WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
| CORPORATE BONDS & NOTES - 86.3% | | | | | | | | | | | | | | | | |
| COMMUNICATION SERVICES - 12.0% | | | | | | | | | | | | | | | | |
Diversified Telecommunication Services - 3.3% | | | | | | | | | | | | | |
Altice Financing SA, Senior Secured Notes | | | 5.000 | % | | | 1/15/28 | | | | 1,280,000 | | | $ | 1,133,761 | (a) |
Altice Financing SA, Senior Secured Notes | | | 5.750 | % | | | 8/15/29 | | | | 3,150,000 | | | | 2,716,389 | (a) |
Altice France Holding SA, Senior Notes | | | 6.000 | % | | | 2/15/28 | | | | 2,130,000 | | | | 1,077,549 | (a) |
Altice France Holding SA, Senior Secured Notes | | | 10.500 | % | | | 5/15/27 | | | | 2,800,000 | | | | 1,832,010 | (a) |
Altice France SA, Senior Secured Notes | | | 5.125 | % | | | 7/15/29 | | | | 1,580,000 | | | | 1,195,056 | (a) |
Telecom Italia SpA, Senior Notes | | | 5.303 | % | | | 5/30/24 | | | | 1,430,000 | | | | 1,426,033 | (a) |
| | | | | | | | | | | | | | | | |
Total Diversified Telecommunication Services | | | | | | | | | | | | 9,380,798 | |
| | | | | | | | | | | | | | | | |
Entertainment - 0.9% | | | | | | | | | | | | | | | | |
Allen Media LLC/Allen Media Co-Issuer Inc., Senior Notes | | | 10.500 | % | | | 2/15/28 | | | | 990,000 | | | | 496,556 | (a) |
Banijay Entertainment SASU, Senior Secured Notes | | | 8.125 | % | | | 5/1/29 | | | | 1,970,000 | | | | 2,039,267 | (a) |
| | | | | | | | | | | | | | | | |
Total Entertainment | | | | | | | | | | | | | | | 2,535,823 | |
| | | | | | | | | | | | | | | | |
Media - 3.0% | | | | | | | | | | | | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | | | 4.250 | % | | | 1/15/34 | | | | 930,000 | | | | 696,238 | (a) |
Clear Channel Outdoor Holdings Inc., Senior Notes | | | 7.750 | % | | | 4/15/28 | | | | 720,000 | | | | 623,242 | (a) |
Clear Channel Outdoor Holdings Inc., Senior Notes | | | 7.500 | % | | | 6/1/29 | | | | 1,440,000 | | | | 1,193,126 | (a) |
DISH DBS Corp., Senior Notes | | | 5.875 | % | | | 11/15/24 | | | | 1,307,000 | | | | 1,236,383 | |
DISH DBS Corp., Senior Notes | | | 7.375 | % | | | 7/1/28 | | | | 2,820,000 | | | | 1,378,656 | |
DISH DBS Corp., Senior Notes | | | 5.125 | % | | | 6/1/29 | | | | 3,400,000 | | | | 1,453,500 | |
iHeartCommunications Inc., Senior Secured Notes | | | 6.375 | % | | | 5/1/26 | | | | 550,000 | | | | 468,875 | |
Sirius XM Radio Inc., Senior Notes | | | 3.875 | % | | | 9/1/31 | | | | 500,000 | | | | 413,793 | (a) |
Univision Communications Inc., Senior Secured Notes | | | 6.625 | % | | | 6/1/27 | | | | 1,000,000 | | | | 970,142 | (a) |
| | | | | | | | | | | | | | | | |
Total Media | | | | | | | | | | | | | | | 8,433,955 | |
| | | | | | | | | | | | | | | | |
Wireless Telecommunication Services - 4.8% | | | | | | | | | | | | | | | | |
CSC Holdings LLC, Senior Notes | | | 11.250 | % | | | 5/15/28 | | | | 1,000,000 | | | | 1,032,760 | (a) |
CSC Holdings LLC, Senior Notes | | | 5.750 | % | | | 1/15/30 | | | | 4,373,000 | | | | 2,575,697 | (a) |
CSC Holdings LLC, Senior Notes | | | 4.625 | % | | | 12/1/30 | | | | 5,880,000 | | | | 3,275,748 | (a) |
CSC Holdings LLC, Senior Notes | | | 5.000 | % | | | 11/15/31 | | | | 1,460,000 | | | | 797,233 | (a) |
Sprint Capital Corp., Senior Notes | | | 6.875 | % | | | 11/15/28 | | | | 4,288,000 | | | | 4,563,877 | |
Sprint Capital Corp., Senior Notes | | | 8.750 | % | | | 3/15/32 | | | | 130,000 | | | | 157,109 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | 1 |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Wireless Telecommunication Services - (continued) | | | | | | | | | | | | | |
Sprint LLC, Senior Notes | | | 7.625 | % | | | 3/1/26 | | | | 530,000 | | | $ | 547,963 | |
Vmed O2 UK Financing I PLC, Senior Secured Notes | | | 4.750 | % | | | 7/15/31 | | | | 540,000 | | | | 467,529 | (a) |
| | | | | | | | | | | | | | | | |
Total Wireless Telecommunication Services | | | | | | | | | | | | | | | 13,417,916 | |
| | | | | | | | | | | | | | | | |
TOTAL COMMUNICATION SERVICES | | | | | | | | | | | | | | | 33,768,492 | |
| | | | | | | | | | | | | | | | |
| CONSUMER DISCRETIONARY - 22.7% | | | | | | | | | | | | | | | | |
Automobile Components - 4.4% | | | | | | | | | | | | | | | | |
Adient Global Holdings Ltd., Senior Notes | | | 4.875 | % | | | 8/15/26 | | | | 3,780,000 | | | | 3,667,588 | (a) |
American Axle & Manufacturing Inc., Senior Notes | | | 6.500 | % | | | 4/1/27 | | | | 2,430,000 | | | | 2,402,155 | |
American Axle & Manufacturing Inc., Senior Notes | | | 5.000 | % | | | 10/1/29 | | | | 500,000 | | | | 434,024 | |
Dornoch Debt Merger Sub Inc., Senior Notes | | | 6.625 | % | | | 10/15/29 | | | | 1,560,000 | | | | 1,402,216 | (a) |
JB Poindexter & Co. Inc., Senior Notes | | | 8.750 | % | | | 12/15/31 | | | | 3,130,000 | | | | 3,210,419 | (a) |
ZF North America Capital Inc., Senior Notes | | | 6.875 | % | | | 4/14/28 | | | | 590,000 | | | | 602,851 | (a) |
ZF North America Capital Inc., Senior Notes | | | 7.125 | % | | | 4/14/30 | | | | 580,000 | | | | 604,751 | (a) |
| | | | | | | | | | | | | | | | |
Total Automobile Components | | | | | | | | | | | | | | | 12,324,004 | |
| | | | | | | | | | | | | | | | |
Automobiles - 0.8% | | | | | | | | | | | | | | | | |
Ford Motor Co., Senior Notes | | | 3.250 | % | | | 2/12/32 | | | | 410,000 | | | | 336,468 | |
Mclaren Finance PLC, Senior Secured Notes | | | 7.500 | % | | | 8/1/26 | | | | 750,000 | | | | 657,312 | (a) |
PM General Purchaser LLC, Senior Secured Notes | | | 9.500 | % | | | 10/1/28 | | | | 1,340,000 | | | | 1,354,782 | (a) |
| | | | | | | | | | | | | | | | |
Total Automobiles | | | | | | | | | | | | | | | 2,348,562 | |
| | | | | | | | | | | | | | | | |
Distributors - 0.5% | | | | | | | | | | | | | | | | |
Ritchie Bros Holdings Inc., Senior Notes | | | 7.750 | % | | | 3/15/31 | | | | 1,230,000 | | | | 1,294,575 | (a) |
| | | | | | | | | | | | | | | | |
Diversified Consumer Services - 1.9% | | | | | | | | | | | | | | | | |
APCOA Parking Holdings GmbH, Senior Secured Notes | | | 4.625 | % | | | 1/15/27 | | | | 520,000 | EUR | | | 550,985 | (b) |
APCOA Parking Holdings GmbH, Senior Secured Notes | | | 4.625 | % | | | 1/15/27 | | | | 2,400,000 | EUR | | | 2,543,006 | (a) |
Carriage Services Inc., Senior Notes | | | 4.250 | % | | | 5/15/29 | | | | 550,000 | | | | 478,722 | (a) |
Service Corp. International, Senior Notes | | | 7.500 | % | | | 4/1/27 | | | | 1,030,000 | | | | 1,064,549 | |
StoneMor Inc., Senior Secured Notes | | | 8.500 | % | | | 5/15/29 | | | | 381,000 | | | | 276,846 | (a) |
WW International Inc., Senior Secured Notes | | | 4.500 | % | | | 4/15/29 | | | | 1,250,000 | | | | 580,469 | (a) |
| | | | | | | | | | | | | | | | |
Total Diversified Consumer Services | | | | | | | | | | | | | | | 5,494,577 | |
| | | | | | | | | | | | | | | | |
Hotels, Restaurants & Leisure - 13.5% | | | | | | | | | | | | | | | | |
888 Acquisitions Ltd., Senior Secured Notes | | | 7.558 | % | | | 7/15/27 | | | | 2,000,000 | EUR | | | 2,110,802 | (a) |
Caesars Entertainment Inc., Senior Notes | | | 8.125 | % | | | 7/1/27 | | | | 1,500,000 | | | | 1,541,176 | (a) |
Carnival Corp., Senior Notes | | | 7.625 | % | | | 3/1/26 | | | | 960,000 | | | | 973,191 | (a) |
See Notes to Schedule of Investments.
| | | | |
2 | | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Hotels, Restaurants & Leisure - (continued) | | | | | | | | | | | | | | | | |
Carnival Holdings Bermuda Ltd., Senior Notes | | | 10.375 | % | | | 5/1/28 | | | | 1,650,000 | | | $ | 1,801,180 | (a) |
Carnival PLC, Senior Notes | | | 1.000 | % | | | 10/28/29 | | | | 2,410,000 | EUR | | | 2,040,588 | |
Carrols Restaurant Group Inc., Senior Notes | | | 5.875 | % | | | 7/1/29 | | | | 1,494,000 | | | | 1,525,818 | (a) |
Full House Resorts Inc., Senior Secured Notes | | | 8.250 | % | | | 2/15/28 | | | | 2,170,000 | | | | 2,036,686 | (a) |
Hilton Domestic Operating Co. Inc., Senior Notes | | | 3.625 | % | | | 2/15/32 | | | | 1,250,000 | | | | 1,068,919 | (a) |
IRB Holding Corp., Senior Secured Notes | | | 7.000 | % | | | 6/15/25 | | | | 620,000 | | | | 621,327 | (a) |
Las Vegas Sands Corp., Senior Notes | | | 3.200 | % | | | 8/8/24 | | | | 750,000 | | | | 741,169 | |
Light & Wonder International Inc., Senior Notes | | | 7.000 | % | | | 5/15/28 | | | | 1,000,000 | | | | 1,005,353 | (a) |
Melco Resorts Finance Ltd., Senior Notes | | | 5.375 | % | | | 12/4/29 | | | | 670,000 | | | | 603,440 | (a) |
NCL Corp. Ltd., Senior Notes | | | 3.625 | % | | | 12/15/24 | | | | 2,500,000 | | | | 2,463,614 | (a) |
NCL Corp. Ltd., Senior Notes | | | 5.875 | % | | | 3/15/26 | | | | 811,000 | | | | 792,753 | (a) |
NCL Corp. Ltd., Senior Notes | | | 7.750 | % | | | 2/15/29 | | | | 1,729,000 | | | | 1,773,688 | (a) |
NCL Corp. Ltd., Senior Secured Notes | | | 8.125 | % | | | 1/15/29 | | | | 690,000 | | | | 726,492 | (a) |
NCL Finance Ltd., Senior Notes | | | 6.125 | % | | | 3/15/28 | | | | 2,020,000 | | | | 1,971,608 | (a) |
Pinnacle Bidco PLC, Senior Secured Notes | | | 10.000 | % | | | 10/11/28 | | | | 900,000 | GBP | | | 1,196,165 | (a) |
Royal Caribbean Cruises Ltd., Senior Notes | | | 5.375 | % | | | 7/15/27 | | | | 1,220,000 | | | | 1,197,831 | (a) |
Royal Caribbean Cruises Ltd., Senior Notes | | | 5.500 | % | | | 4/1/28 | | | | 993,000 | | | | 978,155 | (a) |
Saga PLC, Senior Notes | | | 3.375 | % | | | 5/12/24 | | | | 1,000,000 | GBP | | | 1,249,402 | (b) |
Saga PLC, Senior Notes | | | 5.500 | % | | | 7/15/26 | | | | 350,000 | GBP | | | 393,875 | (b) |
Sands China Ltd., Senior Notes | | | 4.625 | % | | | 6/18/30 | | | | 790,000 | | | | 721,797 | |
Sizzling Platter LLC/Sizzling Platter Finance Corp., Senior Secured Notes | | | 8.500 | % | | | 11/28/25 | | | | 800,000 | | | | 802,348 | (a) |
Viking Cruises Ltd., Senior Notes | | | 9.125 | % | | | 7/15/31 | | | | 1,720,000 | | | | 1,863,222 | (a) |
Viking Ocean Cruises Ship VII Ltd., Senior Secured Notes | | | 5.625 | % | | | 2/15/29 | | | | 450,000 | | | | 434,651 | (a) |
Wheel Bidco Ltd., Senior Secured Notes | | | 6.750 | % | | | 7/15/26 | | | | 890,000 | GBP | | | 961,575 | (a) |
Wynn Macau Ltd., Senior Notes | | | 5.625 | % | | | 8/26/28 | | | | 880,000 | | | | 827,922 | (a) |
Wynn Macau Ltd., Senior Notes | | | 5.125 | % | | | 12/15/29 | | | | 2,020,000 | | | | 1,821,993 | (a) |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes | | | 7.125 | % | | | 2/15/31 | | | | 1,500,000 | | | | 1,549,962 | (a) |
| | | | | | | | | | | | | | | | |
Total Hotels, Restaurants & Leisure | | | | | | | | | | | | | | | 37,796,702 | |
| | | | | | | | | | | | | | | | |
Specialty Retail - 1.6% | | | | | | | | | | | | | | | | |
Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Notes | | | 8.750 | % | | | 1/15/32 | | | | 450,000 | | | | 427,831 | (a) |
Michaels Cos. Inc., Senior Secured Notes | | | 5.250 | % | | | 5/1/28 | | | | 2,130,000 | | | | 1,656,411 | (a) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | 3 |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Specialty Retail - (continued) | | | | | | | | | | | | | | | | |
NMG Holding Co. Inc./Neiman Marcus Group LLC, Senior Secured Notes | | | 7.125 | % | | | 4/1/26 | | | | 490,000 | | | $ | 481,057 | (a) |
Sally Holdings LLC/Sally Capital Inc., Senior Notes | | | 5.625 | % | | | 12/1/25 | | | | 1,340,000 | | | | 1,340,580 | |
Sally Holdings LLC/Sally Capital Inc., Senior Notes | | | 6.750 | % | | | 3/1/32 | | | | 610,000 | | | | 608,658 | |
| | | | | | | | | | | | | | | | |
Total Specialty Retail | | | | | | | | | | | | | | | 4,514,537 | |
| | | | | | | | | | | | | | | | |
TOTAL CONSUMER DISCRETIONARY | | | | | | | | | | | | | | | 63,772,957 | |
| | | | | | | | | | | | | | | | |
| CONSUMER STAPLES - 0.7% | | | | | | | | | | | | | | | | |
Food Products - 0.7% | | | | | | | | | | | | | | | | |
Bellis Acquisition Co. PLC, Senior Secured Notes | | | 3.250 | % | | | 2/16/26 | | | | 1,120,000 | GBP | | | 1,341,376 | (b) |
FAGE International SA/FAGE USA Dairy Industry Inc., Senior Notes | | | 5.625 | % | | | 8/15/26 | | | | 700,000 | | | | 687,219 | (a) |
| | | | | | | | | | | | | | | | |
TOTAL CONSUMER STAPLES | | | | | | | | | | | | | | | 2,028,595 | |
| | | | | | | | | | | | | | | | |
| ENERGY - 12.7% | | | | | | | | | | | | | | | | |
Energy Equipment & Services - 0.5% | | | | | | | | | | | | | | | | |
Noble Finance II LLC, Senior Notes | | | 8.000 | % | | | 4/15/30 | | | | 570,000 | | | | 586,472 | (a) |
Sunnova Energy Corp., Senior Notes | | | 5.875 | % | | | 9/1/26 | | | | 1,000,000 | | | | 813,925 | (a) |
| | | | | | | | | | | | | | | | |
Total Energy Equipment & Services | | | | | | | | | | | | | | | 1,400,397 | |
| | | | | | | | | | | | | | | | |
Oil, Gas & Consumable Fuels - 12.2% | | | | | | | | | | | | | | | | |
Apache Corp., Senior Notes | | | 5.100 | % | | | 9/1/40 | | | | 760,000 | | | | 636,644 | |
Berry Petroleum Co. LLC, Senior Notes | | | 7.000 | % | | | 2/15/26 | | | | 900,000 | | | | 882,433 | (a) |
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | | | 7.625 | % | | | 12/15/25 | | | | 750,000 | | | | 757,164 | (a) |
Continental Resources Inc., Senior Notes | | | 3.800 | % | | | 6/1/24 | | | | 180,000 | | | | 179,060 | |
Continental Resources Inc., Senior Notes | | | 4.375 | % | | | 1/15/28 | | | | 130,000 | | | | 125,042 | |
Continental Resources Inc., Senior Notes | | | 4.900 | % | | | 6/1/44 | | | | 550,000 | | | | 446,675 | |
Crescent Energy Finance LLC, Senior Notes | | | 9.250 | % | | | 2/15/28 | | | | 460,000 | | | | 481,835 | (a) |
Ecopetrol SA, Senior Notes | | | 5.875 | % | | | 5/28/45 | | | | 2,560,000 | | | | 1,898,076 | |
Ecopetrol SA, Senior Notes | | | 5.875 | % | | | 11/2/51 | | | | 1,500,000 | | | | 1,062,742 | |
Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3 mo. USD LIBOR + 4.155%) | | | 6.625 | % | | | 2/15/28 | | | | 1,950,000 | | | | 1,813,824 | (c)(d) |
EQM Midstream Partners LP, Senior Notes | | | 4.500 | % | | | 1/15/29 | | | | 520,000 | | | | 487,892 | (a) |
EQM Midstream Partners LP, Senior Notes | | | 7.500 | % | | | 6/1/30 | | | | 530,000 | | | | 563,881 | (a) |
EQM Midstream Partners LP, Senior Notes | | | 4.750 | % | | | 1/15/31 | | | | 110,000 | | | | 102,390 | (a) |
EQT Corp., Senior Notes | | | 3.900 | % | | | 10/1/27 | | | | 740,000 | | | | 700,806 | |
Hilcorp Energy I LP/Hilcorp Finance Co., Senior Notes | | | 8.375 | % | | | 11/1/33 | | | | 800,000 | | | | 859,956 | (a) |
See Notes to Schedule of Investments.
| | | | |
4 | | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Oil, Gas & Consumable Fuels - (continued) | | | | | | | | | | | | | | | | |
Kinder Morgan Inc., Senior Notes | | | 7.750 | % | | | 1/15/32 | | | | 810,000 | | | $ | 912,470 | |
MEG Energy Corp., Senior Notes | | | 7.125 | % | | | 2/1/27 | | | | 770,000 | | | | 782,562 | (a) |
NGPL PipeCo LLC, Senior Notes | | | 7.768 | % | | | 12/15/37 | | | | 790,000 | | | | 874,950 | (a) |
Northern Oil & Gas Inc., Senior Notes | | | 8.125 | % | | | 3/1/28 | | | | 760,000 | | | | 770,237 | (a) |
Occidental Petroleum Corp., Senior Notes | | | 6.950 | % | | | 7/1/24 | | | | 196,000 | | | | 196,728 | |
Occidental Petroleum Corp., Senior Notes | | | 2.900 | % | | | 8/15/24 | | | | 690,000 | | | | 680,406 | |
Occidental Petroleum Corp., Senior Notes | | | 5.875 | % | | | 9/1/25 | | | | 530,000 | | | | 531,606 | |
Occidental Petroleum Corp., Senior Notes | | | 5.550 | % | | | 3/15/26 | | | | 440,000 | | | | 440,877 | |
Occidental Petroleum Corp., Senior Notes | | | 6.200 | % | | | 3/15/40 | | | | 540,000 | | | | 548,850 | |
Petrobras Global Finance BV, Senior Notes | | | 6.750 | % | | | 1/27/41 | | | | 4,140,000 | | | | 4,109,568 | |
Petroleos del Peru SA, Senior Notes | | | 4.750 | % | | | 6/19/32 | | | | 1,000,000 | | | | 785,646 | (a) |
Range Resources Corp., Senior Notes | | | 4.875 | % | | | 5/15/25 | | | | 420,000 | | | | 414,524 | |
Range Resources Corp., Senior Notes | | | 8.250 | % | | | 1/15/29 | | | | 440,000 | | | | 459,388 | |
Rockies Express Pipeline LLC, Senior Notes | | | 7.500 | % | | | 7/15/38 | | | | 570,000 | | | | 579,306 | (a) |
Rockies Express Pipeline LLC, Senior Notes | | | 6.875 | % | | | 4/15/40 | | | | 590,000 | | | | 581,461 | (a) |
SilverBow Resources Inc., Secured Notes (3 mo. Term SOFR + 7.750%) | | | 13.135 | % | | | 12/15/28 | | | | 690,000 | | | | 684,902 | (a)(d) |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Secured Notes | | | 9.000 | % | | | 10/15/26 | | | | 990,000 | | | | 980,453 | (a) |
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes | | | 6.500 | % | | | 7/15/27 | | | | 560,000 | | | | 566,164 | |
Venture Global LNG Inc., Senior Secured Notes | | | 9.875 | % | | | 2/1/32 | | | | 700,000 | | | | 737,454 | (a) |
Western Midstream Operating LP, Senior Notes | | | 4.050 | % | | | 2/1/30 | | | | 180,000 | | | | 166,570 | |
Western Midstream Operating LP, Senior Notes | | | 5.300 | % | | | 3/1/48 | | | | 540,000 | | | | 465,775 | |
Western Midstream Operating LP, Senior Notes | | | 5.250 | % | | | 2/1/50 | | | | 3,840,000 | | | | 3,399,609 | |
Williams Cos. Inc., Senior Notes | | | 4.550 | % | | | 6/24/24 | | | | 530,000 | | | | 527,674 | |
Williams Cos. Inc., Senior Notes | | | 7.500 | % | | | 1/15/31 | | | | 330,000 | | | | 367,255 | |
Williams Cos. Inc., Senior Notes | | | 5.750 | % | | | 6/24/44 | | | | 1,620,000 | | | | 1,594,160 | |
YPF SA, Senior Notes | | | 8.500 | % | | | 7/28/25 | | | | 1,150,000 | | | | 1,123,329 | (a) |
| | | | | | | | | | | | | | | | |
Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 34,280,344 | |
| | | | | | | | | | | | | | | | |
TOTAL ENERGY | | | | | | | | | | | | | | | 35,680,741 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | 5 |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
| FINANCIALS - 9.2% | | | | | | | | | | | | | | | | |
Banks - 6.1% | | | | | | | | | | | | | | | | |
Banco Mercantil del Norte SA, Junior Subordinated Notes (6.625% to 1/24/32 then 10 year Treasury Constant Maturity Rate + 5.034%) | | | 6.625 | % | | | 1/24/32 | | | | 2,140,000 | | | $ | 1,877,433 | (a)(c)(d) |
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 | | | | 1,900,000 | | | | 1,900,325 | (c)(d) |
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 | | | | 800,000 | | | | 731,389 | (a)(d) |
BNP Paribas SA, Junior Subordinated Notes (7.750% to 8/16/29 then 5 year Treasury Constant Maturity Rate + 4.899%) | | | 7.750 | % | | | 8/16/29 | | | | 810,000 | | | | 817,708 | (a)(c)(d) |
Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. Term SOFR + 3.685%) | | | 6.300 | % | | | 5/15/24 | | | | 1,470,000 | | | | 1,468,180 | (c)(d) |
Comerica Bank, Senior Notes | | | 2.500 | % | | | 7/23/24 | | | | 360,000 | | | | 354,861 | |
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 | | | | 1,330,000 | | | | 1,359,191 | (a)(c)(d) |
HSBC Holdings PLC, Subordinated Notes (8.113% to 11/3/32 then SOFR + 4.250%) | | | 8.113 | % | | | 11/3/33 | | | | 990,000 | | | | 1,118,459 | (d) |
Intesa Sanpaolo SpA, Subordinated Notes | | | 5.017 | % | | | 6/26/24 | | | | 2,100,000 | | | | 2,086,867 | (a) |
Intesa Sanpaolo SpA, Subordinated Notes | | | 5.710 | % | | | 1/15/26 | | | | 1,840,000 | | | | 1,823,901 | (a) |
Lloyds Banking Group PLC, Junior Subordinated Notes (7.500% to 9/27/25 then USD 5 year ICE Swap Rate + 4.496%) | | | 7.500 | % | | | 9/27/25 | | | | 440,000 | | | | 434,496 | (c)(d) |
Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30 then 5 year Treasury Constant Maturity Rate + 3.913%) | | | 8.000 | % | | | 9/27/29 | | | | 2,030,000 | | | | 2,003,533 | (c)(d) |
UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%) | | | 7.296 | % | | | 4/2/34 | | | | 1,200,000 | | | | 1,225,531 | (a)(d) |
| | | | | | | | | | | | | | | | |
Total Banks | | | | | | | | | | | | | | | 17,201,874 | |
| | | | | | | | | | | | | | | | |
Capital Markets - 1.1% | | | | | | | | | | | | | | | | |
Credit Suisse AG AT1 Claim | | | — | | | | — | | | | 6,220,000 | | | | 761,950 | *(e) |
StoneX Group Inc., Senior Secured Notes | | | 7.875 | % | | | 3/1/31 | | | | 370,000 | | | | 374,997 | (a)(f) |
See Notes to Schedule of Investments.
| | | | |
6 | | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Capital Markets - (continued) | | | | | | | | | | | | | | | | |
UBS Group AG, Junior Subordinated Notes (6.875% to 8/7/25 then USD 5 year ICE Swap Rate + 4.590%) | | | 6.875 | % | | | 8/7/25 | | | | 1,290,000 | | | $ | 1,277,100 | (b)(c)(d) |
UBS Group AG, Junior Subordinated Notes (9.250% to 11/13/28 then 5 year Treasury Constant Maturity Rate + 4.745%) | | | 9.250 | % | | | 11/13/28 | | | | 540,000 | | | | 577,854 | (a)(c)(d) |
| | | | | | | | | | | | | | | | |
Total Capital Markets | | | | | | | | | | | | | | | 2,991,901 | |
| | | | | | | | | | | | | | | | |
Consumer Finance - 0.5% | | | | | | | | | | | | | | | | |
Navient Corp., Senior Notes | | | 5.875 | % | | | 10/25/24 | | | | 590,000 | | | | 589,016 | |
Navient Corp., Senior Notes | | | 6.750 | % | | | 6/15/26 | | | | 700,000 | | | | 703,511 | |
| | | | | | | | | | | | | | | | |
Total Consumer Finance | | | | | | | | | | | | | | | 1,292,527 | |
| | | | | | | | | | | | | | | | |
Financial Services - 1.5% | | | | | | | | | | | | | | | | |
Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) | | | 6.500 | % | | | 9/15/24 | | | | 2,533,333 | | | | 2,409,833 | (a)(g) |
GTCR W-2 Merger Sub LLC, Senior Secured Notes | | | 7.500 | % | | | 1/15/31 | | | | 380,000 | | | | 396,652 | (a) |
GTCR W-2 Merger Sub LLC/GTCR W Dutch Finance Sub BV, Senior Secured Notes | | | 8.500 | % | | | 1/15/31 | | | | 110,000 | GBP | | | 149,791 | (a) |
NMI Holdings Inc., Senior Secured Notes | | | 7.375 | % | | | 6/1/25 | | | | 400,000 | | | | 403,584 | (a) |
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes | | | 7.875 | % | | | 5/1/27 | | | | 500,000 | | | | 424,006 | (a) |
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes | | | 6.375 | % | | | 2/1/30 | | | | 610,000 | | | | 446,251 | (a) |
| | | | | | | | | | | | | | | | |
Total Financial Services | | | | | | | | | | | | | | | 4,230,117 | |
| | | | | | | | | | | | | | | | |
TOTAL FINANCIALS | | | | | | | | | | | | | | | 25,716,419 | |
| | | | | | | | | | | | | | | | |
| HEALTH CARE - 6.1% | | | | | | | | | | | | | | | | |
Health Care Equipment & Supplies - 0.2% | | | | | | | | | | | | | | | | |
Medline Borrower LP, Senior Notes | | | 5.250 | % | | | 10/1/29 | | | | 780,000 | | | | 722,226 | (a) |
| | | | | | | | | | | | | | | | |
Health Care Providers & Services - 3.3% | | | | | | | | | | | | | | | | |
CHS/Community Health Systems Inc., Senior Secured Notes | | | 6.000 | % | | | 1/15/29 | | | | 500,000 | | | | 430,517 | (a) |
CHS/Community Health Systems Inc., Senior Secured Notes | | | 4.750 | % | | | 2/15/31 | | | | 3,120,000 | | | | 2,377,050 | (a) |
CHS/Community Health Systems Inc., Senior Secured Notes | | | 10.875 | % | | | 1/15/32 | | | | 1,150,000 | | | | 1,172,484 | (a) |
HCA Inc., Senior Notes | | | 7.500 | % | | | 11/15/95 | | | | 1,000,000 | | | | 1,068,606 | |
Legacy LifePoint Health LLC, Senior Secured Notes | | | 4.375 | % | | | 2/15/27 | | | | 530,000 | | | | 492,235 | (a) |
Tenet Healthcare Corp., Secured Notes | | | 6.250 | % | | | 2/1/27 | | | | 500,000 | | | | 499,228 | |
Tenet Healthcare Corp., Senior Notes | | | 6.125 | % | | | 10/1/28 | | | | 2,780,000 | | | | 2,750,852 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | 7 |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Health Care Providers & Services - (continued) | | | | | | | | | | | | | | | | |
Tenet Healthcare Corp., Senior Notes | | | 6.875 | % | | | 11/15/31 | | | | 250,000 | | | $ | 256,094 | |
U.S. Renal Care Inc., Senior Secured Notes | | | 10.625 | % | | | 6/28/28 | | | | 161,000 | | | | 136,045 | (a) |
| | | | | | | | | | | | | | | | |
Total Health Care Providers & Services | | | | | | | | | | | | | | | 9,183,111 | |
| | | | | | | | | | | | | | | | |
Pharmaceuticals - 2.6% | | | | | | | | | | | | | | | | |
Bausch Health Cos. Inc., Senior Secured Notes | | | 4.875 | % | | | 6/1/28 | | | | 990,000 | | | | 565,230 | (a) |
Cidron Aida Finco Sarl, Senior Secured Notes | | | 5.000 | % | | | 4/1/28 | | | | 1,540,000 | EUR | | | 1,616,458 | (a) |
Par Pharmaceutical Inc., Senior Secured Notes | | | 7.500 | % | | | 4/1/27 | | | | 300,000 | | | | 190,481 | *(a)(h) |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | | | 6.000 | % | | | 4/15/24 | | | | 1,740,000 | | | | 1,739,186 | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | | | 3.150 | % | | | 10/1/26 | | | | 530,000 | | | | 491,520 | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | | | 5.125 | % | | | 5/9/29 | | | | 1,610,000 | | | | 1,521,909 | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | | | 4.100 | % | | | 10/1/46 | | | | 1,570,000 | | | | 1,063,758 | |
| | | | | | | | | | | | | | | | |
Total Pharmaceuticals | | | | | | | | | | | | | | | 7,188,542 | |
| | | | | | | | | | | | | | | | |
TOTAL HEALTH CARE | | | | | | | | | | | | | | | 17,093,879 | |
| | | | | | | | | | | | | | | | |
| INDUSTRIALS - 10.2% | | | | | | | | | | | | | | | | |
Aerospace & Defense - 1.1% | | | | | | | | | | | | | | | | |
Bombardier Inc., Senior Notes | | | 7.125 | % | | | 6/15/26 | | | | 1,500,000 | | | | 1,513,581 | (a) |
Bombardier Inc., Senior Notes | | | 7.500 | % | | | 2/1/29 | | | | 290,000 | | | | 294,383 | (a) |
TransDigm Inc., Senior Secured Notes | | | 7.125 | % | | | 12/1/31 | | | | 1,340,000 | | | | 1,376,274 | (a) |
| | | | | | | | | | | | | | | | |
Total Aerospace & Defense | | | | | | | | | | | | | | | 3,184,238 | |
| | | | | | | | | | | | | | | | |
Commercial Services & Supplies - 3.2% | | | | | | | | | | | | | | | | |
Allied Universal Holdco LLC/Allied Universal | | | | | | | | | | | | | | | | |
Finance Corp., Senior Secured Notes | | | 6.625 | % | | | 7/15/26 | | | | 1,000,000 | | | | 997,786 | (a) |
CoreCivic Inc., Senior Notes | | | 8.250 | % | | | 4/15/26 | | | | 1,770,000 | | | | 1,810,232 | |
CoreCivic Inc., Senior Notes | | | 4.750 | % | | | 10/15/27 | | | | 1,410,000 | | | | 1,330,591 | |
Garda World Security Corp., Senior Notes | | | 9.500 | % | | | 11/1/27 | | | | 776,000 | | | | 779,685 | (a) |
GEO Group Inc., Secured Notes | | | 10.500 | % | | | 6/30/28 | | | | 1,555,000 | | | | 1,590,656 | |
GEO Group Inc., Secured Notes | | | 9.500 | % | | | 12/31/28 | | | | 750,000 | | | | 748,993 | (a) |
GFL Environmental Inc., Senior Secured Notes | | | 6.750 | % | | | 1/15/31 | | | | 910,000 | | | | 931,941 | (a) |
Madison IAQ LLC, Senior Notes | | | 5.875 | % | | | 6/30/29 | | | | 1,000,000 | | | | 893,772 | (a) |
| | | | | | | | | | | | | | | | |
Total Commercial Services & Supplies | | | | | | | | | | | | | | | 9,083,656 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
8 | | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Construction & Engineering - 0.4% | | | | | | | | | | | | | | | | |
Brundage-Bone Concrete Pumping Holdings Inc., Secured Notes | | | 6.000 | % | | | 2/1/26 | | | | 530,000 | | | $ | 523,464 | (a) |
Empire Communities Corp., Senior Notes | | | 7.000 | % | | | 12/15/25 | | | | 650,000 | | | | 643,149 | (a) |
| | | | | | | | | | | | | | | | |
Total Construction & Engineering | | | | | | | | | | | | | | | 1,166,613 | |
| | | | | | | | | | | | | | | | |
Machinery - 0.8% | | | | | | | | | | | | | | | | |
Titan International Inc., Senior Secured Notes | | | 7.000 | % | | | 4/30/28 | | | | 1,040,000 | | | | 1,033,429 | |
TK Elevator Holdco GmbH, Senior Notes | | | 6.625 | % | | | 7/15/28 | | | | 990,000 | EUR | | | 1,033,254 | (a) |
| | | | | | | | | | | | | | | | |
Total Machinery | | | | | | | | | | | | | | | 2,066,683 | |
| | | | | | | | | | | | | | | | |
Passenger Airlines - 4.1% | | | | | | | | | | | | | | | | |
American Airlines Group Inc., Senior Notes | | | 3.750 | % | | | 3/1/25 | | | | 3,290,000 | | | | 3,217,064 | (a) |
American Airlines Inc., Senior Secured Notes | | | 8.500 | % | | | 5/15/29 | | | | 1,890,000 | | | | 1,988,059 | (a) |
Delta Air Lines Inc., Senior Notes | | | 2.900 | % | | | 10/28/24 | | | | 460,000 | | | | 451,182 | |
Delta Air Lines Inc., Senior Notes | | | 7.375 | % | | | 1/15/26 | | | | 370,000 | | | | 381,960 | |
Delta Air Lines Inc., Senior Secured Notes | | | 7.000 | % | | | 5/1/25 | | | | 3,220,000 | | | | 3,273,756 | (a) |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | | | 8.000 | % | | | 9/20/25 | | | | 1,836,000 | | | | 1,329,503 | (a) |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes | | | 8.000 | % | | | 9/20/25 | | | | 1,010,000 | | | | 731,371 | (a) |
| | | | | | | | | | | | | | | | |
Total Passenger Airlines | | | | | | | | | | | | | | | 11,372,895 | |
| | | | | | | | | | | | | | | | |
Trading Companies & Distributors - 0.6% | | | | | | | | | | | | | | | | |
H&E Equipment Services Inc., Senior Notes | | | 3.875 | % | | | 12/15/28 | | | | 940,000 | | | | 849,114 | (a) |
United Rentals North America Inc., Senior Notes | | | 5.500 | % | | | 5/15/27 | | | | 327,000 | | | | 325,171 | |
United Rentals North America Inc., Senior Notes | | | 4.875 | % | | | 1/15/28 | | | | 610,000 | | | | 589,449 | |
| | | | | | | | | | | | | | | | |
Total Trading Companies & Distributors | | | | | | | | | | | | | | | 1,763,734 | |
| | | | | | | | | | | | | | | | |
TOTAL INDUSTRIALS | | | | | | | | | | | | | | | 28,637,819 | |
| | | | | | | | | | | | | | | | |
| INFORMATION TECHNOLOGY - 2.9% | | | | | | | | | | | | | | | | |
Communications Equipment - 1.2% | | | | | | | | | | | | | | | | |
CommScope Inc., Senior Notes | | | 7.125 | % | | | 7/1/28 | | | | 402,000 | | | | 161,216 | (a) |
CommScope Inc., Senior Secured Notes | | | 4.750 | % | | | 9/1/29 | | | | 600,000 | | | | 411,615 | (a) |
CommScope Technologies LLC, Senior Notes | | | 5.000 | % | | | 3/15/27 | | | | 3,470,000 | | | | 1,245,626 | (a) |
Viasat Inc., Senior Notes | | | 7.500 | % | | | 5/30/31 | | | | 2,150,000 | | | | 1,513,062 | (a) |
| | | | | | | | | | | | | | | | |
Total Communications Equipment | | | | | | | | | | | | | | | 3,331,519 | |
| | | | | | | | | | | | | | | | |
IT Services - 0.2% | | | | | | | | | | | | | | | | |
Unisys Corp., Senior Secured Notes | | | 6.875 | % | | | 11/1/27 | | | | 770,000 | | | | 692,754 | (a) |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | 9 |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Semiconductors & Semiconductor Equipment - 0.4% | | | | | | | | | | | | | | | | |
Amkor Technology Inc., Senior Notes | | | 6.625 | % | | | 9/15/27 | | | | 1,000,000 | | | $ | 1,006,192 | (a) |
| | | | | | | | | | | | | | | | |
Technology Hardware, Storage & Peripherals - 1.1% | | | | | | | | | | | | | | | | |
Seagate HDD Cayman, Senior Notes | | | 4.750 | % | | | 1/1/25 | | | | 2,350,000 | | | | 2,318,552 | |
Seagate HDD Cayman, Senior Notes | | | 4.875 | % | | | 6/1/27 | | | | 210,000 | | | | 203,570 | |
Vericast Corp., Senior Secured Notes | | | 11.000 | % | | | 9/15/26 | | | | 650,000 | | | | 684,268 | (a) |
| | | | | | | | | | | | | | | | |
Total Technology Hardware, Storage & Peripherals | | | | | | | | | | | | | | | 3,206,390 | |
| | | | | | | | | | | | | | | | |
TOTAL INFORMATION TECHNOLOGY | | | | | | | | | | | | | | | 8,236,855 | |
| | | | | | | | | | | | | | | | |
| MATERIALS - 6.4% | | | | | | | | | | | | | | | | |
Chemicals - 0.4% | | | | | | | | | | | | | | | | |
Anagram Holdings LLC/Anagram International Inc., Secured Notes | | | 10.000 | % | | | 8/15/26 | | | | 611,256 | | | | 12,209 | *(a)(h) |
Sasol Financing USA LLC, Senior Notes | | | 8.750 | % | | | 5/3/29 | | | | 1,070,000 | | | | 1,071,707 | (a) |
| | | | | | | | | | | | | | | | |
Total Chemicals | | | | | | | | | | | | | | | 1,083,916 | |
| | | | | | | | | | | | | | | | |
Construction Materials - 0.5% | | | | | | | | | | | | | | | | |
Smyrna Ready Mix Concrete LLC, Senior Secured Notes | | | 8.875 | % | | | 11/15/31 | | | | 1,240,000 | | | | 1,315,354 | (a) |
| | | | | | | | | | | | | | | | |
Containers & Packaging - 2.6% | | | | | | | | | | | | | | | | |
ARD Finance SA, Senior Secured Notes (6.500% Cash or 7.250% PIK) | | | 6.500 | % | | | 6/30/27 | | | | 3,000,000 | | | | 1,286,370 | (a)(g) |
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes | | | 5.250 | % | | | 8/15/27 | | | | 3,555,000 | | | | 2,582,517 | (a) |
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes | | | 5.250 | % | | | 8/15/27 | | | | 1,380,000 | | | | 1,002,496 | (a) |
Mauser Packaging Solutions Holding Co., Senior Secured Notes | | | 7.875 | % | | | 8/15/26 | | | | 2,000,000 | | | | 2,027,884 | (a) |
Pactiv LLC, Senior Notes | | | 8.375 | % | | | 4/15/27 | | | | 410,000 | | | | 426,913 | |
| | | | | | | | | | | | | | | | |
Total Containers & Packaging | | | | | | | | | | | | | | | 7,326,180 | |
| | | | | | | | | | | | | | | | |
Metals & Mining - 2.9% | | | | | | | | | | | | | | | | |
ArcelorMittal SA, Senior Notes | | | 7.000 | % | | | 10/15/39 | | | | 2,020,000 | | | | 2,158,246 | |
First Quantum Minerals Ltd., Secured Notes | | | 9.375 | % | | | 3/1/29 | | | | 510,000 | | | | 529,157 | (a) |
First Quantum Minerals Ltd., Senior Notes | | | 6.875 | % | | | 3/1/26 | | | | 860,000 | | | | 860,000 | (a) |
Freeport-McMoRan Inc., Senior Notes | | | 5.400 | % | | | 11/14/34 | | | | 280,000 | | | | 272,647 | |
Freeport-McMoRan Inc., Senior Notes | | | 5.450 | % | | | 3/15/43 | | | | 1,120,000 | | | | 1,043,942 | |
Teck Resources Ltd., Senior Notes | | | 6.000 | % | | | 8/15/40 | | | | 260,000 | | | | 256,801 | |
Vale Overseas Ltd., Senior Notes | | | 6.875 | % | | | 11/21/36 | | | | 2,220,000 | | | | 2,371,257 | |
Vale Overseas Ltd., Senior Notes | | | 6.875 | % | | | 11/10/39 | | | | 750,000 | | | | 803,587 | |
| | | | | | | | | | | | | | | | |
Total Metals & Mining | | | | | | | | | | | | | | | 8,295,637 | |
| | | | | | | | | | | | | | | | |
TOTAL MATERIALS | | | | | | | | | | | | | | | 18,021,087 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
10 | | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
| REAL ESTATE - 2.1% | | | | | | | | | | | | | | | | |
Health Care REITs - 0.1% | | | | | | | | | | | | | | | | |
Diversified Healthcare Trust, Senior Notes | | | 4.375 | % | | | 3/1/31 | | | | 346,000 | | | $ | 263,327 | |
| | | | | | | | | | | | | | | | |
Hotel & Resort REITs - 1.1% | | | | | | | | | | | | | | | | |
Service Properties Trust, Senior Notes | | | 4.500 | % | | | 3/15/25 | | | | 250,000 | | | | 244,527 | |
Service Properties Trust, Senior Notes | | | 5.250 | % | | | 2/15/26 | | | | 500,000 | | | | 486,137 | |
Service Properties Trust, Senior Notes | | | 5.500 | % | | | 12/15/27 | | | | 1,500,000 | | | | 1,413,847 | |
Service Properties Trust, Senior Notes | | | 4.375 | % | | | 2/15/30 | | | | 1,270,000 | | | | 980,278 | |
| | | | | | | | | | | | | | | | |
Total Hotel & Resort REITs | | | | | | | | | | | | | | | 3,124,789 | |
| | | | | | | | | | | | | | | | |
Real Estate Management & Development - 0.6% | | | | | | | | | | | | | |
China Aoyuan Group Ltd., Senior Secured Notes | | | 7.950 | % | | | 6/21/24 | | | | 400,000 | | | | 9,124 | *(b)(h) |
China Aoyuan Group Ltd., Senior Secured Notes | | | 7.950 | % | | | 2/19/25 | | | | 200,000 | | | | 4,500 | *(b)(h) |
Country Garden Holdings Co. Ltd., Senior Secured Notes | | | — | | | | 1/27/24 | | | | 1,750,000 | | | | 150,605 | *(b)(i) |
Cushman & Wakefield US Borrower LLC, Senior Secured Notes | | | 8.875 | % | | | 9/1/31 | | | | 290,000 | | | | 302,173 | (a) |
Samhallsbyggnadsbolaget i Norden AB, Senior Notes | | | 3.000 | % | | | 1/14/25 | | | | 230,000 | EUR | | | 233,029 | (b) |
Samhallsbyggnadsbolaget i Norden AB, Senior Notes | | | 2.375 | % | | | 9/4/26 | | | | 1,000,000 | EUR | | | 842,038 | (b) |
| | | | | | | | | | | | | | | | |
Total Real Estate Management & Development | | | | | | | | | | | | 1,541,469 | |
| | | | | | | | | | | | | | | | |
Specialized REITs - 0.3% | | | | | | | | | | | | | | | | |
Iron Mountain Inc., Senior Notes | | | 7.000 | % | | | 2/15/29 | | | | 830,000 | | | | 843,334 | (a) |
| | | | | | | | | | | | | | | | |
TOTAL REAL ESTATE | | | | | | | | | | | | | | | 5,772,919 | |
| | | | | | | | | | | | | | | | |
| UTILITIES - 1.3% | | | | | | | | | | | | | | | | |
Electric Utilities - 0.8% | | | | | | | | | | | | | | | | |
FirstEnergy Corp., Senior Notes | | | 7.375 | % | | | 11/15/31 | | | | 1,260,000 | | | | 1,463,805 | |
Vistra Operations Co. LLC, Senior Notes | | | 7.750 | % | | | 10/15/31 | | | | 650,000 | | | | 672,917 | (a) |
| | | | | | | | | | | | | | | | |
Total Electric Utilities | | | | | | | | | | | | | | | 2,136,722 | |
| | | | | | | | | | | | | | | | |
Gas Utilities - 0.5% | | | | | | | | | | | | | | | | |
Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes | | | 5.875 | % | | | 3/1/27 | | | | 1,390,000 | | | | 1,370,616 | |
| | | | | | | | | | | | | | | | |
TOTAL UTILITIES | | | | | | | | | | | | | | | 3,507,338 | |
| | | | | | | | | | | | | | | | |
TOTAL CORPORATE BONDS & NOTES (Cost - $235,414,366) | | | | | | | | | | | | 242,237,101 | |
| | | | | | | | | | | | | | | | |
| SOVEREIGN BONDS - 4.3% | | | | | | | | | | | | | | | | |
Angola - 0.4% | | | | | | | | | | | | | | | | |
Angolan Government International Bond, Senior Notes | | | 8.000 | % | | | 11/26/29 | | | | 1,200,000 | | | | 1,068,780 | (a) |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | 11 |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Argentina - 0.8% | | | | | | | | | | | | | | | | |
Provincia de Buenos Aires, Senior Notes, | | | | | | | | | | | | | | | | |
Step bond (6.375% to 9/1/24 then 6.625%) | | | 6.375 | % | | | 9/1/37 | | | | 50,000 | | | $ | 19,438 | (a) |
Provincia de Cordoba, Senior Notes | | | 6.990 | % | | | 6/1/27 | | | | 2,465,000 | | | | 2,021,300 | (a) |
Provincia de Cordoba, Senior Notes (6.875% PIK) | | | 6.875 | % | | | 2/1/29 | | | | 410,000 | | | | 300,325 | (a)(g) |
| | | | | | | | | | | | | | | | |
Total Argentina | | | | | | | | | | | | | | | 2,341,063 | |
| | | | | | | | | | | | | | | | |
Bahamas - 0.5% | | | | | | | | | | | | | | | | |
Bahamas Government International Bond, Senior Notes | | | 6.950 | % | | | 11/20/29 | | | | 1,500,000 | | | | 1,318,500 | (a) |
| | | | | | | | | | | | | | | | |
Dominican Republic - 0.4% | | | | | | | | | | | | | | | | |
Dominican Republic International Bond, Senior Notes | | | 4.500 | % | | | 1/30/30 | | | | 230,000 | | | | 209,314 | (a) |
Dominican Republic International Bond, Senior Notes | | | 4.875 | % | | | 9/23/32 | | | | 1,170,000 | | | | 1,042,745 | (a) |
| | | | | | | | | | | | | | | | |
Total Dominican Republic | | | | | | | | | | | | | | | 1,252,059 | |
| | | | | | | | | | | | | | | | |
Jordan - 0.3% | | | | | | | | | | | | | | | | |
Jordan Government International Bond, Senior Notes | | | 7.750 | % | | | 1/15/28 | | | | 750,000 | | | | 759,332 | (a) |
| | | | | | | | | | | | | | | | |
Mexico - 1.9% | | | | | | | | | | | | | | | | |
Mexican Bonos, Bonds | | | 7.750 | % | | | 5/29/31 | | | | 100,380,000 | MXN | | | 5,463,339 | |
| | | | | | | | | | | | | | | | |
TOTAL SOVEREIGN BONDS (Cost - $10,787,789) | | | | | | | | | | | | | | | 12,203,073 | |
| | | | | | | | | | | | | | | | |
| SENIOR LOANS - 3.6% | | | | | | | | | | | | | | | | |
| COMMUNICATION SERVICES - 0.9% | | | | | | | | | | | | | | | | |
Media - 0.9% | | | | | | | | | | | | | | | | |
A-L Parent LLC, 2023 Term Loan | | | — | | | | 6/30/28 | | | | 750,000 | | | | 749,531 | (j) |
iHeartCommunications Inc., New Term Loan (1 mo. Term SOFR + 3.114%) | | | 8.441 | % | | | 5/1/26 | | | | 2,020,000 | | | | 1,787,700 | (d)(j)(k)(l) |
| | | | | | | | | | | | | | | | |
TOTAL COMMUNICATION SERVICES | | | | | | | | | | | | | | | 2,537,231 | |
| | | | | | | | | | | | | | | | |
| CONSUMER DISCRETIONARY - 1.0% | | | | | | | | | | | | | | | | |
Diversified Consumer Services - 0.3% | | | | | | | | | | | | | | | | |
WW International Inc., Initial Term Loan (1 mo. Term SOFR + 3.614%) | | | 8.941 | % | | | 4/13/28 | | | | 1,350,000 | | | | 711,288 | (d)(k)(l) |
| | | | | | | | | | | | | | | | |
Hotels, Restaurants & Leisure - 0.7% | | | | | | | | | | | | | | | | |
Caesars Entertainment Inc., Incremental Term Loan B1 (3 mo. Term SOFR + 2.750%) | | | 8.040 | % | | | 2/6/31 | | | | 2,050,000 | | | | 2,050,861 | (d)(j)(k)(l) |
| | | | | | | | | | | | | | | | |
TOTAL CONSUMER DISCRETIONARY | | | | | | | | | | | | | | | 2,762,149 | |
| | | | | | | | | | | | | | | | |
| FINANCIALS - 0.5% | | | | | | | | | | | | | | | | |
Banks - 0.2% | | | | | | | | | | | | | | | | |
Mercury Borrower Inc., First Lien Initial Term Loan (1 mo. Term SOFR + 3.614%) | | | 8.941 | % | | | 8/2/28 | | | | 500,000 | | | | 497,375 | (d)(k)(l) |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
12 | | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | VALUE | |
Consumer Finance - 0.1% | | | | | | | | | | | | | | | | |
Blackhawk Network Holdings Inc., Term Loan | | | — | | | | 2/27/29 | | | | 350,000 | | | $ | 347,156 | (j) |
| | | | | | | | | | | | | | | | |
Financial Services - 0.2% | | | | | | | | | | | | | | | | |
Boost Newco Borrower LLC, Initial USD Term Loan (1 mo. Term SOFR + 3.000%) | | | 8.326 | % | | | 1/31/31 | | | | 600,000 | | | | 603,000 | (d)(k)(l) |
| | | | | | | | | | | | | | | | |
TOTAL FINANCIALS | | | | | | | | | | | | | | | 1,447,531 | |
| | | | | | | | | | | | | | | | |
| INDUSTRIALS - 0.3% | | | | | | | | | | | | | | | | |
Building Products - 0.1% | | | | | | | | | | | | | | | | |
ACProducts Holdings Inc., Initial Term Loan | | | — | | | | 5/17/28 | | | | 500,000 | | | | 450,058 | (j) |
| | | | | | | | | | | | | | | | |
Passenger Airlines - 0.2% | | | | | | | | | | | | | | | | |
United Airlines Inc., Term Loan B (3 mo. Term SOFR + 2.750%) | | | 8.076 | % | | | 2/22/31 | | | | 580,000 | | | | 580,362 | (d)(k)(l)(m) |
| | | | | | | | | | | | | | | | |
TOTAL INDUSTRIALS | | | | | | | | | | | | | | | 1,030,420 | |
| | | | | | | | | | | | | | | | |
| INFORMATION TECHNOLOGY - 0.6% | | | | | | | | | | | | | | | | |
IT Services - 0.4% | | | | | | | | | | | | | | | | |
Redstone Holdco 2 LP, First Lien Initial Term Loan | | | — | | | | 4/27/28 | | | | 1,400,000 | | | | 1,165,724 | (j) |
| | | | | | | | | | | | | | | | |
Software - 0.2% | | | | | | | | | | | | | | | | |
DCert Buyer Inc., Second Lien Initial Term Loan | | | — | | | | 2/19/29 | | | | 500,000 | | | | 457,678 | (j) |
| | | | | | | | | | | | | | | | |
TOTAL INFORMATION TECHNOLOGY | | | | | | | | | | | | | | | 1,623,402 | |
| | | | | | | | | | | | | | | | |
| MATERIALS - 0.3% | | | | | | | | | | | | | | | | |
Metals & Mining - 0.3% | | | | | | | | | | | | | | | | |
Arctic Canadian Diamond Co. Ltd., Second Lien Term Loan | | | 10.000 | % | | | 12/31/27 | | | | 895,944 | | | | 802,200 | (e)(k)(l)(m) |
| | | | | | | | | | | | | | | | |
TOTAL SENIOR LOANS (Cost - $10,595,700) | | | | | | | | | | | | | | | 10,202,933 | |
| | | | | | | | | | | | | | | | |
| CONVERTIBLE BONDS & NOTES - 2.0% | | | | | | | | | | | | | | | | |
| COMMUNICATION SERVICES - 2.0% | | | | | | | | | | | | | | | | |
Media - 2.0% | | | | | | | | | | | | | | | | |
DISH Network Corp., Senior Notes | | | 2.375 | % | | | 3/15/24 | | | | 1,350,000 | | | | 1,333,192 | |
DISH Network Corp., Senior Notes | | | 0.000 | % | | | 12/15/25 | | | | 4,740,000 | | | | 3,457,830 | |
DISH Network Corp., Senior Notes | | | 3.375 | % | | | 8/15/26 | | | | 1,440,000 | | | | 858,600 | |
| | | | | | | | | | | | | | | | |
TOTAL COMMUNICATION SERVICES | | | | | | | | | | | | | | | 5,649,622 | |
| | | | | | | | | | | | | | | | |
| INDUSTRIALS - 0.0%†† | | | | | | | | | | | | | | | | |
Passenger Airlines - 0.0%†† | | | | | | | | | | | | | | | | |
Spirit Airlines Inc., Senior Notes | | | 1.000 | % | | | 5/15/26 | | | | 160,000 | | | | 74,743 | |
| | | | | | | | | | | | | | | | |
TOTAL CONVERTIBLE BONDS & NOTES (Cost - $6,317,539) | | | | | | | | | | | | 5,724,365 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | 13 |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
(Percentages shown based on Fund net assets)
| | | | | | | | | | | | | | | | |
SECURITY | | | SHARES | | | VALUE | |
| COMMON STOCKS - 0.1% | | | | | | | | | | | | | | | | |
| MATERIALS - 0.1% | | | | | | | | | | | | | | | | |
Metals & Mining - 0.1% | | | | | | | | | | | | | | | | |
Arctic Canadian Diamond Co. Ltd. (Cost - $0) | | | | | | | | | | | 906 | | | $ | 144,598 | *(e)(m) |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | EXPIRATION
DATE | | | WARRANTS | | | | |
| WARRANTS - 0.0%†† | | | | | | | | | | | | | | | | |
| INDUSTRIALS - 0.0%†† | | | | | | | | | | | | | | | | |
Passenger Airlines - 0.0%†† | | | | | | | | | | | | | | | | |
flyExclusive Inc. (Cost - $12,469) | | | | | | | 5/28/28 | | | | 13,023 | | | | 5,274 | * |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $263,127,863) | | | | 270,517,344 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | RATE | | | MATURITY
DATE | | | FACE
AMOUNT† | | | | |
| SHORT-TERM INVESTMENTS - 3.4% | | | | | | | | | | | | | | | | |
| U.S. TREASURY BILLS - 2.8% | | | | | | | | | | | | | | | | |
U.S. Treasury Bills | | | 4.377 | % | | | 3/5/24 | | | | 5,750,000 | | | | 5,746,636 | (n) |
U.S. Treasury Bills | | | 4.692 | % | | | 3/7/24 | | | | 2,000,000 | | | | 1,998,247 | (n) |
| | | | | | | | | | | | | | | | |
TOTAL U.S. TREASURY BILLS (Cost - $7,744,892) | | | | | | | | | | | | | | | 7,744,883 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | SHARES | | | | |
| MONEY MARKET FUNDS - 0.6% | | | | | | | | | | | | | | | | |
Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost - $1,680,847) | | | 5.272 | % | | | | | | | 1,680,847 | | | | 1,680,847 | (o)(p) |
| | | | | | | | | | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS (Cost - $9,425,739) | | | | | | | | | | | | | | | 9,425,730 | |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS - 99.7% (Cost - $272,553,602) | | | | | | | | | | | | | | | 279,943,074 | |
Other Assets in Excess of Liabilities - 0.3% | | | | | | | | | | | | | | | 904,699 | |
| | | | | | | | | | | | | | | | |
TOTAL NET ASSETS - 100.0% | | | | | | | | | | | | | | $ | 280,847,773 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
14 | | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
| † | 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) | Security has no maturity date. The date shown represents the next call date. |
| (d) | 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. |
| (e) | Security is fair valued in accordance with procedures approved by the Board of Directors (Note 1). |
| (f) | Securities traded on a when-issued or delayed delivery basis. |
| (g) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities. |
| (h) | The coupon payment on this security is currently in default as of February 29, 2024. |
| (i) | The maturity principal is currently in default as of February 29, 2024. |
| (j) | All or a portion of this loan has not settled as of February 29, 2024. Interest rates are not effective until settlement date. Interest rates shown, if any, are for the settled portion of the loan. |
| (k) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| (l) | 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. |
| (m) | Security is valued using significant unobservable inputs (Note 1). |
| (n) | Rate shown represents yield-to-maturity. |
| (o) | Rate shown is one-day yield as of the end of the reporting period. |
| (p) | 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 February 29, 2024, the total market value of investments in Affiliated Companies was $1,680,847 and the cost was $1,680,847 (Note 2). |
Abbreviation(s) used in this schedule:
| | |
| EUR | | — Euro |
| GBP | | — British Pound |
| ICE | | — Intercontinental Exchange |
| LIBOR | | — London Interbank Offered Rate |
| MXN | | — Mexican Peso |
| PIK | | — Payment-In-Kind |
| SOFR | | — Secured Overnight Financing Rate |
| USD | | — United States Dollar |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | 15 |
WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.
| | |
| Schedule of investments (unaudited) (cont’d) | | February 29, 2024 |
At February 29, 2024, the Fund had the following open forward foreign currency contracts:
| | | | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | | Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation | |
| EUR | | | 320,112 | | | | USD | | | | 345,312 | | | Citibank N.A. | | | 4/19/24 | | | $ | 1,390 | |
| USD | | | 9,345,627 | | | | EUR | | | | 8,480,751 | | | Citibank N.A. | | | 4/19/24 | | | | 160,466 | |
| USD | | | 3,821,550 | | | | GBP | | | | 2,997,153 | | | Citibank N.A. | | | 4/19/24 | | | | 37,089 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Net unrealized appreciation on open forward foreign currency contracts | | | | | | $ | 198,945 | |
| | | | | | | | | | | | | | | | | | | | | | |
Abbreviation(s) used in this table:
| | |
| EUR | | — Euro |
| GBP | | — British Pound |
| USD | | — United States Dollar |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
| | | | |
16 | | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset High Yield Defined Opportunity Fund Inc. (the “Fund”) was incorporated in Maryland on July 20, 2010 and is registered as a non-diversified, limited-term, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s primary investment objective is to provide high income. As a secondary investment objective, the Fund will seek capital appreciation. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in a portfolio of high-yield corporate fixed income securities with varying maturities. Corporate securities include those securities that are issued or originated by U.S. or foreign public or private corporations and other business entities. The Fund intends to liquidate on or about September 30, 2025 and distribute substantially all of its net assets to stockholders, after making appropriate provisions for any liabilities of the Fund.
The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(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.
| | |
Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | 17 |
Notes to Schedule of Investments (unaudited) (continued)
Pursuant to policies adopted by the Board of Directors, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
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18 | | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report |
Notes to Schedule of Investments (unaudited) (continued)
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| | • | | Level 1 – unadjusted quoted prices in active markets for identical investments |
| | • | | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| | • | | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets 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 | | | — | | | $ | 242,237,101 | | | | — | | | $ | 242,237,101 | |
Sovereign Bonds | | | — | | | | 12,203,073 | | | | — | | | | 12,203,073 | |
Senior Loans: | | | | | | | | | | | | | | | | |
Industrials | | | — | | | | 450,058 | | | $ | 580,362 | | | | 1,030,420 | |
Materials | | | — | | | | — | | | | 802,200 | | | | 802,200 | |
Other Senior Loans | | | — | | | | 8,370,313 | | | | — | | | | 8,370,313 | |
Convertible Bonds & Notes | | | — | | | | 5,724,365 | | | | — | | | | 5,724,365 | |
Common Stocks | | | — | | | | — | | | | 144,598 | | | | 144,598 | |
Warrants | | $ | 5,274 | | | | — | | | | — | | | | 5,274 | |
| | | | | | | | | | | | | | | | |
Total Long-Term Investments | | | 5,274 | | | | 268,984,910 | | | | 1,527,160 | | | | 270,517,344 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments†: | | | | | | | | | | | | | | | | |
U.S. Treasury Bills | | | — | | | | 7,744,883 | | | | — | | | | 7,744,883 | |
Money Market Funds | | | 1,680,847 | | | | — | | | | — | | | | 1,680,847 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | 1,680,847 | | | | 7,744,883 | | | | — | | | | 9,425,730 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 1,686,121 | | | $ | 276,729,793 | | | $ | 1,527,160 | | | $ | 279,943,074 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Forward Foreign Currency Contracts†† | | | — | | | $ | 198,945 | | | | — | | | $ | 198,945 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,686,121 | | | $ | 276,928,738 | | | $ | 1,527,160 | | | $ | 280,142,019 | |
| | | | | | | | | | | | | | | | |
| † | See Schedule of Investments for additional detailed categorizations. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
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Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report | | 19 |
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 February 29, 2024. The following transactions were effected in such company for the period ended February 29, 2024.
| | | | | | | | | | | | | | | | | | | | |
| | | Affiliate | | | | | | | | | | | | | |
| | | Value at | | | Purchased | | | Sold | |
| | | May 31, | | | | | | | | | | |
| | | 2023 | | | Cost | | | Shares | | | Proceeds | | | Shares | |
| Western Asset Premier Institutional Government Reserves, Premium Shares | | $ | 1,550,948 | | | $ | 55,255,446 | | | | 55,255,446 | | | $ | 55,125,547 | | | | 55,125,547 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | Net Increase | | | | |
| | | | | | | | | (Decrease) in | | | Affiliate | |
| | | | | | | | | Unrealized | | | Value at | |
| | | Realized | | | Dividend | | | Appreciation | | | February 29, | |
(cont’d) | | Gain (Loss) | | | Income | | | (Depreciation) | | | 2024 | |
| Western Asset Premier Institutional Government Reserves, Premium Shares | | | — | | | $ | 107,109 | | | | — | | | $ | 1,680,847 | |
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20 | | Western Asset High Yield Defined Opportunity Fund Inc. 2024 Quarterly Report |
