N-Q 1 d37069dnq.htm LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC. Legg Mason BW Global Income Opportunities 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 811-22491

Legg Mason BW Global Income Opportunities Fund Inc.

(Exact name of registrant as specified in charter)

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

(Address of principal executive offices) (Zip code)

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

Registrant’s telephone number, including area code: 1-888-777-0102

Date of fiscal year end: October 31

Date of reporting period: January 31, 2016

 

 

 


 

ITEM 1. SCHEDULE OF INVESTMENTS.

 


LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

FORM N-Q

JANUARY 31, 2016


LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

Schedule of investments (unaudited)    January 31, 2016

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  
SOVEREIGN BONDS - 97.1%          

Australia - 0.3%

         

Australia Government Bond, Senior Bonds

     2.750     4/21/24         1,060,000 AUD    $ 763,377 (a)(b) 
         

 

 

 

Brazil - 13.9%

         

Federative Republic of Brazil, Notes

     10.000     1/1/21         55,485,000 BRL      11,421,243 (b) 

Federative Republic of Brazil, Notes

     10.000     1/1/23         88,000,000 BRL      17,048,696 (b) 

Federative Republic of Brazil, Senior Notes

     10.000     1/1/17         43,100,000 BRL      10,441,379 (b) 
         

 

 

 

Total Brazil

            38,911,318   
         

 

 

 

Colombia - 7.9%

         

Republic of Colombia, Senior Bonds

     5.000     6/15/45         26,800,000        22,043,000 (b) 
         

 

 

 

Hungary - 12.6%

         

Republic of Hungary, Bonds

     5.500     6/24/25         8,523,000,000 HUF      35,437,821   
         

 

 

 

Indonesia - 16.8%

         

Republic of Indonesia, Senior Bonds

     8.375     3/15/24         65,100,000,000 IDR      4,751,095   

Republic of Indonesia, Senior Bonds

     9.000     3/15/29         410,400,000,000 IDR      30,593,644   

Republic of Indonesia, Senior Bonds

     8.375     3/15/34         69,800,000,000 IDR      4,906,573   

Republic of Indonesia, Senior Bonds

     8.750     2/15/44         96,900,000,000 IDR      6,809,829   
         

 

 

 

Total Indonesia

            47,061,141   
         

 

 

 

Italy - 0.3%

         

Italy Buoni Poliennali Del Tesoro, Senior Bonds

     1.500     6/1/25         685,000 EUR      753,741   
         

 

 

 

Mexico - 20.4%

         

United Mexican States, Senior Bonds

     8.500     5/31/29         224,690,000 MXN      14,651,655 (b) 

United Mexican States, Senior Bonds

     8.500     11/18/38         405,979,500 MXN      26,662,284 (b) 

United Mexican States, Senior Bonds

     7.750     11/13/42         261,100,000 MXN      15,915,631 (b) 
         

 

 

 

Total Mexico

            57,229,570   
         

 

 

 

New Zealand - 0.5%

         

Government of New Zealand, Senior Bonds

     4.500     4/15/27         2,045,000 NZD      1,483,130 (a)(b) 
         

 

 

 

Poland - 4.4%

         

Republic of Poland, Bonds

     4.000     10/25/23         4,670,000 PLN      1,237,867 (b) 

Republic of Poland, Bonds

     3.250     7/25/25         43,980,000 PLN      11,034,529 (b) 
         

 

 

 

Total Poland

            12,272,396   
         

 

 

 

Portugal - 12.9%

         

Portugal Obrigacoes do Tesouro OT, Senior Bonds

     4.100     4/15/37         31,450,000 EUR      36,172,721 (a)(b) 
         

 

 

 

South Africa - 6.2%

         

Republic of South Africa, Bonds

     6.500     2/28/41         397,225,000 ZAR      17,360,347 (b) 
         

 

 

 

United Kingdom - 0.9%

         

United Kingdom Treasury Gilt, Bonds

     5.000     3/7/25         1,400,000 GBP      2,596,698 (a)(b) 
         

 

 

 

TOTAL SOVEREIGN BONDS

(Cost - $370,697,797)

            272,085,260   
         

 

 

 
COLLATERALIZED MORTGAGE OBLIGATIONS - 17.8%        

Banc of America Commercial Mortgage Trust, 2007-3 B

     5.742     6/10/49         1,770,000        1,757,864 (c) 

Chase Mortgage Finance Corp., 2007-A1 1A4

     2.716     2/25/37         1,525,004        1,489,245 (c) 

Chase Mortgage Finance Corp., 2007-A1 2A2

     2.655     2/25/37         2,539,745        2,519,519 (c) 

Chase Mortgage Finance Corp., 2007-A2 2A4

     2.716     7/25/37         1,348,866        1,308,339 (c) 

Citigroup Commercial Mortgage Trust, 2007-C6 AJFX

     5.898     7/10/17         2,500,000        2,130,844 (c)(d) 

Connecticut Avenue Securities, 2014-C03 2M2

     3.327     7/25/24         2,000,000        1,759,887 (c) 

Connecticut Avenue Securities, 2015-C01 2M2

     4.977     2/25/25         3,000,000        2,972,605 (c) 

Fondo de Titulizacion de Activos UCI, 2016 A2

     0.021     6/16/49         2,655,115 EUR      2,211,969 (a)(c) 

 

See Notes to Schedule of Investments.

 

1


LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  
COLLATERALIZED MORTGAGE OBLIGATIONS - (continued)        

IM Pastor Fondo de Titulizacion de Activos, 2004 A

     0.009     3/22/44         2,730,789 EUR    $ 2,363,825 (a)(c) 

JPMorgan Chase Commercial Mortgage Securities Trust, 2007-LD12 AM

     6.206     2/15/51         1,760,000        1,850,695 (c) 

Kensington Mortgage Securities PLC, 2007-1X B1B

     0.725     6/14/40         888,306 EUR      773,051 (a)(c) 

Kildare Securities Ltd., 2007-1 A3

     0.084     12/10/43         2,508,098 EUR      2,546,416 (a)(c) 

Magellan Mortgages PLC, 2002 B

     0.957     7/18/36         200,000 EUR      186,234 (a)(c) 

Magellan Mortgages PLC, 2004 A

     0.138     7/20/59         2,855,250 EUR      2,578,313 (a)(c) 

RMAC Securities PLC, 2006-NS1X B1C

     0.755     6/12/44         298,308 EUR      264,255 (a)(c) 

RMAC Securities PLC, 2006-NS4X B1C

     0.725     6/12/44         1,624,554 EUR      1,388,218 (a)(c) 

Rural Hipotecario Fondo De Titulizacion Hipotec, 2009 A2

     0.057     2/17/50         1,706,076 EUR      1,796,483 (a)(c) 

Structured Agency Credit Risk Debt Notes, 2014-DN4 M3

     4.977     10/25/24         3,775,000        3,637,720 (c) 

Structured Agency Credit Risk Debt Notes, 2014-HQ3 M3

     5.177     10/25/24         3,160,000        3,060,409 (c) 

TDA CAM Fondo de Titulizacion de Activos, 2004 A

     0.050     6/26/39         39,430 EUR      41,434 (a)(c) 

TDA CAM Fondo de Titulizacion de Activos, 2005 A

     0.067     10/26/43         2,341,584 EUR      2,390,121 (a)(c) 

TDA CAM Fondo de Titulizacion de Activos, 2008 A

     0.026     2/26/49         144,207 EUR      142,803 (a)(c) 

TDA CAM Fondo de Titulizacion de Activos, 2009 A2

     0.032     4/28/50         2,629,264 EUR      2,474,631 (a)(c) 

TDA CAM Fondo de Titulizacion de Activos, 2009 A3

     0.042     4/28/50         4,218,209 EUR      3,963,606 (a)(c) 

TDA Fondo de Titulizacion de Activos, 2024-A1

     0.093     6/22/40         1,483,847 EUR      1,538,504 (a)(c) 

TDA Fondo de Titulizacion de Activos, 2027-A2

     0.019     12/28/50         2,309,976 EUR      2,355,497 (a)(c) 

Wachovia Bank Commercial Mortgage Trust, 2006-C26 AJ

     6.197     6/15/45         400,000        394,826 (c) 
         

 

 

 

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost - $57,377,194)

            49,897,313   
         

 

 

 
CORPORATE BONDS & NOTES - 37.0%          
CONSUMER DISCRETIONARY - 3.5%          

Automobiles - 0.3%

         

Fiat Chrysler Automobiles NV, Senior Notes

     5.250     4/15/23         1,000,000        937,500 (b) 
         

 

 

 

Diversified Consumer Services - 0.3%

         

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

     7.875     6/1/21         870,000        896,100 (b) 
         

 

 

 

Hotels, Restaurants & Leisure - 0.3%

         

Arcos Dorados Holdings Inc., Senior Notes

     10.250     7/13/16         2,960,000 BRL      688,234 (d) 
         

 

 

 

Media - 2.5%

         

Altice Luxembourg SA, Senior Secured Bonds

     7.250     5/15/22         1,115,000 EUR      1,145,976 (d) 

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

     5.250     3/15/21         940,000        975,250 (b) 

Clear Channel Worldwide Holdings Inc., Senior Notes

     6.500     11/15/22         1,030,000        920,563 (b) 

CSC Holdings LLC, Senior Bonds

     5.250     6/1/24         1,130,000        1,000,050 (b) 

DISH DBS Corp., Senior Notes

     5.000     3/15/23         820,000        715,450 (b) 

Numericable-SFR SAS, Senior Secured Bonds

     6.000     5/15/22         200,000        198,000 (b)(d) 

Numericable-SFR SAS, Senior Secured Bonds

     6.250     5/15/24         400,000        392,000 (b)(d) 

Virgin Media Secured Finance PLC, Senior Secured Notes

     5.500     1/15/25         1,174,500 GBP      1,648,441 (b)(d) 
         

 

 

 

Total Media

            6,995,730   
         

 

 

 

Specialty Retail - 0.1%

         

Edcon Ltd., Senior Secured Notes

     9.500     3/1/18         325,000 EUR      183,958 (d) 

Edcon Ltd., Senior Secured Notes

     9.500     3/1/18         325,000        169,812 (b)(d) 
         

 

 

 

Total Specialty Retail

            353,770   
         

 

 

 

TOTAL CONSUMER DISCRETIONARY

            9,871,334   
         

 

 

 

 

See Notes to Schedule of Investments.

 

2


LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  
CONSUMER STAPLES - 2.9%          

Beverages - 0.4%

         

Anheuser-Busch InBev Finance Inc., Senior Notes

     3.650     2/1/26         1,025,000      $ 1,040,096   
         

 

 

 

Food Products - 1.4%

         

Agrokor DD, Senior Notes

     8.875     2/1/20         730,000        771,975 (b)(d) 

Boparan Finance PLC, Senior Notes

     5.250     7/15/19         540,000 GBP      720,574 (d) 

JBS Investment GmbH, Senior Notes

     7.250     4/3/24         1,385,000        1,131,822 (b)(d) 

Kraft Heinz Foods Co., Secured Notes

     4.875     2/15/25         1,127,000        1,206,783 (b)(d) 
         

 

 

 

Total Food Products

            3,831,154   
         

 

 

 

Tobacco - 1.1%

         

Alliance One International Inc., Secured Notes

     9.875     7/15/21         2,090,000        1,664,163 (b) 

Vector Group Ltd., Senior Subordinated Secured Notes

     7.750     2/15/21         1,415,000        1,483,981 (b) 
         

 

 

 

Total Tobacco

            3,148,144   
         

 

 

 

TOTAL CONSUMER STAPLES

            8,019,394   
         

 

 

 
ENERGY - 1.2%          

Oil, Gas & Consumable Fuels - 1.2%

         

Devon Energy Corp., Senior Notes

     3.250     5/15/22         1,760,000        1,401,289   

Hess Corp., Notes

     8.125     2/15/19         1,795,000        1,851,473   
         

 

 

 

TOTAL ENERGY

            3,252,762   
         

 

 

 
FINANCIALS - 17.5%          

Banks - 9.1%

         

Bank of America Corp., Subordinated Notes

     7.750     5/14/38         12,600,000        17,029,870 (b) 

Barclays PLC, Junior Subordinated Bonds

     7.875     9/15/22         540,000 GBP      738,521 (a)(b)(c)(e) 

Citigroup Inc., Senior Notes

     8.125     7/15/39         5,330,000        7,750,534 (b) 
         

 

 

 

Total Banks

            25,518,925   
         

 

 

 

Capital Markets - 7.2%

         

Goldman Sachs Group Inc., Senior Notes

     3.625     1/22/23         5,000,000        5,085,630 (b) 

Goldman Sachs Group Inc., Subordinated Notes

     6.750     10/1/37         13,045,000        15,105,262 (b) 
         

 

 

 

Total Capital Markets

            20,190,892   
         

 

 

 

Diversified Financial Services - 0.3%

         

CPUK Finance Ltd., Secured Notes

     7.000     8/28/20         490,000 GBP      710,245 (d) 
         

 

 

 

Real Estate Investment Trusts (REITs) - 0.9%

         

Equinix Inc., Senior Notes

     5.375     4/1/23         1,265,000        1,315,600 (b) 

Equinix Inc., Senior Notes

     5.875     1/15/26         160,000        166,000 (b) 

Iron Mountain Inc., Senior Notes

     6.000     10/1/20         165,000        176,138 (b)(d) 

Iron Mountain Inc., Senior Notes

     6.000     8/15/23         955,000        996,781 (b) 
         

 

 

 

Total Real Estate Investment Trusts (REITs)

            2,654,519   
         

 

 

 

TOTAL FINANCIALS

            49,074,581   
         

 

 

 
HEALTH CARE - 1.5%          

Health Care Providers & Services - 1.2%

         

DaVita HealthCare Partners Inc., Senior Notes

     5.750     8/15/22         1,500,000        1,558,125 (b) 

HCA Inc., Senior Secured Notes

     5.000     3/15/24         845,000        857,675 (b) 

HealthSouth Corp., Senior Notes

     5.750     11/1/24         160,000        158,734 (b) 

Tenet Healthcare Corp., Senior Secured Notes

     4.750     6/1/20         845,000        855,563 (b) 
         

 

 

 

Total Health Care Providers & Services

            3,430,097   
         

 

 

 

Pharmaceuticals - 0.3%

         

Capsugel SA, Senior Notes

     7.000     5/15/19         755,000        739,428 (b)(d)(f) 
         

 

 

 

TOTAL HEALTH CARE

            4,169,525   
         

 

 

 

 

 

See Notes to Schedule of Investments.

 

3


LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  
INDUSTRIALS - 1.1%          

Aerospace & Defense - 0.2%

         

Triumph Group Inc., Senior Notes

     5.250     6/1/22         810,000      $ 655,087 (b) 
         

 

 

 

Commercial Services & Supplies - 0.4%

         

Safway Group Holding LLC/Safway Finance Corp., Secured Notes

     7.000     5/15/18         1,065,000        1,049,025 (b)(d) 
         

 

 

 

Trading Companies & Distributors - 0.5%

         

Fly Leasing Ltd., Senior Notes

     6.750     12/15/20         1,500,000        1,507,500 (b) 
         

 

 

 

TOTAL INDUSTRIALS

            3,211,612   
         

 

 

 
INFORMATION TECHNOLOGY - 0.6%          

Electronic Equipment, Instruments & Components - 0.1%

         

Anixter Inc., Senior Notes

     5.125     10/1/21         470,000        460,012 (b) 
         

 

 

 

Internet Software & Services - 0.3%

         

VeriSign Inc., Senior Notes

     4.625     5/1/23         800,000        788,000 (b) 
         

 

 

 

Semiconductors & Semiconductor Equipment - 0.2%

         

Qorvo Inc., Senior Notes

     6.750     12/1/23         565,000        559,350 (b)(d) 
         

 

 

 

TOTAL INFORMATION TECHNOLOGY

            1,807,362   
         

 

 

 
MATERIALS - 1.9%          

Chemicals - 1.3%

         

Hexion Inc., Senior Secured Notes

     6.625     4/15/20         1,480,000        1,154,400 (b) 

Ineos Finance PLC, Senior Secured Bonds

     4.000     5/1/23         1,180,000 EUR      1,199,999 (d) 

W.R. Grace & Co., Senior Notes

     5.125     10/1/21         1,380,000        1,390,350 (b)(d) 
         

 

 

 

Total Chemicals

            3,744,749   
         

 

 

 

Containers & Packaging - 0.6%

         

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

     4.250     1/15/22         800,000 EUR      859,491 (d) 

Ball Corp., Senior Notes

     4.375     12/15/20         160,000        166,050 (b) 

Coveris Holdings SA, Senior Notes

     7.875     11/1/19         800,000        636,000 (b)(d) 
         

 

 

 

Total Containers & Packaging

            1,661,541   
         

 

 

 

TOTAL MATERIALS

            5,406,290   
         

 

 

 
TELECOMMUNICATION SERVICES - 5.3%          

Diversified Telecommunication Services - 2.6%

         

Digicel Group Ltd., Senior Notes

     8.250     9/30/20         2,670,000        2,173,046 (b)(d) 

Interoute Finco PLC, Senior Secured Bonds

     7.375     10/15/20         440,000 EUR      501,200 (d) 

SBA Communications Corp., Senior Notes

     4.875     7/15/22         810,000        813,038 (b) 

Telecom Italia Capital SA, Senior Notes

     6.375     11/15/33         2,215,000        2,098,712 (b) 

Unitymedia GmbH, Senior Notes

     3.750     1/15/27         350,000 EUR      336,216 (d) 

Wind Acquisition Finance SA, Senior Bonds

     7.375     4/23/21         1,350,000        1,290,087 (b)(d) 
         

 

 

 

Total Diversified Telecommunication Services

            7,212,299   
         

 

 

 

Wireless Telecommunication Services - 2.7%

         

Altice Financing SA, Senior Secured Notes

     5.250     2/15/23         350,000 EUR      370,150 (d) 

Matterhorn Telecom SA, Senior Secured Bonds

     3.875     5/1/22         520,000 EUR      512,294 (d) 

Oi Brasil Holdings Cooperatief U.A., Senior Notes

     5.750     2/10/22         8,915,000        3,967,175 (b)(d) 

Sprint Corp., Senior Notes

     7.250     9/15/21         2,000,000        1,450,000 (b) 

T-Mobile USA Inc., Senior Notes

     6.500     1/15/24         1,335,000        1,355,025 (b) 
         

 

 

 

Total Wireless Telecommunication Services

            7,654,644   
         

 

 

 

TOTAL TELECOMMUNICATION SERVICES

            14,866,943   
         

 

 

 
UTILITIES - 1.5%          

Electric Utilities - 0.5%

         

Viridian Group FundCo II Ltd., Senior Secured Notes

     7.500     3/1/20         1,225,000 EUR      1,409,320 (b)(d) 
         

 

 

 

 

See Notes to Schedule of Investments.

 

4


LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

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

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Gas Utilities - 0.5%

         

AmeriGas Partners LP/AmeriGas Finance Corp., Senior Notes

     6.500     5/20/21         1,449,000      $ 1,391,040 (b) 
         

 

 

 

Water Utilities - 0.5%

         

Anglian Water (Osprey) Financing PLC, Senior Secured Notes

     5.000     4/30/23         950,000 GBP      1,340,480 (a)(b) 
         

 

 

 

TOTAL UTILITIES

            4,140,840   
         

 

 

 

TOTAL CORPORATE BONDS & NOTES

(Cost - $108,255,526)

            103,820,643   
         

 

 

 
MUNICIPAL BONDS - 0.9%          

Georgia - 0.9%

         

Municipal Electric Authority, GA, Build America Bonds, Plant Vogtle Units 3&4 Project J

     6.637     4/1/57         1,230,000        1,476,529 (b) 

Municipal Electric Authority, GA, Build America Bonds, Plant Vogtle Units 3&4 Project M

     6.655     4/1/57         915,000        1,102,502 (b) 
         

 

 

 

TOTAL MUNICIPAL BONDS

(Cost - $2,422,362)

            2,579,031   
         

 

 

 
SENIOR LOANS - 1.1%          
CONSUMER DISCRETIONARY - 0.4%          

Media - 0.4%

         

Adria Topco BV, EUR PIK Term Loan

     9.000     7/8/19         1,141,166 EUR      1,230,817 (f)(g)(h) 
         

 

 

 
HEALTH CARE - 0.7%          

Pharmaceuticals - 0.7%

         

Capsugel Holdings U.S. Inc., USD Term Loan B

     3.500     8/1/18         1,818,119        1,799,655 (g)(h) 
         

 

 

 

TOTAL SENIOR LOANS

(Cost - $3,322,116)

            3,030,472   
         

 

 

 
                  SHARES        
COMMON STOCKS - 2.5%          
CONSUMER DISCRETIONARY - 2.0%          

Diversified Consumer Services - 2.0%

         

StoneMor Partners LP

          196,000        5,754,560 (b) 
         

 

 

 
ENERGY - 0.5%          

Oil, Gas & Consumable Fuels - 0.5%

         

BP Prudhoe Bay Royalty Trust

          50,000        1,339,000 (b) 
         

 

 

 

TOTAL COMMON STOCKS

(Cost - $8,377,799)

            7,093,560   
         

 

 

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS

(Cost - $550,452,794)

            438,506,279   
         

 

 

 
SHORT-TERM INVESTMENTS - 1.6%          

State Street Institutional Liquid Reserves Fund, Premier Class

(Cost - $4,417,680)

     0.355        4,417,680        4,417,680   
         

 

 

 

TOTAL INVESTMENTS - 158.0%

(Cost - $554,870,474#)

            442,923,959   

Mandatory Redeemable Preferred Stock, at Liquidation Value - (17.8)%

            (50,000,000

Liabilities in Excess of Other Assets - (40.2)%

            (112,528,342
         

 

 

 

TOTAL NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0%

          $ 280,395,617   
         

 

 

 

 

See Notes to Schedule of Investments.

 

 

5


LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

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

 

 

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

 

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

 

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

 

(d) 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.

 

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

 

(f) 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.

 

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

 

(h) 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.

 

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

Abbreviations used in this schedule:

 

AUD    — Australian Dollar
BRL    — Brazilian Real
EUR    — Euro
GBP    — British Pound
HUF    — Hungarian Forint
IDR    — Indonesian Rupiah
MXN    — Mexican Peso
NZD    — New Zealand Dollar
PLN    — Polish Zloty
ZAR    — South African Rand

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.

 

6


Notes to Schedule of Investments (unaudited)

 

1. Organization and significant accounting policies

Legg Mason BW Global Income Opportunities Fund Inc. (the “Fund”) was incorporated in Maryland on October 27, 2010 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 Fund’s primary investment objective is to provide current income. As a secondary investment objective, the Fund will seek capital appreciation. There can be no assurance the Fund will achieve its investment objectives.

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.

 

7


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†:

           

Sovereign Bonds

     —         $ 272,085,260         —         $ 272,085,260   

Collateralized Mortgage Obligations

     —           49,897,313         —           49,897,313   

Corporate Bonds & Notes

     —           103,820,643         —           103,820,643   

Municipal Bonds

     —           2,579,031         —           2,579,031   

Senior Loans

     —           3,030,472         —           3,030,472   

Common Stocks

   $ 7,093,560         —           —           7,093,560   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Long-term Investments

   $ 7,093,560       $ 431,412,719         —         $ 438,506,279   
  

 

 

    

 

 

    

 

 

    

 

 

 

Short-term Investments†

     4,417,680         —           —           4,417,680   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 11,511,240       $ 431,412,719         —         $ 442,923,959   
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments:

           

Futures Contracts

   $ 3,190,493         —           —         $ 3,190,493   

Forward Currency Contracts

     —         $ 1,433,794         —           1,433,794   

OTC Credit Default Swaps On Corporate Issues - Buy Protection‡

     —           169,193         —           169,193   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Other Financial Instruments

   $ 3,190,493       $ 1,602,987         —         $ 4,793,480   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 14,701,733       $ 433,015,706         —         $ 447,717,439   
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

 

DESCRIPTION

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

(LEVEL 3)
     TOTAL  

Other Financial Instruments:

           

Futures Contracts

   $ 2,857,803         —           —         $ 2,857,803   

Forward Currency Contracts

     —         $ 5,011,061         —           5,011,061   

Centrally Cleared Credit Default Swaps On Credit Indices - Sell Protection

     —           111,223         —           111,223   

OTC Credit Default Swaps On Corporate Issues - Buy Protection‡

     —           3,666         —           3,666   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,857,803       $ 5,125,950         —         $ 7,983,753   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

See Schedule of Investments for additional detailed categorizations.

 

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

2. Investments

At January 31, 2016, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

Gross unrealized appreciation

   $ 13,963,591   

Gross unrealized depreciation

     (125,910,106
  

 

 

 

Net unrealized depreciation

   $ (111,946,515
  

 

 

 

 

8


Notes to Schedule of Investments (unaudited) (continued)

 

At January 31, 2016, the Fund had the following open futures contracts:

 

     Number of
Contracts
     Expiration
Date
     Basis
Value
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 
Contracts to Buy:               

Australian 10-Year Bonds

     359         3/16       $ 32,575,657       $ 32,881,472       $ 305,815   

Dax Index

     47         3/16         13,746,522         12,418,197         (1,328,325

Euro BTP

     18         3/16         2,672,933         2,728,747         55,814   

Nikkei 225

     196         3/16         19,056,778         17,527,300         (1,529,478

U.S. Treasury Long-Term Bonds

     604         3/16         94,434,011         97,262,875         2,828,864   
              

 

 

 
Net unrealized appreciation on open futures contracts                $ 332,690   
              

 

 

 

At January 31, 2016, the Fund had the following open forward foreign currency contracts:

 

Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Appreciation
(Depreciation)
 
BRL      6,280,000         USD         1,612,945       HSBC Bank USA, N.A.      2/5/16       $ (43,940
USD      2,246,804         BRL         8,805,000       HSBC Bank USA, N.A.      2/5/16         46,949   
EUR      3,860,000         USD         4,250,713       Barclays Bank PLC      2/10/16         (68,381
USD      25,848,240         EUR         24,000,000       Citibank, N.A.      2/10/16         (155,900
USD      953,315         EUR         890,000       Citibank, N.A.      2/10/16         (11,006
USD      2,495,756         EUR         2,330,000       Citibank, N.A.      2/10/16         (28,812
USD      20,121,365         EUR         18,785,000       Citibank, N.A.      2/10/16         (232,292
USD      1,660,267         EUR         1,550,000       Citibank, N.A.      2/10/16         (19,167
USD      34,978,077         EUR         32,655,000       Citibank, N.A.      2/10/16         (403,806
USD      1,480,498         EUR         1,360,000       Goldman Sachs Group Inc.      2/10/16         6,930   
EUR      2,865,000         USD         3,110,582       HSBC Bank USA, N.A.      2/10/16         (6,338
EUR      950,000         USD         1,042,393       HSBC Bank USA, N.A.      2/10/16         (13,063
USD      2,445,378         EUR         2,255,000       HSBC Bank USA, N.A.      2/10/16         2,073   
EUR      155,000         USD         168,001       JPMorgan Chase & Co.      2/10/16         (57
EUR      45,000         USD         48,573       JPMorgan Chase & Co.      2/10/16         185   
EUR      25,660,000         USD         28,130,724       JPMorgan Chase & Co.      2/10/16         (327,965
EUR      4,060,000         USD         4,400,139       JPMorgan Chase & Co.      2/10/16         (1,105
EUR      950,000         USD         1,019,863       Morgan Stanley      2/10/16         9,467   
EUR      100,000         USD         109,268       Morgan Stanley      2/10/16         (917
USD      1,796,069         EUR         1,685,000       Morgan Stanley      2/10/16         (29,638
EUR      130,000         USD         141,862       UBS AG      2/10/16         (1,006
EUR      435,000         USD         471,543       UBS AG      2/10/16         (218
EUR      1,130,000         USD         1,224,929       UBS AG      2/10/16         (567
USD      381,002         NZD         575,000       Barclays Bank PLC      2/17/16         8,976   
USD      1,129,471         NZD         1,680,000       HSBC Bank USA, N.A.      2/17/16         42,506   
USD      757,043         AUD         1,075,000       Morgan Stanley      2/18/16         (3,205
USD      14,475,582         CAD         19,670,000       HSBC Bank USA, N.A.      3/9/16         434,557   
USD      13,876,453         CAD         20,100,000       JPMorgan Chase & Co.      3/9/16         (471,519
USD      1,899,124         GBP         1,340,000       Barclays Bank PLC      3/14/16         (10,371
USD      6,943,463         GBP         4,580,000       HSBC Bank USA, N.A.      3/14/16         416,979   
GBP      540,000         USD         784,208       JPMorgan Chase & Co.      3/14/16         (14,710
USD      262,970         GBP         180,000       Morgan Stanley      3/14/16         6,470   
INR      1,916,000,000         USD         28,323,922       Barclays Bank PLC      3/16/16         (300,431
HUF      403,785,000         USD         1,396,358       Barclays Bank PLC      3/21/16         7,748   
HUF      1,004,000,000         USD         3,471,166       HSBC Bank USA, N.A.      3/21/16         20,104   
USD      2,031,185         HUF         587,500,000       HSBC Bank USA, N.A.      3/21/16         (11,764
HUF      183,715,000         USD         638,489       Morgan Stanley      3/21/16         354   
COP      59,950,000,000         USD         18,858,131       HSBC Bank USA, N.A.      4/7/16         (729,919
COP      2,170,000,000         USD         640,118       HSBC Bank USA, N.A.      4/7/16         16,066   
JPY      2,730,000,000         USD         23,228,112       Barclays Bank PLC      4/8/16         (638,618

 

9


Notes to Schedule of Investments (unaudited) (continued)

 

 

JPY      2,760,000,000         USD         23,321,447       Citibank, N.A.      4/8/16         (483,718
USD      23,048,268         AUD         32,700,000       Citibank, N.A.      4/8/16         (23,217
JPY      1,600,000,000         USD         13,732,575       Goldman Sachs Group Inc.      4/8/16         (493,311
JPY      1,630,000,000         USD         13,868,917       JPMorgan Chase & Co.      4/8/16         (381,418
USD      23,197,736         MXN         418,000,000       Barclays Bank PLC      4/12/16         262,655   
MXN      11,900,000         USD         659,664       HSBC Bank USA, N.A.      4/12/16         (6,727
MXN      172,820,000         USD         9,580,088       HSBC Bank USA, N.A.      4/12/16         (97,694
USD      652,676         MXN         11,900,000       HSBC Bank USA, N.A.      4/12/16         (261
ZAR      93,500,000         USD         5,655,869       HSBC Bank USA, N.A.      4/12/16         151,775   
                 

 

 

 

Total

  

   $ (3,577,267
                 

 

 

 

Abbreviations used in this table:

 

AUD    — Australian Dollar
BRL    — Brazilian Real
CAD    — Canadian Dollar
COP    — Colombian Peso
EUR    — Euro
GBP    — British Pound
HUF    — Hungarian Forint
INR    — Indian Rupee
JPY    — Japanese Yen
MXN    — Mexican Peso
NZD    — New Zealand Dollar
ZAR    — South African Rand

At January 31, 2016, the Fund had the following open swap contracts:

 

OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION1

 

SWAP COUNTERPARTY

(REFERENCE ENTITY)

  NOTIONAL
AMOUNT2*
    TERMINATION
DATE
    IMPLIED
CREDIT
SPREAD AT
JANUARY 31,
20163
  PERIODIC
PAYMENTS
MADE BY
THE
FUND†
  MARKET
VALUE
    UPFRONT
PREMIUMS PAID
(RECEIVED)
    UNREALIZED
APPRECIATION
(DEPRECIATION)
 
Citigroup Capital Markets Inc. (Banco Bilbao Vizcaya Argentari)     1,630,000 EUR      12/20/20      1.46%   1.000% quarterly   $ 39,582      $ 42,367      $ (2,785
Citigroup Capital Markets Inc. (Banco Santander SA)     1,630,000 EUR      12/20/20      1.45%   1.000% quarterly     42,777        46,505        (3,728
Citigroup Capital Markets Inc. (Standard Chartered Bank)     1,505,000 EUR      12/20/20      1.64%   1.000% quarterly     43,345        16,107        27,238   
Citigroup Capital Markets Inc. (HSBC Bank PLC)     1,505,000 EUR      12/20/20      1.00%   1.000% quarterly     (1,833     (12,319     10,486   
JPMorgan Chase & Co. (HSBC Bank PLC)     1,505,000 EUR      12/20/20      1.00%   1.000% quarterly     (1,833     (10,897     9,064   
JPMorgan Chase & Co. (Standard Chartered Bank)     1,510,000 EUR      12/20/20      1.58%   1.000% quarterly     43,489        17,939        25,550   
         

 

 

   

 

 

   

 

 

 

Total

          $ 165,527      $ 99,702      $ 65,825   
         

 

 

   

 

 

   

 

 

 

 

CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION4

 

CENTRAL COUNTERPARTY

(REFERENCE ENTITY)

  NOTIONAL
AMOUNT2*
    TERMINATION
DATE
    PERIODIC
PAYMENTS
RECEIVED BY
THE FUND†
  MARKET
VALUE5
    UPFRONT
PREMIUMS PAID
(RECEIVED)
    UNREALIZED
DEPRECIATION
 
InterContinental Exchange (Markit CDX.NA.HY.25 Index)     7,630,000        12/20/20      5.000% quarterly   $ (11,542   $ (1,391   $ (10,151
InterContinental Exchange (Markit ITRX.EUR.XOVER Index)     6,595,000 EUR      12/20/20      5.000% quarterly     404,265        505,337        (101,072
       

 

 

   

 

 

   

 

 

 
Total         $ 392,723      $ 503,946      $ (111,223
       

 

 

   

 

 

   

 

 

 

 

 

10


Notes to Schedule of Investments (unaudited) (continued)

 

 

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 issues 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.

 

4 

If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay 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 underlying securities comprising the referenced index.

 

5 

The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, 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.

 

Percentage shown is an annual percentage rate.

 

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

Abbreviation used in this table:

 

EUR    — Euro

 

11


 

ITEM 2. CONTROLS AND PROCEDURES.

 

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

 

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

 

ITEM 3. EXHIBITS.

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


SIGNATURES

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

Legg Mason BW Global Income Opportunities Fund Inc.

 

By   /s/    JANE TRUST        
  Jane Trust
  Chief Executive Officer

Date: March 24, 2016

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

 

By   /s/    JANE TRUST        
  Jane Trust
  Chief Executive Officer

Date: March 24, 2016

 

By   /s/    RICHARD F. SENNETT        
  Richard F. Sennett
  Principal Financial Officer

Date: March 24, 2016