NPORT-EX 2 LMF3100WAHighIncOppFdInc.htm HTML

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
LIBOR + 4.174%)

     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.,
Senior Notes

     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.,
Senior Secured Notes

     5.500     4/20/26        1,610,000        1,706,600 (a) 

American Airlines Inc./AAdvantage Loyalty IP Ltd.,
Senior Secured Notes

     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.,
Senior Notes

     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
(Cost - $19,330,418)

            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
(Cost - $8,447,634)

             8,544,521  
          

 

 

 
CONVERTIBLE BONDS & NOTES - 0.8%           
COMMUNICATION SERVICES - 0.8%           

Media - 0.8%

          

DISH Network Corp., Senior Notes
(Cost - $3,547,474)

     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%)
(Cost - $3,349,090)

     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%)
(Cost - $1,410,033)

     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
(Cost - $1,312,500)

     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
(Cost - $7,398,708)

          695,044  
       

 

 

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $441,799,585)

          512,784,534  
       

 

 

 
     RATE               
SHORT-TERM INVESTMENTS - 2.1%        

Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost - $10,966,686)

     0.010     10,966,686        10,966,686 (o)  
       

 

 

 

TOTAL INVESTMENTS - 100.3%
(Cost - $452,766,271)

          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