WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| CORPORATE BONDS & NOTES - 90.8% | ||||||||||||||||
| COMMUNICATION SERVICES - 17.0% | ||||||||||||||||
| Diversified Telecommunication Services - 3.2% |
|
|||||||||||||||
| Altice France Holding SA, Senior Secured Notes |
10.500 | % | 5/15/27 | 3,590,000 | $ | 3,993,929 | (a) | |||||||||
| Altice France SA, Senior Secured Notes |
7.375 | % | 5/1/26 | 4,777,000 | 4,973,717 | (a) | ||||||||||
| Altice France SA, Senior Secured Notes |
8.125 | % | 2/1/27 | 2,573,000 | 2,806,500 | (a) | ||||||||||
| Cogent Communications Group Inc., Senior Secured Notes |
5.375 | % | 3/1/22 | 578,000 | 589,730 | (a) | ||||||||||
| Intelsat Jackson Holdings SA, Senior Secured Notes |
8.000 | % | 2/15/24 | 2,910,000 | 3,010,191 | (a) | ||||||||||
| Lumen Technologies Inc., Senior Notes |
4.500 | % | 1/15/29 | 1,550,000 | 1,514,660 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
|
16,888,727 | ||||||||||||||
|
|
|
|||||||||||||||
| Entertainment - 0.2% |
||||||||||||||||
| Netflix Inc., Senior Notes |
5.875 | % | 11/15/28 | 703,000 | 863,787 | |||||||||||
|
|
|
|||||||||||||||
| Media - 8.4% |
||||||||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
5.125 | % | 5/1/27 | 3,321,000 | 3,487,548 | (a) | ||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
5.000 | % | 2/1/28 | 12,669,000 | 13,302,450 | (a) | ||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
4.500 | % | 8/15/30 | 380,000 | 396,136 | (a) | ||||||||||
| Clear Channel Outdoor Holdings Inc., Senior Notes |
7.500 | % | 6/1/29 | 1,680,000 | 1,741,465 | (a) | ||||||||||
| DISH DBS Corp., Senior Notes |
5.875 | % | 11/15/24 | 9,670,000 | 10,395,250 | |||||||||||
| DISH DBS Corp., Senior Notes |
7.750 | % | 7/1/26 | 8,126,000 | 9,212,853 | |||||||||||
| DISH DBS Corp., Senior Notes |
5.125 | % | 6/1/29 | 1,930,000 | 1,908,152 | (a) | ||||||||||
| Univision Communications Inc., Senior Secured Notes |
9.500 | % | 5/1/25 | 2,070,000 | 2,289,244 | (a) | ||||||||||
| Virgin Media Secured Finance PLC, |
||||||||||||||||
| Senior Secured Notes |
5.500 | % | 8/15/26 | 1,290,000 | 1,332,893 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Media |
|
44,065,991 | ||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 5.2% |
||||||||||||||||
| CSC Holdings LLC, Senior Notes |
5.375 | % | 2/1/28 | 1,870,000 | 1,980,704 | (a) | ||||||||||
| CSC Holdings LLC, Senior Notes |
6.500 | % | 2/1/29 | 490,000 | 543,341 | (a) | ||||||||||
| CSC Holdings LLC, Senior Notes |
4.500 | % | 11/15/31 | 1,550,000 | 1,561,455 | (a) | ||||||||||
| Sprint Capital Corp., Senior Notes |
6.875 | % | 11/15/28 | 2,190,000 | 2,811,413 | |||||||||||
| Sprint Capital Corp., Senior Notes |
8.750 | % | 3/15/32 | 5,910,000 | 8,990,587 | |||||||||||
| Sprint Communications Inc., Senior Notes |
11.500 | % | 11/15/21 | 3,770,000 | 3,915,283 | |||||||||||
| Sprint Corp., Senior Notes |
7.250 | % | 9/15/21 | 2,800,000 | 2,847,222 | |||||||||||
See Notes to Schedule of Investments.
| Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
1 |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Wireless Telecommunication Services - continued |
||||||||||||||||
| Sprint Corp., Senior Notes |
7.875 | % | 9/15/23 | 360,000 | $ | 409,437 | ||||||||||
| VEON Holdings BV, Senior Notes |
7.504 | % | 3/1/22 | 1,530,000 | 1,601,604 | (b) | ||||||||||
| VEON Holdings BV, Senior Notes |
7.504 | % | 3/1/22 | 940,000 | 983,992 | (a) | ||||||||||
| Vmed O2 UK Financing I PLC, Senior Secured Notes |
4.750 | % | 7/15/31 | 1,540,000 | 1,566,950 | (a)(c) | ||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
|
27,211,988 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL COMMUNICATION SERVICES |
89,030,493 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 13.3% | ||||||||||||||||
| Auto Components - 2.4% |
||||||||||||||||
| Adient Global Holdings Ltd., Senior Notes |
4.875 | % | 8/15/26 | 3,529,000 | 3,636,564 | (a) | ||||||||||
| Adient US LLC, Senior Secured Notes |
9.000 | % | 4/15/25 | 1,080,000 | 1,192,298 | (a) | ||||||||||
| American Axle & Manufacturing Inc., Senior Notes |
6.500 | % | 4/1/27 | 4,523,000 | 4,803,426 | |||||||||||
| JB Poindexter & Co. Inc., Senior Notes |
7.125 | % | 4/15/26 | 2,728,000 | 2,887,097 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Auto Components |
12,519,385 | |||||||||||||||
|
|
|
|||||||||||||||
| Automobiles - 1.6% |
||||||||||||||||
| Ford Motor Co., Senior Notes |
9.000 | % | 4/22/25 | 3,280,000 | 4,047,995 | |||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
3.813 | % | 10/12/21 | 200,000 | 201,750 | |||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
4.250 | % | 9/20/22 | 1,955,000 | 2,023,992 | |||||||||||
| Ford Motor Credit Co. LLC, Senior Notes |
5.125 | % | 6/16/25 | 1,650,000 | 1,819,125 | |||||||||||
| General Motors Co., Senior Notes |
6.125 | % | 10/1/25 | 380,000 | 450,110 | |||||||||||
|
|
|
|||||||||||||||
| Total Automobiles |
8,542,972 | |||||||||||||||
|
|
|
|||||||||||||||
| Diversified Consumer Services - 1.6% |
||||||||||||||||
| Carriage Services Inc., Senior Notes |
4.250 | % | 5/15/29 | 1,670,000 | 1,669,683 | (a) | ||||||||||
| Service Corp. International, Senior Notes |
7.500 | % | 4/1/27 | 1,975,000 | 2,409,164 | |||||||||||
| StoneMor Inc., Senior Secured Notes |
8.500 | % | 5/15/29 | 1,900,000 | 1,923,750 | (a) | ||||||||||
| WW International Inc., Senior Secured Notes |
4.500 | % | 4/15/29 | 2,180,000 | 2,199,304 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Consumer Services |
8,201,901 | |||||||||||||||
|
|
|
|||||||||||||||
| Hotels, Restaurants & Leisure - 6.5% |
||||||||||||||||
| Carnival Corp., Senior Notes |
7.625 | % | 3/1/26 | 670,000 | 728,625 | (a) | ||||||||||
| Carnival Corp., Senior Notes |
5.750 | % | 3/1/27 | 1,820,000 | 1,908,725 | (a) | ||||||||||
| Carrols Restaurant Group Inc., Senior Notes |
5.875 | % | 7/1/29 | 820,000 | 810,775 | (a) | ||||||||||
| Full House Resorts Inc., Senior Secured Notes |
8.250 | % | 2/15/28 | 960,000 | 1,049,851 | (a) | ||||||||||
| IRB Holding Corp., Senior Secured Notes |
7.000 | % | 6/15/25 | 1,230,000 | 1,330,885 | (a) | ||||||||||
| NCL Corp. Ltd., Senior Secured Notes |
12.250 | % | 5/15/24 | 3,480,000 | 4,207,268 | (a) | ||||||||||
| NCL Corp. Ltd., Senior Secured Notes |
10.250 | % | 2/1/26 | 2,400,000 | 2,795,940 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
2 |
Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Hotels, Restaurants & Leisure - continued |
||||||||||||||||
| Royal Caribbean Cruises Ltd., Senior Notes |
5.500 | % | 4/1/28 | 1,840,000 | $ | 1,929,332 | (a) | |||||||||
| Saga PLC, Senior Notes |
3.375 | % | 5/12/24 | 3,790,000 | GBP | 5,190,594 | (b) | |||||||||
| Viking Cruises Ltd., Senior Notes |
5.875 | % | 9/15/27 | 991,000 | 980,545 | (a) | ||||||||||
| Viking Cruises Ltd., Senior Notes |
7.000 | % | 2/15/29 | 6,060,000 | 6,322,640 | (a) | ||||||||||
| Viking Cruises Ltd., Senior Secured Notes |
13.000 | % | 5/15/25 | 1,200,000 | 1,414,128 | (a) | ||||||||||
| VOC Escrow Ltd., Senior Secured Notes |
5.000 | % | 2/15/28 | 1,250,000 | 1,266,250 | (a) | ||||||||||
| Wynn Macau Ltd., Senior Notes |
5.500 | % | 10/1/27 | 220,000 | 229,559 | (a) | ||||||||||
| Wynn Resorts Finance LLC/Wynn |
||||||||||||||||
| Resorts Capital Corp., Senior Notes |
7.750 | % | 4/15/25 | 2,840,000 | 3,067,001 | (a) | ||||||||||
| Yum! Brands Inc., Senior Notes |
7.750 | % | 4/1/25 | 640,000 | 697,914 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Hotels, Restaurants & Leisure |
33,930,032 | |||||||||||||||
|
|
|
|||||||||||||||
| Specialty Retail - 1.0% |
||||||||||||||||
| Magic Mergeco Inc., Senior Notes |
7.875 | % | 5/1/29 | 910,000 | 939,575 | (a) | ||||||||||
| Magic Mergeco Inc., Senior Secured Notes |
5.250 | % | 5/1/28 | 730,000 | 749,841 | (a) | ||||||||||
| Party City Holdings Inc., Senior Secured Notes |
8.750 | % | 2/15/26 | 1,030,000 | 1,100,813 | (a) | ||||||||||
| PetSmart Inc./PetSmart Finance Corp., |
||||||||||||||||
| Senior Notes |
7.750 | % | 2/15/29 | 500,000 | 551,875 | (a) | ||||||||||
| Sally Holdings LLC/Sally Capital Inc., |
||||||||||||||||
| Senior Notes |
5.625 | % | 12/1/25 | 1,590,000 | 1,643,663 | |||||||||||
|
|
|
|||||||||||||||
| Total Specialty Retail |
4,985,767 | |||||||||||||||
|
|
|
|||||||||||||||
| Textiles, Apparel & Luxury Goods - 0.2% |
||||||||||||||||
| Hanesbrands Inc., Senior Notes |
4.875 | % | 5/15/26 | 756,000 | 817,425 | (a) | ||||||||||
| Hanesbrands Inc., Senior Notes |
4.875 | % | 5/15/26 | 300,000 | 324,375 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Textiles, Apparel & Luxury Goods |
|
1,141,800 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
69,321,857 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 2.4% | ||||||||||||||||
| Food Products - 2.2% |
||||||||||||||||
| Kraft Heinz Foods Co., Senior Notes |
5.000 | % | 7/15/35 | 830,000 | 1,020,636 | |||||||||||
| Kraft Heinz Foods Co., Senior Notes |
5.000 | % | 6/4/42 | 165,000 | 201,860 | |||||||||||
| Kraft Heinz Foods Co., Senior Notes |
5.200 | % | 7/15/45 | 3,480,000 | 4,328,308 | |||||||||||
| Kraft Heinz Foods Co., Senior Notes |
4.375 | % | 6/1/46 | 1,550,000 | 1,759,304 | |||||||||||
| Pilgrim’s Pride Corp., Senior Notes |
5.875 | % | 9/30/27 | 3,620,000 | 3,860,006 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Food Products |
11,170,114 | |||||||||||||||
|
|
|
|||||||||||||||
| Household Products - 0.2% |
||||||||||||||||
| Spectrum Brands Inc., Senior Notes |
5.750 | % | 7/15/25 | 1,210,000 | 1,241,460 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
12,411,574 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
3 |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| ENERGY - 17.4% | ||||||||||||||||
| Oil, Gas & Consumable Fuels - 17.4% |
||||||||||||||||
| Apache Corp., Senior Notes |
5.100 | % | 9/1/40 | 1,480,000 | $ | 1,552,150 | ||||||||||
| Blue Racer Midstream LLC/Blue Racer |
||||||||||||||||
| Finance Corp., Senior Notes |
7.625 | % | 12/15/25 | 730,000 | 792,050 | (a) | ||||||||||
| Continental Resources Inc., Senior Notes |
3.800 | % | 6/1/24 | 300,000 | 317,625 | |||||||||||
| Continental Resources Inc., Senior Notes |
4.375 | % | 1/15/28 | 220,000 | 244,000 | |||||||||||
| Continental Resources Inc., Senior Notes |
4.900 | % | 6/1/44 | 1,050,000 | 1,190,469 | |||||||||||
| Devon Energy Corp., Senior Notes |
8.250 | % | 8/1/23 | 810,000 | 923,289 | (a) | ||||||||||
| Ecopetrol SA, Senior Notes |
6.875 | % | 4/29/30 | 1,380,000 | 1,667,399 | |||||||||||
| Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then 5 year Treasury Constant Maturity Rate + 5.694%) |
6.500 | % | 11/15/26 | 440,000 | 449,680 | (d)(e) | ||||||||||
| EQM Midstream Partners LP, Senior Notes |
6.500 | % | 7/1/27 | 640,000 | 715,469 | (a) | ||||||||||
| EQT Corp., Senior Notes |
3.900 | % | 10/1/27 | 3,180,000 | 3,410,550 | |||||||||||
| EQT Corp., Senior Notes |
8.500 | % | 2/1/30 | 650,000 | 847,762 | |||||||||||
| Kinder Morgan Inc., Senior Notes |
7.750 | % | 1/15/32 | 6,920,000 | 9,936,255 | |||||||||||
| MEG Energy Corp., Secured Notes |
6.500 | % | 1/15/25 | 760,000 | 786,600 | (a) | ||||||||||
| NGPL PipeCo LLC, Senior Notes |
7.768 | % | 12/15/37 | 1,520,000 | 2,177,855 | (a) | ||||||||||
| Oasis Petroleum Inc., Senior Notes |
6.375 | % | 6/1/26 | 2,000,000 | 2,087,960 | (a) | ||||||||||
| Occidental Petroleum Corp., Senior Notes |
2.900 | % | 8/15/24 | 1,330,000 | 1,361,587 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
5.875 | % | 9/1/25 | 4,970,000 | 5,535,462 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
5.550 | % | 3/15/26 | 750,000 | 830,876 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
6.125 | % | 1/1/31 | 800,000 | 942,224 | |||||||||||
| Occidental Petroleum Corp., Senior Notes |
6.200 | % | 3/15/40 | 1,070,000 | 1,212,160 | |||||||||||
| Petrobras Global Finance BV, Senior Notes |
5.750 | % | 2/1/29 | 7,740,000 | 8,844,111 | |||||||||||
| Petrobras Global Finance BV, Senior Notes |
6.750 | % | 1/27/41 | 5,120,000 | 6,079,974 | |||||||||||
| Range Resources Corp., Senior Notes |
5.000 | % | 8/15/22 | 405,000 | 414,007 | |||||||||||
| Range Resources Corp., Senior Notes |
5.000 | % | 3/15/23 | 750,000 | 778,189 | |||||||||||
| Range Resources Corp., Senior Notes |
4.875 | % | 5/15/25 | 790,000 | 818,638 | |||||||||||
| Range Resources Corp., Senior Notes |
9.250 | % | 2/1/26 | 6,445,000 | 7,116,891 | |||||||||||
| Range Resources Corp., Senior Notes |
8.250 | % | 1/15/29 | 620,000 | 699,834 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
4 |
Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Oil, Gas & Consumable Fuels - continued |
||||||||||||||||
| Rockies Express Pipeline LLC, Senior Notes |
6.875 | % | 4/15/40 | 1,140,000 | $ | 1,207,112 | (a) | |||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
5.875 | % | 4/15/26 | 490,000 | 516,002 | |||||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
6.500 | % | 7/15/27 | 670,000 | 728,196 | |||||||||||
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
6.875 | % | 1/15/29 | 450,000 | 507,884 | |||||||||||
| Transportadora de Gas del Sur SA, Senior Notes |
6.750 | % | 5/2/25 | 1,920,000 | 1,802,419 | (a) | ||||||||||
| Western Midstream Operating LP, Senior Notes |
5.300 | % | 2/1/30 | 2,900,000 | 3,256,323 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
5.300 | % | 3/1/48 | 1,070,000 | 1,143,953 | |||||||||||
| Western Midstream Operating LP, Senior Notes |
6.500 | % | 2/1/50 | 9,585,000 | 11,124,591 | |||||||||||
| Williams Cos. Inc., Senior Notes |
3.700 | % | 1/15/23 | 530,000 | 552,100 | |||||||||||
| Williams Cos. Inc., Senior Notes |
4.550 | % | 6/24/24 | 1,030,000 | 1,135,134 | |||||||||||
| Williams Cos. Inc., Senior Notes |
7.500 | % | 1/15/31 | 620,000 | 859,871 | |||||||||||
| Williams Cos. Inc., Senior Notes |
5.750 | % | 6/24/44 | 3,190,000 | 4,195,669 | |||||||||||
| YPF SA, Senior Notes |
8.500 | % | 7/28/25 | 1,600,000 | 1,268,400 | (a) | ||||||||||
| YPF SA, Senior Notes |
6.950 | % | 7/21/27 | 1,530,000 | 1,083,393 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
91,114,113 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 13.4% | ||||||||||||||||
| Banks - 8.1% |
||||||||||||||||
| Bank of America Corp., Junior |
||||||||||||||||
| Subordinated Notes (6.500% to 10/23/24 then 3 mo. USD |
6.500 | % | 10/23/24 | 1,760,000 | 1,997,600 | (d)(e) | ||||||||||
| Barclays Bank PLC, Subordinated Notes |
7.625 | % | 11/21/22 | 488,000 | 532,431 | |||||||||||
| 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 | 950,000 | 1,081,219 | (d)(e) | ||||||||||
| BBVA Bancomer SA, Subordinated Notes (5.125% to 1/17/28 then 5 year Treasury Constant Maturity Rate + 2.650%) |
5.125 | % | 1/18/33 | 3,410,000 | 3,562,427 | (a)(e) | ||||||||||
See Notes to Schedule of Investments.
| Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
5 |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Banks - continued |
||||||||||||||||
| 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 | $ | 1,714,483 | (a)(d)(e) | |||||||||
| Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%) |
5.950 | % | 5/15/25 | 2,740,000 | 3,005,643 | (d)(e) | ||||||||||
| Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%) |
6.300 | % | 5/15/24 | 5,510,000 | 5,940,882 | (d)(e) | ||||||||||
| 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 | 2,790,047 | (a)(d)(e) | ||||||||||
| 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 | 710,000 | 789,875 | (d)(e) | ||||||||||
| Intesa Sanpaolo SpA, Subordinated Notes |
5.017 | % | 6/26/24 | 3,630,000 | 3,951,618 | (a) | ||||||||||
| Intesa Sanpaolo SpA, Subordinated Notes |
5.710 | % | 1/15/26 | 4,610,000 | 5,217,769 | (a) | ||||||||||
| 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 | 2,757,825 | (d)(e) | ||||||||||
| Natwest 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 | 2,753,673 | (d)(e) | ||||||||||
| Natwest 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 | 1,220,000 | 1,231,645 | (d)(e) | ||||||||||
| TC Ziraat Bankasi AS, Senior Notes |
5.125 | % | 9/29/23 | 2,040,000 | 2,093,636 | (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 | 2,732,104 | (a)(e) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
42,152,877 | |||||||||||||||
|
|
|
|||||||||||||||
| Capital Markets - 2.0% |
||||||||||||||||
| Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then USD 5 year ICE Swap Rate + 4.332%) |
7.250 | % | 9/12/25 | 4,320,000 | 4,886,762 | (a)(d)(e) | ||||||||||
See Notes to Schedule of Investments.
|
6 |
Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Capital Markets - continued |
||||||||||||||||
| Goldman Sachs Group Inc., Subordinated Notes |
6.750 | % | 10/1/37 | 1,880,000 | $ | 2,741,832 | ||||||||||
| 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 | 2,690,000 | 2,964,232 | (a)(d)(e) | ||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
10,592,826 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Finance - 0.5% |
||||||||||||||||
| Navient Corp., Senior Notes |
5.875 | % | 10/25/24 | 1,080,000 | 1,167,826 | |||||||||||
| Navient Corp., Senior Notes |
6.750 | % | 6/15/26 | 1,400,000 | 1,565,550 | |||||||||||
|
|
|
|||||||||||||||
| Total Consumer Finance |
2,733,376 | |||||||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services - 2.5% |
||||||||||||||||
| Allied Universal Holdco LLC/Allied Universal Finance Corp., |
6.000 | % | 6/1/29 | 1,000,000 | 1,015,110 | (a) | ||||||||||
| Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Senior Secured Notes |
4.625 | % | 6/1/28 | 1,360,000 | 1,366,610 | (a) | ||||||||||
| DAE Funding LLC, Senior Notes |
4.500 | % | 8/1/22 | 3,663,000 | 3,679,429 | (a) | ||||||||||
| GE Capital International Funding Co. Unlimited Co., Senior Notes |
3.373 | % | 11/15/25 | 600,000 | 654,971 | |||||||||||
| Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) |
6.500 | % | 9/15/24 | 5,497,928 | 5,532,427 | (a)(f) | ||||||||||
| Huarong Finance 2019 Co. Ltd., Senior Notes |
2.500 | % | 2/24/23 | 1,220,000 | 942,810 | (b) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Financial Services |
13,191,357 | |||||||||||||||
|
|
|
|||||||||||||||
| Insurance - 0.3% |
||||||||||||||||
| MetLife Capital Trust IV, Junior Subordinated Notes |
7.875 | % | 12/15/37 | 1,010,000 | 1,408,950 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
70,079,386 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 8.9% | ||||||||||||||||
| Health Care Providers & Services - 3.5% |
||||||||||||||||
| CHS/Community Health Systems Inc., Senior Secured Notes |
8.000 | % | 3/15/26 | 1,300,000 | 1,402,395 | (a) | ||||||||||
| HCA Inc., Senior Notes |
7.690 | % | 6/15/25 | 490,000 | 597,188 | |||||||||||
| HCA Inc., Senior Notes |
7.500 | % | 11/15/95 | 6,265,000 | 8,829,233 | |||||||||||
| Magellan Health Inc., Senior Notes |
4.900 | % | 9/22/24 | 2,055,000 | 2,290,164 | |||||||||||
| Tenet Healthcare Corp., Secured Notes |
6.250 | % | 2/1/27 | 2,500,000 | 2,612,500 | (a) | ||||||||||
| Tenet Healthcare Corp., Senior Secured Notes |
7.500 | % | 4/1/25 | 2,050,000 | 2,216,849 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
17,948,329 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
7 |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Pharmaceuticals - 5.4% |
||||||||||||||||
| Bausch Health Americas Inc., Senior Notes |
8.500 | % | 1/31/27 | 1,160,000 | $ | 1,263,692 | (a) | |||||||||
| Bausch Health Cos. Inc., Senior Notes |
6.125 | % | 4/15/25 | 6,156,000 | 6,317,595 | (a) | ||||||||||
| Bausch Health Cos. Inc., Senior Notes |
9.000 | % | 12/15/25 | 2,200,000 | 2,361,810 | (a) | ||||||||||
| Endo Luxembourg Finance Co. I Sarl/ |
||||||||||||||||
| Endo US Inc., Senior Secured Notes |
6.125 | % | 4/1/29 | 890,000 | 873,313 | (a) | ||||||||||
| Teva Pharmaceutical Finance Co. BV, Senior Notes |
2.950 | % | 12/18/22 | 3,980,000 | 4,012,039 | |||||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
2.200 | % | 7/21/21 | 6,200,000 | 6,199,070 | |||||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
2.800 | % | 7/21/23 | 2,460,000 | 2,454,440 | |||||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
6.000 | % | 4/15/24 | 3,510,000 | 3,730,884 | |||||||||||
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
3.150 | % | 10/1/26 | 1,150,000 | 1,095,375 | |||||||||||
|
|
|
|||||||||||||||
| Total Pharmaceuticals |
28,308,218 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
46,256,547 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 9.7% | ||||||||||||||||
| Aerospace & Defense - 0.8% |
||||||||||||||||
| TransDigm Inc., Senior Secured Notes |
8.000 | % | 12/15/25 | 3,710,000 | 4,019,006 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Airlines - 7.4% |
||||||||||||||||
| American Airlines Inc./AAdvantage Loyalty IP Ltd., |
5.500 | % | 4/20/26 | 1,610,000 | 1,706,600 | (a) | ||||||||||
| American Airlines Inc./AAdvantage Loyalty IP Ltd., |
5.750 | % | 4/20/29 | 1,850,000 | 2,002,625 | (a) | ||||||||||
| Delta Air Lines Inc., Senior Notes |
3.625 | % | 3/15/22 | 2,510,000 | 2,545,811 | |||||||||||
| Delta Air Lines Inc., Senior Notes |
3.800 | % | 4/19/23 | 4,660,000 | 4,838,839 | |||||||||||
| Delta Air Lines Inc., Senior Notes |
2.900 | % | 10/28/24 | 2,580,000 | 2,626,685 | |||||||||||
| Delta Air Lines Inc., Senior Notes |
7.375 | % | 1/15/26 | 720,000 | 845,371 | |||||||||||
| Delta Air Lines Inc., Senior Secured Notes |
7.000 | % | 5/1/25 | 6,330,000 | 7,391,372 | (a) | ||||||||||
| Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes |
5.750 | % | 1/20/26 | 720,000 | 773,899 | (a) | ||||||||||
| Mileage Plus Holdings LLC/Mileage Plus |
||||||||||||||||
| Intellectual Property Assets Ltd., Senior Secured Notes |
6.500 | % | 6/20/27 | 2,620,000 | 2,887,895 | (a) | ||||||||||
| Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes |
8.000 | % | 9/20/25 | 3,965,999 | 4,493,477 | (a) | ||||||||||
See Notes to Schedule of Investments.
|
8 |
Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Airlines - continued |
|
|||||||||||||||
| United Airlines Holdings Inc., Senior Notes |
4.250 | % | 10/1/22 | 4,850,000 | $ | 4,971,250 | ||||||||||
| United Airlines Holdings Inc., Senior Notes |
5.000 | % | 2/1/24 | 800,000 | 833,052 | |||||||||||
| United Airlines Inc., Senior Secured Notes |
4.625 | % | 4/15/29 | 2,610,000 | 2,704,612 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Airlines |
38,621,488 | |||||||||||||||
|
|
|
|||||||||||||||
| Building Products - 0.6% |
||||||||||||||||
| Standard Industries Inc., Senior Notes |
5.000 | % | 2/15/27 | 2,951,000 | 3,059,818 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Commercial Services & Supplies - 0.4% |
||||||||||||||||
| CoreCivic Inc., Senior Notes |
8.250 | % | 4/15/26 | 1,360,000 | 1,412,972 | |||||||||||
| CoreCivic Inc., Senior Notes |
4.750 | % | 10/15/27 | 820,000 | 749,259 | |||||||||||
|
|
|
|||||||||||||||
| Total Commercial Services & Supplies |
2,162,231 | |||||||||||||||
|
|
|
|||||||||||||||
| Machinery - 0.2% |
||||||||||||||||
| Titan International Inc., Senior Secured Notes |
7.000 | % | 4/30/28 | 850,000 | 890,435 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Trading Companies & Distributors - 0.3% |
||||||||||||||||
| H&E Equipment Services Inc., Senior Notes |
3.875 | % | 12/15/28 | 1,000,000 | 985,250 | (a) | ||||||||||
| United Rentals North America Inc., Senior Notes |
5.500 | % | 5/15/27 | 750,000 | 795,937 | |||||||||||
|
|
|
|||||||||||||||
| Total Trading Companies & Distributors |
1,781,187 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
50,534,165 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 2.1% | ||||||||||||||||
| Communications Equipment - 1.0% |
||||||||||||||||
| CommScope Inc., Senior Notes |
8.250 | % | 3/1/27 | 4,760,000 | 5,093,438 | (a) | ||||||||||
| CommScope Technologies LLC, Senior Notes |
6.000 | % | 6/15/25 | 60,000 | 61,350 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Communications Equipment |
5,154,788 | |||||||||||||||
|
|
|
|||||||||||||||
| Software - 0.4% |
||||||||||||||||
| Helios Software Holdings Inc./ION Corporate Solutions Finance Sarl, Senior Secured Notes |
4.625 | % | 5/1/28 | 2,130,000 | 2,091,404 | (a) | ||||||||||
| Interface Special Holdings Inc., Senior Notes (19.000% PIK) |
19.000 | % | 11/1/23 | 2,734,286 | 0 | *(f)(g)(h)(i)(j) | ||||||||||
|
|
|
|||||||||||||||
| Total Software |
2,091,404 | |||||||||||||||
|
|
|
|||||||||||||||
| Technology Hardware, Storage & Peripherals - 0.7% |
||||||||||||||||
| Dell International LLC/EMC Corp., Senior Notes |
7.125 | % | 6/15/24 | 1,040,000 | 1,069,203 | (a) | ||||||||||
| Seagate HDD Cayman, Senior Notes |
4.750 | % | 6/1/23 | 1,370,000 | 1,461,886 | |||||||||||
See Notes to Schedule of Investments.
| Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
9 |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Technology Hardware, Storage & Peripherals - continued |
||||||||||||||||
| Seagate HDD Cayman, Senior Notes |
4.750 | % | 1/1/25 | 670,000 | $ | 738,565 | ||||||||||
| Seagate HDD Cayman, Senior Notes |
4.875 | % | 6/1/27 | 400,000 | 441,522 | |||||||||||
|
|
|
|||||||||||||||
| Total Technology Hardware, Storage & Peripherals |
3,711,176 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
10,957,368 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 5.3% | ||||||||||||||||
| Containers & Packaging - 1.4% |
||||||||||||||||
| ARD Finance SA, Senior Secured Notes (6.500% Cash or 7.250% PIK) |
6.500 | % | 6/30/27 | 2,073,000 | 2,180,962 | (a)(f) | ||||||||||
| Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., |
6.000 | % | 2/15/25 | 3,935,000 | 4,069,675 | (a) | ||||||||||
| Trivium Packaging Finance BV, Senior Notes |
8.500 | % | 8/15/27 | 980,000 | 1,067,965 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Containers & Packaging |
7,318,602 | |||||||||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 3.9% |
||||||||||||||||
| ArcelorMittal SA, Senior Notes |
7.250 | % | 10/15/39 | 2,960,000 | 4,186,169 | |||||||||||
| First Quantum Minerals Ltd., Senior Notes |
7.250 | % | 4/1/23 | 2,710,000 | 2,765,907 | (a) | ||||||||||
| Freeport-McMoRan Inc., Senior Notes |
3.550 | % | 3/1/22 | 550,000 | 556,526 | |||||||||||
| Freeport-McMoRan Inc., Senior Notes |
3.875 | % | 3/15/23 | 730,000 | 762,098 | |||||||||||
| Freeport-McMoRan Inc., Senior Notes |
5.450 | % | 3/15/43 | 4,280,000 | 5,237,265 | |||||||||||
| Teck Resources Ltd., Senior Notes |
6.000 | % | 8/15/40 | 1,050,000 | 1,345,262 | |||||||||||
| Vale Overseas Ltd., Senior Notes |
6.875 | % | 11/21/36 | 2,320,000 | 3,182,947 | |||||||||||
| Vale Overseas Ltd., Senior Notes |
6.875 | % | 11/10/39 | 1,500,000 | 2,100,405 | |||||||||||
|
|
|
|||||||||||||||
| Total Metals & Mining |
20,136,579 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
27,455,181 | |||||||||||||||
|
|
|
|||||||||||||||
| REAL ESTATE - 0.1% | ||||||||||||||||
| Equity Real Estate Investment Trusts (REITs) - 0.1% |
||||||||||||||||
| Diversified Healthcare Trust, Senior Notes |
9.750 | % | 6/15/25 | 700,000 | 776,170 | |||||||||||
|
|
|
|||||||||||||||
| UTILITIES - 1.2% | ||||||||||||||||
| Electric Utilities - 0.2% |
||||||||||||||||
| Pampa Energia SA, Senior Notes |
7.500 | % | 1/24/27 | 1,350,000 | 1,211,787 | (a) | ||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
10 |
Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| Gas Utilities - 1.0% |
||||||||||||||||
| Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes |
5.875 | % | 3/1/27 | 3,750,000 | $ | 3,946,500 | ||||||||||
| Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes |
5.000 | % | 6/1/31 | 960,000 | 984,000 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Gas Utilities |
4,930,500 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL UTILITIES |
6,142,287 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost - $397,003,728) |
|
474,079,141 | ||||||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 3.7% | ||||||||||||||||
| Argentina - 0.5% |
||||||||||||||||
| Argentine Republic Government International Bond, Senior Notes |
1.000 | % | 7/9/29 | 280,362 | 106,868 | |||||||||||
| Argentine Republic Government |
||||||||||||||||
| International Bond, Senior Notes, Step bond (0.125% to 7/9/21 then 0.500%) |
0.125 | % | 7/9/30 | 998,400 | 360,133 | |||||||||||
| Provincia de Buenos Aires, Senior Notes |
9.950 | % | 6/9/21 | 810,000 | 386,783 | *(a)(k) | ||||||||||
| Provincia de Cordoba, Senior Notes, Step bond (5.000% to 6/1/22 then 6.990%) |
5.000 | % | 6/1/27 | 2,070,000 | 1,417,971 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Argentina |
2,271,755 | |||||||||||||||
|
|
|
|||||||||||||||
| Brazil - 0.0%†† |
||||||||||||||||
| Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/27 | 274,000 | BRL | 58,428 | ||||||||||
|
|
|
|||||||||||||||
| Ghana - 0.2% |
||||||||||||||||
| Ghana Government International Bond, Senior Notes |
7.625 | % | 5/16/29 | 1,000,000 | 1,014,056 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Indonesia - 0.6% |
||||||||||||||||
| Indonesia Treasury Bond |
8.250 | % | 7/15/21 | 11,280,000,000 | IDR | 779,180 | ||||||||||
| Indonesia Treasury Bond |
6.500 | % | 2/15/31 | 36,017,000,000 | IDR | 2,468,531 | ||||||||||
|
|
|
|||||||||||||||
| Total Indonesia |
3,247,711 | |||||||||||||||
|
|
|
|||||||||||||||
| Mexico - 0.7% |
||||||||||||||||
| Mexican Bonos, Senior Notes |
7.750 | % | 11/23/34 | 71,310,000 | MXN | 3,777,992 | ||||||||||
|
|
|
|||||||||||||||
| Russia - 1.7% |
||||||||||||||||
| Russian Federal Bond - OFZ |
7.000 | % | 1/25/23 | 110,080,000 | RUB | 1,513,496 | ||||||||||
| Russian Federal Bond - OFZ |
7.750 | % | 9/16/26 | 315,370,000 | RUB | 4,479,656 | ||||||||||
| Russian Federal Bond - OFZ |
6.900 | % | 5/23/29 | 198,450,000 | RUB | 2,703,778 | ||||||||||
|
|
|
|||||||||||||||
| Total Russia |
8,696,930 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS |
19,066,872 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
| Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
11 |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT† |
VALUE | ||||||||||||
| SENIOR LOANS - 1.6% | ||||||||||||||||
| COMMUNICATION SERVICES - 0.5% | ||||||||||||||||
| Media - 0.5% |
||||||||||||||||
| Clear Channel Outdoor Holdings Inc., Term Loan B |
— | 8/21/26 | 2,794,924 | $ | 2,732,474 | (l) | ||||||||||
|
|
|
|||||||||||||||
| CONSUMER DISCRETIONARY - 0.3% | ||||||||||||||||
| Hotels, Restaurants & Leisure - 0.3% |
||||||||||||||||
| Royal Caribbean Cruises Ltd., First Lien Term Loan A |
— | 4/5/22 | 1,480,000 | 1,443,000 | (i)(l) | |||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 0.3% | ||||||||||||||||
| Pharmaceuticals - 0.3% |
||||||||||||||||
| Jazz Financing Lux Sarl, Initial Dollar Term Loan (the greater of 1 mo. USD LIBOR or 0.500% + 3.500%) |
4.000 | % | 5/5/28 | 1,730,000 | 1,738,496 | (e)(m)(n) | ||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 0.5% | ||||||||||||||||
| Airlines - 0.5% |
||||||||||||||||
| United Airlines Inc., Term Loan B (the greater of 3 mo. USD LIBOR or 0.750% + 3.750%) |
4.500 | % | 4/21/28 | 2,593,500 | 2,630,551 | (e)(m)(n) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL SENIOR LOANS |
8,544,521 | |||||||||||||||
|
|
|
|||||||||||||||
| CONVERTIBLE BONDS & NOTES - 0.8% | ||||||||||||||||
| COMMUNICATION SERVICES - 0.8% | ||||||||||||||||
| Media - 0.8% |
||||||||||||||||
| DISH Network Corp., Senior Notes |
3.375 | % | 8/15/26 | 4,050,000 | 4,143,150 | |||||||||||
|
|
|
|||||||||||||||
| ASSET-BACKED SECURITIES - 0.6% | ||||||||||||||||
| Magnetite XII Ltd., 2015-12A ER (3 mo. USD LIBOR + 5.680%) |
5.864 | % | 10/15/31 | 3,400,000 | 3,354,331 | (a)(e) | ||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| PREFERRED STOCKS - 0.3% | ||||||||||||||||
| FINANCIALS - 0.3% | ||||||||||||||||
| Banks - 0.3% |
||||||||||||||||
| GMAC Capital Trust I, Non Voting Shares (3 mo. USD LIBOR + 5.785%) |
5.941 | % | 61,163 | 1,548,035 | (e) | |||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
|
12 |
Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| SECURITY |
RATE | SHARES | VALUE | |||||||||
| CONVERTIBLE PREFERRED STOCKS - 0.3% | ||||||||||||
| ENERGY - 0.3% | ||||||||||||
| Oil, Gas & Consumable Fuels - 0.3% |
||||||||||||
| Targa Resources Corp., Non Voting Shares |
9.500 | % | 1,250 | $ | 1,353,440 | |||||||
|
|
|
|||||||||||
| COMMON STOCKS - 0.1% | ||||||||||||
| ENERGY - 0.0%†† | ||||||||||||
| Energy Equipment & Services - 0.0%†† |
||||||||||||
| Hercules Offshore Inc. (Escrow) |
87,452 | 52,244 | *(h)(i) | |||||||||
| KCAD Holdings I Ltd. |
427,421,041 | 0 | *(h)(i)(j) | |||||||||
|
|
|
|||||||||||
| TOTAL ENERGY |
52,244 | |||||||||||
|
|
|
|||||||||||
| FINANCIALS - 0.1% | ||||||||||||
| Capital Markets - 0.1% |
||||||||||||
| EG Acquisition Corp. |
64,280 | 642,800 | * | |||||||||
|
|
|
|||||||||||
| TOTAL COMMON STOCKS |
695,044 | |||||||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
512,784,534 | |||||||||||
|
|
|
|||||||||||
| RATE | ||||||||||||
| SHORT-TERM INVESTMENTS - 2.1% | ||||||||||||
| Western Asset Premier Institutional Government Reserves, Premium Shares |
0.010 | % | 10,966,686 | 10,966,686 | (o) | |||||||
|
|
|
|||||||||||
| TOTAL INVESTMENTS - 100.3% |
523,751,220 | |||||||||||
| Liabilities in Excess of Other Assets - (0.3)% |
(1,448,249 | ) | ||||||||||
|
|
|
|||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 522,302,971 | ||||||||||
|
|
|
|||||||||||
See Notes to Schedule of Investments.
| Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
13 |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
| † | 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) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
| (c) | Securities traded on a when-issued or delayed delivery basis. |
| (d) | Security has no maturity date. The date shown represents the next call date. |
| (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) | 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. |
| (g) | The coupon payment on this security is currently in default as of June 30, 2021. |
| (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) | Value is less than $1. |
| (k) | The maturity principal is currently in default as of June 30, 2021. |
| (l) | All or a portion of this loan is unfunded as of June 30, 2021. The interest rate for fully unfunded term loans is to be determined. |
| (m) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| (n) | 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. |
| (o) | In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At June 30, 2021, the total market value of investments in Affiliated Companies was $10,966,686 and the cost was $10,966,686 (Note 2). |
Abbreviation(s) used in this schedule:
| BRL | — Brazilian Real | |
| GBP | — British Pound | |
| ICE | — Intercontinental Exchange | |
| IDR | — Indonesian Rupiah | |
| LIBOR | — London Interbank Offered Rate | |
| MXN | — Mexican Peso | |
| OFZ | — Obligatsyi Federal’novo Zaima (Russian Federal Loan Obligation) | |
| PIK | — Payment-In-Kind | |
| RUB | — Russian Ruble | |
| USD | — United States Dollar | |
See Notes to Schedule of Investments.
|
14 |
Western Asset High Income Opportunity Fund Inc. 2021 Quarterly Report |
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
| Schedule of investments (unaudited) (cont’d) | June 30, 2021 |
At June 30, 2021, the Fund had the following open forward foreign currency contracts:
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 95,409 | EUR | 80,000 | BNP Paribas SA | 7/19/21 | $ | 511 | |||||||||||||||
| USD | 96,422 | EUR | 80,732 | BNP Paribas SA | 7/19/21 | 657 | ||||||||||||||||
| CAD | 521,144 | USD | 430,510 | Citibank N.A. | 7/19/21 | (10,102 | ) | |||||||||||||||
| CAD | 1,000,000 | USD | 826,062 | Citibank N.A. | 7/19/21 | (19,360 | ) | |||||||||||||||
| USD | 70,705 | EUR | 59,442 | Citibank N.A. | 7/19/21 | 193 | ||||||||||||||||
| USD | 707,021 | GBP | 500,000 | Citibank N.A. | 7/19/21 | 15,331 | ||||||||||||||||
| USD | 1,386,728 | GBP | 1,000,000 | Citibank N.A. | 7/19/21 | 3,348 | ||||||||||||||||
| CAD | 1,579,326 | USD | 1,307,790 | Goldman Sachs Group Inc. | 7/19/21 | (33,744 | ) | |||||||||||||||
| GBP | 423,733 | USD | 599,544 | Goldman Sachs Group Inc. | 7/19/21 | (13,360 | ) | |||||||||||||||
| USD | 3,225,746 | GBP | 2,347,542 | Goldman Sachs Group Inc. | 7/19/21 | (21,797 | ) | |||||||||||||||
| USD | 2,542,503 | CAD | 3,100,000 | JPMorgan Chase & Co. | 7/19/21 | 41,726 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total |
$ | (36,597 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
Abbreviation(s) used in this table:
| CAD | — Canadian Dollar | |
| 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. 2021 Quarterly Report |
15 |
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.
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 typically 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. 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 Global Fund Valuation Committee (formerly known as Legg Mason North Atlantic Fund Valuation Committee prior to March 1, 2021) (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.
|
16 |
Notes to Schedule of Investments (unaudited) (continued)
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
|
17 |
Notes to Schedule of Investments (unaudited) (continued)
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 |
— | $ | 10,957,368 | $ | 0 | * | $ | 10,957,368 | ||||||||
| Other Corporate Bonds & Notes |
— | 463,121,773 | — | 463,121,773 | ||||||||||||
| Sovereign Bonds |
— | 19,066,872 | — | 19,066,872 | ||||||||||||
| Senior Loans: |
||||||||||||||||
| Consumer Discretionary |
— | — | 1,443,000 | 1,443,000 | ||||||||||||
| Other Senior Loans |
— | 7,101,521 | — | 7,101,521 | ||||||||||||
| Convertible Bonds & Notes |
— | 4,143,150 | — | 4,143,150 | ||||||||||||
| Asset-Backed Securities |
— | 3,354,331 | — | 3,354,331 | ||||||||||||
| Preferred Stocks |
$ | 1,548,035 | — | — | 1,548,035 | |||||||||||
| Convertible Preferred Stocks |
— | 1,353,440 | — | 1,353,440 | ||||||||||||
| Common Stocks: |
||||||||||||||||
| Energy |
— | — | 52,244 | 52,244 | ||||||||||||
| Financials |
642,800 | — | — | 642,800 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Long-Term Investments |
2,190,835 | 509,098,455 | 1,495,244 | 512,784,534 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments† |
10,966,686 | — | — | 10,966,686 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments |
$ | 13,157,521 | $ | 509,098,455 | $ | 1,495,244 | $ | 523,751,220 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other Financial Instruments: |
||||||||||||||||
| Forward Foreign Currency Contracts†† |
— | $ | 61,766 | — | $ | 61,766 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 13,157,521 | $ | 509,160,221 | $ | 1,495,244 | $ | 523,812,986 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| 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†† |
— | $ | 98,363 | — | $ | 98,363 | ||||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
| * | Amount represents less than $1. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
|
18 |
Notes to Schedule of Investments (unaudited) (continued)
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended June 30, 2021. The following transactions were effected in such company for the period ended June 30, 2021.
| Affiliate Value at September 30, 2020 |
Purchased | Sold | Realized Gain (Loss) |
Interest Income |
Net Increase (Decrease) in Unrealized Appreciation (Depreciation) |
Affiliate Value at June 30, 2021 |
||||||||||||||||||||||||||||||
| Cost | Shares | Cost | Shares | |||||||||||||||||||||||||||||||||
| Western Asset Premier Institutional Government Reserves, Premium Shares | — | $ | 16,586,464 | 16,586,464 | $ | 5,619,778 | 5,619,778 | — | $ | 53 | — | $ | 10,966,686 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
|
19 |