BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) | July 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| CORPORATE BONDS & NOTES - 61.9% | ||||||||||||||||
| COMMUNICATION SERVICES - 9.0% | ||||||||||||||||
| Diversified Telecommunication Services - 1.0% |
|
|||||||||||||||
| Embarq Corp., Senior Notes |
7.995 | % | 6/1/36 | 1,280,000 | $ | 1,503,002 | ||||||||||
| Hughes Satellite Systems Corp., Senior Notes |
6.625 | % | 8/1/26 | 200,000 | 223,212 | (a) | ||||||||||
| Level 3 Financing Inc., Senior Notes |
4.625 | % | 9/15/27 | 1,300,000 | 1,369,088 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
|
3,095,302 | ||||||||||||||
|
|
|
|||||||||||||||
| Media - 5.1% |
||||||||||||||||
| Altice France Holding SA, Senior Notes |
6.000 | % | 2/15/28 | 1,515,000 | 1,515,977 | (b) | ||||||||||
| Altice France SA, Senior Secured Notes |
3.375 | % | 1/15/28 | 1,190,000 | EUR | 1,375,940 | (b) | |||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
5.125 | % | 5/1/27 | 2,365,000 | 2,512,274 | (a)(b) | ||||||||||
| Colombia Telecomunicaciones SA ESP, Senior Notes |
4.950 | % | 7/17/30 | 775,000 | 798,018 | (b) | ||||||||||
| Gray Television Inc., Senior Notes |
5.125 | % | 10/15/24 | 2,315,000 | 2,384,207 | (a)(b) | ||||||||||
| Liberty Interactive LLC, Senior Notes |
8.250 | % | 2/1/30 | 725,000 | 766,263 | (a) | ||||||||||
| Sinclair Television Group Inc., Senior Notes |
5.625 | % | 8/1/24 | 2,000,000 | 2,027,710 | (a)(b) | ||||||||||
| Sinclair Television Group Inc., Senior Notes |
5.875 | % | 3/15/26 | 275,000 | 276,667 | (b) | ||||||||||
| Sirius XM Radio Inc., Senior Notes |
5.375 | % | 7/15/26 | 2,000,000 | 2,113,690 | (a)(b) | ||||||||||
| TEGNA Inc., Senior Notes |
4.625 | % | 3/15/28 | 1,400,000 | 1,387,050 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Media |
15,157,796 | |||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 2.9% |
||||||||||||||||
| Millicom International Cellular SA, Senior Notes |
6.250 | % | 3/25/29 | 2,275,000 | 2,509,473 | (b) | ||||||||||
| Sprint Capital Corp., Senior Notes |
6.875 | % | 11/15/28 | 2,330,000 | 3,027,718 | (a) | ||||||||||
| Sprint Corp., Senior Notes |
7.250 | % | 9/15/21 | 2,820,000 | 2,982,150 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
8,519,341 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
26,772,439 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 6.6% | ||||||||||||||||
| Automobiles - 1.3% |
||||||||||||||||
| Fiat Chrysler Automobiles NV, Senior Notes |
5.250 | % | 4/15/23 | 1,145,000 | 1,215,847 | (a) | ||||||||||
| Ford Motor Co., Senior Notes |
8.500 | % | 4/21/23 | 2,500,000 | 2,778,987 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Automobiles |
3,994,834 | |||||||||||||||
|
|
|
|||||||||||||||
| Hotels, Restaurants & Leisure - 1.7% |
||||||||||||||||
| International Game Technology PLC, Senior Secured Notes |
5.250 | % | 1/15/29 | 1,455,000 | 1,489,040 | (b) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
1 |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Hotels, Restaurants & Leisure - (continued) |
||||||||||||||||
| Scientific Games International Inc., Senior Notes |
8.625 | % | 7/1/25 | 1,440,000 | $ | 1,450,353 | (a)(b) | |||||||||
| Scientific Games International Inc., Senior Secured Notes |
5.000 | % | 10/15/25 | 745,000 | 740,251 | (a)(b) | ||||||||||
| Wyndham Destinations Inc., Senior Secured Notes |
5.750 | % | 4/1/27 | 1,475,000 | 1,465,501 | |||||||||||
|
|
|
|||||||||||||||
| Total Hotels, Restaurants & Leisure |
5,145,145 | |||||||||||||||
|
|
|
|||||||||||||||
| Leisure Products - 0.9% |
||||||||||||||||
| Vista Outdoor Inc., Senior Notes |
5.875 | % | 10/1/23 | 2,515,000 | 2,524,167 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Specialty Retail - 1.4% |
||||||||||||||||
| PetSmart Inc., Senior Secured Notes |
5.875 | % | 6/1/25 | 4,185,000 | 4,300,088 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Textiles, Apparel & Luxury Goods - 1.3% |
||||||||||||||||
| NIKE Inc., Senior Notes |
3.625 | % | 5/1/43 | 2,237,000 | 2,782,250 | (a) | ||||||||||
| PVH Corp., Senior Notes |
4.625 | % | 7/10/25 | 1,010,000 | 1,034,311 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Textiles, Apparel & Luxury Goods |
3,816,561 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
19,780,795 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 1.2% | ||||||||||||||||
| Food Products - 1.0% |
||||||||||||||||
| BRF SA, Senior Notes |
3.950 | % | 5/22/23 | 1,225,000 | 1,249,372 | (a)(b) | ||||||||||
| BRF SA, Senior Notes |
4.875 | % | 1/24/30 | 1,275,000 | 1,276,211 | (a)(b) | ||||||||||
| JBS Investments II GmbH, Senior Notes |
7.000 | % | 1/15/26 | 625,000 | 673,297 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Food Products |
3,198,880 | |||||||||||||||
|
|
|
|||||||||||||||
| Personal Products - 0.2% |
||||||||||||||||
| Edgewell Personal Care Co., Senior Notes |
5.500 | % | 6/1/28 | 475,000 | 514,845 | (b) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
3,713,725 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 2.6% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 2.6% |
||||||||||||||||
| Geopark Ltd., Senior Notes |
5.500 | % | 1/17/27 | 1,620,000 | 1,421,566 | (b) | ||||||||||
| Murphy Oil Corp., Senior Notes |
6.875 | % | 8/15/24 | 2,200,000 | 2,194,731 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
4.200 | % | 3/15/48 | 995,000 | 809,980 | |||||||||||
| Petrobras Global Finance BV, Senior Notes |
5.600 | % | 1/3/31 | 1,350,000 | 1,423,069 | |||||||||||
| Petroleos Mexicanos, Senior Notes |
6.950 | % | 1/28/60 | 2,235,000 | 1,849,518 | (b) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
7,698,864 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 16.0% | ||||||||||||||||
| Banks - 8.0% |
||||||||||||||||
| Banco Mercantil del Norte SA, Junior Subordinated Notes (6.750% to 9/27/24 then 5 year Treasury Constant Maturity Rate + 4.967%) |
6.750 | % | 9/27/24 | 225,000 | 214,671 | (c)(d)(e) | ||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
2 |
BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Banks - (continued) |
||||||||||||||||
| Bank of America Corp., Subordinated Notes |
7.750 | % | 5/14/38 | 6,345,000 | $ | 10,875,764 | (a) | |||||||||
| CIT Group Inc., Senior Notes |
5.000 | % | 8/15/22 | 170,000 | 175,787 | |||||||||||
| CIT Group Inc., Senior Notes |
5.000 | % | 8/1/23 | 615,000 | 644,981 | (a) | ||||||||||
| Credicorp Ltd., Senior Notes |
2.750 | % | 6/17/25 | 400,000 | 401,952 | (b) | ||||||||||
| Itau Unibanco Holding SA, Junior Subordinated Notes (6.125% to 12/12/22 then 5 year Treasury Constant Maturity Rate + 3.981%) |
6.125 | % | 12/12/22 | 1,425,000 | 1,364,901 | (c)(d)(e) | ||||||||||
| Wells Fargo & Co., Subordinated Notes |
4.300 | % | 7/22/27 | 9,000,000 | 10,365,268 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
24,043,324 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 6.4% |
||||||||||||||||
| Goldman Sachs Group Inc., Subordinated Notes |
6.750 | % | 10/1/37 | 12,000,000 | 18,047,277 | |||||||||||
| Owl Rock Capital Corp., Senior Notes |
4.000 | % | 3/30/25 | 1,085,000 | 1,086,543 | |||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
19,133,820 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Finance - 1.1% |
||||||||||||||||
| Ally Financial Inc., Senior Notes |
4.250 | % | 4/15/21 | 1,870,000 | 1,901,702 | (a) | ||||||||||
| Blackstone/GSO Secured Lending Fund, Senior Notes |
3.650 | % | 7/14/23 | 1,440,000 | 1,448,317 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Consumer Finance |
3,350,019 | |||||||||||||||
|
|
|
|||||||||||||||
| Insurance - 0.5% |
||||||||||||||||
| Genworth Holdings Inc., Senior Notes |
7.200 | % | 2/15/21 | 735,000 | 735,827 | (a) | ||||||||||
| Genworth Holdings Inc., Senior Notes |
4.900 | % | 8/15/23 | 730,000 | 651,981 | |||||||||||
|
|
|
|||||||||||||||
| Total Insurance |
1,387,808 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
47,914,971 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 4.8% | ||||||||||||||||
| Health Care Providers & Services - 1.1% |
||||||||||||||||
| DaVita Inc., Senior Notes |
5.000 | % | 5/1/25 | 1,360,000 | 1,398,760 | (a) | ||||||||||
| Encompass Health Corp., Senior Notes |
5.750 | % | 11/1/24 | 1,260,000 | 1,275,882 | (a) | ||||||||||
| Select Medical Corp., Senior Notes |
6.250 | % | 8/15/26 | 560,000 | 604,263 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
3,278,905 | |||||||||||||||
|
|
|
|||||||||||||||
| Pharmaceuticals - 3.7% |
||||||||||||||||
| Bausch Health Cos. Inc., Senior Notes |
6.125 | % | 4/15/25 | 1,440,000 | 1,488,240 | (a)(b) | ||||||||||
| Bausch Health Cos. Inc., Senior Notes |
6.250 | % | 2/15/29 | 1,010,000 | 1,074,478 | (a)(b) | ||||||||||
| Bausch Health Cos. Inc., Senior Notes |
7.250 | % | 5/30/29 | 650,000 | 716,095 | (a)(b) | ||||||||||
| Bausch Health Cos. Inc., Senior Secured Notes |
7.000 | % | 3/15/24 | 3,000,000 | 3,137,940 | (a)(b) | ||||||||||
| Endo Dac/Endo Finance LLC/Endo Finco Inc., Senior Secured Notes |
5.875 | % | 10/15/24 | 1,485,000 | 1,482,988 | (a)(b) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
3 |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Pharmaceuticals - (continued) |
||||||||||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
7.125 | % | 1/31/25 | 1,385,000 | $ | 1,522,780 | (a)(b) | |||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
3.150 | % | 10/1/26 | 1,815,000 | 1,660,462 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Pharmaceuticals |
11,082,983 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
14,361,888 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 2.8% | ||||||||||||||||
| Airlines - 0.6% |
||||||||||||||||
| Air Canada, Senior Notes |
7.750 | % | 4/15/21 | 1,735,000 | 1,758,640 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Commercial Services & Supplies - 0.5% |
||||||||||||||||
| Harsco Corp., Senior Notes |
5.750 | % | 7/31/27 | 1,375,000 | 1,446,046 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Industrial Conglomerates - 0.9% |
||||||||||||||||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp., Senior Notes |
6.250 | % | 5/15/26 | 2,425,000 | 2,568,342 | |||||||||||
|
|
|
|||||||||||||||
| Marine - 0.4% |
||||||||||||||||
| Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Senior Secured Notes |
8.125 | % | 11/15/21 | 440,000 | 267,439 | (a)(b) | ||||||||||
| Navios South American Logistics Inc./Navios Logistics Finance U.S. Inc., Senior Secured Notes |
10.750 | % | 7/1/25 | 975,000 | 1,045,687 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Marine |
1,313,126 | |||||||||||||||
|
|
|
|||||||||||||||
| Road & Rail - 0.4% |
||||||||||||||||
| CSX Corp., Senior Notes |
3.800 | % | 11/1/46 | 1,000,000 | 1,238,279 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
8,324,433 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 4.2% | ||||||||||||||||
| Communications Equipment - 2.9% |
||||||||||||||||
| CommScope Inc., Senior Notes |
8.250 | % | 3/1/27 | 1,350,000 | 1,457,534 | (a)(b) | ||||||||||
| CommScope Inc., Senior Notes |
7.125 | % | 7/1/28 | 495,000 | 524,685 | (b) | ||||||||||
| CommScope Inc., Senior Secured Notes |
6.000 | % | 3/1/26 | 1,370,000 | 1,463,413 | (a)(b) | ||||||||||
| Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes |
6.750 | % | 10/1/26 | 2,200,000 | 2,259,290 | (b) | ||||||||||
| ViaSat Inc., Senior Notes |
5.625 | % | 9/15/25 | 1,450,000 | 1,464,652 | (b) | ||||||||||
| ViaSat Inc., Senior Secured Notes |
5.625 | % | 4/15/27 | 1,300,000 | 1,380,620 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Communications Equipment |
8,550,194 | |||||||||||||||
|
|
|
|||||||||||||||
| Semiconductors & Semiconductor Equipment - 0.3% |
|
|||||||||||||||
| Entegris Inc., Senior Notes |
4.375 | % | 4/15/28 | 750,000 | 793,845 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
4 |
BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Technology Hardware, Storage & Peripherals - 1.0% |
|
|||||||||||||||
| Dell International LLC/EMC Corp., Senior Notes |
7.125 | % | 6/15/24 | 1,870,000 | $ | 1,944,333 | (a)(b) | |||||||||
| Dell International LLC/EMC Corp., Senior Secured Notes |
6.020 | % | 6/15/26 | 1,020,000 | 1,196,896 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Technology Hardware, Storage & Peripherals |
|
3,141,229 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
12,485,268 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 9.8% | ||||||||||||||||
| Chemicals - 1.5% |
||||||||||||||||
| Braskem Netherlands Finance BV, Senior Notes (8.500% to 1/23/26 then 5 year Treasury Constant Maturity Rate + 8.220%) |
8.500 | % | 1/23/81 | 1,440,000 | 1,461,600 | (b)(e) | ||||||||||
| Tronox Inc., Senior Notes |
6.500 | % | 4/15/26 | 1,825,000 | 1,833,943 | (a)(b) | ||||||||||
| Tronox Inc., Senior Secured Notes |
6.500 | % | 5/1/25 | 1,200,000 | 1,283,154 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Chemicals |
4,578,697 | |||||||||||||||
|
|
|
|||||||||||||||
| Construction Materials - 0.4% |
||||||||||||||||
| Cemex SAB de CV, Senior Secured Notes |
7.375 | % | 6/5/27 | 1,180,000 | 1,260,960 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Containers & Packaging - 3.1% |
||||||||||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes |
6.000 | % | 2/15/25 | 730,000 | 763,580 | (b) | ||||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes |
5.250 | % | 8/15/27 | 1,430,000 | 1,498,311 | (b) | ||||||||||
| Cascades Inc./Cascades USA Inc., Senior Notes |
5.125 | % | 1/15/26 | 1,465,000 | 1,517,190 | (a)(b) | ||||||||||
| Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA, Senior Secured Notes |
5.125 | % | 7/15/23 | 2,725,000 | 2,770,099 | (a)(b) | ||||||||||
| Sealed Air Corp., Senior Notes |
4.875 | % | 12/1/22 | 1,200,000 | 1,261,218 | (a)(b) | ||||||||||
| Sealed Air Corp., Senior Notes |
5.125 | % | 12/1/24 | 1,150,000 | 1,268,594 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Containers & Packaging |
9,078,992 | |||||||||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 4.2% |
||||||||||||||||
| Cleveland-Cliffs Inc., Senior Notes |
5.750 | % | 3/1/25 | 740,000 | 640,563 | (a) | ||||||||||
| Cleveland-Cliffs Inc., Senior Notes |
5.875 | % | 6/1/27 | 2,840,000 | 2,445,950 | (a) | ||||||||||
| Cleveland-Cliffs Inc., Senior Secured Notes |
4.875 | % | 1/15/24 | 720,000 | 697,424 | (b) | ||||||||||
| Corp. Nacional del Cobre de Chile, Senior Notes |
3.700 | % | 1/30/50 | 1,585,000 | 1,772,341 | (d) | ||||||||||
| CSN Resources SA, Senior Notes |
7.625 | % | 4/17/26 | 1,005,000 | 995,654 | (b) | ||||||||||
| First Quantum Minerals Ltd., Senior Notes |
7.250 | % | 5/15/22 | 2,780,000 | 2,779,235 | (a)(b) | ||||||||||
| First Quantum Minerals Ltd., Senior Notes |
7.250 | % | 4/1/23 | 640,000 | 643,824 | (a)(b) | ||||||||||
| Freeport-McMoRan Inc., Senior Notes |
4.125 | % | 3/1/28 | 1,440,000 | 1,517,162 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
5 |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Metals & Mining - (continued) |
||||||||||||||||
| Freeport-McMoRan Inc., Senior Notes |
4.625 | % | 8/1/30 | 940,000 | $ | 1,008,794 | ||||||||||
| New Gold Inc., Senior Notes |
7.500 | % | 7/15/27 | 100,000 | 109,125 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Metals & Mining |
12,610,072 | |||||||||||||||
|
|
|
|||||||||||||||
| Paper & Forest Products - 0.6% |
||||||||||||||||
| Boise Cascade Co., Senior Notes |
5.625 | % | 9/1/24 | 1,250,000 | 1,292,056 | (a)(b) | ||||||||||
| Boise Cascade Co., Senior Notes |
4.875 | % | 7/1/30 | 500,000 | 532,500 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Paper & Forest Products |
1,824,556 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
29,353,277 | |||||||||||||||
|
|
|
|||||||||||||||
| REAL ESTATE - 2.7% | ||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) - 2.7% |
|
|||||||||||||||
| China Evergrande Group, Senior Secured Notes |
6.250 | % | 6/28/21 | 1,450,000 | 1,419,187 | (d) | ||||||||||
| Iron Mountain Inc., Senior Notes |
5.250 | % | 3/15/28 | 1,135,000 | 1,194,378 | (a)(b) | ||||||||||
| Iron Mountain US Holdings Inc., Senior Notes |
5.375 | % | 6/1/26 | 870,000 | 903,547 | (a)(b) | ||||||||||
| Realogy Group LLC/Realogy Co-Issuer Corp., Secured Notes |
7.625 | % | 6/15/25 | 2,825,000 | 2,969,033 | (b) | ||||||||||
| Sunac China Holdings Ltd., Senior Secured Notes |
8.350 | % | 4/19/23 | 1,370,000 | 1,429,401 | (d) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL REAL ESTATE |
7,915,546 | |||||||||||||||
|
|
|
|||||||||||||||
| UTILITIES - 2.2% | ||||||||||||||||
| Electric Utilities - 1.2% |
||||||||||||||||
| NRG Energy Inc., Senior Notes |
6.625 | % | 1/15/27 | 925,000 | 986,475 | (a) | ||||||||||
| Sensata Technologies Inc., Senior Notes |
4.375 | % | 2/15/30 | 480,000 | 514,186 | (a)(b) | ||||||||||
| Talen Energy Supply LLC, Senior Notes |
6.500 | % | 6/1/25 | 915,000 | 616,385 | |||||||||||
| Talen Energy Supply LLC, Senior Secured Notes |
7.250 | % | 5/15/27 | 340,000 | 354,175 | (b) | ||||||||||
| Talen Energy Supply LLC, Senior Secured Notes |
6.625 | % | 1/15/28 | 1,245,000 | 1,253,796 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Electric Utilities |
3,725,017 | |||||||||||||||
|
|
|
|||||||||||||||
| Gas Utilities - 0.2% |
||||||||||||||||
| AmeriGas Partners LP/AmeriGas Finance Corp., Senior Notes |
5.875 | % | 8/20/26 | 625,000 | 691,103 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Independent Power and Renewable Electricity Producers - 0.8% |
|
|||||||||||||||
| AES Corp., Senior Secured Notes |
3.300 | % | 7/15/25 | 685,000 | 736,556 | (b) | ||||||||||
| Clearway Energy Operating LLC, Senior Notes |
5.000 | % | 9/15/26 | 1,480,000 | 1,557,419 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Independent Power and Renewable Electricity Producers |
|
2,293,975 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL UTILITIES |
6,710,095 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES |
|
185,031,301 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
6 |
BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| SOVEREIGN BONDS - 38.9% | ||||||||||||||||
| Brazil - 12.4% |
||||||||||||||||
| Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/23 | 38,785,000 | BRL | $ | 8,474,344 | |||||||||
| Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/27 | 122,900,000 | BRL | 28,512,198 | ||||||||||
|
|
|
|||||||||||||||
| Total Brazil |
36,986,542 | |||||||||||||||
|
|
|
|||||||||||||||
| India - 7.0% |
||||||||||||||||
| India Government Bond, Senior Notes |
8.170 | % | 12/1/44 | 1,300,000,000 | INR | 21,040,110 | ||||||||||
|
|
|
|||||||||||||||
| Indonesia - 8.5% |
||||||||||||||||
| Indonesia Treasury Bond, Senior Notes |
8.375 | % | 9/15/26 | 50,000,000,000 | IDR | 3,775,000 | ||||||||||
| Indonesia Treasury Bond, Senior Notes |
9.000 | % | 3/15/29 | 120,400,000,000 | IDR | 9,331,825 | ||||||||||
| Indonesia Treasury Bond, Senior Notes |
8.375 | % | 3/15/34 | 69,800,000,000 | IDR | 5,202,012 | ||||||||||
| Indonesia Treasury Bond, Senior Notes |
8.750 | % | 2/15/44 | 96,900,000,000 | IDR | 7,237,965 | ||||||||||
|
|
|
|||||||||||||||
| Total Indonesia |
25,546,802 | |||||||||||||||
|
|
|
|||||||||||||||
| Mexico - 7.1% |
||||||||||||||||
| Mexican Bonos, Senior Notes |
7.750 | % | 11/13/42 | 421,500,000 | MXN | 21,125,190 | ||||||||||
|
|
|
|||||||||||||||
| South Africa - 0.4% |
||||||||||||||||
| Republic of South Africa Government International Bond, Senior Notes |
5.750 | % | 9/30/49 | 1,480,000 | 1,320,363 | |||||||||||
|
|
|
|||||||||||||||
| Spain - 3.4% |
||||||||||||||||
| Spain Government Bond, Senior Notes |
1.000 | % | 10/31/50 | 8,925,000 | EUR | 10,191,689 | (d) | |||||||||
|
|
|
|||||||||||||||
| Ukraine - 0.1% |
||||||||||||||||
| Ukraine Government International Bond, Senior Notes |
7.253 | % | 3/15/33 | 300,000 | 291,000 | (b) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS |
|
116,501,696 | ||||||||||||||
|
|
|
|||||||||||||||
| U.S. GOVERNMENT & AGENCY OBLIGATIONS - 24.0% |
|
|||||||||||||||
| U.S. Government Obligations - 24.0% |
||||||||||||||||
| U.S. Treasury Bonds |
3.375 | % | 11/15/48 | 8,935,000 | 13,701,090 | |||||||||||
| U.S. Treasury Bonds |
2.875 | % | 5/15/49 | 9,545,000 | 13,505,056 | |||||||||||
| U.S. Treasury Bonds |
2.375 | % | 11/15/49 | 34,525,000 | 44,687,623 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS |
|
71,893,769 | ||||||||||||||
|
|
|
|||||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(f) -17.7% |
|
|||||||||||||||
| Banc of America Commercial Mortgage Trust, 2017-BNK3 XA, IO |
1.112 | % | 2/15/50 | 43,864,289 | 2,339,304 | (e) | ||||||||||
| BANK, 2017-BNK4 XA, IO |
1.411 | % | 5/15/50 | 4,658,645 | 312,030 | (e) | ||||||||||
| BBVA RMBS 2 FTA, 2007-2 C (3 mo. EURIBOR + 0.540%) |
0.185 | % | 9/17/50 | 2,000,000 | EUR | 1,995,655 | (d)(e) | |||||||||
| Citigroup Commercial Mortgage Trust, 2015-GC29 C |
4.157 | % | 4/10/48 | 3,000,000 | 2,936,387 | (e) | ||||||||||
See Notes to Schedule of Investments.
|
| ||||
| BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
7 |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(f) - (continued) |
|
|||||||||||||||
| CSMC Trust, 2019-ICE4 A (1 mo. USD LIBOR + 0.980%) |
1.155 | % | 5/15/36 | 2,500,000 | $ | 2,499,415 | (b)(e) | |||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-DNA3 B1 (1 mo. USD LIBOR + 3.900%) |
4.072 | % | 9/25/48 | 1,500,000 | 1,408,871 | (b)(e) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-DNA3 B2 (1 mo. USD LIBOR + 7.750%) |
7.922 | % | 9/25/48 | 5,075,000 | 4,029,384 | (b)(e) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HQA2 B2 (1 mo. USD LIBOR + 11.000%) |
11.172 | % | 10/25/48 | 670,000 | 641,627 | (b)(e) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2018-HQA2 M2 (1 mo. USD LIBOR + 2.300%) |
2.472 | % | 10/25/48 | 2,150,000 | 2,067,360 | (b)(e) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2019-DNA2 M2 (1 mo. USD LIBOR + 2.450%) |
2.622 | % | 3/25/49 | 1,546,664 | 1,515,375 | (b)(e) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2019-DNA4 B2 (1 mo. USD LIBOR + 6.250%) |
6.422 | % | 10/25/49 | 860,000 | 605,689 | (b)(e) | ||||||||||
| Federal Home Loan Mortgage Corp. (FHLMC) Structured Agency Credit Risk Debt Notes, 2019-HQA3 B1 (1 mo. USD LIBOR + 3.000%) |
3.172 | % | 9/25/49 | 6,704,000 | 6,096,345 | (b)(e) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2018-C06 2B1 (1 mo. USD LIBOR + 4.100%) |
4.272 | % | 3/25/31 | 2,000,000 | 1,874,912 | (e) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2019-R05 1B1 (1 mo. USD LIBOR + 4.100%) |
4.272 | % | 7/25/39 | 230,000 | 201,543 | (b)(e) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2019-R06 2B1 (1 mo. USD LIBOR + 3.750%) |
3.922 | % | 9/25/39 | 2,000,000 | 1,578,284 | (b)(e) | ||||||||||
| Federal National Mortgage Association (FNMA) - CAS, 2020-R01 1B1 (1 mo. USD LIBOR + 3.250%) |
3.422 | % | 1/25/40 | 1,025,000 | 723,253 | (b)(e) | ||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
8 |
BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| COLLATERALIZED MORTGAGE OBLIGATIONS(f) - (continued) |
|
|||||||||||||||
| FREMF Mortgage Trust, 2014-K715 C |
4.128 | % | 2/25/46 | 3,100,000 | $ | 3,114,345 | (b)(e) | |||||||||
| FREMF Mortgage Trust, 2015-K720 C |
3.393 | % | 7/25/22 | 1,760,000 | 1,792,012 | (b)(e) | ||||||||||
| FREMF Mortgage Trust, 2015-K721 C |
3.565 | % | 11/25/47 | 2,330,000 | 2,358,343 | (b)(e) | ||||||||||
| FREMF Mortgage Trust, 2017-K63 C |
3.872 | % | 2/25/50 | 1,525,000 | 1,607,627 | (b)(e) | ||||||||||
| GS Mortgage Securities Trust, 2013-GC10 XA, IO |
1.494 | % | 2/10/46 | 14,247,593 | 474,391 | (e) | ||||||||||
| Hipocat 9 FTA, HIPO-9 C (3 mo. EURIBOR + 0.290%, 0.000% floor) |
0.000 | % | 7/15/38 | 2,100,000 | EUR | 2,063,346 | (d)(e) | |||||||||
| IM Pastor FTA, 4 B (3 mo. EURIBOR + 0.190%, 0.000% floor) |
0.000 | % | 3/22/44 | 1,200,000 | EUR | 814,154 | (d)(e) | |||||||||
| IM Pastor FTH, 3 B (3 mo. EURIBOR + 0.290%, 0.000% floor) |
0.000 | % | 3/22/43 | 7,400,000 | EUR | 4,075,737 | (d)(e) | |||||||||
| JPMBB Commercial Mortgage Securities Trust, 2013-C15 C |
5.199 | % | 11/15/45 | 400,000 | 391,990 | (e) | ||||||||||
| Rural Hipotecario IX FTA, 9 B (3 mo. EURIBOR + 0.320%) |
0.058 | % | 2/17/50 | 1,889,002 | EUR | 1,875,133 | (d)(e) | |||||||||
| TDA CAM FTA, 9 B (3 mo. EURIBOR + 0.400%) |
0.000 | % | 4/28/50 | 1,300,000 | EUR | 1,013,885 | (d)(e) | |||||||||
| TDA Ibercaja 2 Fondo de Titulizacion de Activos, 2 D (3 mo. EURIBOR + 1.500%) |
1.047 | % | 10/26/42 | 341,424 | EUR | 371,879 | (d)(e) | |||||||||
| WaMu Commercial Mortgage Securities Trust, 2007-SL3 J |
4.208 | % | 3/23/45 | 1,085,000 | 1,006,278 | (b)(e) | ||||||||||
| WF-RBS Commercial Mortgage Trust, 2012-C6 XA, IO |
2.056 | % | 4/15/45 | 28,337,783 | 527,706 | (b)(e) | ||||||||||
| WF-RBS Commercial Mortgage Trust, 2013-C15 XA, IO |
0.425 | % | 8/15/46 | 62,262,459 | 643,090 | (e) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS |
|
52,955,350 | ||||||||||||||
|
|
|
|||||||||||||||
| CONVERTIBLE BONDS & NOTES - 1.0% | ||||||||||||||||
| COMMUNICATION SERVICES - 0.7% | ||||||||||||||||
| Media - 0.7% |
||||||||||||||||
| DISH Network Corp., Senior Notes |
3.375 | % | 8/15/26 | 2,365,000 | 2,183,203 | |||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 0.3% | ||||||||||||||||
| Metals & Mining - 0.3% |
||||||||||||||||
| Cleveland-Cliffs Inc., Senior Notes |
1.500 | % | 1/15/25 | 795,000 | 694,945 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CONVERTIBLE BONDS & NOTES |
|
2,878,148 | ||||||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 0.3% | ||||||||||||||||
| Park Place Securities Inc. Pass-Through Certificates, 2005-WHQ2 M2 (1 mo. USD LIBOR + 0.690%) (Cost - $895,391) |
0.862 | % | 5/25/35 | 893,822 | 891,312 | (e) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
430,151,576 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
9 |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| SECURITY |
RATE | SHARES | VALUE | |||||||||||||
| SHORT-TERM INVESTMENTS - 3.1% | ||||||||||||||||
| JPMorgan U.S. Government Money Market Fund, Institutional Class |
0.009 | % | 9,236,048 | $ | 9,236,048 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 146.9% |
|
439,387,624 | ||||||||||||||
| Mandatory Redeemable Preferred Stock, at Liquidation Value - (20.1)% |
|
(60,000,000 | ) | |||||||||||||
| Liabilities in Excess of Other Assets - (26.8)% |
(80,334,412 | ) | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS - 100.0% |
|
$ | 299,053,212 | |||||||||||||
|
|
|
|||||||||||||||
| † | Face amount denominated in U.S. dollars, unless otherwise noted. |
| (a) | All or a portion of this security is pledged as collateral pursuant to the loan agreement. |
| (b) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
| (c) | Security has no maturity date. The date shown represents the next call date. |
| (d) | 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. |
| (e) | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (f) | Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit. |
Abbreviation(s) used in this schedule:
| BRL | — Brazilian Real | |
| CAS | — Connecticut Avenue Securities | |
| EUR | — Euro | |
| EURIBOR | — Euro Interbank Offered Rate | |
| FHLMC | — Federal Home Loan Mortgage Corporation | |
| FNMA | — Federal National Mortgage Association | |
| IDR | — Indonesian Rupiah | |
| INR | — Indian Rupee | |
| IO | — Interest Only | |
| LIBOR | — London Interbank Offered Rate | |
| MXN | — Mexican Peso | |
| USD | — Unified School District |
See Notes to Schedule of Investments.
|
|
||||
|
10 |
BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
At July 31, 2020, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| Euro-BTP |
267 | 9/20 | $ | 43,979,600 | $ | 46,230,215 | $ | 2,250,615 | ||||||||||||
| U.S. Treasury Ultra Long-Term Bonds |
41 | 9/20 | 9,172,077 | 9,335,188 | 163,111 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 2,413,726 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| E-mini S&P 500 Index |
139 | 9/20 | 21,837,369 | 22,681,325 | (843,956 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open futures contracts | $ | 1,569,770 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
At July 31, 2020, the Fund had the following open forward foreign currency contracts:
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 13,728,061 | AUD | 20,030,000 | National Australia Bank Ltd. | 8/6/20 | $ | (582,716 | ) | ||||||||||||||
| MXN | 38,000,000 | USD | 1,586,083 | Citibank N.A. | 8/13/20 | 118,479 | ||||||||||||||||
| USD | 8,724,946 | MXN | 198,700,000 | Citibank N.A. | 8/13/20 | (188,116 | ) | |||||||||||||||
| USD | 12,301,201 | MXN | 280,600,000 | Goldman Sachs Group Inc. | 8/13/20 | (285,639 | ) | |||||||||||||||
| USD | 1,354,992 | MXN | 31,000,000 | HSBC Securities Inc. | 8/13/20 | (35,571 | ) | |||||||||||||||
| USD | 1,660,958 | MXN | 38,000,000 | HSBC Securities Inc. | 8/13/20 | (43,603 | ) | |||||||||||||||
| MXN | 31,000,000 | USD | 1,408,671 | JPMorgan Chase & Co. | 8/13/20 | (18,107 | ) | |||||||||||||||
| USD | 13,376,148 | ZAR | 223,300,000 | HSBC Securities Inc. | 8/14/20 | 332,911 | ||||||||||||||||
| USD | 21,093,515 | TWD | 630,000,000 | Barclays Bank PLC | 8/26/20 | (414,699 | ) | |||||||||||||||
| GBP | 13,600,000 | USD | 17,122,237 | Citibank N.A. | 8/28/20 | 682,866 | ||||||||||||||||
| USD | 8,876,875 | GBP | 6,800,000 | JPMorgan Chase & Co. | 8/28/20 | (25,676 | ) | |||||||||||||||
| EUR | 10,590,000 | USD | 12,038,606 | Citibank N.A. | 9/2/20 | 444,596 | ||||||||||||||||
| EUR | 19,700,000 | USD | 22,394,763 | Citibank N.A. | 9/2/20 | 827,058 | ||||||||||||||||
| USD | 14,289,450 | EUR | 12,570,000 | Citibank N.A. | 9/2/20 | (527,722 | ) | |||||||||||||||
| USD | 25,403,613 | EUR | 21,540,000 | JPMorgan Chase & Co. | 9/2/20 | 12,850 | ||||||||||||||||
| EUR | 1,130,000 | USD | 1,274,499 | UBS Securities LLC | 9/2/20 | 57,514 | ||||||||||||||||
| EUR | 1,510,000 | USD | 1,713,565 | UBS Securities LLC | 9/2/20 | 66,382 | ||||||||||||||||
| USD | 19,225,008 | INR | 1,476,000,000 | Barclays Bank PLC | 9/14/20 | (416,952 | ) | |||||||||||||||
| CLP | 7,240,000,000 | USD | 9,416,049 | HSBC Securities Inc. | 9/15/20 | 151,464 | ||||||||||||||||
| USD | 4,806,799 | CLP | 3,620,000,000 | HSBC Securities Inc. | 9/15/20 | 23,042 | ||||||||||||||||
| NOK | 13,440,000 | USD | 1,425,329 | HSBC Securities Inc. | 9/17/20 | 51,587 | ||||||||||||||||
| USD | 1,396,755 | NOK | 13,440,000 | JPMorgan Chase & Co. | 9/17/20 | (80,161 | ) | |||||||||||||||
| BRL | 64,470,000 | USD | 12,621,378 | HSBC Securities Inc. | 10/9/20 | (292,795 | ) | |||||||||||||||
| USD | 11,929,390 | BRL | 64,470,000 | HSBC Securities Inc. | 10/9/20 | (399,194 | ) | |||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
11 |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| BRL | 23,220,000 | USD | 4,495,644 | JPMorgan Chase & Co. | 10/9/20 | $ | (55,288 | ) | ||||||||||||||
| IDR | 220,900,000,000 | USD | 14,921,451 | JPMorgan Chase & Co. | 10/27/20 | 77,306 | ||||||||||||||||
| USD | 29,284,294 | IDR | 441,900,000,000 | JPMorgan Chase & Co. | 10/27/20 | (720,010 | ) | |||||||||||||||
| JPY | 1,413,000,000 | USD | 13,440,579 | Citibank N.A. | 10/29/20 | (77,228 | ) | |||||||||||||||
| USD | 6,723,071 | JPY | 706,000,000 | HSBC Securities Inc. | 10/29/20 | 46,124 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total | $ | (1,271,298 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
Abbreviation(s) used in this table:
| AUD | — Australian Dollar | |
| BRL | — Brazilian Real | |
| CLP | — Chilean Peso | |
| EUR | — Euro | |
| GBP | — British Pound | |
| IDR | — Indonesian Rupiah | |
| INR | — Indian Rupee | |
| JPY | — Japanese Yen | |
| MXN | — Mexican Peso | |
| NOK | — Norwegian Krone | |
| TWD | — Taiwan Dollar | |
| USD | — United States Dollar | |
| ZAR | — South African Rand | |
At July 31, 2020, the Fund had the following open swap contracts:
| OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1 |
||||||||||||||||||||||||
| SWAP COUNTERPARTY (REFERENCE ENTITY) |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
IMPLIED CREDIT SPREAD AT JULY 31, 20203 |
PERIODIC PAYMENTS RECEIVED BY THE FUND† |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Barclays Bank PLC (CCO Holdings LLC/ CCO Holdings Capital Corp., 5.750%, due 1/15/24) |
$ | 1,250,000 | 6/20/21 | 0.289% | 5.000% quarterly | $ | 52,801 | $ | 51,328 | $ | 1,473 | |||||||||||||
| Barclays Bank PLC (Sprint Communications Inc., 7.000%, due 8/15/20) |
2,550,000 | 6/20/21 | 0.634% | 5.000% quarterly | 99,542 | 81,565 | 17,977 | |||||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
12 |
BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1 (cont’d) |
||||||||||||||||||||||||
| SWAP COUNTERPARTY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
IMPLIED CREDIT SPREAD AT JULY 31, 20203 |
PERIODIC PAYMENTS RECEIVED BY THE FUND† |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Barclays Bank PLC (T-Mobile USA Inc., 4.000%, due 4/15/22) | $ | 2,390,000 | 6/20/22 | 0.705% | 5.000% quarterly | $ | 194,058 | $ | 189,665 | $ | 4,393 | |||||||||||||
| Goldman Sachs Group Inc. (Goodyear Tire & Rubber Co., 5.000%, due 5/31/26) | 2,390,000 | 6/20/22 | 1.681% | 5.000% quarterly | 148,024 | 178,184 | (30,160 | ) | ||||||||||||||||
| JPMorgan Chase & Co. (Cleveland- Cliffs Inc., 1.500%, due 1/15/25) | 1,360,000 | 6/20/21 | 6.159% | 5.000% quarterly | (13,600 | ) | (31,135 | ) | 17,535 | |||||||||||||||
| JPMorgan Chase & Co. (Occidental Petroleum Corp., 5.550% due 3/15/26) | 1,485,000 | 6/20/21 | 3.778% | 1.000% quarterly | (36,088 | ) | (39,424 | ) | 3,336 | |||||||||||||||
| JPMorgan Chase & Co. (United States Steel Corp., 6.650%, due 6/1/37) | 1,245,000 | 6/20/21 | 10.637% | 5.000% quarterly | (59,033 | ) | 43,810 | (102,843 | ) | |||||||||||||||
| Morgan Stanley & Co. Inc. (CenturyLink Inc., 7.500%, due 4/1/24) | 1,625,000 | 6/20/25 | 3.165% | 1.000% quarterly | (156,285 | ) | (166,637 | ) | 10,352 | |||||||||||||||
See Notes to Schedule of Investments.
|
| ||||
| BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
13 |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION1 (cont’d) |
||||||||||||||||||||||||||||
| SWAP COUNTERPARTY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
IMPLIED CREDIT SPREAD AT JULY 31, 20203 |
PERIODIC PAYMENTS RECEIVED BY THE FUND† |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||||||
| Morgan Stanley & Co. Inc. (CenturyLink Inc., 7.500%, due 4/1/24) |
$ | 1,485,000 | 6/20/23 | 2.417% | 1.000% quarterly | $ | (58,502 | ) | $ | (56,997 | ) | $ | (1,505 | ) | ||||||||||||||
| Morgan Stanley & Co. Inc. (Dell Inc., 7.100%, due 4/15/28) | 815,000 | 6/20/22 | 0.828% | 1.000% quarterly | 2,642 | (23,952 | ) | 26,594 | ||||||||||||||||||||
| Morgan Stanley & Co. Inc. (Dell Inc., 7.100%, due 4/15/28) | 1,210,000 | 6/20/22 | 0.828% | 1.000% quarterly | 3,923 | (35,583 | ) | 39,506 | ||||||||||||||||||||
| Morgan Stanley & Co. Inc. (Dell Inc., 7.100%, due 4/15/28) | 950,000 | 12/20/22 | 1.092% | 1.000% quarterly | (2,089 | ) | (19,556 | ) | 17,467 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 18,755,000 | $ | 175,393 | $ | 171,268 | $ | 4,125 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION1 |
||||||||||||||||||||||||
| REFERENCE ENTITY |
NOTIONAL AMOUNT2* |
TERMINATION DATE |
PERIODIC PAYMENTS RECEIVED BY THE FUND† |
MARKET VALUE4 |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION |
||||||||||||||||||
| Markit iTraxx Crossover Index | 12,300,000 | EUR | 6/20/25 | 5.000% quarterly | $ | 781,192 | $ | 626,369 | $ | 154,823 | ||||||||||||||
See Notes to Schedule of Investments.
|
|
||||
|
14 |
BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
BRANDYWINEGLOBAL — GLOBAL INCOME OPPORTUNITIES FUND INC.
| Schedule of Investments (unaudited) (cont’d) | July 31, 2020 |
| 1 | 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. |
| 2 | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| 3 | Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end, serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
| 4 | 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 loss (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(s) used in this table:
| EUR | — Euro |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
|
| ||||
| BrandywineGLOBAL — Global Income Opportunities Fund Inc. 2020 Quarterly Report |
15 |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
BrandywineGLOBAL — 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 Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its assets in global fixed income securities. On April 1, 2020, the Board of Directors of the Fund approved amendments to the Fund’s bylaws. The amended and restated bylaws were subsequently filed on Form 8-K and are available on the Securities and Exchange Commission’s website at www.sec.gov.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. 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
|
|
||||
|
16 |
Notes to Schedule of Investments (unaudited) (continued)
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.
|
| ||||
|
17 |
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 |
— | $ | 185,031,301 | — | $ | 185,031,301 | ||||||||||
| Sovereign Bonds |
— | 116,501,696 | — | 116,501,696 | ||||||||||||
| U.S. Government & Agency Obligations |
— | 71,893,769 | — | 71,893,769 | ||||||||||||
| Collateralized Mortgage Obligations |
— | 52,955,350 | — | 52,955,350 | ||||||||||||
| Convertible Bonds & Notes |
— | 2,878,148 | — | 2,878,148 | ||||||||||||
| Asset-Backed Securities |
— | 891,312 | — | 891,312 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
— | 430,151,576 | — | 430,151,576 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
$ | 9,236,048 | — | — | 9,236,048 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$ | 9,236,048 | $ | 430,151,576 | — | $ | 439,387,624 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
|
||||
|
18 |
Notes to Schedule of Investments (unaudited) (continued)
| ASSETS (cont’d) |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts |
$ | 2,413,726 | — | — | $ | 2,413,726 | ||||||||||
| Forward Foreign Currency Contracts |
— | $ | 2,892,179 | — | 2,892,179 | |||||||||||
| OTC Credit Default Swaps on Corporate Issues - Sell Protection‡ |
— | 500,990 | — | 500,990 | ||||||||||||
| Centrally Cleared Credit Default Swaps on Credit Indices - Sell Protection |
— | 154,823 | — | 154,823 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Other Financial Instruments |
$ | 2,413,726 | $ | 3,547,992 | — | $ | 5,961,718 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 11,649,774 | $ | 433,699,568 | — | $ | 445,349,342 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures Contracts |
$ | 843,956 | — | — | $ | 843,956 | ||||||||||
| Forward Foreign Currency Contracts |
— | $ | 4,163,477 | — | 4,163,477 | |||||||||||
| OTC Credit Default Swaps on Corporate Issues - Sell Protection‡ |
— | 325,597 | — | 325,597 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 843,956 | $ | 4,489,074 | — | $ | 5,333,030 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
| ‡ | Value includes any premium paid or received with respect to swap contracts. |
|
| ||||
|
19 |