HTML

NPORT-EX 2 LMF3100WAHiIncOppFdInc..htm HTML

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CORPORATE BONDS & NOTES - 90.1%
COMMUNICATION SERVICES - 18.9%
Diversified Telecommunication Services - 4.1%
Altice France Holding SA, Senior Secured Notes		10.500	%		5/15/27		3,790,000	$	4,191,456	^(a)
Altice France SA, Senior Secured Notes		7.375	%		5/1/26		11,419,000		11,919,723	^(a)
Altice France SA, Senior Secured Notes		8.125	%		2/1/27		3,073,000		3,364,612	^(a)
Cogent Communications Group Inc., Senior Secured Notes		5.375	%		3/1/22		1,170,000		1,207,750	^(a)
Intelsat Jackson Holdings SA, Senior Secured Notes		8.000	%		2/15/24		2,910,000		2,956,095	^(a)
Telecom Italia Capital SA, Senior Notes		6.000	%		9/30/34		2,800,000		3,051,734
Windstream Services LLC/ Windstream Finance Corp., Secured Notes		10.500	%		6/30/24		3,780,000		226,800	*^(a)(b)
Windstream Services LLC/ Windstream Finance Corp., Secured Notes		9.000	%		6/30/25		555,000		33,300	*^(a)(b)

Total Diversified Telecommunication Services									26,951,470

Entertainment - 0.6%
Netflix Inc., Senior Notes		5.875	%		11/15/28		1,453,000		1,657,197
Netflix Inc., Senior Notes		6.375	%		5/15/29		1,875,000		2,178,169

Total Entertainment									3,835,366

Interactive Media & Services - 0.0%††
Match Group Inc., Senior Notes		5.000	%		12/15/27		65,000		67,867	^(a)

Media - 8.3%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.750	%		2/15/26		1,170,000		1,212,758	^(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.125	%		5/1/27		4,321,000		4,476,772	^(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		5.000	%		2/1/28		14,869,000		15,367,111	^(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		8/15/30		380,000		388,989	^(a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes		4.500	%		5/1/32		850,000		861,688	^(a)
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		10,820,000		10,784,456
DISH DBS Corp., Senior Notes		7.750	%		7/1/26		11,476,000		12,186,020
Dolya Holdco 18 DAC, Senior Notes		5.000	%		7/15/28		3,010,000		2,986,522	^(a)

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Media - (continued)
Univision Communications Inc., Senior Secured Notes		9.500	%		5/1/25		2,070,000	$	2,204,550	^(a)
Virgin Media Secured Finance PLC, Senior Secured Notes		5.500	%		8/15/26		3,440,000		3,528,907	^(a)

Total Media									53,997,773

Wireless Telecommunication Services - 5.9%
CSC Holdings LLC, Senior Notes		6.625	%		10/15/25		2,130,000		2,219,172	^(a)
CSC Holdings LLC, Senior Notes		10.875	%		10/15/25		1,899,000		2,045,878	^(a)
CSC Holdings LLC, Senior Notes		5.375	%		2/1/28		2,620,000		2,745,511	^(a)
CSC Holdings LLC, Senior Notes		6.500	%		2/1/29		1,530,000		1,676,306	^(a)
Sprint Capital Corp., Senior Notes		6.875	%		11/15/28		2,190,000		2,672,348
Sprint Capital Corp., Senior Notes		8.750	%		3/15/32		6,910,000		9,896,847
Sprint Communications Inc., Senior Notes		7.000	%		8/15/20		1,820,000		1,829,992
Sprint Communications Inc., Senior Notes		11.500	%		11/15/21		3,770,000		4,183,852
Sprint Corp., Senior Notes		7.250	%		9/15/21		2,800,000		2,938,614
Sprint Corp., Senior Notes		7.875	%		9/15/23		360,000		405,898
T-Mobile USA Inc., Senior Notes		6.000	%		3/1/23		1,080,000		1,086,340
T-Mobile USA Inc., Senior Notes		6.500	%		1/15/26		910,000		952,247
VEON Holdings BV, Senior Notes		7.504	%		3/1/22		1,530,000		1,659,996	^(c)
VEON Holdings BV, Senior Notes		7.504	%		3/1/22		940,000		1,019,867	^(a)
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, Senior Notes		7.748	%		2/2/21		3,170,000		3,288,241	^(a)

Total Wireless Telecommunication Services									38,621,109

TOTAL COMMUNICATION SERVICES									123,473,585

CONSUMER DISCRETIONARY - 13.1%
Auto Components - 2.1%
Adient Global Holdings Ltd., Senior Notes		4.875	%		8/15/26		5,339,000		4,399,790	^(a)
Adient US LLC, Senior Secured Notes		9.000	%		4/15/25		1,080,000		1,168,101	^(a)
American Axle & Manufacturing Inc., Senior Notes		6.250	%		4/1/25		717,000		706,033
American Axle & Manufacturing Inc., Senior Notes		6.500	%		4/1/27		4,523,000		4,398,595
JB Poindexter & Co. Inc., Senior Notes		7.125	%		4/15/26		3,478,000		3,525,162	^(a)

Total Auto Components									14,197,681

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Automobiles - 2.0%
Ford Motor Co., Senior Notes		8.500	%		4/21/23		1,260,000		$	1,334,812
Ford Motor Co., Senior Notes		9.000	%		4/22/25		3,280,000			3,555,766
Ford Motor Credit Co. LLC, Senior Notes		3.200	%		1/15/21		2,000,000			1,975,000
Ford Motor Credit Co. LLC, Senior Notes		3.336	%		3/18/21		1,950,000			1,936,028
Ford Motor Credit Co. LLC, Senior Notes		3.813	%		10/12/21		200,000			198,810
Ford Motor Credit Co. LLC, Senior Notes		4.250	%		9/20/22		1,955,000			1,923,642
Ford Motor Credit Co. LLC, Senior Notes		5.125	%		6/16/25		1,650,000			1,654,785
General Motors Co., Senior Notes		6.125	%		10/1/25		380,000			427,478

Total Automobiles										13,006,321

Diversified Consumer Services - 2.6%
Carriage Services Inc., Senior Notes		6.625	%		6/1/26		5,760,000			6,075,706	^(a)
Frontdoor Inc., Senior Notes		6.750	%		8/15/26		3,202,000			3,413,524	^(a)
Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes		6.250	%		1/15/28		1,590,000			1,503,011	^(a)
Prime Security Services Borrower LLC/Prime Finance Inc., Senior Secured Notes		5.750	%		4/15/26		2,620,000			2,723,071	^(a)
Service Corp. International, Senior Notes		7.500	%		4/1/27		1,975,000			2,248,656
Weight Watchers International Inc., Senior Notes		8.625	%		12/1/25		880,000			909,150	^(a)

Total Diversified Consumer Services										16,873,118

Hotels, Restaurants & Leisure - 3.3%
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		4.250	%		5/15/24		920,000			922,548	^(a)
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes		5.750	%		4/15/25		720,000			757,350	^(a)
Colt Merger Sub Inc., Senior Secured Notes		5.750	%		7/1/25		1,030,000			1,038,446	^(a)(d)
Hilton Domestic Operating Co. Inc., Senior Notes		5.750	%		5/1/28		930,000			943,369	^(a)
IRB Holding Corp., Senior Secured Notes		7.000	%		6/15/25		1,230,000			1,270,067	^(a)
NCL Corp. Ltd., Senior Secured Notes		12.250	%		5/15/24		3,480,000			3,655,131	^(a)
Saga PLC, Senior Notes		3.375	%		5/12/24		2,200,000	^GBP		2,134,104	^(c)

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Hotels, Restaurants & Leisure - (continued)
Silversea Cruise Finance Ltd., Senior Secured Notes		7.250	%		2/1/25		1,438,000		$	1,360,556	^(a)
Viking Cruises Ltd., Senior Notes		5.875	%		9/15/27		4,011,000			2,397,315	^(a)
Viking Cruises Ltd., Senior Secured Notes		13.000	%		5/15/25		1,200,000			1,271,250	^(a)
VOC Escrow Ltd., Senior Secured Notes		5.000	%		2/15/28		2,070,000			1,541,767	^(a)
Wynn Macau Ltd., Senior Notes		5.500	%		10/1/27		540,000			536,169	^(a)
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes		7.750	%		4/15/25		2,840,000			2,872,873	^(a)
Yum! Brands Inc., Senior Notes		7.750	%		4/1/25		640,000			691,600	^(a)

Total Hotels, Restaurants & Leisure										21,392,545

Household Durables - 0.2%
Newell Brands Inc., Senior Notes		4.875	%		6/1/25		1,190,000			1,248,507

Specialty Retail - 2.7%
L Brands Inc., Senior Secured Notes		6.875	%		7/1/25		3,480,000			3,601,800	^(a)
Maxeda DIY Holding BV, Senior Secured Notes		6.125	%		7/15/22		2,373,000	^EUR		2,454,780	^(c)
Michaels Stores Inc., Senior Notes		8.000	%		7/15/27		1,320,000			1,150,631	^(a)
Party City Holdings Inc., Senior Notes		6.125	%		8/15/23		1,680,000			352,800	^(a)
Party City Holdings Inc., Senior Notes		6.625	%		8/1/26		4,060,000			852,600	^(a)
PetSmart Inc., Senior Secured Notes		5.875	%		6/1/25		6,450,000			6,486,152	^(a)
Sally Holdings LLC/Sally Capital Inc., Senior Notes		5.500	%		11/1/23		1,060,000			1,034,162
Sally Holdings LLC/Sally Capital Inc., Senior Notes		5.625	%		12/1/25		1,590,000			1,549,169

Total Specialty Retail										17,482,094

Textiles, Apparel & Luxury Goods - 0.2%
Hanesbrands Inc., Senior Notes		4.875	%		5/15/26		856,000			864,402	^(a)
Hanesbrands Inc., Senior Notes		4.875	%		5/15/26		300,000			302,944	^(c)

Total Textiles, Apparel & Luxury Goods										1,167,346

TOTAL CONSUMER DISCRETIONARY										85,367,612

CONSUMER STAPLES - 2.7%
Food Products - 2.3%
Kraft Heinz Foods Co., Senior Notes		3.875	%		5/15/27		2,090,000			2,187,212	^(a)
Kraft Heinz Foods Co., Senior Notes		4.250	%		3/1/31		320,000			340,010	^(a)
Kraft Heinz Foods Co., Senior Notes		5.000	%		7/15/35		830,000			914,196
Kraft Heinz Foods Co., Senior Notes		5.000	%		6/4/42		165,000			174,080
Kraft Heinz Foods Co., Senior Notes		5.200	%		7/15/45		3,480,000			3,779,331
Kraft Heinz Foods Co., Senior Notes		4.375	%		6/1/46		1,550,000			1,526,129

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Food Products - (continued)
Kraft Heinz Foods Co., Senior Notes		5.500	%		6/1/50		970,000	$	1,037,859	^(a)
Pilgrim’s Pride Corp., Senior Notes		5.750	%		3/15/25		720,000		718,949	^(a)
Pilgrim’s Pride Corp., Senior Notes		5.875	%		9/30/27		4,230,000		4,240,638	^(a)

Total Food Products									14,918,404

Household Products - 0.4%
Central Garden & Pet Co., Senior Notes		6.125	%		11/15/23		400,000		409,458
Energizer Holdings Inc., Senior Notes		6.375	%		7/15/26		560,000		580,423	^(a)
Spectrum Brands Inc., Senior Notes		6.125	%		12/15/24		810,000		835,227
Spectrum Brands Inc., Senior Notes		5.750	%		7/15/25		1,210,000		1,245,556

Total Household Products									3,070,664

TOTAL CONSUMER STAPLES									17,989,068

ENERGY - 14.6%
Oil, Gas & Consumable Fuels - 14.6%
Andeavor Logistics LP/Tesoro Logistics Finance Corp., Senior Notes		6.375	%		5/1/24		650,000		650,058
Apache Corp., Senior Notes		5.100	%		9/1/40		1,480,000		1,218,017
Berry Petroleum Co. LLC, Senior Notes		7.000	%		2/15/26		385,000		313,221	^(a)
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes		6.125	%		11/15/22		1,710,000		1,705,255	^(a)
Continental Resources Inc., Senior Notes		4.500	%		4/15/23		1,100,000		1,054,933
Continental Resources Inc., Senior Notes		3.800	%		6/1/24		300,000		281,307
Continental Resources Inc., Senior Notes		4.375	%		1/15/28		220,000		194,042
Continental Resources Inc., Senior Notes		4.900	%		6/1/44		1,050,000		838,336
Ecopetrol SA, Senior Notes		6.875	%		4/29/30		1,380,000		1,585,068
Ecopetrol SA, Senior Notes		7.375	%		9/18/43		1,900,000		2,297,091
Endeavor Energy Resources LP/EER Finance Inc., Senior Notes		6.625	%		7/15/25		590,000		596,089	^(a)
EQM Midstream Partners LP, Senior Notes		6.000	%		7/1/25		720,000		731,102	^(a)
EQM Midstream Partners LP, Senior Notes		6.500	%		7/1/27		640,000		657,101	^(a)
EQT Corp., Senior Notes		3.900	%		10/1/27		2,440,000		1,992,272
Kinder Morgan Inc., Senior Notes		7.750	%		1/15/32		6,920,000		9,683,855
MEG Energy Corp., Secured Notes		6.500	%		1/15/25		760,000		709,764	^(a)

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
MEG Energy Corp., Senior Notes		7.000	%		3/31/24		2,550,000	$	2,193,268	^(a)
MEG Energy Corp., Senior Notes		7.125	%		2/1/27		760,000		633,650	^(a)
Montage Resources Corp., Senior Notes		8.875	%		7/15/23		4,500,000		3,569,017
NGPL PipeCo LLC, Senior Notes		7.768	%		12/15/37		1,520,000		1,859,932	^(a)
Oasis Petroleum Inc., Senior Notes		6.500	%		11/1/21		2,730,000		614,250
Oasis Petroleum Inc., Senior Notes		6.875	%		3/15/22		250,000		42,031
Oasis Petroleum Inc., Senior Notes		6.875	%		1/15/23		5,680,000		965,600
Occidental Petroleum Corp., Senior Notes		2.900	%		8/15/24		1,330,000		1,139,105
Occidental Petroleum Corp., Senior Notes		5.550	%		3/15/26		750,000		686,059
Occidental Petroleum Corp., Senior Notes		6.200	%		3/15/40		1,070,000		900,806
Petrobras Global Finance BV, Senior Notes		5.999	%		1/27/28		2,650,000		2,782,765
Petrobras Global Finance BV, Senior Notes		5.750	%		2/1/29		10,740,000		11,044,855
Petrobras Global Finance BV, Senior Notes		6.750	%		1/27/41		5,120,000		5,372,390
Range Resources Corp., Senior Notes		5.000	%		8/15/22		405,000		369,816
Range Resources Corp., Senior Notes		5.000	%		3/15/23		750,000		647,336
Range Resources Corp., Senior Notes		4.875	%		5/15/25		790,000		598,919
Range Resources Corp., Senior Notes		9.250	%		2/1/26		5,575,000		5,021,848	^(a)
Rockies Express Pipeline LLC, Senior Notes		7.500	%		7/15/38		1,080,000		1,047,600	^(a)
Rockies Express Pipeline LLC, Senior Notes		6.875	%		4/15/40		1,140,000		1,085,964	^(a)
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.750	%		3/15/24		4,845,000		4,847,980
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.875	%		4/15/26		490,000		486,247
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.500	%		7/15/27		670,000		673,350
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.875	%		1/15/29		450,000		472,781

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Transportadora de Gas del Sur SA, Senior Notes		6.750	%		5/2/25		2,420,000	$	2,091,037	^(a)
Western Midstream Operating LP, Senior Notes		4.050	%		2/1/30		2,900,000		2,802,488
Western Midstream Operating LP, Senior Notes		5.300	%		3/1/48		1,070,000		873,388
Western Midstream Operating LP, Senior Notes		5.250	%		2/1/50		9,585,000		8,341,298
Williams Cos. Inc., Senior Notes		3.700	%		1/15/23		820,000		867,622
Williams Cos. Inc., Senior Notes		4.550	%		6/24/24		1,030,000		1,143,324
Williams Cos. Inc., Senior Notes		7.500	%		1/15/31		620,000		794,870
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		3,190,000		3,699,453
WPX Energy Inc., Senior Notes		8.250	%		8/1/23		810,000		902,052
YPF SA, Senior Notes		8.500	%		7/28/25		1,600,000		1,193,832	^(a)
YPF SA, Senior Notes		6.950	%		7/21/27		1,530,000		1,076,447	^(a)

TOTAL ENERGY									95,348,891

FINANCIALS - 15.4%
Banks - 10.3%
Bank of America Corp., Junior Subordinated Notes (6.500% to 10/23/24 then 3 mo. USD LIBOR + 4.174%)		6.500	%		10/23/24		1,760,000		1,894,926	^(e)(f)
Barclays Bank PLC, Subordinated Notes		10.179	%		6/12/21		2,460,000		2,660,721	^(a)
Barclays Bank PLC, Subordinated Notes		7.625	%		11/21/22		3,400,000		3,703,449
Barclays PLC, Junior Subordinated Notes (8.000% to 6/15/24 then 5 year Treasury Constant Maturity Rate + 5.672%)		8.000	%		6/15/24		1,700,000		1,762,519	^(e)(f)
BBVA Bancomer SA, Subordinated Notes (5.125% to 1/18/28 then 5 year Treasury Constant Maturity Rate + 2.650%)		5.125	%		1/18/33		5,160,000		4,818,640	^(a)(f)
BNP Paribas SA, Junior Subordinated Notes (7.375% to 8/19/25 then USD 5 year ICE Swap Rate + 5.150%)		7.375	%		8/19/25		1,470,000		1,612,509	^(a)(e)(f)
CIT Group Inc., Senior Notes		5.000	%		8/15/22		1,000,000		1,024,365
CIT Group Inc., Senior Notes		5.000	%		8/1/23		870,000		889,579

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%)		5.950	%		5/15/25		3,240,000	$	3,223,262	^(e)(f)
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%)		6.300	%		5/15/24		10,010,000		10,034,374	^(e)(f)
Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%)		8.125	%		12/23/25		2,290,000		2,623,481	^(a)(e)(f)
HSBC Holdings PLC, Junior Subordinated Notes (6.000% to 5/22/27 then USD 5 year ICE Swap Rate + 3.746%)		6.000	%		5/22/27		2,080,000		2,068,737	^(e)(f)
HSBC Holdings PLC, Junior Subordinated Notes (6.500% to 3/23/28 then USD 5 year ICE Swap Rate + 3.606%)		6.500	%		3/23/28		3,560,000		3,656,351	^(e)(f)
Intesa Sanpaolo SpA, Subordinated Notes		5.017	%		6/26/24		7,700,000		7,894,145	^(a)
Intesa Sanpaolo SpA, Subordinated Notes		5.710	%		1/15/26		4,610,000		4,861,270	^(a)
JPMorgan Chase & Co., Junior Subordinated Notes (6.000% to 8/1/23 then 3 mo. USD LIBOR + 3.300%)		6.000	%		8/1/23		1,390,000		1,404,827	^(e)(f)
JPMorgan Chase & Co., Junior Subordinated Notes (6.100% to 10/1/24 then 3 mo. USD LIBOR + 3.330%)		6.100	%		10/1/24		2,520,000		2,584,053	^(e)(f)
Royal Bank of Scotland Group PLC, Junior Subordinated Notes (7.648%to 9/30/31 then 3 mo. USD LIBOR + 2.500%)		7.648	%		9/30/31		1,880,000		2,723,594	^(e)(f)
Royal Bank of Scotland Group PLC, Junior Subordinated Notes (8.625%to 8/15/21 then USD 5 year ICE Swap Rate + 7.598%)		8.625	%		8/15/21		3,220,000		3,355,143	^(e)(f)

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Banks - (continued)
TC Ziraat Bankasi AS, Senior Notes		5.125	%		9/29/23		2,040,000	$	1,949,220	^(a)
UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%)		7.296	%		4/2/34		2,270,000		2,580,592	^(a)(f)

Total Banks									67,325,757

Capital Markets - 2.2%
Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then 5 year Treasury Constant Maturity Rate + 4.332%)		7.250	%		9/12/25		4,320,000		4,441,802	^(a)(e)(f)
Donnelley Financial Solutions Inc., Senior Notes		8.250	%		10/15/24		1,680,000		1,661,075
Goldman Sachs Group Inc., Subordinated Notes		6.750	%		10/1/37		1,880,000		2,740,169
UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%)		7.000	%		1/31/24		5,500,000		5,716,948	^(a)(e)(f)

Total Capital Markets									14,559,994

Consumer Finance - 0.4%
Navient Corp., Senior Notes		5.875	%		10/25/24		1,080,000		1,017,894
Navient Corp., Senior Notes		6.750	%		6/15/26		1,400,000		1,298,241

Total Consumer Finance									2,316,135

Diversified Financial Services - 2.2%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		4.625	%		10/30/20		650,000		652,849
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		4.500	%		5/15/21		1,000,000		1,006,347
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes		4.625	%		7/1/22		560,000		566,442
DAE Funding LLC, Senior Notes		4.500	%		8/1/22		3,663,000		3,500,418	^(a)
GE Capital International Funding Co. Unlimited Co., Senior Notes		3.373	%		11/15/25		600,000		630,027
Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK)		6.500	%		9/15/24		5,120,000		3,443,200	^(a)(g)
International Lease Finance Corp., Senior Notes		8.250	%		12/15/20		3,675,000		3,762,230
International Lease Finance Corp., Senior Notes		5.875	%		8/15/22		600,000		631,535

Total Diversified Financial Services									14,193,048

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Insurance - 0.2%
MetLife Capital Trust IV, Junior Subordinated Notes		7.875	%		12/15/37		1,010,000	$	1,281,251	^(a)

Thrifts & Mortgage Finance - 0.1%
NMI Holdings Inc., Senior Secured Notes		7.375	%		6/1/25		610,000		639,817	^(a)

TOTAL FINANCIALS									100,316,002

HEALTH CARE - 8.5%
Health Care Providers & Services - 3.5%
CHS/Community Health Systems Inc., Senior Secured Notes		8.000	%		3/15/26		1,300,000		1,230,060	^(a)
DaVita Inc., Senior Notes		5.125	%		7/15/24		1,520,000		1,548,120
DaVita Inc., Senior Notes		5.000	%		5/1/25		1,500,000		1,535,250
HCA Inc., Senior Notes		7.690	%		6/15/25		490,000		560,386
HCA Inc., Senior Notes		7.500	%		11/15/95		6,265,000		7,388,283
LifePoint Health Inc., Senior Secured Notes		6.750	%		4/15/25		940,000		972,900	^(a)
Magellan Health Inc., Senior Notes		4.900	%		9/22/24		4,105,000		4,169,223
Tenet Healthcare Corp., Secured Notes		6.250	%		2/1/27		2,500,000		2,489,050	^(a)
Tenet Healthcare Corp., Senior Secured Notes		7.500	%		4/1/25		2,050,000		2,189,656	^(a)
Tenet Healthcare Corp., Senior Secured Notes		4.625	%		6/15/28		700,000		683,690	^(a)

Total Health Care Providers & Services									22,766,618

Pharmaceuticals - 5.0%
Bausch Health Americas Inc., Senior Notes		8.500	%		1/31/27		1,160,000		1,233,341	^(a)
Bausch Health Cos. Inc., Senior Notes		5.875	%		5/15/23		178,000		177,694	^(a)
Bausch Health Cos. Inc., Senior Notes		6.125	%		4/15/25		7,140,000		7,251,955	^(a)
Bausch Health Cos. Inc., Senior Notes		9.000	%		12/15/25		2,200,000		2,372,502	^(a)
Bausch Health Cos. Inc., Senior Secured Notes		7.000	%		3/15/24		700,000		727,699	^(a)
Teva Pharmaceutical Finance Co. BV, Senior Notes		2.950	%		12/18/22		3,980,000		3,849,555
Teva Pharmaceutical Finance IV BV, Senior Notes		3.650	%		11/10/21		150,000		150,184
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.200	%		7/21/21		6,690,000		6,569,011
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		2.800	%		7/21/23		5,990,000		5,675,300

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Pharmaceuticals - (continued)
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		6.000	%		4/15/24		3,510,000	$	3,614,686
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes		3.150	%		10/1/26		1,150,000		1,031,125

Total Pharmaceuticals									32,653,052

TOTAL HEALTH CARE									55,419,670

INDUSTRIALS - 8.0%
Aerospace & Defense - 0.6%
TransDigm Inc., Senior Secured Notes		8.000	%		12/15/25		3,710,000		3,915,404	^(a)

Air Freight & Logistics - 0.1%
XPO Logistics Inc., Senior Notes		6.500	%		6/15/22		776,000		778,697	^(a)

Airlines - 3.0%
Delta Air Lines Inc., Senior Notes		3.400	%		4/19/21		300,000		291,803
Delta Air Lines Inc., Senior Notes		3.625	%		3/15/22		2,510,000		2,378,355
Delta Air Lines Inc., Senior Notes		3.800	%		4/19/23		3,800,000		3,396,530
Delta Air Lines Inc., Senior Notes		2.900	%		10/28/24		880,000		714,391
Delta Air Lines Inc., Senior Notes		7.375	%		1/15/26		2,030,000		1,966,004
Delta Air Lines Inc., Senior Secured Notes		7.000	%		5/1/25		6,330,000		6,540,908	^(a)
Delta Air Lines Pass-Through Certificates Trust		8.021	%		8/10/22		360,047		338,608
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes		6.500	%		6/20/27		2,620,000		2,627,388	^(a)(d)
United Airlines Holdings Inc., Senior Notes		4.250	%		10/1/22		1,150,000		979,300

Total Airlines									19,233,287

Building Products - 1.0%
Standard Industries Inc., Senior Notes		5.000	%		2/15/27		4,751,000		4,824,189	^(a)
Standard Industries Inc., Senior Notes		4.750	%		1/15/28		1,845,000		1,875,729	^(a)

Total Building Products									6,699,918

Commercial Services & Supplies - 0.3%
GFL Environmental Inc., Senior Notes		8.500	%		5/1/27		1,782,000		1,942,050	^(a)

Industrial Conglomerates - 0.1%
General Electric Co., Junior Subordinated Notes (5.000% to 1/21/21 then 3 mo. USD LIBOR + 3.330%)		5.000	%		1/21/21		600,000		469,567	^(e)(f)

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Machinery - 0.8%
Allison Transmission Inc., Senior Notes		4.750	%		10/1/27		1,985,000	$	1,977,179	^(a)
Clark Equipment Co., Senior Secured Notes		5.875	%		6/1/25		1,970,000		2,022,944	^(a)
Vertical US Newco Inc., Senior Secured Notes		5.250	%		7/15/27		1,300,000		1,300,000	^(a)(d)

Total Machinery									5,300,123

Marine - 0.0%††
Navios Maritime Acquisition Corp./ Navios Acquisition Finance U.S. Inc., Senior Secured Notes		8.125	%		11/15/21		140,000		79,494	^(a)

Trading Companies & Distributors - 2.1%
United Rentals North America Inc., Senior Notes		6.500	%		12/15/26		7,070,000		7,436,933
United Rentals North America Inc., Senior Notes		5.500	%		5/15/27		750,000		775,451
United Rentals North America Inc., Senior Notes		4.875	%		1/15/28		5,155,000		5,291,943

Total Trading Companies & Distributors									13,504,327

TOTAL INDUSTRIALS									51,922,867

INFORMATION TECHNOLOGY - 1.7%
Communications Equipment - 0.8%
CommScope Inc., Senior Notes		8.250	%		3/1/27		4,760,000		4,900,230	^(a)
CommScope Technologies LLC, Senior Notes		6.000	%		6/15/25		70,000		67,781	^(a)

Total Communications Equipment									4,968,011

Semiconductors & Semiconductor Equipment - 0.1%
Sensata Technologies UK Financing Co. PLC, Senior Notes		6.250	%		2/15/26		350,000		363,935	^(a)

Software - 0.0%††
Interface Special Holdings Inc., Senior Notes (19.000% PIK)		19.000	%		11/1/23		2,491,931		37,379	^(a)(g)(h)(i)
j2 Cloud Services LLC/j2 Cloud Co-Obligor Inc., Senior Notes		6.000	%		7/15/25		280,000		285,629	^(a)

Total Software									323,008

Technology Hardware, Storage & Peripherals - 0.8%
Dell International LLC/EMC Corp., Senior Notes		7.125	%		6/15/24		1,040,000		1,078,415	^(a)
Seagate HDD Cayman, Senior Notes		4.750	%		6/1/23		1,370,000		1,446,010
Seagate HDD Cayman, Senior Notes		4.750	%		1/1/25		670,000		719,350

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Technology Hardware, Storage & Peripherals - (continued)
Seagate HDD Cayman, Senior Notes		4.875	%		6/1/27		400,000	$	434,430
Western Digital Corp., Senior Notes		4.750	%		2/15/26		1,439,000		1,489,351

Total Technology Hardware, Storage & Peripherals									5,167,556

TOTAL INFORMATION TECHNOLOGY									10,822,510

MATERIALS - 5.6%
Containers & Packaging - 2.0%
ARD Finance SA, Senior Secured Notes (6.500% Cash or 7.250% PIK)		6.500	%		6/30/27		2,073,000		2,054,478	^(a)(g)
Ardagh Packaging Finance PLC/ Ardagh Holdings USA Inc., Senior Notes		6.000	%		2/15/25		6,185,000		6,348,408	^(a)
Ardagh Packaging Finance PLC/ Ardagh Holdings USA Inc., Senior Notes		5.250	%		8/15/27		1,620,000		1,594,193	^(a)
Greif Inc., Senior Notes		6.500	%		3/1/27		1,760,000		1,795,525	^(a)
Trivium Packaging Finance BV, Senior Notes		8.500	%		8/15/27		980,000		1,049,644	^(a)

Total Containers & Packaging									12,842,248

Metals & Mining - 3.3%
ArcelorMittal SA, Senior Notes		7.250	%		10/15/39		2,960,000		3,541,134
First Quantum Minerals Ltd., Senior Notes		7.250	%		4/1/23		3,610,000		3,453,055	^(a)
Freeport-McMoRan Inc., Senior Notes		3.550	%		3/1/22		550,000		551,224
Freeport-McMoRan Inc., Senior Notes		3.875	%		3/15/23		730,000		731,460
Freeport-McMoRan Inc., Senior Notes		4.550	%		11/14/24		1,530,000		1,558,848
Freeport-McMoRan Inc., Senior Notes		5.400	%		11/14/34		1,430,000		1,417,620
Freeport-McMoRan Inc., Senior Notes		5.450	%		3/15/43		4,280,000		4,208,888
Teck Resources Ltd., Senior Notes		6.000	%		8/15/40		1,050,000		1,113,855
Vale Overseas Ltd., Senior Notes		6.875	%		11/21/36		2,320,000		3,041,044
Vale Overseas Ltd., Senior Notes		6.875	%		11/10/39		1,500,000		1,963,957

Total Metals & Mining									21,581,085

Paper & Forest Products - 0.3%
Mercer International Inc., Senior Notes		7.375	%		1/15/25		1,820,000		1,816,397

TOTAL MATERIALS									36,239,730

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
REAL ESTATE - 0.6%
Equity Real Estate Investment Trusts (REITs) - 0.6%
CoreCivic Inc., Senior Notes		5.000	%		10/15/22		1,360,000		$	1,337,580
CoreCivic Inc., Senior Notes		4.625	%		5/1/23		170,000			163,731
CoreCivic Inc., Senior Notes		4.750	%		10/15/27		960,000			799,829
Diversified Healthcare Trust, Senior Notes		9.750	%		6/15/25		700,000			752,938
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes		6.375	%		3/1/24		820,000			845,883

TOTAL REAL ESTATE										3,899,961

UTILITIES - 1.0%
Electric Utilities - 0.4%
Pampa Energia SA, Senior Notes		7.375	%		7/21/23		1,400,000			1,195,229	^(c)
Pampa Energia SA, Senior Notes		7.500	%		1/24/27		2,280,000			1,849,023	^(a)

Total Electric Utilities										3,044,252

Gas Utilities - 0.6%
Suburban Propane Partners LP/ Suburban Energy Finance Corp., Senior Notes		5.875	%		3/1/27		3,750,000			3,725,850

TOTAL UTILITIES										6,770,102

TOTAL CORPORATE BONDS & NOTES (Cost - $543,430,676)										587,569,998

SOVEREIGN BONDS - 3.7%
Argentina - 0.6%
Argentine Republic Government International Bond, Senior Notes		6.875	%		4/22/21		1,430,000			598,634	*^(b)
Argentine Republic Government International Bond, Senior Notes		5.625	%		1/26/22		2,390,000			993,081	*^(b)
Argentine Republic Government International Bond, Senior Notes		4.625	%		1/11/23		3,900,000			1,632,754	*^(b)
Provincia de Buenos Aires, Senior Notes		9.950	%		6/9/21		810,000			342,233	*^(a)(b)

Total Argentina										3,566,702

Brazil - 0.2%
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/21		4,344,000	^BRL		829,251
Brazil Notas do Tesouro Nacional Serie F, Notes		10.000	%		1/1/23		3,530,000	^BRL		737,739

Total Brazil										1,566,990

Ghana - 0.4%
Ghana Government International Bond, Senior Notes		7.625	%		5/16/29		2,460,000			2,332,572	^(a)

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Indonesia - 0.8%
Indonesia Treasury Bond, Senior Notes		8.250	%		7/15/21		11,280,000,000	^IDR	$	815,974
Indonesia Treasury Bond, Senior Notes		7.000	%		5/15/22		60,246,000,000	^IDR		4,348,171

Total Indonesia										5,164,145

Russia - 1.0%
Russian Federal Bond - OFZ		7.000	%		1/25/23		110,080,000	^RUB		1,636,007
Russian Federal Bond - OFZ		7.750	%		9/16/26		315,370,000	^RUB		5,002,626

Total Russia										6,638,633

Ukraine - 0.4%
Ukraine Government International Bond, Senior Notes		7.750	%		9/1/20		1,500,000			1,506,735	^(a)
Ukraine Government International Bond, Senior Notes		7.375	%		9/25/32		1,250,000			1,259,671	^(a)

Total Ukraine										2,766,406

Uruguay - 0.3%
Uruguay Government International Bond, Senior Notes		9.875	%		6/20/22		89,410,000	^UYU		2,116,602	^(c)

TOTAL SOVEREIGN BONDS (Cost - $25,922,125)										24,152,050

SENIOR LOANS - 3.4%
COMMUNICATION SERVICES - 0.3%
Diversified Telecommunication Services - 0.1%
Intelsat Jackson Holdings SA, Super Priority Secured DIP Term Loan		3.600-6.500	%		7/14/21		442,556			450,116	^(f)(j)(k)(l)

Media - 0.2%
iHeartCommunications Inc., New Term Loan (1 mo. USD LIBOR + 3.000%)		3.178	%		5/1/26		1,342,480			1,242,912	^(f)(j)(k)

TOTAL COMMUNICATION SERVICES										1,693,028

CONSUMER DISCRETIONARY - 1.6%
Hotels, Restaurants & Leisure - 0.4%
1011778 BC Unlimited Liability Co., Term Loan B4 (1 mo. USD LIBOR + 1.750%)		1.928	%		11/19/26		1,018,640			968,473	^(f)(j)(k)
Caesars Resort Collection LLC, Term Loan B (1 mo. USD LIBOR + 2.750%)		2.928	%		12/23/24		2,172,152			1,946,489	^(f)(j)(k)

Total Hotels, Restaurants & Leisure										2,914,962

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Specialty Retail - 1.2%
Michaels Stores Inc., 2018 New Replacement Term Loan B		3.500-3.568	%		1/30/23		857,547	$	788,229	^(f)(j)(k)(l)
Party City Holdings Inc., 2018 Replacement Term Loan		3.250-4.100	%		8/19/22		1,935,199		937,765	^(f)(j)(k)
PetSmart Inc., Term Loan B2 (3 mo. USD LIBOR + 4.000%)		5.000	%		3/11/22		6,100,551		6,038,276	^(f)(j)(k)

Total Specialty Retail									7,764,270

TOTAL CONSUMER DISCRETIONARY									10,679,232

ENERGY - 0.3%
Oil, Gas & Consumable Fuels - 0.3%
Chesapeake Energy Corp., Term Loan A (1 mo. USD LIBOR + 8.000%)		9.000	%		6/24/24		3,740,000		2,178,550	^(f)(j)(k)

HEALTH CARE - 0.2%
Health Care Providers & Services - 0.2%
Option Care Health Inc., First Lien Term Loan B (1 mo. USD LIBOR + 4.500%)		4.678	%		8/6/26		1,402,950		1,366,708	^(f)(j)(k)

INDUSTRIALS - 0.9%
Airlines - 0.6%
JetBlue Airways Corp., Term Loan (3 mo. USD LIBOR + 5.250%)		6.250	%		6/17/24		1,580,000		1,551,691	^(f)(j)(k)(l)
Mileage Plus Holdings Inc., Initial Term Loan		—			6/25/27		2,210,000		2,197,964	^(l)

Total Airlines									3,749,655

Machinery - 0.3%
Vertical Midco GmbH, Term Loan B		—			6/30/27		1,850,000		1,813,000	^(l)

TOTAL INDUSTRIALS									5,562,655

UTILITIES - 0.1%
Electric Utilities - 0.1%
Panda Temple Power LLC, Second Lien Term Loan (1 mo. USD LIBOR + 8.000% PIK)		9.000	%		2/7/23		770,975		770,975	^(f)(g)(j)(k)

TOTAL SENIOR LOANS (Cost - $24,221,287)									22,251,148

U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.7%
U.S. Government Obligations - 0.7%
U.S. Treasury Notes		1.500	%		1/31/27		1,500,000		1,601,631
U.S. Treasury Notes		0.625	%		5/15/30		3,000,000		2,992,148

TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $4,557,866)									4,593,779

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020

SECURITY

RATE

MATURITY
DATE

FACE
AMOUNT†

VALUE

CONVERTIBLE BONDS & NOTES - 0.7%

COMMUNICATION SERVICES - 0.7%

Media - 0.7%

DISH Network Corp., Senior Notes

(Cost - $3,784,019)

3.375

8/15/26

4,660,000

4,292,394

SHARES

PREFERRED STOCKS - 0.5%

FINANCIALS - 0.5%

Banks - 0.5%

GMAC Capital Trust I (3 mo. USD LIBOR + 5.785%)
(Cost - $3,251,012)

6.177

130,709

2,930,496

^(f)

FACE
AMOUNT†

NON-U.S. TREASURY INFLATION PROTECTED SECURITIES - 0.1%

ARGENTINA - 0.1%

Argentina Treasury Bond
(Cost - $424,122)

1.000

8/5/21

45,965,706

^ARS

418,387

^(h)

SHARES

COMMON STOCKS - 0.0%††

ENERGY - 0.0%††

Energy Equipment & Services - 0.0%††

Hercules Offshore Inc. (Escrow)

87,452

75,613

*^(h)(i)

KCAD Holdings I Ltd.

427,421,041

*^(h)(i)(m)

Total Energy Equipment & Services

75,613

Oil, Gas & Consumable Fuels - 0.0%††

MWO Holdings LLC

848

65,025

*^(h)(i)

TOTAL COMMON STOCKS
(Cost - $7,604,158)

140,638

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $613,195,265)

646,348,890

SHORT-TERM INVESTMENTS - 1.2%

Dreyfus Government Cash Management, Institutional Shares
(Cost - $7,780,947)

0.085

7,780,947

TOTAL INVESTMENTS - 100.4%
(Cost - $620,976,212)

654,129,837

Liabilities in Excess of Other Assets - (0.4)%

(2,352,821

)

Total Net Assets - 100.0%

651,777,016

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020

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

††	Represents less than 0.1%.

*	Non-income producing security.

(a)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.

(b)	The coupon payment on these securities is currently in default as of June 30, 2020.

(c)

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.

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

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

(f)

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.

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

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

(i)	Security is valued using significant unobservable inputs (Note 1).

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

(k)	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.

(l)	All or a portion of this loan is unfunded as of June 30, 2020. The interest rate for fully unfunded term loans is to be determined.

(m)	Value is less than $1.

Abbreviation(s) used in this schedule:


ARS		— Argentine Peso
BRL		— Brazilian Real
DIP		— Debtor-in-Possession
EUR		— Euro
GBP		— British Pound
ICE		— Intercontinental Exchange
IDR		— Indonesian Rupiah
LIBOR		— London Interbank Offered Rate
OFZ		— Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation)
OJSC		— Open Joint Stock Company
PIK		— Payment-In-Kind
RUB		— Russian Ruble
USD		— United States Dollar
UYU		— Uruguayan Peso

See Notes to Schedule of Investments.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		June 30, 2020

At June 30, 2020, the Fund had the following open forward foreign currency contracts:


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	430,000		USD	482,374	BNP Paribas SA		7/16/20	$	900
EUR	440,000		USD	494,296	BNP Paribas SA		7/16/20		216
GBP	1,140,000		USD	1,420,723	BNP Paribas SA		7/16/20		(8,002	)
USD	32,797		EUR	30,000	BNP Paribas SA		7/16/20		(920	)
USD	1,056,810		EUR	970,000	BNP Paribas SA		7/16/20		(33,366	)
USD	2,156,933		EUR	1,973,000	BNP Paribas SA		7/16/20		(60,507	)
USD	3,832,251		GBP	3,086,691	Citibank N.A.		7/16/20		7,134
EUR	1,700,000		USD	1,914,226	Goldman Sachs Group Inc.		7/16/20		(3,608	)
USD	764,946		EUR	697,174	JPMorgan Chase & Co.		7/16/20		(18,602	)
USD	483,370		EUR	430,000	BNP Paribas SA		10/16/20		(927	)
USD	495,315		EUR	440,000	BNP Paribas SA		10/16/20		(245	)

Total								$	(117,927	)

Abbreviation(s) used in this table:


EUR		— Euro
GBP		— British Pound
USD		— United States Dollar

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.

Western Asset High Income Opportunity Fund Inc. 2020 Quarterly Report

Notes to Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset High Income Opportunity Fund Inc. (the “Fund”) was incorporated in Maryland and is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund seeks high current income. Capital appreciation is a secondary objective. In seeking to fulfill its investment objectives, the Fund invests, under normal market conditions, at least 80% of its net assets in high-yield securities and up to 20% in common stock equivalents, including options, warrants and rights. On October 31, 2019 and 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 Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies

Notes to Schedule of Investments (unaudited) (continued)

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.

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:
Information Technology		—	$	10,785,131	$	37,379	$	10,822,510
Other Corporate Bonds & Notes		—		576,747,488		—		576,747,488
Sovereign Bonds		—		24,152,050		—		24,152,050
Senior Loans		—		22,251,148		—		22,251,148
U.S. Government & Agency Obligations		—		4,593,779		—		4,593,779
Convertible Bonds & Notes		—		4,292,394		—		4,292,394
Preferred Stocks	$	2,930,496		—		—		2,930,496
Non-U.S. Treasury Inflation Protected Securities		—		418,387		—		418,387
Common Stocks		—		—		140,638		140,638

Total Long-Term Investments		2,930,496		643,240,377		178,017		646,348,890

Short-Term Investments†		7,780,947		—		—		7,780,947

Total Investments	$	10,711,443	$	643,240,377	$	178,017	$	654,129,837

Other Financial Instruments:
Forward Foreign Currency Contracts		—	$	8,250		—	$	8,250

Total	$	10,711,443	$	643,248,627	$	178,017	$	654,138,087

Notes to Schedule of Investments (unaudited) (continued)


LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTAL
Other Financial Instruments:
Forward Foreign Currency Contracts		—	$	126,177		—	$	126,177

†	See Schedule of Investments for additional detailed categorizations.