WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
CORPORATE BONDS & NOTES - 84.2% | ||||||||||||||||
COMMUNICATION SERVICES - 17.9% | ||||||||||||||||
Diversified Telecommunication Services - 1.9% |
||||||||||||||||
Cogent Communications Group Inc., Senior Secured Notes |
5.375 | % | 3/1/22 | 1,170,000 | $ | 1,216,800 | (a) | |||||||||
Intelsat Jackson Holdings SA, Senior Notes |
5.500 | % | 8/1/23 | 750,000 | 688,125 | |||||||||||
Intelsat Jackson Holdings SA, Senior Secured Notes |
8.000 | % | 2/15/24 | 2,910,000 | 3,040,950 | (a) | ||||||||||
Telecom Italia Capital SA, Senior Notes |
6.000 | % | 9/30/34 | 2,800,000 | 2,870,000 | |||||||||||
Telecom Italia SpA, Senior Notes |
5.303 | % | 5/30/24 | 790,000 | 820,612 | (a) | ||||||||||
UPCB Finance IV Ltd., Senior Secured Notes |
5.375 | % | 1/15/25 | 1,515,000 | 1,560,920 | (a) | ||||||||||
Windstream Services LLC/Windstream Finance Corp., Secured Notes |
10.500 | % | 6/30/24 | 3,780,000 | 2,759,400 | *(a)(b) | ||||||||||
Windstream Services LLC/Windstream Finance Corp., Secured Notes |
9.000 | % | 6/30/25 | 555,000 | 387,113 | *(a)(b) | ||||||||||
|
|
|||||||||||||||
Total Diversified Telecommunication Services |
13,343,920 | |||||||||||||||
|
|
|||||||||||||||
Entertainment - 0.5% |
||||||||||||||||
Netflix Inc., Senior Notes |
5.875 | % | 11/15/28 | 1,453,000 | 1,612,278 | |||||||||||
Netflix Inc., Senior Notes |
6.375 | % | 5/15/29 | 1,875,000 | 2,135,719 | (a) | ||||||||||
|
|
|||||||||||||||
Total Entertainment |
3,747,997 | |||||||||||||||
|
|
|||||||||||||||
Interactive Media & Services - 0.3% |
||||||||||||||||
GrubHub Holdings Inc., Senior Notes |
5.500 | % | 7/1/27 | 1,020,000 | 1,049,447 | (a) | ||||||||||
Match Group Inc., Senior Notes |
6.375 | % | 6/1/24 | 940,000 | 991,700 | |||||||||||
Match Group Inc., Senior Notes |
5.000 | % | 12/15/27 | 65,000 | 68,406 | (a) | ||||||||||
|
|
|||||||||||||||
Total Interactive Media & Services |
2,109,553 | |||||||||||||||
|
|
|||||||||||||||
Media - 10.0% |
||||||||||||||||
Altice France SA, Senior Secured Notes |
7.375 | % | 5/1/26 | 4,109,000 | 4,221,997 | (a) | ||||||||||
Altice France SA, Senior Secured Notes |
8.125 | % | 2/1/27 | 10,653,000 | 11,212,283 | (a) | ||||||||||
Altice Luxembourg SA, Senior Notes |
7.750 | % | 5/15/22 | 3,204,000 | 3,264,075 | (a) | ||||||||||
Altice Luxembourg SA, Senior Notes |
10.500 | % | 5/15/27 | 1,330,000 | 1,369,900 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
5.750 | % | 2/15/26 | 1,170,000 | 1,229,963 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
5.125 | % | 5/1/27 | 3,321,000 | 3,446,733 | (a) | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes |
5.000 | % | 2/1/28 | 14,609,000 | 14,955,233 | (a) | ||||||||||
DISH DBS Corp., Senior Notes |
5.875 | % | 11/15/24 | 10,820,000 | 10,279,000 | |||||||||||
DISH DBS Corp., Senior Notes |
7.750 | % | 7/1/26 | 11,476,000 | 11,160,410 | |||||||||||
Entercom Media Corp., Secured Notes |
6.500 | % | 5/1/27 | 380,000 | 396,150 | (a) |
See Notes to Schedule of Investments.
1
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Media - (continued) |
||||||||||||||||
Virgin Media Finance PLC, Senior Notes |
6.000 | % | 10/15/24 | 2,545,000 | $ | 2,646,800 | (a) | |||||||||
Virgin Media Secured Finance PLC, Senior Secured Notes |
5.250 | % | 1/15/26 | 3,220,000 | 3,311,641 | (a) | ||||||||||
Virgin Media Secured Finance PLC, Senior Secured Notes |
5.500 | % | 8/15/26 | 3,440,000 | 3,573,300 | (a) | ||||||||||
|
|
|||||||||||||||
Total Media |
71,067,485 | |||||||||||||||
|
|
|||||||||||||||
Wireless Telecommunication Services - 5.2% |
||||||||||||||||
CSC Holdings LLC, Senior Notes |
6.625 | % | 10/15/25 | 2,130,000 | 2,284,425 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes |
10.875 | % | 10/15/25 | 1,899,000 | 2,180,289 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes |
5.375 | % | 2/1/28 | 2,620,000 | 2,728,075 | (a) | ||||||||||
CSC Holdings LLC, Senior Notes |
6.500 | % | 2/1/29 | 1,530,000 | 1,672,481 | (a) | ||||||||||
Sprint Capital Corp., Senior Notes |
6.875 | % | 11/15/28 | 2,190,000 | 2,256,357 | |||||||||||
Sprint Capital Corp., Senior Notes |
8.750 | % | 3/15/32 | 6,910,000 | 8,015,600 | |||||||||||
Sprint Communications Inc., Senior Notes |
7.000 | % | 8/15/20 | 1,820,000 | 1,890,525 | |||||||||||
Sprint Communications Inc., Senior Notes |
11.500 | % | 11/15/21 | 3,770,000 | 4,373,200 | |||||||||||
Sprint Corp., Senior Notes |
7.250 | % | 9/15/21 | 2,800,000 | 2,982,000 | |||||||||||
Sprint Corp., Senior Notes |
7.875 | % | 9/15/23 | 360,000 | 391,950 | |||||||||||
T-Mobile USA Inc., Senior Notes |
6.000 | % | 3/1/23 | 1,080,000 | 1,107,000 | |||||||||||
T-Mobile USA Inc., Senior Notes |
6.500 | % | 1/15/26 | 910,000 | 986,040 | |||||||||||
VEON Holdings BV, Senior Notes |
7.504 | % | 3/1/22 | 1,530,000 | 1,681,057 | (c) | ||||||||||
VEON Holdings BV, Senior Notes |
7.504 | % | 3/1/22 | 940,000 | 1,032,806 | (a) | ||||||||||
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, Senior Notes |
7.748 | % | 2/2/21 | 3,170,000 | 3,400,491 | (a) | ||||||||||
|
|
|||||||||||||||
Total Wireless Telecommunication Services |
36,982,296 | |||||||||||||||
|
|
|||||||||||||||
TOTAL COMMUNICATION SERVICES |
127,251,251 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER DISCRETIONARY - 10.0% | ||||||||||||||||
Auto Components - 2.0% |
||||||||||||||||
Adient Global Holdings Ltd., Senior Notes |
4.875 | % | 8/15/26 | 5,339,000 | 4,271,200 | (a) | ||||||||||
Adient US LLC, Senior Secured Notes |
7.000 | % | 5/15/26 | 1,020,000 | 1,050,600 | (a) | ||||||||||
American Axle & Manufacturing Inc., Senior Notes |
6.250 | % | 4/1/25 | 717,000 | 716,104 | |||||||||||
American Axle & Manufacturing Inc., Senior Notes |
6.250 | % | 3/15/26 | 500,000 | 496,250 | |||||||||||
American Axle & Manufacturing Inc., Senior Notes |
6.500 | % | 4/1/27 | 4,023,000 | 4,028,028 | |||||||||||
JB Poindexter & Co. Inc., Senior Notes |
7.125 | % | 4/15/26 | 3,528,000 | 3,616,200 | (a) | ||||||||||
|
|
|||||||||||||||
Total Auto Components |
14,178,382 | |||||||||||||||
|
|
|||||||||||||||
Diversified Consumer Services - 2.5% |
||||||||||||||||
Carriage Services Inc., Senior Notes |
6.625 | % | 6/1/26 | 5,907,000 | 6,084,210 | (a) | ||||||||||
Frontdoor Inc., Senior Notes |
6.750 | % | 8/15/26 | 3,202,000 | 3,418,135 | (a) |
See Notes to Schedule of Investments.
2
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Diversified Consumer Services - (continued) |
||||||||||||||||
Prime Security Services Borrower LLC/ Prime Finance Inc., Secured Notes |
9.250 | % | 5/15/23 | 1,715,000 | $ | 1,804,309 | (a) | |||||||||
Prime Security Services Borrower LLC/ Prime Finance Inc., Senior Secured Notes |
5.250 | % | 4/15/24 | 1,150,000 | 1,173,000 | (a) | ||||||||||
Prime Security Services Borrower LLC/ Prime Finance Inc., Senior Secured Notes |
5.750 | % | 4/15/26 | 2,120,000 | 2,194,200 | (a) | ||||||||||
Service Corp. International, Senior Notes |
7.500 | % | 4/1/27 | 1,975,000 | 2,370,000 | |||||||||||
Weight Watchers International Inc., Senior Notes |
8.625 | % | 12/1/25 | 880,000 | 809,600 | (a) | ||||||||||
|
|
|||||||||||||||
Total Diversified Consumer Services |
17,853,454 | |||||||||||||||
|
|
|||||||||||||||
Hotels, Restaurants & Leisure - 1.7% |
||||||||||||||||
1011778 BC ULC/New Red Finance Inc., Senior Secured Notes |
4.250 | % | 5/15/24 | 1,250,000 | 1,267,187 | (a) | ||||||||||
MGM China Holdings Ltd., Senior Notes |
5.375 | % | 5/15/24 | 580,000 | 595,805 | (a) | ||||||||||
MGM China Holdings Ltd., Senior Notes |
5.875 | % | 5/15/26 | 910,000 | 936,163 | (a) | ||||||||||
Saga PLC, Senior Notes |
3.375 | % | 5/12/24 | 1,240,000 | GBP | 1,317,394 | (c) | |||||||||
Silversea Cruise Finance Ltd., Senior Secured Notes |
7.250 | % | 2/1/25 | 1,438,000 | 1,552,609 | (a) | ||||||||||
Twin River Worldwide Holdings Inc., Senior Notes |
6.750 | % | 6/1/27 | 320,000 | 334,400 | (a) | ||||||||||
Viking Cruises Ltd., Senior Notes |
6.250 | % | 5/15/25 | 3,190,000 | 3,301,650 | (a) | ||||||||||
Viking Cruises Ltd., Senior Notes |
5.875 | % | 9/15/27 | 821,000 | 833,315 | (a) | ||||||||||
VOC Escrow Ltd., Senior Secured Notes |
5.000 | % | 2/15/28 | 2,070,000 | 2,108,812 | (a) | ||||||||||
|
|
|||||||||||||||
Total Hotels, Restaurants & Leisure |
12,247,335 | |||||||||||||||
|
|
|||||||||||||||
Household Durables - 0.7% |
||||||||||||||||
Allied Universal Holdco LLC, Senior Secured Notes |
6.625 | % | 7/15/26 | 1,330,000 | 1,353,275 | (a)(d) | ||||||||||
Lennar Corp., Senior Notes |
5.000 | % | 6/15/27 | 3,160,000 | 3,333,800 | |||||||||||
|
|
|||||||||||||||
Total Household Durables |
4,687,075 | |||||||||||||||
|
|
|||||||||||||||
Specialty Retail - 3.0% |
||||||||||||||||
Hertz Corp., Senior Notes |
5.875 | % | 10/15/20 | 2,030,000 | 2,033,553 | |||||||||||
Maxeda DIY Holding BV, Senior Secured Notes |
6.125 | % | 7/15/22 | 3,881,000 | EUR | 4,394,065 | (c) | |||||||||
Party City Holdings Inc., Senior Notes |
6.625 | % | 8/1/26 | 5,360,000 | 5,212,600 | (a) | ||||||||||
PetSmart Inc., Senior Secured Notes |
5.875 | % | 6/1/25 | 6,450,000 | 6,288,750 | (a) | ||||||||||
Sally Holdings LLC/Sally Capital Inc., Senior Notes |
5.625 | % | 12/1/25 | 2,950,000 | 2,905,602 | |||||||||||
|
|
|||||||||||||||
Total Specialty Retail |
20,834,570 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
3
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Textiles, Apparel & Luxury Goods - 0.1% |
||||||||||||||||
Hanesbrands Inc., Senior Notes |
4.875 | % | 5/15/26 | 856,000 | $ | 892,286 | (a) | |||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
70,693,102 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER STAPLES - 1.4% | ||||||||||||||||
Food Products - 0.8% |
||||||||||||||||
Pilgrims Pride Corp., Senior Notes |
5.750 | % | 3/15/25 | 720,000 | 732,600 | (a) | ||||||||||
Pilgrims Pride Corp., Senior Notes |
5.875 | % | 9/30/27 | 5,000,000 | 5,200,000 | (a) | ||||||||||
|
|
|||||||||||||||
Total Food Products |
5,932,600 | |||||||||||||||
|
|
|||||||||||||||
Household Products - 0.6% |
||||||||||||||||
Central Garden & Pet Co., Senior Notes |
6.125 | % | 11/15/23 | 400,000 | 417,000 | |||||||||||
Spectrum Brands Inc., Senior Notes |
6.625 | % | 11/15/22 | 470,000 | 482,455 | |||||||||||
Spectrum Brands Inc., Senior Notes |
6.125 | % | 12/15/24 | 810,000 | 838,350 | |||||||||||
Spectrum Brands Inc., Senior Notes |
5.750 | % | 7/15/25 | 2,210,000 | 2,306,688 | |||||||||||
|
|
|||||||||||||||
Total Household Products |
4,044,493 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER STAPLES |
9,977,093 | |||||||||||||||
|
|
|||||||||||||||
ENERGY - 15.6% | ||||||||||||||||
Energy Equipment & Services - 0.5% |
||||||||||||||||
KCA Deutag UK Finance PLC, Senior Secured Notes |
7.250 | % | 5/15/21 | 2,320,000 | 1,757,400 | (a) | ||||||||||
Pride International LLC, Senior Notes |
7.875 | % | 8/15/40 | 1,000,000 | 680,000 | |||||||||||
Transocean Inc., Senior Notes |
9.000 | % | 7/15/23 | 306,000 | 327,038 | (a) | ||||||||||
Transocean Inc., Senior Notes |
6.800 | % | 3/15/38 | 970,000 | 732,350 | |||||||||||
|
|
|||||||||||||||
Total Energy Equipment & Services |
3,496,788 | |||||||||||||||
|
|
|||||||||||||||
Oil, Gas & Consumable Fuels - 15.1% |
||||||||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp., Senior Notes |
6.375 | % | 5/1/24 | 650,000 | 683,313 | |||||||||||
Berry Petroleum Co. Escrow |
| | 3,484,000 | 0 | *(e)(f)(g) | |||||||||||
Berry Petroleum Co. Escrow |
| | 1,230,000 | 0 | *(e)(f)(g) | |||||||||||
Berry Petroleum Co. LLC, Senior Notes |
7.000 | % | 2/15/26 | 3,160,000 | 3,081,000 | (a) | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes |
6.125 | % | 11/15/22 | 1,840,000 | 1,874,500 | (a) | ||||||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes |
6.625 | % | 7/15/26 | 425,000 | 430,313 | (a) | ||||||||||
Cheniere Corpus Christi Holdings LLC, Senior Secured Notes |
5.875 | % | 3/31/25 | 810,000 | 904,162 | |||||||||||
Chesapeake Energy Corp., Senior Notes |
6.875 | % | 11/15/20 | 5,200,000 | 5,278,000 | |||||||||||
Chesapeake Energy Corp., Senior Notes |
5.375 | % | 6/15/21 | 1,655,000 | 1,617,762 | |||||||||||
Chesapeake Energy Corp., Senior Notes |
5.750 | % | 3/15/23 | 600,000 | 565,500 | |||||||||||
Chesapeake Energy Corp., Senior Notes |
7.500 | % | 10/1/26 | 2,180,000 | 1,951,100 | |||||||||||
Chesapeake Energy Corp., Senior Notes |
8.000 | % | 6/15/27 | 630,000 | 558,338 |
See Notes to Schedule of Investments.
4
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
Continental Resources Inc., Senior Notes |
4.900 | % | 6/1/44 | 2,640,000 | $ | 2,779,514 | ||||||||||
Ecopetrol SA, Senior Notes |
7.375 | % | 9/18/43 | 1,900,000 | 2,443,894 | |||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., Senior Notes |
6.750 | % | 8/1/22 | 850,000 | 860,625 | |||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., Senior Notes |
6.250 | % | 5/15/26 | 1,420,000 | 1,377,400 | |||||||||||
Kinder Morgan Inc., Senior Notes |
7.750 | % | 1/15/32 | 6,920,000 | 9,481,296 | |||||||||||
Magnum Hunter Resources Corp. Escrow |
| | 6,700,000 | 0 | *(e)(f)(g) | |||||||||||
MEG Energy Corp., Senior Notes |
6.375 | % | 1/30/23 | 180,000 | 172,125 | (a) | ||||||||||
MEG Energy Corp., Senior Notes |
7.000 | % | 3/31/24 | 6,650,000 | 6,350,750 | (a) | ||||||||||
NGL Energy Partners LP/NGL Energy Finance Corp., Senior Notes |
7.500 | % | 11/1/23 | 1,000,000 | 1,050,000 | |||||||||||
NGPL PipeCo LLC, Senior Notes |
7.768 | % | 12/15/37 | 1,520,000 | 1,938,000 | (a) | ||||||||||
Oasis Petroleum Inc., Senior Notes |
6.500 | % | 11/1/21 | 2,730,000 | 2,702,700 | |||||||||||
Oasis Petroleum Inc., Senior Notes |
6.875 | % | 1/15/23 | 2,420,000 | 2,426,050 | |||||||||||
Petrobras Global Finance BV, Senior Notes |
5.999 | % | 1/27/28 | 2,650,000 | 2,820,925 | |||||||||||
Petrobras Global Finance BV, Senior Notes |
5.750 | % | 2/1/29 | 12,240,000 | 12,789,576 | |||||||||||
Petrobras Global Finance BV, Senior Notes |
6.750 | % | 1/27/41 | 5,120,000 | 5,508,864 | |||||||||||
Range Resources Corp., Senior Notes |
5.000 | % | 3/15/23 | 700,000 | 662,375 | |||||||||||
Range Resources Corp., Senior Notes |
4.875 | % | 5/15/25 | 4,590,000 | 4,050,675 | |||||||||||
Rockies Express Pipeline LLC, Senior Notes |
7.500 | % | 7/15/38 | 1,080,000 | 1,242,641 | (a) | ||||||||||
Rockies Express Pipeline LLC, Senior Notes |
6.875 | % | 4/15/40 | 1,140,000 | 1,277,267 | (a) | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
5.875 | % | 4/15/26 | 1,170,000 | 1,244,587 | |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
6.500 | % | 7/15/27 | 670,000 | 732,813 | (a) | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
5.000 | % | 1/15/28 | 5,825,000 | 5,854,125 | |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes |
6.875 | % | 1/15/29 | 2,290,000 | 2,544,625 | (a) | ||||||||||
Transportadora de Gas del Sur SA, Senior Notes |
6.750 | % | 5/2/25 | 5,490,000 | 5,325,355 | (a) | ||||||||||
Western Midstream Operating LP, Senior Notes |
5.500 | % | 8/15/48 | 1,470,000 | 1,397,338 |
See Notes to Schedule of Investments.
5
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
Whiting Petroleum Corp., Senior Notes |
6.250 | % | 4/1/23 | 2,130,000 | $ | 2,135,325 | ||||||||||
Whiting Petroleum Corp., Senior Notes |
6.625 | % | 1/15/26 | 1,070,000 | 1,037,231 | |||||||||||
Williams Cos. Inc., Senior Notes |
3.700 | % | 1/15/23 | 820,000 | 848,036 | |||||||||||
Williams Cos. Inc., Senior Notes |
4.550 | % | 6/24/24 | 1,030,000 | 1,110,579 | |||||||||||
Williams Cos. Inc., Senior Notes |
7.500 | % | 1/15/31 | 620,000 | 802,768 | |||||||||||
Williams Cos. Inc., Senior Notes |
5.750 | % | 6/24/44 | 3,190,000 | 3,728,190 | |||||||||||
WPX Energy Inc., Senior Notes |
8.250 | % | 8/1/23 | 810,000 | 927,450 | |||||||||||
YPF SA, Senior Notes |
8.500 | % | 7/28/25 | 500,000 | 502,725 | (c) | ||||||||||
YPF SA, Senior Notes |
6.950 | % | 7/21/27 | 2,030,000 | 1,849,228 | (a) | ||||||||||
|
|
|||||||||||||||
Total Oil, Gas & Consumable Fuels |
106,919,040 | |||||||||||||||
|
|
|||||||||||||||
TOTAL ENERGY |
110,415,828 | |||||||||||||||
|
|
|||||||||||||||
FINANCIALS - 13.3% | ||||||||||||||||
Banks - 9.6% |
||||||||||||||||
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 | 2,160,000 | 2,382,944 | (h)(i) | ||||||||||
Barclays Bank PLC, Subordinated Notes |
10.179 | % | 6/12/21 | 2,460,000 | 2,785,181 | (a) | ||||||||||
Barclays Bank PLC, Subordinated Notes |
7.625 | % | 11/21/22 | 3,400,000 | 3,714,823 | |||||||||||
Barclays PLC, Junior Subordinated Notes (8.000% to 6/15/24 then 5 year Treasury Constant Maturity Rate + 5.672%) |
8.000 | % | 6/15/24 | 1,700,000 | 1,784,091 | (h)(i) | ||||||||||
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 | 2,830,000 | 2,733,780 | (a)(i) | ||||||||||
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 | 1,634,794 | (a)(h)(i) | ||||||||||
CIT Group Inc., Senior Notes |
5.000 | % | 8/15/22 | 1,000,000 | 1,063,570 | |||||||||||
CIT Group Inc., Senior Notes |
5.000 | % | 8/1/23 | 3,270,000 | 3,502,987 | |||||||||||
Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo. USD LIBOR + 3.905%) |
5.950 | % | 5/15/25 | 3,420,000 | 3,576,824 | (h)(i) | ||||||||||
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%) |
6.300 | % | 5/15/24 | 10,010,000 | 10,405,045 | (h)(i) | ||||||||||
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 | 2,655,237 | (a)(h)(i) |
See Notes to Schedule of Investments.
6
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Banks - (continued) |
||||||||||||||||
Credit Agricole SA, Junior Subordinated Notes (8.375% to 10/13/19 then 3 mo. USD LIBOR + 6.982%) |
8.375 | % | 10/13/19 | 710,000 | $ | 715,680 | (a)(h)(i) | |||||||||
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 | 1,180,000 | 1,208,344 | (h)(i) | ||||||||||
HSBC Holdings PLC, Junior Subordinated Notes (6.500% to 3/23/28 then USD 5 year ICE Swap Rate + 3.606%) |
6.500 | % | 3/23/28 | 3,560,000 | 3,735,081 | (h)(i) | ||||||||||
Intesa Sanpaolo SpA, Subordinated Notes |
5.017 | % | 6/26/24 | 7,700,000 | 7,726,652 | (a) | ||||||||||
Intesa Sanpaolo SpA, Subordinated Notes |
5.710 | % | 1/15/26 | 5,530,000 | 5,601,585 | (a) | ||||||||||
JPMorgan Chase & Co., Junior Subordinated Notes (6.000% to 8/1/23 then 3 mo. USD LIBOR + 3.300%) |
6.000 | % | 8/1/23 | 1,390,000 | 1,462,231 | (h)(i) | ||||||||||
JPMorgan Chase & Co., Junior Subordinated Notes (6.100% to 10/1/24 then 3 mo. USD LIBOR + 3.330%) |
6.100 | % | 10/1/24 | 1,170,000 | 1,261,301 | (h)(i) | ||||||||||
Royal Bank of Scotland Group PLC, Junior Subordinated Notes (7.648% to 9/30/31 then 3 mo. USD LIBOR + 2.500%) |
7.648 | % | 9/30/31 | 1,880,000 | 2,458,100 | (h)(i) | ||||||||||
Royal Bank of Scotland Group PLC, Junior Subordinated Notes (8.625% to 8/15/21 then USD 5 year ICE Swap Rate + 7.598%) |
8.625 | % | 8/15/21 | 3,220,000 | 3,478,405 | (h)(i) | ||||||||||
TC Ziraat Bankasi AS, Senior Notes |
5.125 | % | 9/29/23 | 2,040,000 | 1,838,929 | (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 | 2,410,048 | (a)(i) | ||||||||||
|
|
|||||||||||||||
Total Banks |
68,135,632 | |||||||||||||||
|
|
|||||||||||||||
Capital Markets - 1.4% |
||||||||||||||||
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 | 2,620,000 | 2,818,740 | (a)(h)(i) | ||||||||||
Donnelley Financial Solutions Inc., Senior Notes |
8.250 | % | 10/15/24 | 1,680,000 | 1,743,000 | |||||||||||
Goldman Sachs Group Inc., Subordinated Notes |
6.750 | % | 10/1/37 | 1,880,000 | 2,462,058 | |||||||||||
UBS Group Funding Switzerland AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%) |
7.000 | % | 1/31/24 | 2,600,000 | 2,763,891 | (a)(h)(i) | ||||||||||
|
|
|||||||||||||||
Total Capital Markets |
9,787,689 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
7
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Consumer Finance - 0.6% |
||||||||||||||||
Ally Financial Inc., Senior Notes |
8.000 | % | 3/15/20 | 1,744,000 | $ | 1,810,778 | ||||||||||
Navient Corp., Senior Notes |
5.875 | % | 10/25/24 | 1,080,000 | 1,097,550 | |||||||||||
Navient Corp., Senior Notes |
6.750 | % | 6/15/26 | 1,400,000 | 1,456,000 | |||||||||||
|
|
|||||||||||||||
Total Consumer Finance |
4,364,328 | |||||||||||||||
|
|
|||||||||||||||
Diversified Financial Services - 1.5% |
||||||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
4.625 | % | 10/30/20 | 650,000 | 666,651 | |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes |
4.625 | % | 7/1/22 | 560,000 | 585,076 | |||||||||||
ASP AMC Merger Sub Inc., Senior Notes |
8.000 | % | 5/15/25 | 520,000 | 313,300 | (a) | ||||||||||
DAE Funding LLC, Senior Notes |
5.750 | % | 11/15/23 | 3,663,000 | 3,855,308 | (a) | ||||||||||
GE Capital International Funding Co. Unlimited Co., Senior Notes |
3.373 | % | 11/15/25 | 600,000 | 607,901 | |||||||||||
International Lease Finance Corp., Senior Notes |
8.250 | % | 12/15/20 | 3,675,000 | 3,966,210 | |||||||||||
International Lease Finance Corp., Senior Notes |
5.875 | % | 8/15/22 | 600,000 | 653,839 | |||||||||||
|
|
|||||||||||||||
Total Diversified Financial Services |
10,648,285 | |||||||||||||||
|
|
|||||||||||||||
Insurance - 0.2% |
||||||||||||||||
MetLife Capital Trust IV, Junior Subordinated Notes |
7.875 | % | 12/15/37 | 1,010,000 | 1,274,211 | (a) | ||||||||||
|
|
|||||||||||||||
TOTAL FINANCIALS |
94,210,145 | |||||||||||||||
|
|
|||||||||||||||
HEALTH CARE - 8.4% | ||||||||||||||||
Health Care Providers & Services - 4.8% |
||||||||||||||||
Air Medical Group Holdings Inc., Senior Notes |
6.375 | % | 5/15/23 | 1,470,000 | 1,323,000 | (a) | ||||||||||
BioScrip Inc., First Lien Notes ((Highest of Federal Funds Rate + 0.500%, Prime Rate and 1 mo. LIBOR (subject to 1.000% floor) + 1.000%) or 1 mo. LIBOR (subject to 1.000% floor) + 6.000%, or 1 mo. LIBOR (subject to 1.000% floor) + 7.000%) |
9.520 | % | 8/15/20 | 179,000 | 178,105 | (f)(i)(j) | ||||||||||
BioScrip Inc., First Lien Notes ((Highest of Federal Funds Rate + 0.500%, Prime Rate and 1 mo. LIBOR (subject to 1.000% floor) + 1.000%) or 1 mo. LIBOR (subject to 1.000% floor) + 6.000%, or 1 mo. LIBOR (subject to 1.000% floor) + 7.000%) |
9.520 | % | 6/30/22 | 2,575,000 | 2,690,875 | (f)(i)(j) | ||||||||||
Centene Corp., Senior Notes |
5.625 | % | 2/15/21 | 1,160,000 | 1,183,200 | |||||||||||
Centene Corp., Senior Notes |
6.125 | % | 2/15/24 | 710,000 | 744,612 |
See Notes to Schedule of Investments.
8
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Health Care Providers & Services - (continued) |
||||||||||||||||
CHS/Community Health Systems Inc., Senior Secured Notes |
8.000 | % | 3/15/26 | 1,750,000 | $ | 1,688,225 | (a) | |||||||||
DaVita Inc., Senior Notes |
5.125 | % | 7/15/24 | 3,020,000 | 3,028,456 | |||||||||||
DaVita Inc., Senior Notes |
5.000 | % | 5/1/25 | 2,000,000 | 1,982,000 | |||||||||||
HCA Inc., Senior Notes |
7.690 | % | 6/15/25 | 490,000 | 576,975 | |||||||||||
HCA Inc., Senior Notes |
5.625 | % | 9/1/28 | 610,000 | 661,850 | |||||||||||
HCA Inc., Senior Notes |
7.500 | % | 11/15/95 | 6,265,000 | 6,640,900 | |||||||||||
HCA Inc., Senior Secured Notes |
5.250 | % | 6/15/26 | 4,870,000 | 5,399,548 | |||||||||||
Magellan Health Inc., Senior Notes |
4.900 | % | 9/22/24 | 4,260,000 | 4,223,790 | |||||||||||
Tenet Healthcare Corp., Secured Notes |
5.125 | % | 5/1/25 | 3,500,000 | 3,526,250 | |||||||||||
|
|
|||||||||||||||
Total Health Care Providers & Services |
33,847,786 | |||||||||||||||
|
|
|||||||||||||||
Pharmaceuticals - 3.6% |
||||||||||||||||
Bausch Health Americas Inc., Senior Notes |
8.500 | % | 1/31/27 | 1,160,000 | 1,278,343 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes |
5.875 | % | 5/15/23 | 1,330,000 | 1,350,442 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes |
6.125 | % | 4/15/25 | 7,140,000 | 7,309,361 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Notes |
9.000 | % | 12/15/25 | 2,200,000 | 2,466,310 | (a) | ||||||||||
Bausch Health Cos. Inc., Senior Secured Notes |
7.000 | % | 3/15/24 | 700,000 | 745,570 | (a) | ||||||||||
Teva Pharmaceutical Finance Co. BV, Senior Notes |
2.950 | % | 12/18/22 | 2,090,000 | 1,909,487 | |||||||||||
Teva Pharmaceutical Finance IV BV, Senior Notes |
3.650 | % | 11/10/21 | 540,000 | 523,395 | |||||||||||
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes |
2.800 | % | 7/21/23 | 11,600,000 | 10,063,000 | |||||||||||
|
|
|||||||||||||||
Total Pharmaceuticals |
25,645,908 | |||||||||||||||
|
|
|||||||||||||||
TOTAL HEALTH CARE |
59,493,694 | |||||||||||||||
|
|
|||||||||||||||
INDUSTRIALS - 5.8% | ||||||||||||||||
Air Freight & Logistics - 0.1% |
||||||||||||||||
XPO Logistics Inc., Senior Notes |
6.500 | % | 6/15/22 | 776,000 | 793,460 | (a) | ||||||||||
|
|
|||||||||||||||
Airlines - 0.1% |
||||||||||||||||
Delta Air Lines Pass-Through Certificates Trust |
8.021 | % | 8/10/22 | 441,648 | 487,712 | |||||||||||
|
|
|||||||||||||||
Building Products - 1.1% |
||||||||||||||||
Norbord Inc., Senior Secured Notes |
5.750 | % | 7/15/27 | 550,000 | 554,812 | (a) | ||||||||||
Standard Industries Inc., Senior Notes |
5.000 | % | 2/15/27 | 5,391,000 | 5,471,865 | (a) | ||||||||||
Standard Industries Inc., Senior Notes |
4.750 | % | 1/15/28 | 1,845,000 | 1,835,775 | (a) | ||||||||||
|
|
|||||||||||||||
Total Building Products |
7,862,452 | |||||||||||||||
|
|
|||||||||||||||
Commercial Services & Supplies - 2.6% |
||||||||||||||||
GFL Environmental Inc., Senior Notes |
5.375 | % | 3/1/23 | 1,420,000 | 1,412,900 | (a) |
See Notes to Schedule of Investments.
9
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Commercial Services & Supplies - (continued) |
||||||||||||||||
GFL Environmental Inc., Senior Notes |
8.500 | % | 5/1/27 | 2,970,000 | $ | 3,203,888 | (a) | |||||||||
United Rentals North America Inc., Senior Notes |
6.500 | % | 12/15/26 | 7,500,000 | 8,137,500 | |||||||||||
United Rentals North America Inc., Senior Notes |
5.500 | % | 5/15/27 | 320,000 | 337,600 | |||||||||||
United Rentals North America Inc., Senior Notes |
4.875 | % | 1/15/28 | 5,155,000 | 5,270,987 | |||||||||||
|
|
|||||||||||||||
Total Commercial Services & Supplies |
18,362,875 | |||||||||||||||
|
|
|||||||||||||||
Containers & Packaging - 0.2% |
||||||||||||||||
Hercule Debtco Sarl, Senior Secured Notes (6.750% Cash or 7.500% PIK) |
6.750 | % | 6/30/24 | 1,620,000 | EUR | 1,734,689 | (a)(k) | |||||||||
|
|
|||||||||||||||
Industrial Conglomerates - 0.1% |
||||||||||||||||
General Electric Co., Junior Subordinated Notes (5.000% to 1/21/21 then 3 mo. USD LIBOR + 3.330%) |
5.000 | % | 1/21/21 | 600,000 | 579,588 | (h)(i) | ||||||||||
|
|
|||||||||||||||
Machinery - 0.6% |
||||||||||||||||
Allison Transmission Inc., Senior Notes |
5.000 | % | 10/1/24 | 500,000 | 511,875 | (a) | ||||||||||
Allison Transmission Inc., Senior Notes |
4.750 | % | 10/1/27 | 1,985,000 | 1,980,038 | (a) | ||||||||||
Cleaver-Brooks Inc., Senior Secured Notes |
7.875 | % | 3/1/23 | 600,000 | 576,876 | (a) | ||||||||||
Harsco Corp., Senior Notes |
5.750 | % | 7/31/27 | 1,070,000 | 1,116,930 | (a) | ||||||||||
|
|
|||||||||||||||
Total Machinery |
4,185,719 | |||||||||||||||
|
|
|||||||||||||||
Marine - 0.3% |
||||||||||||||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Senior Secured Notes |
8.125 | % | 11/15/21 | 2,850,000 | 2,280,000 | (a) | ||||||||||
|
|
|||||||||||||||
Trading Companies & Distributors - 0.7% |
||||||||||||||||
Beacon Roofing Supply Inc., Senior Notes |
4.875 | % | 11/1/25 | 4,735,000 | 4,705,406 | (a) | ||||||||||
|
|
|||||||||||||||
TOTAL INDUSTRIALS |
40,991,901 | |||||||||||||||
|
|
|||||||||||||||
INFORMATION TECHNOLOGY - 1.1% | ||||||||||||||||
Software - 0.1% |
||||||||||||||||
Interface Special Holdings Inc., Senior Notes (19.000% PIK) |
19.000 | % | 11/1/23 | 2,069,761 | 139,709 | (a)(k) | ||||||||||
j2 Cloud Services LLC/j2 Global Co-Obligor Inc., Senior Notes |
6.000 | % | 7/15/25 | 530,000 | 557,162 | (a) | ||||||||||
|
|
|||||||||||||||
Total Software |
696,871 | |||||||||||||||
|
|
|||||||||||||||
Technology Hardware, Storage & Peripherals - 1.0% |
||||||||||||||||
Dell International LLC/EMC Corp., Senior Notes |
7.125 | % | 6/15/24 | 740,000 | 781,242 | (a) | ||||||||||
Seagate HDD Cayman, Senior Notes |
4.750 | % | 6/1/23 | 1,370,000 | 1,414,729 | |||||||||||
Seagate HDD Cayman, Senior Notes |
4.750 | % | 1/1/25 | 670,000 | 677,586 |
See Notes to Schedule of Investments.
10
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Technology Hardware, Storage & Peripherals - (continued) |
||||||||||||||||
Seagate HDD Cayman, Senior Notes |
4.875 | % | 6/1/27 | 400,000 | $ | 401,759 | ||||||||||
Western Digital Corp., Senior Notes |
4.750 | % | 2/15/26 | 3,759,000 | 3,697,164 | |||||||||||
|
|
|||||||||||||||
Total Technology Hardware, Storage & Peripherals |
6,972,480 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INFORMATION TECHNOLOGY |
7,669,351 | |||||||||||||||
|
|
|||||||||||||||
MATERIALS - 8.9% | ||||||||||||||||
Containers & Packaging - 3.0% |
||||||||||||||||
ARD Securities Finance SARL, Senior Secured Notes (8.750% PIK) |
8.750 | % | 1/31/23 | 5,923,305 | 5,997,346 | (a)(k) | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes |
7.250 | % | 5/15/24 | 1,670,000 | 1,766,025 | (a) | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes |
6.000 | % | 2/15/25 | 6,185,000 | 6,424,669 | (a) | ||||||||||
Greif Inc., Senior Notes |
6.500 | % | 3/1/27 | 2,260,000 | 2,339,100 | (a) | ||||||||||
Pactiv LLC, Senior Notes |
8.375 | % | 4/15/27 | 4,480,000 | 4,883,200 | |||||||||||
|
|
|||||||||||||||
Total Containers & Packaging |
21,410,340 | |||||||||||||||
|
|
|||||||||||||||
Metals & Mining - 5.1% |
||||||||||||||||
Alcoa Nederland Holding BV, Senior Notes |
6.750 | % | 9/30/24 | 950,000 | 1,008,187 | (a) | ||||||||||
Alcoa Nederland Holding BV, Senior Notes |
7.000 | % | 9/30/26 | 1,970,000 | 2,117,750 | (a) | ||||||||||
Alcoa Nederland Holding BV, Senior Notes |
6.125 | % | 5/15/28 | 1,390,000 | 1,456,025 | (a) | ||||||||||
ArcelorMittal, Senior Notes |
7.000 | % | 10/15/39 | 2,960,000 | 3,517,932 | |||||||||||
First Quantum Minerals Ltd., Senior Notes |
7.000 | % | 2/15/21 | 2,980,000 | 3,045,187 | (a) | ||||||||||
First Quantum Minerals Ltd., Senior Notes |
7.250 | % | 5/15/22 | 750,000 | 749,063 | (a) | ||||||||||
First Quantum Minerals Ltd., Senior Notes |
7.250 | % | 4/1/23 | 400,000 | 391,000 | (a) | ||||||||||
Freeport-McMoRan Inc., Senior Notes |
4.000 | % | 11/14/21 | 780,000 | 797,550 | |||||||||||
Freeport-McMoRan Inc., Senior Notes |
3.550 | % | 3/1/22 | 550,000 | 553,438 | |||||||||||
Freeport-McMoRan Inc., Senior Notes |
6.875 | % | 2/15/23 | 2,050,000 | 2,165,312 | |||||||||||
Freeport-McMoRan Inc., Senior Notes |
3.875 | % | 3/15/23 | 730,000 | 731,825 | |||||||||||
Freeport-McMoRan Inc., Senior Notes |
4.550 | % | 11/14/24 | 3,720,000 | 3,812,070 | |||||||||||
Freeport-McMoRan Inc., Senior Notes |
5.400 | % | 11/14/34 | 1,430,000 | 1,376,375 | |||||||||||
Freeport-McMoRan Inc., Senior Notes |
5.450 | % | 3/15/43 | 6,660,000 | 6,127,200 | |||||||||||
Hudbay Minerals Inc., Senior Notes |
7.250 | % | 1/15/23 | 1,650,000 | 1,705,687 | (a) | ||||||||||
Hudbay Minerals Inc., Senior Notes |
7.625 | % | 1/15/25 | 730,000 | 757,375 | (a) | ||||||||||
Midwest Vanadium Pty Ltd., Senior Secured Notes |
13.250 | % | 2/15/18 | 2,265,465 | 8,496 | *(a)(l) | ||||||||||
Teck Resources Ltd., Senior Notes |
6.250 | % | 7/15/41 | 1,050,000 | 1,181,038 | |||||||||||
Vale Overseas Ltd., Senior Notes |
6.875 | % | 11/21/36 | 2,320,000 | 2,798,500 | |||||||||||
Vale Overseas Ltd., Senior Notes |
6.875 | % | 11/10/39 | 1,500,000 | 1,807,800 | |||||||||||
|
|
|||||||||||||||
Total Metals & Mining |
36,107,810 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
11
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Paper & Forest Products - 0.8% |
||||||||||||||||
Lecta SA, Senior Secured Notes |
6.500 | % | 8/1/23 | 1,720,000 | EUR | $ | 1,503,335 | (c) | ||||||||
Mercer International Inc., Senior Notes |
6.500 | % | 2/1/24 | 880,000 | 914,100 | |||||||||||
Mercer International Inc., Senior Notes |
7.375 | % | 1/15/25 | 3,240,000 | 3,450,600 | (a) | ||||||||||
|
|
|||||||||||||||
Total Paper & Forest Products |
5,868,035 | |||||||||||||||
|
|
|||||||||||||||
TOTAL MATERIALS |
63,386,185 | |||||||||||||||
|
|
|||||||||||||||
REAL ESTATE - 0.9% | ||||||||||||||||
Equity Real Estate Investment Trusts (REITs) - 0.9% |
||||||||||||||||
CoreCivic Inc., Senior Notes |
4.125 | % | 4/1/20 | 90,000 | 89,550 | |||||||||||
CoreCivic Inc., Senior Notes |
5.000 | % | 10/15/22 | 1,360,000 | 1,358,300 | |||||||||||
CoreCivic Inc., Senior Notes |
4.625 | % | 5/1/23 | 170,000 | 165,963 | |||||||||||
CoreCivic Inc., Senior Notes |
4.750 | % | 10/15/27 | 960,000 | 867,600 | |||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes |
6.375 | % | 3/1/24 | 820,000 | 859,975 | |||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes |
5.250 | % | 8/1/26 | 1,650,000 | 1,726,312 | |||||||||||
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes |
5.000 | % | 10/15/27 | 1,350,000 | 1,393,875 | |||||||||||
|
|
|||||||||||||||
TOTAL REAL ESTATE |
6,461,575 | |||||||||||||||
|
|
|||||||||||||||
UTILITIES - 0.9% | ||||||||||||||||
Electric Utilities - 0.4% |
||||||||||||||||
Pampa Energia SA, Senior Notes |
7.375 | % | 7/21/23 | 1,710,000 | 1,658,717 | (c) | ||||||||||
Talen Energy Supply LLC, Senior Secured Notes |
6.625 | % | 1/15/28 | 1,110,000 | 1,107,225 | (a)(d) | ||||||||||
|
|
|||||||||||||||
Total Electric Utilities |
2,765,942 | |||||||||||||||
|
|
|||||||||||||||
Gas Utilities - 0.5% |
||||||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes |
5.875 | % | 3/1/27 | 3,750,000 | 3,778,125 | |||||||||||
|
|
|||||||||||||||
TOTAL UTILITIES |
6,544,067 | |||||||||||||||
|
|
|||||||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $542,448,588) |
597,094,192 | |||||||||||||||
|
|
|||||||||||||||
SOVEREIGN BONDS - 7.2% | ||||||||||||||||
Argentina - 1.4% |
||||||||||||||||
Argentina POM Politica Monetaria, Bonds (Argentina Central Bank 7 Day Repo Reference Rate) |
63.705 | % | 6/21/20 | 89,190,000 | ARS | 2,052,409 | (i) | |||||||||
Argentine Republic Government International Bond, Senior Notes |
6.875 | % | 4/22/21 | 2,700,000 | 2,377,350 | |||||||||||
Argentine Republic Government International Bond, Senior Notes |
5.625 | % | 1/26/22 | 5,250,000 | 4,436,302 | |||||||||||
Provincia de Buenos Aires, Senior Notes |
7.875 | % | 6/15/27 | 1,000,000 | 747,510 | (a) | ||||||||||
|
|
|||||||||||||||
Total Argentina |
9,613,571 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
12
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
Brazil - 1.0% |
||||||||||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/21 | 4,344,000 | BRL | $ | 1,194,557 | |||||||||
Brazil Notas do Tesouro Nacional Serie F, Notes |
10.000 | % | 1/1/23 | 20,900,000 | BRL | 5,979,937 | ||||||||||
|
|
|||||||||||||||
Total Brazil |
7,174,494 | |||||||||||||||
|
|
|||||||||||||||
Ecuador - 0.8% |
||||||||||||||||
Ecuador Government International Bond, Senior Notes |
9.650 | % | 12/13/26 | 4,980,000 | 5,403,350 | (a) | ||||||||||
|
|
|||||||||||||||
Ghana - 0.3% |
||||||||||||||||
Ghana Government International Bond, Senior Notes |
8.125 | % | 3/26/32 | 2,460,000 | 2,505,621 | (a) | ||||||||||
|
|
|||||||||||||||
Indonesia - 0.7% |
||||||||||||||||
Indonesia Treasury Bond, Senior Notes |
8.250 | % | 7/15/21 | 11,280,000,000 | IDR | 818,070 | ||||||||||
Indonesia Treasury Bond, Senior Notes |
7.000 | % | 5/15/22 | 60,246,000,000 | IDR | 4,254,854 | ||||||||||
|
|
|||||||||||||||
Total Indonesia |
5,072,924 | |||||||||||||||
|
|
|||||||||||||||
Mexico - 0.2% |
||||||||||||||||
Mexican Bonos, Bonds |
6.500 | % | 6/9/22 | 34,040,000 | MXN | 1,729,458 | ||||||||||
|
|
|||||||||||||||
Poland - 1.0% |
||||||||||||||||
Republic of Poland Government Bond |
2.500 | % | 7/25/27 | 26,420,000 | PLN | 7,167,822 | ||||||||||
|
|
|||||||||||||||
Russia - 1.0% |
||||||||||||||||
Russian Federal Bond - OFZ |
7.000 | % | 1/25/23 | 110,080,000 | RUB | 1,731,913 | ||||||||||
Russian Federal Bond - OFZ |
7.750 | % | 9/16/26 | 315,370,000 | RUB | 5,126,912 | ||||||||||
|
|
|||||||||||||||
Total Russia |
6,858,825 | |||||||||||||||
|
|
|||||||||||||||
Ukraine - 0.4% |
||||||||||||||||
Ukraine Government International Bond, Senior Notes |
7.750 | % | 9/1/20 | 1,500,000 | 1,551,292 | (a) | ||||||||||
Ukraine Government International Bond, Senior Notes |
7.375 | % | 9/25/32 | 1,250,000 | 1,232,238 | (a) | ||||||||||
|
|
|||||||||||||||
Total Ukraine |
2,783,530 | |||||||||||||||
|
|
|||||||||||||||
Uruguay - 0.4% |
||||||||||||||||
Uruguay Government International Bond, Senior Notes |
9.875 | % | 6/20/22 | 89,410,000 | UYU | 2,528,794 | (c) | |||||||||
Uruguay Government International Bond, Senior Notes |
8.500 | % | 3/15/28 | 24,850,000 | UYU | 618,071 | (c) | |||||||||
|
|
|||||||||||||||
Total Uruguay |
3,146,865 | |||||||||||||||
|
|
|||||||||||||||
TOTAL SOVEREIGN BONDS (Cost - $50,726,431) |
51,456,460 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
13
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
SENIOR LOANS - 4.6% | ||||||||||||||||
COMMUNICATION SERVICES - 0.9% | ||||||||||||||||
Media - 0.9% |
||||||||||||||||
Charter Communications Operating LLC, Term Loan B (3 mo. USD LIBOR + 2.000%) |
4.330 | % | 4/30/25 | 2,934,215 | $ | 2,933,808 | (i)(m)(n) | |||||||||
iHeartCommunications Inc., Term Loan |
| 5/4/26 | 2,740,000 | 2,746,850 | (o) | |||||||||||
Lamar Media Corp., Term Loan B (3 mo. USD LIBOR + 1.750%) |
4.125 | % | 3/14/25 | 711,000 | 712,773 | (i)(m)(n) | ||||||||||
|
|
|||||||||||||||
TOTAL COMMUNICATION SERVICES |
6,393,431 | |||||||||||||||
|
|
|||||||||||||||
CONSUMER DISCRETIONARY - 2.6% | ||||||||||||||||
Diversified Consumer Services - 0.4% |
||||||||||||||||
Prime Security Services Borrower LLC, Term Loan B1 (1 mo. USD LIBOR + 2.750%) |
5.152 | % | 5/2/22 | 2,870,000 | 2,854,344 | (i)(m)(n) | ||||||||||
|
|
|||||||||||||||
Hotels, Restaurants & Leisure - 1.3% |
||||||||||||||||
1011778 BC Unlimited Liability Co., Term Loan B3 |
| 2/16/24 | 2,493,622 | 2,479,985 | (o) | |||||||||||
Aramark Services Inc., Term Loan B3 (3 mo. USD LIBOR + 1.750%) |
4.080 | % | 3/11/25 | 2,661,876 | 2,657,704 | (i)(m)(n) | ||||||||||
Caesars Resort Collection LLC, Term Loan B |
| 12/23/24 | 2,188,875 | 2,151,351 | (o) | |||||||||||
Hilton Worldwide Finance LLC, Refinance Term Loan B2 (1 mo. USD LIBOR + 1.750%) |
4.154 | % | 6/22/26 | 1,659,744 | 1,662,856 | (i)(m)(n) | ||||||||||
|
|
|||||||||||||||
Total Hotels, Restaurants & Leisure |
8,951,896 | |||||||||||||||
|
|
|||||||||||||||
Specialty Retail - 0.9% |
||||||||||||||||
PetSmart Inc., Term Loan B2 (1 mo. USD LIBOR + 4.250%) |
6.670 | % | 3/11/22 | 6,354,363 | 6,181,206 | (i)(m)(n) | ||||||||||
|
|
|||||||||||||||
Textiles, Apparel & Luxury Goods - 0.0% |
||||||||||||||||
TOMS Shoes LLC, Initial Term Loan (3 mo. USD LIBOR + 5.500%) |
8.080 | % | 10/30/20 | 433,431 | 330,491 | (i)(m)(n) | ||||||||||
|
|
|||||||||||||||
TOTAL CONSUMER DISCRETIONARY |
18,317,937 | |||||||||||||||
|
|
|||||||||||||||
HEALTH CARE - 0.5% | ||||||||||||||||
Health Care Providers & Services - 0.3% |
||||||||||||||||
U.S. Renal Care Inc., First Lien Term Loan B |
| 6/12/26 | 2,100,000 | 2,066,625 | (o) | |||||||||||
|
|
|||||||||||||||
Pharmaceuticals - 0.2% |
||||||||||||||||
Beta Sub LLC, Term Loan |
| 5/22/26 | 1,410,000 | 1,408,237 | (f)(o) | |||||||||||
|
|
|||||||||||||||
TOTAL HEALTH CARE |
3,474,862 | |||||||||||||||
|
|
|||||||||||||||
INFORMATION TECHNOLOGY - 0.2% | ||||||||||||||||
IT Services - 0.2% |
||||||||||||||||
First Data Corp., 2024 New Dollar Term Loan A (1 mo. USD LIBOR + 2.000%) |
4.404 | % | 4/26/24 | 1,845,862 | 1,845,864 | (i)(m)(n) | ||||||||||
|
|
See Notes to Schedule of Investments.
14
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
MATERIALS - 0.3% | ||||||||||||||||
Containers & Packaging - 0.3% |
||||||||||||||||
Reynolds Group Holdings Inc., Incremental Term Loan (1 mo. USD LIBOR + 2.750%) |
5.152 | % | 2/6/23 | 1,982,291 | $ | 1,970,239 | (i)(m)(n) | |||||||||
|
|
|||||||||||||||
UTILITIES - 0.1% | ||||||||||||||||
Electric Utilities - 0.1% |
||||||||||||||||
Panda Temple Power LLC, Second Lien Term Loan (1 mo. USD LIBOR + 8.000% PIK) |
10.404 | % | 2/7/23 | 713,560 | 715,790 | (i)(k)(m)(n) | ||||||||||
|
|
|||||||||||||||
TOTAL SENIOR LOANS (Cost - $32,157,835) |
32,718,123 | |||||||||||||||
|
|
|||||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.7% | ||||||||||||||||
U.S. Government Obligations - 0.7% |
||||||||||||||||
U.S. Treasury Notes |
1.375 | % | 4/30/21 | 2,000,000 | 1,985,586 | |||||||||||
U.S. Treasury Notes |
1.750 | % | 11/30/21 | 3,000,000 | 3,001,465 | |||||||||||
|
|
|||||||||||||||
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $4,973,884) |
4,987,051 | |||||||||||||||
|
|
|||||||||||||||
CONVERTIBLE BONDS & NOTES - 0.7% | ||||||||||||||||
COMMUNICATION SERVICES - 0.7% | ||||||||||||||||
Interactive Media & Services - 0.1% |
||||||||||||||||
Twitter Inc., Senior Notes |
1.000 | % | 9/15/21 | 620,000 | 594,948 | |||||||||||
|
|
|||||||||||||||
Media - 0.6% |
||||||||||||||||
DISH Network Corp., Senior Notes |
2.375 | % | 3/15/24 | 4,665,000 | 4,326,859 | |||||||||||
|
|
|||||||||||||||
TOTAL CONVERTIBLE BONDS & NOTES (Cost - $4,601,910) |
4,921,807 | |||||||||||||||
|
|
|||||||||||||||
SHARES | ||||||||||||||||
COMMON STOCKS - 0.6% | ||||||||||||||||
CONSUMER DISCRETIONARY - 0.0% | ||||||||||||||||
Hotels, Restaurants & Leisure - 0.0% |
||||||||||||||||
Bossier Escrow Shares |
133,649 | 28,120 | *(e)(f) | |||||||||||||
|
|
|||||||||||||||
ENERGY - 0.4% | ||||||||||||||||
Energy Equipment & Services - 0.1% |
||||||||||||||||
Hercules Offshore Inc. (Escrow) |
87,452 | 62,869 | *(e)(f) | |||||||||||||
KCAD Holdings I Ltd. |
427,421,041 | 567,188 | *(e)(f) | |||||||||||||
|
|
|||||||||||||||
Total Energy Equipment & Services |
630,057 | |||||||||||||||
|
|
|||||||||||||||
Oil, Gas & Consumable Fuels - 0.3% |
||||||||||||||||
Berry Petroleum Corp. |
161,579 | 1,712,737 | ||||||||||||||
Montage Resources Corp. |
101,909 | 621,645 | * | |||||||||||||
MWO Holdings LLC |
848 | 64,872 | *(e)(f) | |||||||||||||
|
|
|||||||||||||||
Total Oil, Gas & Consumable Fuels |
2,399,254 | |||||||||||||||
|
|
|||||||||||||||
TOTAL ENERGY |
3,029,311 | |||||||||||||||
|
|
See Notes to Schedule of Investments.
15
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
SECURITY |
SHARES | VALUE | ||||||||||||||
UTILITIES - 0.2% | ||||||||||||||||
Electric Utilities - 0.2% |
||||||||||||||||
Panda Temple Power LLC |
46,332 | $ | 1,019,304 | * | ||||||||||||
|
|
|||||||||||||||
TOTAL COMMON STOCKS (Cost - $17,955,476) |
4,076,735 | |||||||||||||||
|
|
|||||||||||||||
RATE | ||||||||||||||||
PREFERRED STOCKS - 0.5% | ||||||||||||||||
FINANCIALS - 0.5% | ||||||||||||||||
Banks - 0.5% |
||||||||||||||||
GMAC Capital Trust I (3 mo. USD LIBOR + 5.785%) (Cost - $3,251,012) |
8.303 | % | 130,709 | 3,415,426 | (i) | |||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $656,115,136) |
|
698,669,794 | ||||||||||||||
|
|
|||||||||||||||
MATURITY DATE |
FACE AMOUNT |
|||||||||||||||
SHORT-TERM INVESTMENTS - 1.7% | ||||||||||||||||
REPURCHASE AGREEMENTS - 1.4% | ||||||||||||||||
Deutsche Bank Securities Inc. repurchase agreement dated 6/28/19; Proceeds at maturity - $10,002,075; (Fully collateralized by U.S. government obligations, 0.625% due 4/15/23; Market value - $10,208,042) (Cost - $10,000,000) |
2.490 | % | 7/1/19 | 10,000,000 | 10,000,000 | |||||||||||
|
|
|||||||||||||||
SHARES | ||||||||||||||||
MONEY MARKET FUNDS - 0.3% | ||||||||||||||||
Dreyfus Government Cash Management, Institutional Shares (Cost - $2,186,453) |
2.261 | % | 2,186,453 | 2,186,453 | ||||||||||||
|
|
|||||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $12,186,453) |
12,186,453 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS - 100.2% (Cost - $668,301,589) |
710,856,247 | |||||||||||||||
Liabilities in Excess of Other Assets - (0.2)% |
(1,582,833 | ) | ||||||||||||||
|
|
|||||||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 709,273,414 | ||||||||||||||
|
|
See Notes to Schedule of Investments.
16
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
| Face amount denominated in U.S. dollars, unless otherwise noted. |
* | Non-income producing security. |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
(b) | The coupon payment on these securities is currently in default as of June 30, 2019. |
(c) | Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors. |
(d) | Securities traded on a when-issued or delayed delivery basis. |
(e) | Security is valued in good faith in accordance with procedures approved by the Board of Directors (Note 1). |
(f) | Security is valued using significant unobservable inputs (Note 1). |
(g) | Value is less than $1. |
(h) | Security has no maturity date. The date shown represents the next call date. |
(i) | 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. |
(j) | Restricted security (Note 2). |
(k) | 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. |
(l) | The maturity principal is currently in default as of June 30, 2019. |
(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) | All or a portion of this loan is unfunded as of June 30, 2019. The interest rate for fully unfunded term loans is to be determined. |
Abbreviations used in this schedule:
ARS | Argentine Peso | |
BRL | Brazilian Real | |
EUR | Euro | |
GBP | British Pound | |
ICE | Intercontinental Exchange | |
IDR | Indonesian Rupiah | |
LIBOR | London Interbank Offered Rate | |
MXN | Mexican Peso | |
OJSC | Open Joint Stock Company | |
PIK | Payment-In-Kind | |
PLN | Polish Zloty | |
RUB | Russian Ruble | |
USD | United States Dollar | |
UYU | Uruguayan Peso |
See Notes to Schedule of Investments.
17
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC.
Schedule of investments (unaudited) (contd) | June 30, 2019 |
At June 30, 2019, the Fund had the following open forward foreign currency contracts:
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
BRL | 7,090,000 | USD | 1,794,392 | Barclays Bank PLC | 7/17/19 | $ | 48,682 | |||||||||||||||
GBP | 1,672,281 | USD | 2,171,188 | Barclays Bank PLC | 7/17/19 | (45,380 | ) | |||||||||||||||
USD | 193,527 | EUR | 170,000 | Barclays Bank PLC | 7/17/19 | (94 | ) | |||||||||||||||
USD | 4,691,121 | EUR | 4,135,123 | Barclays Bank PLC | 7/17/19 | (18,567 | ) | |||||||||||||||
USD | 3,662,603 | GBP | 2,780,000 | Barclays Bank PLC | 7/17/19 | 128,660 | ||||||||||||||||
GBP | 1,921,028 | USD | 2,437,854 | Citibank N.A. | 7/17/19 | 4,161 | ||||||||||||||||
USD | 1,817,389 | BRL | 7,090,000 | Citibank N.A. | 7/17/19 | (25,684 | ) | |||||||||||||||
USD | 169,770 | EUR | 150,000 | Citibank N.A. | 7/17/19 | (1,073 | ) | |||||||||||||||
USD | 1,139,625 | EUR | 1,000,000 | Citibank N.A. | 7/17/19 | 677 | ||||||||||||||||
USD | 2,335,554 | GBP | 1,800,000 | Citibank N.A. | 7/17/19 | 47,389 | ||||||||||||||||
USD | 1,186,873 | EUR | 1,050,000 | Goldman Sachs Group Inc. | 7/17/19 | (9,022 | ) | |||||||||||||||
|
|
|||||||||||||||||||||
Total | $ | 129,749 | ||||||||||||||||||||
|
|
Abbreviations used in this table:
BRL | Brazilian Real | |
EUR | Euro | |
GBP | British Pound | |
USD | United States Dollar |
This Schedule of Investments is unaudited and is intended to provide information about the Funds investments as of the date of the schedule. Other information regarding the Fund is available in the Funds most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
18
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 use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Directors.
The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the Valuation Committee). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Funds pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments
19
Notes to Schedule of Investments (unaudited) (continued)
owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuers 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 Funds own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
20
Notes to Schedule of Investments (unaudited) (continued)
The following is a summary of the inputs used in valuing the Funds assets and liabilities carried at fair value:
ASSETS |
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DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Long-Term Investments: |
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Corporate Bonds & Notes: |
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Energy |
| $ | 110,415,828 | $ | 0 | * | $ | 110,415,828 | ||||||||
Health Care |
| 56,624,714 | 2,868,980 | 59,493,694 | ||||||||||||
Other Corporate Bonds & Notes |
| 427,184,670 | | 427,184,670 | ||||||||||||
Sovereign Bonds |
| 51,456,460 | | 51,456,460 | ||||||||||||
Senior Loans: |
||||||||||||||||
Health Care |
| 2,066,625 | 1,408,237 | 3,474,862 | ||||||||||||
Other Senior Loans |
| 29,243,261 | | 29,243,261 | ||||||||||||
U.S. Government & Agency Obligations |
| 4,987,051 | | 4,987,051 | ||||||||||||
Convertible Bonds & Notes |
| 4,921,807 | | 4,921,807 | ||||||||||||
Common Stocks: |
||||||||||||||||
Consumer Discretionary |
| | 28,120 | 28,120 | ||||||||||||
Energy |
$ | 2,334,382 | | 694,929 | 3,029,311 | |||||||||||
Utilities |
| 1,019,304 | | 1,019,304 | ||||||||||||
Preferred Stocks |
3,415,426 | | | 3,415,426 | ||||||||||||
|
|
|
|
|
|
|
|
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Total Long-Term Investments |
5,749,808 | 687,919,720 | 5,000,266 | 698,669,794 | ||||||||||||
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|
|
|
|
|
|
|
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Short-Term Investments: |
||||||||||||||||
Repurchase Agreements |
| 10,000,000 | | 10,000,000 | ||||||||||||
Money Market Funds |
2,186,453 | | | 2,186,453 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Short-Term Investments |
2,186,453 | 10,000,000 | | 12,186,453 | ||||||||||||
|
|
|
|
|
|
|
|
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Total Investments |
$ | 7,936,261 | $ | 697,919,720 | $ | 5,000,266 | $ | 710,856,247 | ||||||||
|
|
|
|
|
|
|
|
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Other Financial Instruments: |
||||||||||||||||
Forward Foreign Currency Contracts |
| $ | 229,569 | | $ | 229,569 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 7,936,261 | $ | 698,149,289 | $ | 5,000,266 | $ | 711,085,816 | ||||||||
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|
|
|
|
|
|
|
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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 |
| $ | 99,820 | | $ | 99,820 |
21
Notes to Schedule of Investments (unaudited) (continued)
| See Schedule of Investments for additional detailed categorizations. |
* | Amount represents less than $1. |
2. Restricted securities
The following Fund investments are restricted as to resale.
SECURITY |
FACE AMOUNT |
ACQUISITION DATE |
COST | VALUE AT 6/30/2019 |
VALUE PER UNIT |
PERCENT OF NET ASSETS |
||||||||||||||||||
BioScrip Inc., First Lien Notes, 9.520%, due 6/30/22 |
$ | 2,575,000 | 6/17 | $ | 2,558,255 | $ | 2,690,875 | $ | 104.50 | 0.38 | % | |||||||||||||
BioScrip Inc., First Lien Notes, 9.520%, due 8/15/20 |
179,000 | 5/19 | 177,421 | 178,105 | 99.50 | 0.03 | ||||||||||||||||||
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|
|
|
|
|
|||||||||||||||||||
$ | 2,735,676 | $ | 2,868,980 | 0.41 | % | |||||||||||||||||||
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22