Junior Subordinated Bonds

     5.950     5/15/25         3,080,000        2,956,492 (g)(h) 

Credit Agricole SA, Junior Subordinated Notes

     8.375     10/13/19         1,320,000        1,498,200 (a)(g)(h) 

Credit Agricole SA, Junior Subordinated Notes

     7.875     1/23/24         600,000        616,027 (a)(g)(h) 

HSBC Holdings PLC, Junior Subordinated Bonds

     6.375     9/17/24         640,000        633,632 (g)(h) 

HSBC Holdings PLC, Junior Subordinated Bonds

     6.375     3/30/25         860,000        862,589 (g)(h) 

JPMorgan Chase & Co., Junior Subordinated Bonds

     6.000     8/1/23         530,000        533,297 (g)(h) 

JPMorgan Chase & Co., Junior Subordinated Notes

     6.100     10/1/24         1,000,000        1,016,750 (g)(h) 

M&T Bank Corp., Junior Subordinated Bonds

     6.875     6/15/16         1,170,000        1,172,925 (g) 

Royal Bank of Scotland Group PLC, Junior Subordinated Notes, Medium-Term Notes

     7.640     9/30/17         7,000,000        7,348,600 (g)(h) 

Royal Bank of Scotland NV, Subordinated Bonds

     7.750     5/15/23         350,000        404,349   

Royal Bank of Scotland PLC, Subordinated Notes

     13.125     3/19/22         2,030,000 AUD      1,628,938 (b)(h) 

Santander Issuances SAU, Notes

     5.911     6/20/16         900,000        918,878 (a) 

Wells Fargo & Co., Junior Subordinated Bonds

     5.875     6/15/25         470,000        495,850 (g)(h) 
         

 

 

 

Total Banks

            25,739,801   
         

 

 

 

Capital Markets - 0.5%

         

Goldman Sachs Group Inc., Subordinated Notes

     5.150     5/22/45         1,080,000        1,077,606   

Pershing Square Holdings Ltd., Senior Notes

     5.500     7/15/22         1,000,000        961,752 (a) 
         

 

 

 

Total Capital Markets

            2,039,358   
         

 

 

 

Consumer Finance - 0.5%

         

Navient Corp., Medium-Term Notes, Senior Notes

     8.450     6/15/18         920,000        967,840   

Navient Corp., Senior Notes

     6.125     3/25/24         390,000        337,837   

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

     8.500     9/15/18         590,000        457,250 (a) 
         

 

 

 

Total Consumer Finance

            1,762,927   
         

 

 

 

Diversified Financial Services - 2.4%

         

Argos Merger Sub Inc., Senior Notes

     7.125     3/15/23         2,060,000        2,080,600 (a) 

International Lease Finance Corp., Senior Notes

     5.750     5/15/16         1,000,000        1,016,250   

International Lease Finance Corp., Senior Notes

     8.750     3/15/17         1,900,000        2,035,375   

International Lease Finance Corp., Senior Notes

     8.250     12/15/20         3,140,000        3,744,450   
         

 

 

 

Total Diversified Financial Services

            8,876,675   
         

 

 

 

Insurance - 0.6%

         

Fidelity & Guaranty Life Holdings Inc., Senior Notes

     6.375     4/1/21         620,000        647,900 (a) 

Genworth Holdings Inc., Senior Notes

     4.900     8/15/23         760,000        570,000   

Liberty Mutual Group Inc., Junior Subordinated Bonds

     7.800     3/15/37         720,000        844,200 (a) 
         

 

 

 

Total Insurance

            2,062,100   
         

 

 

 

Real Estate Investment Trusts (REITs) - 0.2%

         

Communications Sales & Leasing Inc., Senior Secured Notes

     6.000     4/15/23         710,000        672,725 (a) 
         

 

 

 

Real Estate Management & Development - 1.6%

         

Caesars Entertainment Resort Properties LLC, Secured Notes

     11.000     10/1/21         1,650,000        1,522,125   

Caesars Entertainment Resort Properties LLC, Senior Secured Notes

     8.000     10/1/20         1,170,000        1,140,750   

Greystar Real Estate Partners LLC, Senior Secured Notes

     8.250     12/1/22         1,310,000        1,385,325 (a) 

Howard Hughes Corp., Senior Notes

     6.875     10/1/21         1,750,000        1,798,125 (a) 
         

 

 

 

Total Real Estate Management & Development

            5,846,325   
         

 

 

 

TOTAL FINANCIALS

            46,999,911   
         

 

 

 

 

See Notes to Schedule of Investments.

 

4


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  
HEALTH CARE - 6.5%          

Biotechnology - 0.2%

         

AMAG Pharmaceuticals Inc., Senior Notes

     7.875     9/1/23         660,000      $ 552,750 (a) 
         

 

 

 

Health Care Equipment & Supplies - 1.4%

         

ConvaTec Finance International SA, Senior Notes

     8.250     1/15/19         860,000        843,342 (a)(c) 

ConvaTec Healthcare E SA, Senior Notes

     10.875     12/15/18         1,530,000 EUR      1,671,564 (a) 

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

     8.125     6/15/21         2,140,000        1,931,350 (a) 

Greatbatch Ltd., Senior Notes

     9.125     11/1/23         780,000        781,950 (a) 
         

 

 

 

Total Health Care Equipment & Supplies

            5,228,206   
         

 

 

 

Health Care Providers & Services - 3.3%

         

BioScrip Inc., Senior Notes

     8.875     2/15/21         2,000,000        1,597,500   

CHS/Community Health Systems Inc., Senior Notes

     8.000     11/15/19         1,890,000        1,923,075   

HCA Inc., Debentures

     7.500     11/15/95         1,000,000        980,000   

IASIS Healthcare LLC/IASIS Capital Corp., Senior Notes

     8.375     5/15/19         2,120,000        2,003,400   

Priory Group No. 3 PLC, Senior Notes

     8.875     2/15/19         225,000 GBP      351,241 (a) 

Priory Group No. 3 PLC, Senior Subordinated Notes

     8.875     2/15/19         1,125,000 GBP      1,756,205 (b) 

Tenet Healthcare Corp., Senior Notes

     8.125     4/1/22         1,850,000        1,853,469   

Universal Hospital Services Inc., Secured Notes

     7.625     8/15/20         1,770,000        1,663,800   
         

 

 

 

Total Health Care Providers & Services

            12,128,690   
         

 

 

 

Pharmaceuticals - 1.6%

         

JLL/Delta Dutch Pledgeco BV, Senior Notes

     8.750     5/1/20         2,130,000        2,132,662 (a)(c) 

Mallinckrodt International Finance SA, Senior Notes

     5.750     8/1/22         960,000        854,400 (a) 

Valeant Pharmaceuticals International, Senior Notes

     6.375     10/15/20         490,000        451,413 (a) 

Valeant Pharmaceuticals International, Senior Notes

     7.250     7/15/22         870,000        791,700 (a) 

Valeant Pharmaceuticals International Inc., Senior Notes

     6.750     8/15/18         300,000        294,000 (a) 

Valeant Pharmaceuticals International Inc., Senior Notes

     5.375     3/15/20         480,000        432,000 (a) 

Valeant Pharmaceuticals International Inc., Senior Notes

     7.500     7/15/21         1,060,000        1,007,085 (a) 
         

 

 

 

Total Pharmaceuticals

            5,963,260   
         

 

 

 

TOTAL HEALTH CARE

            23,872,906   
         

 

 

 
INDUSTRIALS - 12.7%          

Aerospace & Defense - 1.5%

         

Aerojet Rocketdyne Holdings Inc., Secured Notes

     7.125     3/15/21         620,000        648,675   

Bombardier Inc., Senior Notes

     7.500     3/15/18         520,000        520,000 (a) 

Bombardier Inc., Senior Notes

     4.750     4/15/19         100,000        87,500 (a) 

CBC Ammo LLC/CBC FinCo Inc., Senior Notes

     7.250     11/15/21         1,900,000        1,672,000 (a) 

Heligear Acquisition Co., Senior Secured Bonds

     10.250     10/15/19         2,000,000        1,907,500 (a)(e) 

LMI Aerospace Inc., Secured Notes

     7.375     7/15/19         580,000        571,300   
         

 

 

 

Total Aerospace & Defense

            5,406,975   
         

 

 

 

Air Freight & Logistics - 1.4%

         

Air Medical Merger Sub Corp., Senior Notes

     6.375     5/15/23         3,060,000        2,757,825 (a) 

XPO Logistics Inc., Senior Notes

     7.875     9/1/19         1,370,000        1,393,975 (a) 

XPO Logistics Inc., Senior Notes

     6.500     6/15/22         990,000        914,513 (a) 
         

 

 

 

Total Air Freight & Logistics

            5,066,313   
         

 

 

 

Airlines - 0.5%

         

Air Canada, Pass-Through Trust, Secured Notes

     6.625     5/15/18         460,000        470,350 (a) 

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

     8.021     8/10/22         1,083,175        1,214,510   
         

 

 

 

Total Airlines

            1,684,860   
         

 

 

 

 

See Notes to Schedule of Investments.

 

5


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Building Products - 0.3%

         

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

     6.875     2/15/21         1,190,000      $ 1,100,750 (a) 
         

 

 

 

Commercial Services & Supplies - 1.3%

         

Garda World Security Corp., Senior Notes

     7.250     11/15/21         650,000        581,750 (a) 

Monitronics International Inc., Senior Notes

     9.125     4/1/20         2,690,000        2,030,950   

United Rentals North America Inc., Senior Notes

     7.625     4/15/22         2,096,000        2,263,680   
         

 

 

 

Total Commercial Services & Supplies

            4,876,380   
         

 

 

 

Construction & Engineering - 1.7%

         

Astaldi SpA, Senior Notes

     7.125     12/1/20         580,000 EUR      624,326 (a) 

Astaldi SpA, Senior Notes

     7.125     12/1/20         130,000 EUR      139,935 (b) 

Ausdrill Finance Pty Ltd., Senior Notes

     6.875     11/1/19         1,010,000        737,300 (a) 

Brundage-Bone Concrete Pumping Inc., Senior Secured Notes

     10.375     9/1/21         860,000        877,200 (a) 

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

     8.875     4/15/19         1,341,600        1,006,200 (a)(c) 

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

     8.250     10/15/18         1,540,000        1,412,950 (a) 

Modular Space Corp., Secured Notes

     10.250     1/31/19         2,480,000        1,202,800 (a) 
         

 

 

 

Total Construction & Engineering

            6,000,711   
         

 

 

 

Electrical Equipment - 0.7%

         

Interface Grand Master Holdings Inc., Senior Notes

     17.000     8/15/19         691,456        684,541 (c)(d) 

International Wire Group Holdings Inc., Senior Secured Notes

     8.500     10/15/17         820,000        854,850 (a) 

NES Rentals Holdings Inc., Senior Secured Notes

     7.875     5/1/18         760,000        737,200 (a) 

Trionista TopCo GmbH, Senior Subordinated Notes

     6.875     4/30/21         150,000 EUR      169,353 (a) 
         

 

 

 

Total Electrical Equipment

            2,445,944   
         

 

 

 

Machinery - 1.6%

         

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

     8.250     12/15/19         500,000        530,000 (a) 

DH Services Luxembourg Sarl, Senior Notes

     7.750     12/15/20         2,310,000        2,396,625 (a) 

Global Brass and Copper Inc., Senior Secured Notes

     9.500     6/1/19         1,000,000        1,070,000   

KraussMaffei Group GmbH, Senior Secured Notes

     8.750     12/15/20         304,000 EUR      344,477 (a) 

KraussMaffei Group GmbH, Senior Secured Notes

     8.750     12/15/20         109,600 EUR      124,193 (b) 

SIG Combibloc Holdings SCA, Senior Bonds

     7.750     2/15/23         470,000 EUR      528,474 (a) 

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

     8.875     8/1/20         720,000        748,800 (a) 
         

 

 

 

Total Machinery

            5,742,569   
         

 

 

 

Marine - 0.8%

         

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

     8.125     11/15/21         2,670,000        2,506,463 (a) 

Ultrapetrol Bahamas Ltd., Senior Secured Notes

     8.875     6/15/21         1,010,000        555,500   
         

 

 

 

Total Marine

            3,061,963   
         

 

 

 

Road & Rail - 1.1%

         

Flexi-Van Leasing Inc., Senior Notes

     7.875     8/15/18         1,050,000        1,071,000 (a) 

Florida East Coast Holdings Corp., Senior Notes

     9.750     5/1/20         1,430,000        1,251,250 (a) 

Florida East Coast Holdings Corp., Senior Secured Notes

     6.750     5/1/19         970,000        953,025 (a) 

Jack Cooper Holdings Corp., Senior Secured Notes

     10.250     6/1/20         1,000,000        885,000 (a) 
         

 

 

 

Total Road & Rail

            4,160,275   
         

 

 

 

Trading Companies & Distributors - 0.3%

         

H&E Equipment Services Inc., Senior Notes

     7.000     9/1/22         1,110,000        1,118,325   
         

 

 

 

 

See Notes to Schedule of Investments.

 

6


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Transportation - 1.3%

         

Hapag-Lloyd AG, Senior Notes

     9.750     10/15/17         1,420,000      $ 1,476,800 (a) 

JCH Parent Inc., Senior Notes

     10.500     3/15/19         2,789,160        1,785,062 (a)(c) 

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

     10.000     2/15/18         1,640,000        1,615,400 (a)(c) 
         

 

 

 

Total Transportation

            4,877,262   
         

 

 

 

Transportation Infrastructure - 0.2%

         

Aguila 3 SA, Senior Secured Notes

     7.875     1/31/18         720,000        740,700 (a) 
         

 

 

 

TOTAL INDUSTRIALS

            46,283,027   
         

 

 

 
INFORMATION TECHNOLOGY - 3.4%          

Communications Equipment - 0.5%

         

CommScope Technologies Finance LLC, Senior Notes

     6.000     6/15/25         1,040,000        998,400 (a) 

QUALCOMM Inc., Senior Subordinated Notes

     4.800     5/20/45         940,000        782,923   
         

 

 

 

Total Communications Equipment

            1,781,323   
         

 

 

 

Electronic Equipment, Instruments & Components - 0.3%

         

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

     9.250     1/15/18         1,140,000        1,132,875   
         

 

 

 

Internet Software & Services - 0.7%

         

Ancestry.com Inc., Senior Notes

     11.000     12/15/20         2,380,000        2,594,200   
         

 

 

 

IT Services - 1.6%

         

Compiler Finance Subordinated Inc., Senior Notes

     7.000     5/1/21         1,540,000        777,700 (a) 

First Data Corp., Secured Notes

     8.250     1/15/21         330,000        345,263 (a) 

First Data Corp., Secured Notes

     5.750     1/15/24         310,000        310,775 (a) 

First Data Corp., Senior Notes

     7.000     12/1/23         890,000        900,012 (a) 

First Data Corp., Senior Secured Notes

     5.000     1/15/24         3,340,000        3,348,350 (a) 
         

 

 

 

Total IT Services

            5,682,100   
         

 

 

 

Software - 0.3%

         

Oberthur Technologies Holding SAS, Senior Secured Notes

     9.250     4/30/20         950,000 EUR      1,095,412 (a) 
         

 

 

 

TOTAL INFORMATION TECHNOLOGY

            12,285,910   
         

 

 

 
MATERIALS - 8.6%          

Chemicals - 1.8%

         

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

     8.500     11/1/22         380,000        323,000 (a) 

Hexion Inc., Senior Secured Notes

     8.875     2/1/18         960,000        636,000   

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

     10.500     9/15/18         620,000        590,550 (a)(c) 

Jac Holding Corp., Senior Secured Notes

     11.500     10/1/19         2,000,000        1,995,000 (a) 

Kerling PLC, Senior Secured Notes

     10.625     2/1/17         1,300,000 EUR      1,395,244 (b) 

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

     8.000     12/1/18         1,650,000        1,353,000 (a) 

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

     8.250     1/15/21         230,000        178,250 (a) 
         

 

 

 

Total Chemicals

            6,471,044   
         

 

 

 

Construction Materials - 0.3%

         

Hardwoods Acquisition Inc., Senior Secured Notes

     7.500     8/1/21         1,050,000        924,000 (a) 

NWH Escrow Corp., Senior Secured Notes

     7.500     8/1/21         390,000        333,450 (a) 
         

 

 

 

Total Construction Materials

            1,257,450   
         

 

 

 

Containers & Packaging - 2.8%

         

Ardagh Finance Holdings SA, Senior Notes

     8.625     6/15/19         1,099,747        1,151,985 (a)(c) 

Ardagh Packaging Finance PLC, Senior Notes

     9.250     10/15/20         2,500,000 EUR      2,786,650 (b) 

BWAY Holding Co., Senior Notes

     9.125     8/15/21         1,750,000        1,658,125 (a) 

Coveris Holdings SA, Senior Notes

     7.875     11/1/19         1,460,000        1,357,800 (a) 

Pactiv LLC, Senior Bonds

     8.375     4/15/27         2,280,000        2,200,200   

Pactiv LLC, Senior Notes

     7.950     12/15/25         410,000        391,550   

PaperWorks Industries Inc., Senior Secured Notes

     9.500     8/15/19         840,000        827,400 (a) 
         

 

 

 

Total Containers & Packaging

            10,373,710   
         

 

 

 

 

See Notes to Schedule of Investments.

 

7


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Metals & Mining - 3.3%

         

ArcelorMittal, Senior Notes

     8.000     10/15/39         2,020,000      $ 1,535,462   

Barminco Finance Pty Ltd., Senior Notes

     9.000     6/1/18         3,690,000        3,016,575 (a) 

Coeur Mining Inc., Senior Notes

     7.875     2/1/21         1,860,000        1,071,825   

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

     9.750     3/1/22         2,200,000        2,128,500 (a) 

Joseph T. Ryerson & Son Inc., Senior Notes

     11.250     10/15/18         536,000        447,560   

Midwest Vanadium Pty Ltd., Senior Secured Notes

     11.500     2/15/18         1,290,000        58,050 *(a)(e)(f) 

Mirabela Nickel Ltd., Subordinated Notes

     1.000     9/10/44         13,552        0 (a)(d)(e)(i) 

Prince Mineral Holding Corp., Senior Secured Notes

     11.500     12/15/19         120,000        93,000 (a) 

Schaeffler Holding Finance BV, Senior Secured Bonds

     6.875     8/15/18         740,000        766,825 (a)(c) 

Schaeffler Holding Finance BV, Senior Secured Notes

     6.875     8/15/18         850,000 EUR      934,484 (a)(c) 

Schaeffler Holding Finance BV, Senior Secured Notes

     6.750     11/15/22         1,400,000        1,522,500 (a)(c) 

St. Barbara Ltd., Senior Secured Notes

     8.875     4/15/18         220,000        211,200 (a) 

Thompson Creek Metals Co. Inc., Senior Notes

     12.500     5/1/19         860,000        230,050   
         

 

 

 

Total Metals & Mining

            12,016,031   
         

 

 

 

Paper & Forest Products - 0.4%

         

Appvion Inc., Secured Notes

     9.000     6/1/20         2,460,000        873,300 (a) 

Resolute Forest Products Inc., Senior Notes

     5.875     5/15/23         860,000        634,250   
         

 

 

 

Total Paper & Forest Products

            1,507,550   
         

 

 

 

TOTAL MATERIALS

            31,625,785   
         

 

 

 
TELECOMMUNICATION SERVICES - 10.1%          

Diversified Telecommunication Services - 4.2%

         

CCOH Safari LLC, Senior Notes

     5.750     2/15/26         2,040,000        2,055,300 (a) 

CenturyLink Inc., Senior Notes

     7.600     9/15/39         1,300,000        1,053,000   

CenturyLink Inc., Senior Notes

     7.650     3/15/42         1,500,000        1,215,000   

Frontier Communications Corp., Senior Notes

     10.500     9/15/22         890,000        884,438 (a) 

Frontier Communications Corp., Senior Notes

     11.000     9/15/25         1,360,000        1,336,200 (a) 

Intelsat Luxembourg SA, Senior Bonds

     8.125     6/1/23         5,000,000        1,900,000   

Level 3 Financing Inc., Senior Notes

     7.000     6/1/20         100,000        105,875   

Level 3 Financing Inc., Senior Notes

     8.625     7/15/20         1,930,000        2,033,737   

Level 3 Financing Inc., Senior Notes

     6.125     1/15/21         520,000        546,265   

Oi Brasil Holdings Cooperatief U.A., Senior Notes

     5.750     2/10/22         2,460,000        1,359,150 (a) 

Windstream Services LLC, Senior Notes

     7.750     10/1/21         2,990,000        2,399,475   

Windstream Services LLC, Senior Notes

     6.375     8/1/23         500,000        373,125   
         

 

 

 

Total Diversified Telecommunication Services

            15,261,565   
         

 

 

 

Wireless Telecommunication Services - 5.9%

         

Altice Financing SA, Senior Secured Notes

     6.625     2/15/23         2,530,000        2,515,756 (a) 

Neptune Finco Corp., Senior Notes

     10.125     1/15/23         200,000        209,500 (a) 

Neptune Finco Corp., Senior Notes

     6.625     10/15/25         1,190,000        1,236,113 (a) 

Neptune Finco Corp., Senior Notes

     10.875     10/15/25         1,070,000        1,134,200 (a) 

Sprint Capital Corp., Senior Notes

     6.875     11/15/28         5,210,000        3,764,225   

Sprint Capital Corp., Senior Notes

     8.750     3/15/32         2,710,000        2,123,962   

Sprint Communications Inc., Senior Notes

     9.000     11/15/18         2,220,000        2,403,150 (a) 

Sprint Corp., Senior Notes

     7.875     9/15/23         1,720,000        1,388,900   

T-Mobile USA Inc., Senior Notes

     6.542     4/28/20         450,000        465,750   

T-Mobile USA Inc., Senior Notes

     6.125     1/15/22         390,000        398,974   

T-Mobile USA Inc., Senior Notes

     6.000     3/1/23         1,250,000        1,259,375   

T-Mobile USA Inc., Senior Notes

     6.500     1/15/26         470,000        470,588   

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

     7.748     2/2/21         2,730,000        2,846,688 (a) 

VimpelCom Holdings BV, Senior Notes

     7.504     3/1/22         800,000        824,416 (b) 

VimpelCom Holdings BV, Senior Notes

     7.504     3/1/22         520,000        535,870 (a) 
         

 

 

 

Total Wireless Telecommunication Services

            21,577,467   
         

 

 

 

TOTAL TELECOMMUNICATION SERVICES

            36,839,032   
         

 

 

 

 

See Notes to Schedule of Investments.

 

8


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
UTILITIES - 3.1%           

Electric Utilities - 2.1%

          

FirstEnergy Corp., Notes

     7.375     11/15/31         1,260,000       $ 1,522,795   

FirstLight Hydro Generating Co., Senior Secured Notes

     8.812     10/15/26         2,442,188         2,611,407   

Midwest Generation LLC, Pass-Through Certificates, Secured Bonds

     8.560     1/2/16         92,533         92,186   

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

     9.237     7/2/17         99,125         103,895   

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

     9.681     7/2/26         2,220,000         2,267,175   

Red Oak Power LLC, Secured Notes

     9.200     11/30/29         1,000,000         1,082,500   
          

 

 

 

Total Electric Utilities

             7,679,958   
          

 

 

 

Independent Power and Renewable Electricity Producers - 1.0%

  

     

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

     10.060     12/30/28         3,624,375         3,737,637   
          

 

 

 

TOTAL UTILITIES

             11,417,595   
          

 

 

 

TOTAL CORPORATE BONDS & NOTES

(Cost - $350,045,743)

             319,965,863   
          

 

 

 
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.4%           

Commercial Mortgage Trust, 2015-LC21 E

     3.250     7/10/48         900,000         572,747 (a) 

JPMBB Commercial Mortgage Securities Trust,
2015-C31 E

     4.273     8/15/48         700,000         492,068 (a)(h) 

Wells Fargo Commercial Mortgage Trust, 2015-C28 E

     3.000     5/15/48         800,000         497,629 (a) 
          

 

 

 

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost - $1,563,732)

  

  

        1,562,444   
          

 

 

 
CONVERTIBLE BONDS & NOTES - 0.2%           
MATERIALS - 0.2%           

Chemicals - 0.1%

          

Hercules Inc., Junior Subordinated Bonds

     6.500     6/30/29         340,000         305,788   
          

 

 

 

Metals & Mining - 0.1%

          

Mirabela Nickel Ltd., Senior Secured Bonds

     9.500     6/24/19         943,640         519,002 (a)(c)(d)(e) 
          

 

 

 

TOTAL CONVERTIBLE BONDS & NOTES

(Cost - $1,257,066)

             824,790   
          

 

 

 
SENIOR LOANS - 2.2%           
CONSUMER DISCRETIONARY - 0.5%           

Hotels, Restaurants & Leisure - 0.3%

          

Equinox Holdings Inc., Second Lien Term Loan

     9.750     7/31/20         1,050,000         1,064,875 (j)(k) 
          

 

 

 

Specialty Retail - 0.2%

          

Spencer Gifts LLC, Second Lien Term Loan

     9.250     11/12/21         900,000         906,750 (j)(k) 
          

 

 

 

TOTAL CONSUMER DISCRETIONARY

             1,971,625   
          

 

 

 
CONSUMER STAPLES - 0.1%           

Food Products - 0.1%

          

AdvancePierre Foods Inc., Second Lien Term Loan

     9.500     10/10/17         450,000         446,625 (j)(k) 
          

 

 

 
ENERGY - 0.6%           

Energy Equipment & Services - 0.4%

          

Hercules Offshore LLC, Exit Term Loan

     10.500     5/6/20         1,660,000         1,411,000 (j)(k) 
          

 

 

 

 

See Notes to Schedule of Investments.

 

9


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Oil, Gas & Consumable Fuels - 0.2%

          

Magnum Hunter Resources Inc., Incremental Second Lien Term Loan

     4.200     12/31/15         300,000       $ 300,000 (j)(k)(l) 

Westmoreland Coal Co., Term Loan B

     7.500     12/16/20         679,140         456,721 (j)(k) 
          

 

 

 

Total Oil, Gas & Consumable Fuels

             756,721   
          

 

 

 

TOTAL ENERGY

             2,167,721   
          

 

 

 
HEALTH CARE - 0.5%           

Health Care Equipment & Supplies - 0.2%

          

Lantheus Medical Imaging Inc., Term Loan

     7.000     6/30/22         827,925         765,831 (j)(k) 
          

 

 

 

Health Care Providers & Services - 0.3%

          

Radnet Management Inc., Second Lien Term Loan

     8.000     3/25/21         1,100,000         1,067,000 (j)(k) 
          

 

 

 

TOTAL HEALTH CARE

             1,832,831   
          

 

 

 
INDUSTRIALS - 0.2%           

Commercial Services & Supplies - 0.2%

          

Kronos Inc., Second Lien Term Loan

     9.750     4/30/20         799,373         810,365 (j)(k) 
          

 

 

 
UTILITIES - 0.3%           

Electric Utilities - 0.3%

          

Panda Temple Power LLC, 2015 Term Loan B

     7.250     3/4/22         985,050         898,858 (j)(k) 
          

 

 

 

TOTAL SENIOR LOANS

(Cost - $8,622,615)

             8,128,025   
          

 

 

 
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.8%           

U.S. Government Obligations - 0.8%

          

U.S. Treasury Notes (Cost - $2,999,093)

     1.375     9/30/20         3,000,000         2,960,742   
          

 

 

 
                  SHARES         
COMMON STOCKS - 2.8%           
CONSUMER DISCRETIONARY - 0.0%           

Hotels, Restaurants & Leisure - 0.0%

          

Bossier Casino Venture Holdco Inc.

          68,957         0 *(d)(e)(i) 
          

 

 

 
ENERGY - 0.1%           

Energy Equipment & Services - 0.1%

          

Hercules Offshore Inc.

          46,103         171,503
          

 

 

 
FINANCIALS - 2.1%           

Banks - 2.1%

          

Citigroup Inc.

          119,668         6,472,842   

JPMorgan Chase & Co.

          20,262         1,351,070   
          

 

 

 

TOTAL FINANCIALS

             7,823,912   
          

 

 

 
HEALTH CARE - 0.3%           

Health Care Providers & Services - 0.3%

          

Physiotherapy Associates Holdings Inc.

          13,300         1,103,900 *(d)(e) 
          

 

 

 
INDUSTRIALS - 0.2%           

Trading Companies & Distributors - 0.2%

          

H&E Equipment Services Inc.

          42,100         842,421   
          

 

 

 
MATERIALS - 0.1%           

Metals & Mining - 0.1%

          

Mirabela Nickel Ltd.

          2,742,654         164,630 *(d)(e) 
          

 

 

 

TOTAL COMMON STOCKS

(Cost - $9,849,537)

             10,106,366   
          

 

 

 

 

See Notes to Schedule of Investments.

 

10


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

SECURITY

   RATE            SHARES      VALUE  
CONVERTIBLE PREFERRED STOCKS - 0.1%           
ENERGY - 0.1%           

Oil, Gas & Consumable Fuels - 0.1%

          

Rex Energy Corp. (Cost - $962,975)

     6.000        13,500       $ 148,500   
          

 

 

 
PREFERRED STOCKS - 2.2%           
FINANCIALS - 2.2%           

Consumer Finance - 2.2%

          

GMAC Capital Trust I (Cost - $7,815,124)

     8.125        319,200         8,139,600 (h) 
          

 

 

 
           EXPIRATION
DATE
     WARRANTS         
WARRANTS - 0.1%           

Jack Cooper Holdings Corp.

       12/15/17         1,686         236,040 *(a)(e) 

Jack Cooper Holdings Corp.

       5/6/18         846         118,440 *(a)(e) 
          

 

 

 

TOTAL WARRANTS
(Cost - $46,253)

             354,480   
          

 

 

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $383,162,138)

   

        352,190,810   
          

 

 

 
                  SHARES         
SHORT-TERM INVESTMENTS - 1.3%           

State Street Institutional Treasury Plus Money Market Fund, Premier Class (Cost - $4,612,364)

     0.000        4,612,364         4,612,364   
          

 

 

 

TOTAL INVESTMENTS - 97.6%
(Cost - $387,774,502#)

             356,803,174   

Other Assets in Excess of Liabilities - 2.4%

             8,824,685   
          

 

 

 

TOTAL NET ASSETS - 100.0%

           $ 365,627,859   
          

 

 

 

 

Face 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, unless otherwise noted.

 

(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, unless otherwise noted.

 

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

 

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

 

(e) Illiquid security.

 

(f) The coupon payment on these securities is currently in default as of November 30, 2015.

 

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

 

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

 

(i) Value is less than $1.

 

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

 

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

 

(l) All or a portion of this loan is unfunded as of November 30, 2015. The interest rate for fully unfunded term loans is to be determined.

 

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

 

See Notes to Schedule of Investments.

 

11


WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.

 

Schedule of investments (unaudited) (cont’d)    November 30, 2015

 

Abbreviations used in this schedule:

 

AUD    — Australian Dollar
EUR    — Euro
GBP    — British Pound
OJSC    — Open Joint Stock Company

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings 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.

 

12


Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Western Asset High Yield Defined Opportunity Fund Inc. (the “Fund”) was incorporated in Maryland on July 20, 2010 and is registered as a non-diversified, limited-term, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s primary investment objective is to provide high income. As a secondary investment objective, the Fund will seek capital appreciation. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in a portfolio of high-yield corporate fixed income securities with varying maturities. The Fund intends to liquidate on or about September 30, 2025 and distribute substantially all of its net assets to stockholders, after making appropriate provisions for any liabilities of the Fund.

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. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investment’s fair value. 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.

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.

 

13


Notes to Schedule of Investments (unaudited) (continued)

 

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.

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

 

ASSETS

 

DESCRIPTION

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

Long-term investments†:

          

Corporate bonds & notes:

          

Consumer discretionary

     —         $ 53,186,685       $ 916,792      $ 54,103,477   

Industrials

     —           45,598,486         684,541        46,283,027   

Materials

     —           31,625,785         0     31,625,785   

Other corporate bonds & notes

     —           187,953,574         —          187,953,574   

Collateralized mortgage obligations

     —           1,562,444         —          1,562,444   

Convertible bonds & notes

     —           305,788         519,002        824,790   

Senior loans:

          

Consumer discretionary

     —           1,064,875         906,750        1,971,625   

Consumer staples

     —           —           446,625        446,625   

Health care

     —           1,067,000         765,831        1,832,831   

Utilities

     —           —           898,858        898,858   

Other senior loans

     —           2,978,086         —          2,978,086   

U.S. government & agency obligations

     —           2,960,742         —          2,960,742   

Common stocks:

          

Consumer discretionary

     —           —           0     0

Health care

     —           —           1,103,900        1,103,900   

Materials

     —           —           164,630        164,630   

Other common stocks

   $ 8,837,836         —           —          8,837,836   

Convertible preferred stocks

     148,500         —           —          148,500   

Preferred stocks

     8,139,600         —           —          8,139,600   

Warrants

     —           354,480         —          354,480   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total long-term investments

   $ 17,125,936       $ 328,657,945       $ 6,406,929      $ 352,190,810   
  

 

 

    

 

 

    

 

 

   

 

 

 

Short-term investments†

     4,612,364         —           —          4,612,364   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total investments

   $ 21,738,300       $ 328,657,945       $ 6,406,929      $ 356,803,174   
  

 

 

    

 

 

    

 

 

   

 

 

 

Other financial instruments:

          

Futures contracts

   $ 58,194         —           —        $ 58,194   

Forward foreign currency contracts

     —         $ 755,294         —          755,294   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total other financial instruments

   $ 58,194       $ 755,294         —        $ 813,488   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 21,796,494       $ 329,413,239       $ 6,406,929      $ 357,616,662   
  

 

 

    

 

 

    

 

 

   

 

 

 

LIABILITIES

 

DESCRIPTION

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

Other financial instruments:

          

Futures contracts

   $ 68,594         —           —        $ 68,594   

Forward foreign currency contracts

     —         $ 51,684         —          51,684   
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ 68,594       $ 51,684         —        $ 120,278   
  

 

 

    

 

 

    

 

 

   

 

 

 

 

See Schedule of Investments for additional detailed categorizations.

 

* Amount represents less than $1.

 

14


Notes to Schedule of Investments (unaudited) (continued)

 

The Fund’s policy is to recognize transfers between levels as of the end of the reporting period. At November 30, 2015, securities valued at $148,500 were transferred from Level 2 to Level 1 within the fair value hierarchy because of the availability of a quoted price in an active market for an identical investment.

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

 

     CORPORATE BONDS & NOTES        

INVESTMENTS IN SECURITIES

   CONSUMER
DISCRETIONARY
    INDUSTRIALS     MATERIALS     UTILITIES     CONVERTIBLE
BONDS & NOTES
 

Balance as of August 31, 2015

   $ 913,255        —        $ 0   $ 2,356,933        —     

Accrued premiums/discounts

     6,190        —          —          231        —     

Realized gain (loss)

     —          —          —          —          —     

Change in unrealized appreciation (depreciation)1

     (37,357     —          (134     2,197        —     

Purchases

     34,704        —          134        —          —     

Sales

     —          —          —          —          —     

Transfers into Level 32

     —        $ 684,541        —          —        $ 519,002   

Transfers out of Level 33

     —          —          —          (2,359,361     —     
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of November 30, 2015

   $ 916,792      $ 684,541      $ 0     —        $ 519,002   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) for investments in securities still held at November 30, 20151

   $ (37,357     —        $ (134     —          —     
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
     SENIOR LOANS  

INVESTMENTS IN SECURITIES

   CONSUMER
DISCRETIONARY
    ENERGY     CONSUMER
STAPLES
    HEALTH
CARE
    UTILITIES  

Balance as of August 31, 2015

   $ 913,500      $ 612,758        —          —        $ 952,961   

Accrued premiums/discounts

     135        588        —          —          571   

Realized gain (loss)

     —          38        —          —          47   

Change in unrealized appreciation (depreciation)1

     (6,885     (154,961     —          —          (52,246

Purchases

     —          —          —          —          —     

Sales

     —          (1,702     —          —          (2,475

Transfers into Level 32

     —          —        $ 446,625      $ 765,831        —     

Transfers out of Level 33

     —          (456,721     —          —          —     
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of November 30, 2015

   $ 906,750        —        $ 446,625      $ 765,831      $ 898,858   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) for investments in securities still held at November 30, 20151

   $ (6,885     —          —          —        $ (52,246
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
     COMMON STOCKS              

INVESTMENTS IN SECURITIES

   CONSUMER
DISCRETIONARY
    HEALTH
CARE
    MATERIALS     WARRANTS     TOTAL  

Balance as of August 31, 2015

   $ 0   $ 1,103,900      $ 161,815      $ 354,480      $ 7,369,602   

Accrued premiums/discounts

     —          —          —          —          7,715   

Realized gain (loss)

     —          —          —          —          85   

Change in unrealized appreciation (depreciation)1

     —          —          2,815        —          (246,571

Purchases

     —          —          —          —          34,838   

Sales

     —          —          —          —          (4,177

Transfers into Level 32

     —          —          —          —          2,415,999   

Transfers out of Level 33

     —          —          —          (354,480     (3,170,562
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Balance as of November 30, 2015

   $ 0   $ 1,103,900      $ 164,630        —        $ 6,406,929   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) for investments in securities still held at November 30, 20151

     —          —        $ 2,815        —        $ (93,807
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

15


Notes to Schedule of Investments (unaudited) (continued)

 

The Fund’s policy is to recognize transfers between levels as of the end of the reporting period.

 

* Amount represents less than $1.

 

1 

Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized.

 

2 

Transferred into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable inputs.

 

3 

Transferred out of Level 3 as a result of the availability of a quoted price in an active market for an identical investment or the availability of other significant observable inputs.

2. Investments

At November&nb