UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment
Company Act file number
|
811-7162
|
|
|
Western
Asset High Income Fund Inc.
|
(Exact name of registrant as specified in charter)
|
|
55 Water Street, New York, NY
|
|
10041
|
(Address of principal executive offices)
|
|
(Zip code)
|
|
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
|
(Name and address of agent for service)
|
|
Registrants
telephone number, including area code:
|
(888)777-0102
|
|
|
Date of
fiscal year end:
|
December 31
|
|
|
|
|
Date of
reporting period:
|
September
30, 2010
|
|
|
|
|
|
|
|
|
ITEM
1. SCHEDULE OF
INVESTMENTS
WESTERN ASSET HIGH INCOME FUND INC.
FORM N-Q
SEPTEMBER 30, 2010
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited)
September 30,
2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
CORPORATE
BONDS & NOTES 88.5%
|
|
|
|
|
|
|
|
|
|
CONSUMER
DISCRETIONARY 18.9%
|
|
|
|
|
|
|
|
|
|
Auto Components 0.2%
|
|
|
|
|
|
|
|
|
|
Cooper-Standard Automotive
Inc., Senior Notes
|
|
8.500%
|
|
5/1/18
|
|
|
90,000
|
|
$
|
93,825
|
(a)
|
Tenneco Inc., Senior Notes
|
|
7.750%
|
|
8/15/18
|
|
20,000
|
|
20,600
|
(a)
|
Total Auto Components
|
|
|
|
|
|
|
|
114,425
|
|
Automobiles 1.3%
|
|
|
|
|
|
|
|
|
|
Ford Motor Credit Co.,
LLC, Senior Notes
|
|
9.875%
|
|
8/10/11
|
|
190,000
|
|
201,284
|
|
Ford Motor Credit Co.,
LLC, Senior Notes
|
|
7.500%
|
|
8/1/12
|
|
105,000
|
|
111,511
|
|
Motors Liquidation Co.,
Senior Debentures
|
|
8.375%
|
|
7/15/33
|
|
445,000
|
|
152,413
|
(b)
|
Motors Liquidation Co.,
Senior Notes
|
|
7.200%
|
|
1/15/11
|
|
440,000
|
|
144,100
|
(b)
|
Total Automobiles
|
|
|
|
|
|
|
|
609,308
|
|
Diversified Consumer
Services 1.9%
|
|
|
|
|
|
|
|
|
|
Realogy Corp., Senior
Notes
|
|
10.500%
|
|
4/15/14
|
|
620,000
|
|
530,100
|
|
Service Corp.
International, Senior Notes
|
|
7.500%
|
|
4/1/27
|
|
30,000
|
|
28,800
|
|
Sothebys, Senior Notes
|
|
7.750%
|
|
6/15/15
|
|
100,000
|
|
104,750
|
|
Stonemor Operating
LLC/Cornerstone Family Services/Osiris Holdings, Senior Notes
|
|
10.250%
|
|
12/1/17
|
|
225,000
|
|
240,187
|
(a)
|
Total Diversified Consumer
Services
|
|
|
|
|
|
|
|
903,837
|
|
Hotels,
Restaurants & Leisure 6.6%
|
|
|
|
|
|
|
|
|
|
Boyd Gaming Corp., Senior
Subordinated Notes
|
|
7.125%
|
|
2/1/16
|
|
40,000
|
|
33,650
|
|
CCM Merger Inc., Notes
|
|
8.000%
|
|
8/1/13
|
|
220,000
|
|
202,400
|
(a)
|
Downstream Development
Quapaw, Senior Notes
|
|
12.000%
|
|
10/15/15
|
|
165,000
|
|
158,606
|
(a)
|
El Pollo Loco Inc., Senior
Notes
|
|
11.750%
|
|
11/15/13
|
|
275,000
|
|
199,375
|
|
El Pollo Loco Inc., Senior
Secured Notes
|
|
11.750%
|
|
12/1/12
|
|
85,000
|
|
86,700
|
|
Harrahs Operating Co.
Inc., Senior Bonds
|
|
5.625%
|
|
6/1/15
|
|
361,000
|
|
236,455
|
|
Harrahs Operating Co.
Inc., Senior Notes
|
|
10.750%
|
|
2/1/16
|
|
229,000
|
|
185,490
|
|
Harrahs Operating Co.
Inc., Senior Secured Notes
|
|
11.250%
|
|
6/1/17
|
|
145,000
|
|
159,500
|
|
Inn of the Mountain Gods
Resort & Casino, Senior Notes
|
|
12.000%
|
|
11/15/10
|
|
380,000
|
|
157,700
|
(b)(c)
|
Landrys Holdings Inc., Senior
Secured Notes
|
|
11.500%
|
|
6/1/14
|
|
90,000
|
|
84,150
|
(a)
|
Landrys Restaurants Inc.,
Senior Secured Notes
|
|
11.625%
|
|
12/1/15
|
|
95,000
|
|
100,700
|
|
MGM MIRAGE Inc., Senior
Notes
|
|
6.750%
|
|
9/1/12
|
|
300,000
|
|
285,000
|
|
MGM MIRAGE Inc., Senior
Notes
|
|
6.750%
|
|
4/1/13
|
|
260,000
|
|
242,775
|
|
MGM Resorts International,
Senior Secured Notes
|
|
10.375%
|
|
5/15/14
|
|
15,000
|
|
16,762
|
|
MGM Resorts International,
Senior Secured Notes
|
|
11.125%
|
|
11/15/17
|
|
40,000
|
|
45,750
|
|
Mohegan Tribal Gaming
Authority, Senior Secured Notes
|
|
11.500%
|
|
11/1/17
|
|
110,000
|
|
99,000
|
(a)
|
Mohegan Tribal Gaming
Authority, Senior Subordinated Notes
|
|
8.000%
|
|
4/1/12
|
|
270,000
|
|
206,550
|
|
NCL Corp. Ltd., Senior
Secured Notes
|
|
11.750%
|
|
11/15/16
|
|
180,000
|
|
202,500
|
|
Pinnacle Entertainment
Inc., Senior Notes
|
|
8.625%
|
|
8/1/17
|
|
125,000
|
|
133,281
|
|
Pinnacle Entertainment
Inc., Senior Subordinated Notes
|
|
7.500%
|
|
6/15/15
|
|
30,000
|
|
29,175
|
|
Pinnacle Entertainment
Inc., Senior Subordinated Notes
|
|
8.750%
|
|
5/15/20
|
|
20,000
|
|
19,800
|
|
Sbarro Inc., Senior Notes
|
|
10.375%
|
|
2/1/15
|
|
95,000
|
|
57,475
|
|
Snoqualmie Entertainment
Authority, Senior Secured Notes
|
|
4.428%
|
|
2/1/14
|
|
90,000
|
|
74,700
|
(a)(d)
|
Snoqualmie Entertainment
Authority, Senior Secured Notes
|
|
9.125%
|
|
2/1/15
|
|
15,000
|
|
13,275
|
(a)
|
Station Casinos Inc.,
Senior Notes
|
|
6.000%
|
|
4/1/12
|
|
215,000
|
|
37
|
(b)(c)
|
Station Casinos Inc.,
Senior Notes
|
|
7.750%
|
|
8/15/16
|
|
90,000
|
|
9
|
(b)(c)
|
Station Casinos Inc.,
Senior Subordinated Notes
|
|
6.500%
|
|
2/1/14
|
|
175,000
|
|
18
|
(b)(c)
|
Station Casinos Inc.,
Senior Subordinated Notes
|
|
6.625%
|
|
3/15/18
|
|
20,000
|
|
78
|
(b)(c)
|
Wynn Las Vegas LLC/Wynn
Las Vegas Capital Corp., Secured Notes
|
|
7.750%
|
|
8/15/20
|
|
180,000
|
|
190,800
|
(a)
|
Total Hotels,
Restaurants & Leisure
|
|
|
|
|
|
|
|
3,221,711
|
|
Internet &
Catalog Retail 0.7%
|
|
|
|
|
|
|
|
|
|
Netflix Inc., Senior Notes
|
|
8.500%
|
|
11/15/17
|
|
130,000
|
|
145,600
|
|
QVC Inc., Senior Secured
Notes
|
|
7.375%
|
|
10/15/20
|
|
195,000
|
|
202,800
|
(a)
|
Total Internet &
Catalog Retail
|
|
|
|
|
|
|
|
348,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
1
WESTERN ASSET HIGH INCOME FUND
INC.
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Media 5.2%
|
|
|
|
|
|
|
|
|
|
Cablevision Systems Corp.,
Senior Notes
|
|
7.750%
|
|
4/15/18
|
|
|
50,000
|
|
$
|
53,125
|
|
Cablevision Systems Corp.,
Senior Notes
|
|
8.000%
|
|
4/15/20
|
|
20,000
|
|
21,625
|
|
CCH II LLC/CCH II Capital
Corp., Senior Notes
|
|
13.500%
|
|
11/30/16
|
|
64,850
|
|
77,334
|
|
CCO Holdings LLC/CCO
Holdings Capital Corp., Senior Notes
|
|
8.125%
|
|
4/30/20
|
|
200,000
|
|
213,000
|
(a)
|
Cengage Learning
Acquisitions Inc., Senior Notes
|
|
10.500%
|
|
1/15/15
|
|
140,000
|
|
139,825
|
(a)
|
Cengage Learning
Acquisitions Inc., Senior Subordinated Notes
|
|
13.250%
|
|
7/15/15
|
|
130,000
|
|
129,675
|
(a)
|
Charter Communications
Operating LLC/Charter Communications Operating Capital, Senior Secured Notes
|
|
10.875%
|
|
9/15/14
|
|
160,000
|
|
182,000
|
(a)
|
CSC Holdings Inc., Senior
Debentures
|
|
7.875%
|
|
2/15/18
|
|
230,000
|
|
252,137
|
|
DISH DBS Corp., Senior
Notes
|
|
6.625%
|
|
10/1/14
|
|
20,000
|
|
20,950
|
|
DISH DBS Corp., Senior
Notes
|
|
7.750%
|
|
5/31/15
|
|
70,000
|
|
74,988
|
|
DISH DBS Corp., Senior
Notes
|
|
7.875%
|
|
9/1/19
|
|
75,000
|
|
81,094
|
|
Gannett Co. Inc., Senior
Notes
|
|
6.375%
|
|
9/1/15
|
|
40,000
|
|
39,750
|
(a)
|
Gannett Co. Inc., Senior
Notes
|
|
7.125%
|
|
9/1/18
|
|
40,000
|
|
39,600
|
(a)
|
Globo Communicacoes e
Participacoes SA, Bonds
|
|
7.250%
|
|
4/26/22
|
|
140,000
|
|
150,500
|
(a)
|
NET Servicos de
Comunicacao SA, Bonds
|
|
7.500%
|
|
1/27/20
|
|
100,000
|
|
113,250
|
(a)
|
Nielsen Finance
LLC/Nielsen Finance Co., Senior Notes
|
|
7.750%
|
|
10/15/18
|
|
350,000
|
|
347,434
|
(a)
|
Nielsen Finance
LLC/Nielsen Finance Co., Senior Subordinated Notes, step bond
|
|
0.000%
|
|
8/1/16
|
|
280,000
|
|
281,750
|
|
ProQuest LLC/ProQuest
Notes Co., Senior Notes
|
|
9.000%
|
|
10/15/18
|
|
80,000
|
|
81,600
|
(a)
|
Univision Communications
Inc., Senior Secured Notes
|
|
12.000%
|
|
7/1/14
|
|
55,000
|
|
60,431
|
(a)
|
UPC Holding BV, Senior
Notes
|
|
9.875%
|
|
4/15/18
|
|
65,000
|
|
69,550
|
(a)
|
Virgin Media Finance PLC,
Senior Notes
|
|
9.125%
|
|
8/15/16
|
|
90,000
|
|
96,750
|
|
Total Media
|
|
|
|
|
|
|
|
2,526,368
|
|
Multiline Retail 0.8%
|
|
|
|
|
|
|
|
|
|
Neiman Marcus Group Inc.,
Senior Notes
|
|
9.000%
|
|
10/15/15
|
|
170,000
|
|
177,438
|
(e)
|
Neiman Marcus Group Inc.,
Senior Secured Notes
|
|
7.125%
|
|
6/1/28
|
|
225,000
|
|
213,187
|
|
Total Multiline Retail
|
|
|
|
|
|
|
|
390,625
|
|
Specialty Retail 1.5%
|
|
|
|
|
|
|
|
|
|
American Greetings Corp.,
Senior Notes
|
|
7.375%
|
|
6/1/16
|
|
275,000
|
|
281,187
|
|
American Greetings Corp.,
Senior Notes
|
|
7.375%
|
|
6/1/16
|
|
35,000
|
|
34,388
|
|
American Greetings Corp.,
Senior Notes
|
|
7.375%
|
|
6/1/16
|
|
20,000
|
|
19,400
|
|
Michaels Stores Inc.,
Senior Subordinated Bonds
|
|
11.375%
|
|
11/1/16
|
|
110,000
|
|
120,038
|
|
Michaels Stores Inc.,
Senior Subordinated Notes, step bond
|
|
0.000%
|
|
11/1/16
|
|
290,000
|
|
280,575
|
|
Total Specialty Retail
|
|
|
|
|
|
|
|
735,588
|
|
Textiles,
Apparel & Luxury Goods 0.7%
|
|
|
|
|
|
|
|
|
|
Oxford Industries Inc.,
Senior Secured Notes
|
|
11.375%
|
|
7/15/15
|
|
245,000
|
|
276,850
|
|
Phillips-Van Heusen Corp.,
Senior Notes
|
|
7.375%
|
|
5/15/20
|
|
80,000
|
|
84,700
|
|
Total Textiles,
Apparel & Luxury Goods
|
|
|
|
|
|
|
|
361,550
|
|
TOTAL CONSUMER
DISCRETIONARY
|
|
|
|
|
|
|
|
9,211,812
|
|
CONSUMER
STAPLES 1.6%
|
|
|
|
|
|
|
|
|
|
Beverages 0.1%
|
|
|
|
|
|
|
|
|
|
Cott Beverages USA Inc.,
Senior Notes
|
|
8.125%
|
|
9/1/18
|
|
30,000
|
|
31,913
|
(a)
|
Food Products 0.7%
|
|
|
|
|
|
|
|
|
|
Bumble Bee Foods LLC,
Senior Secured Notes
|
|
7.750%
|
|
12/15/15
|
|
144,000
|
|
154,800
|
|
Michael Foods Inc., Senior
Notes
|
|
9.750%
|
|
7/15/18
|
|
90,000
|
|
96,750
|
(a)
|
Smithfield Foods Inc.,
Senior Secured Notes
|
|
10.000%
|
|
7/15/14
|
|
60,000
|
|
69,300
|
(a)
|
Total Food Products
|
|
|
|
|
|
|
|
320,850
|
|
Household Products
0.5%
|
|
|
|
|
|
|
|
|
|
Spectrum Brands Holdings
Inc., Senior Secured Notes
|
|
9.500%
|
|
6/15/18
|
|
140,000
|
|
150,325
|
(a)
|
Visant Corp., Senior Notes
|
|
10.000%
|
|
10/1/17
|
|
80,000
|
|
83,800
|
(a)
|
Total Household Products
|
|
|
|
|
|
|
|
234,125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
2
WESTERN ASSET HIGH INCOME FUND
INC.
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Tobacco 0.3%
|
|
|
|
|
|
|
|
|
|
Alliance One International
Inc., Senior Notes
|
|
10.000%
|
|
7/15/16
|
|
|
150,000
|
|
$
|
163,125
|
|
TOTAL CONSUMER STAPLES
|
|
|
|
|
|
|
|
750,013
|
|
ENERGY
13.8%
|
|
|
|
|
|
|
|
|
|
Energy
Equipment & Services 2.1%
|
|
|
|
|
|
|
|
|
|
Basic Energy Services
Inc., Senior Secured Notes
|
|
11.625%
|
|
8/1/14
|
|
165,000
|
|
182,325
|
|
Complete Production
Services Inc., Senior Notes
|
|
8.000%
|
|
12/15/16
|
|
110,000
|
|
113,850
|
|
GulfMark Offshore Inc.,
Senior Subordinated Notes
|
|
7.750%
|
|
7/15/14
|
|
160,000
|
|
161,400
|
|
Hercules Offshore LLC,
Senior Secured Notes
|
|
10.500%
|
|
10/15/17
|
|
155,000
|
|
129,425
|
(a)
|
Key Energy Services Inc.,
Senior Notes
|
|
8.375%
|
|
12/1/14
|
|
190,000
|
|
201,400
|
|
Parker Drilling Co.,
Senior Notes
|
|
9.125%
|
|
4/1/18
|
|
140,000
|
|
142,800
|
(a)
|
PHI Inc., Senior Notes
|
|
8.625%
|
|
10/15/18
|
|
30,000
|
|
29,625
|
(a)
|
Transocean Inc., Senior
Notes
|
|
6.625%
|
|
4/15/11
|
|
50,000
|
|
51,329
|
|
Total Energy
Equipment & Services
|
|
|
|
|
|
|
|
1,012,154
|
|
Oil, Gas &
Consumable Fuels 11.7%
|
|
|
|
|
|
|
|
|
|
Belden & Blake
Corp., Secured Notes
|
|
8.750%
|
|
7/15/12
|
|
365,000
|
|
359,525
|
|
Berry Petroleum Co.,
Senior Notes
|
|
10.250%
|
|
6/1/14
|
|
110,000
|
|
124,575
|
|
Brigham Exploration Co.,
Senior Notes
|
|
8.750%
|
|
10/1/18
|
|
150,000
|
|
155,250
|
(a)
|
Chesapeake Energy Corp.,
Senior Notes
|
|
6.625%
|
|
8/15/20
|
|
210,000
|
|
220,500
|
|
Compagnie Generale de
Geophysique-Veritas, Senior Notes
|
|
7.500%
|
|
5/15/15
|
|
55,000
|
|
56,238
|
|
Compagnie Generale de
Geophysique-Veritas, Senior Notes
|
|
9.500%
|
|
5/15/16
|
|
160,000
|
|
173,600
|
|
CONSOL Energy Inc., Senior
Notes
|
|
8.250%
|
|
4/1/20
|
|
170,000
|
|
186,575
|
(a)
|
Continental Resources
Inc., Senior Notes
|
|
7.125%
|
|
4/1/21
|
|
50,000
|
|
52,250
|
(a)
|
Corral Petroleum Holdings
AB, Senior Bonds
|
|
2.000%
|
|
9/18/11
|
|
251,792
|
|
233,537
|
(a)(e)
|
Crosstex Energy
LP/Crosstex Energy Finance Corp., Senior Notes
|
|
8.875%
|
|
2/15/18
|
|
90,000
|
|
94,725
|
|
Denbury Resources Inc.,
Senior Subordinated Notes
|
|
8.250%
|
|
2/15/20
|
|
128,000
|
|
140,320
|
|
El Paso Corp., Notes
|
|
7.875%
|
|
6/15/12
|
|
200,000
|
|
213,848
|
|
Energy Transfer Equity LP,
Senior Notes
|
|
7.500%
|
|
10/15/20
|
|
130,000
|
|
137,475
|
|
Enterprise Products
Operating LLP, Junior Subordinated Notes
|
|
8.375%
|
|
8/1/66
|
|
100,000
|
|
104,495
|
(d)
|
Enterprise Products
Operating LLP, Subordinated Notes
|
|
7.034%
|
|
1/15/68
|
|
75,000
|
|
74,730
|
(d)
|
EXCO Resources Inc.,
Senior Notes
|
|
7.500%
|
|
9/15/18
|
|
240,000
|
|
239,700
|
|
Griffin Coal Mining Co. Pty
Ltd., Senior Notes
|
|
9.500%
|
|
12/1/16
|
|
10,000
|
|
5,963
|
(a)(b)
|
Harvest Operations Corp.,
Senior Notes
|
|
6.875%
|
|
10/1/17
|
|
90,000
|
|
92,475
|
(a)
|
Inergy LP/Inergy Finance
Corp., Senior Notes
|
|
7.000%
|
|
10/1/18
|
|
100,000
|
|
103,000
|
(a)
|
International Coal Group
Inc., Senior Secured Notes
|
|
9.125%
|
|
4/1/18
|
|
20,000
|
|
21,400
|
|
KazMunaiGaz Finance Sub
BV, Senior Notes
|
|
8.375%
|
|
7/2/13
|
|
100,000
|
|
111,000
|
(a)
|
Linn Energy LLC/Linn
Energy Finance Corp., Senior Notes
|
|
8.625%
|
|
4/15/20
|
|
100,000
|
|
106,500
|
(a)
|
Linn Energy LLC/Linn Energy
Finance Corp., Senior Notes
|
|
7.750%
|
|
2/1/21
|
|
110,000
|
|
111,513
|
(a)
|
LUKOIL International
Finance BV, Bonds
|
|
6.356%
|
|
6/7/17
|
|
140,000
|
|
146,825
|
(a)
|
MarkWest Energy Partners
LP/MarkWest Energy Finance Corp., Senior Notes
|
|
8.750%
|
|
4/15/18
|
|
45,000
|
|
48,825
|
|
Murray Energy Corp.,
Senior Secured Notes
|
|
10.250%
|
|
10/15/15
|
|
205,000
|
|
213,712
|
(a)
|
OPTI Canada Inc., Senior
Secured Notes
|
|
9.000%
|
|
12/15/12
|
|
110,000
|
|
111,925
|
(a)
|
OPTI Canada Inc., Senior
Secured Notes
|
|
9.750%
|
|
8/15/13
|
|
40,000
|
|
40,800
|
(a)
|
OPTI Canada Inc., Senior
Secured Notes
|
|
8.250%
|
|
12/15/14
|
|
130,000
|
|
99,450
|
|
Overseas Shipholding Group
Inc., Senior Notes
|
|
8.125%
|
|
3/30/18
|
|
140,000
|
|
146,125
|
|
Peabody Energy Corp.,
Senior Notes
|
|
7.375%
|
|
11/1/16
|
|
130,000
|
|
142,350
|
|
Peabody Energy Corp.,
Senior Notes
|
|
7.875%
|
|
11/1/26
|
|
40,000
|
|
44,300
|
|
Petrobras International
Finance Co., Senior Notes
|
|
6.875%
|
|
1/20/40
|
|
55,000
|
|
63,236
|
|
Petroplus Finance Ltd.,
Senior Notes
|
|
6.750%
|
|
5/1/14
|
|
75,000
|
|
69,000
|
(a)
|
Petroplus Finance Ltd.,
Senior Notes
|
|
7.000%
|
|
5/1/17
|
|
60,000
|
|
52,500
|
(a)
|
Plains
Exploration & Production Co., Senior Notes
|
|
10.000%
|
|
3/1/16
|
|
130,000
|
|
148,850
|
|
Plains
Exploration & Production Co., Senior Notes
|
|
8.625%
|
|
10/15/19
|
|
115,000
|
|
126,212
|
|
Quicksilver Resources
Inc., Senior Notes
|
|
11.750%
|
|
1/1/16
|
|
185,000
|
|
217,837
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
3
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Oil, Gas & Consumable Fuels continued
|
|
|
|
|
|
|
|
|
|
SandRidge Energy Inc.,
Senior Toggle Notes
|
|
8.625%
|
|
4/1/15
|
|
|
210,000
|
|
$
|
211,050
|
(e)
|
Stone Energy Corp., Senior
Notes
|
|
8.625%
|
|
2/1/17
|
|
90,000
|
|
88,875
|
|
Teekay Corp., Senior Notes
|
|
8.500%
|
|
1/15/20
|
|
220,000
|
|
240,625
|
|
TNK-BP Finance SA, Senior
Notes
|
|
7.500%
|
|
7/18/16
|
|
210,000
|
|
234,150
|
(a)
|
Whiting Petroleum Corp.,
Senior Subordinated Notes
|
|
7.000%
|
|
2/1/14
|
|
10,000
|
|
10,600
|
|
Whiting Petroleum Corp.,
Senior Subordinated Notes
|
|
6.500%
|
|
10/1/18
|
|
110,000
|
|
113,025
|
|
Williams Partners LP,
Senior Notes
|
|
5.250%
|
|
3/15/20
|
|
10,000
|
|
10,891
|
|
Total Oil, Gas &
Consumable Fuels
|
|
|
|
|
|
|
|
5,700,357
|
|
TOTAL ENERGY
|
|
|
|
|
|
|
|
6,712,511
|
|
FINANCIALS
12.9%
|
|
|
|
|
|
|
|
|
|
Capital Markets 0.9%
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Group Inc.,
Subordinated Notes
|
|
6.750%
|
|
10/1/37
|
|
110,000
|
|
114,698
|
|
Lehman Brothers Holdings
Inc., Medium-Term Notes, Senior Notes
|
|
5.250%
|
|
2/6/12
|
|
140,000
|
|
31,675
|
(b)
|
Offshore Group Investments
Ltd., Senior Secured Notes
|
|
11.500%
|
|
8/1/15
|
|
280,000
|
|
295,400
|
(a)
|
Total Capital Markets
|
|
|
|
|
|
|
|
441,773
|
|
Commercial Banks 2.7%
|
|
|
|
|
|
|
|
|
|
BAC Capital Trust VI,
Capital Securities, Junior Subordinated Notes
|
|
5.625%
|
|
3/8/35
|
|
140,000
|
|
131,953
|
|
CIT Group Inc., Senior
Secured Bonds
|
|
7.000%
|
|
5/1/15
|
|
44,771
|
|
44,659
|
|
CIT Group Inc., Senior
Secured Bonds
|
|
7.000%
|
|
5/1/16
|
|
94,619
|
|
93,673
|
|
CIT Group Inc., Senior
Secured Bonds
|
|
7.000%
|
|
5/1/17
|
|
574,468
|
|
565,133
|
|
Credit Agricole SA,
Subordinated Notes
|
|
8.375%
|
|
10/13/19
|
|
100,000
|
|
107,500
|
(a)(d)(f)
|
ICICI Bank Ltd.,
Subordinated Bonds
|
|
6.375%
|
|
4/30/22
|
|
140,000
|
|
141,095
|
(a)(d)
|
NB Capital Trust II,
Junior Subordinated Notes
|
|
7.830%
|
|
12/15/26
|
|
140,000
|
|
144,732
|
|
NB Capital Trust IV,
Junior Subordinated Notes
|
|
8.250%
|
|
4/15/27
|
|
90,000
|
|
92,925
|
|
Total Commercial Banks
|
|
|
|
|
|
|
|
1,321,670
|
|
Consumer Finance 3.8%
|
|
|
|
|
|
|
|
|
|
Ally Financial Inc.,
Debentures
|
|
0.000%
|
|
6/15/15
|
|
410,000
|
|
296,225
|
|
Ally Financial Inc.,
Senior Bonds
|
|
0.000%
|
|
12/1/12
|
|
160,000
|
|
141,942
|
|
Ally Financial Inc.,
Senior Notes
|
|
7.500%
|
|
12/31/13
|
|
30,000
|
|
32,175
|
|
Ally Financial Inc.,
Senior Notes
|
|
8.300%
|
|
2/12/15
|
|
30,000
|
|
32,775
|
(a)
|
Ally Financial Inc.,
Senior Notes
|
|
7.500%
|
|
9/15/20
|
|
180,000
|
|
192,600
|
(a)
|
FMG Finance Pty Ltd.,
Senior Secured Notes
|
|
10.625%
|
|
9/1/16
|
|
95,000
|
|
117,444
|
(a)
|
Ford Motor Credit Co.,
LLC, Senior Notes
|
|
12.000%
|
|
5/15/15
|
|
405,000
|
|
510,555
|
|
GMAC International Finance
BV, Senior Bonds
|
|
7.500%
|
|
4/21/15
|
|
100,000
|
EUR
|
140,074
|
|
SLM Corp., Medium-Term
Notes, Senior Notes
|
|
8.450%
|
|
6/15/18
|
|
70,000
|
|
70,803
|
|
SLM Corp., Medium-Term
Notes, Senior Notes
|
|
8.000%
|
|
3/25/20
|
|
310,000
|
|
308,125
|
|
Total Consumer Finance
|
|
|
|
|
|
|
|
1,842,718
|
|
Diversified Financial
Services 5.1%
|
|
|
|
|
|
|
|
|
|
AES Red Oak LLC, Secured
Notes
|
|
9.200%
|
|
11/30/29
|
|
280,000
|
|
282,100
|
|
Astoria Depositor Corp.,
Pass-Through Certificates
|
|
8.144%
|
|
5/1/21
|
|
150,000
|
|
148,875
|
(a)
|
Bank of America Corp.,
Notes, Preferred Securities
|
|
8.000%
|
|
1/30/18
|
|
15,000
|
|
15,494
|
(d)(f)
|
Bankrate Inc., Senior
Secured Notes
|
|
11.750%
|
|
7/15/15
|
|
70,000
|
|
75,250
|
(a)
|
Capital One Capital V,
Junior Subordinated Notes, Cumulative Trust Preferred Securities
|
|
10.250%
|
|
8/15/39
|
|
110,000
|
|
119,763
|
|
Countrywide Capital III,
Junior Subordinated Notes
|
|
8.050%
|
|
6/15/27
|
|
30,000
|
|
31,650
|
|
Express LLC/Express
Finance Corp., Senior Notes
|
|
8.750%
|
|
3/1/18
|
|
130,000
|
|
137,800
|
|
Fresenius U.S. Finance II
Inc., Senior Notes
|
|
9.000%
|
|
7/15/15
|
|
140,000
|
|
160,300
|
(a)
|
Interactive Data Corp.,
Senior Notes
|
|
10.250%
|
|
8/1/18
|
|
80,000
|
|
85,800
|
(a)(g)
|
International Lease
Finance Corp., Medium-Term Notes
|
|
6.375%
|
|
3/25/13
|
|
220,000
|
|
222,200
|
|
International Lease
Finance Corp., Medium-Term Notes, Senior Notes
|
|
5.625%
|
|
9/20/13
|
|
210,000
|
|
207,112
|
|
International Lease
Finance Corp., Notes
|
|
5.875%
|
|
5/1/13
|
|
50,000
|
|
50,250
|
|
International Lease
Finance Corp., Senior Notes
|
|
8.750%
|
|
3/15/17
|
|
90,000
|
|
96,750
|
(a)
|
International Lease
Finance Corp., Senior Notes
|
|
8.875%
|
|
9/1/17
|
|
390,000
|
|
423,150
|
|
International Lease
Finance Corp., Senior Secured Notes
|
|
7.125%
|
|
9/1/18
|
|
30,000
|
|
32,475
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
4
WESTERN ASSET HIGH INCOME FUND
INC.
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Diversified Financial
Services continued
|
|
|
|
|
|
|
|
|
|
LBI Escrow Corp., Senior
Secured Notes
|
|
8.000%
|
|
11/1/17
|
|
|
165,000
|
|
$
|
180,675
|
(a)
|
MBNA Capital A, Junior
Subordinated Notes
|
|
8.278%
|
|
12/1/26
|
|
130,000
|
|
134,225
|
|
Midwest Gaming Borrower
LLC/Midwest Finance Corp., Senior Secured Notes
|
|
11.625%
|
|
4/15/16
|
|
50,000
|
|
51,125
|
(a)
|
Total Diversified Financial
Services
|
|
|
|
|
|
|
|
2,454,994
|
|
Insurance 0.4%
|
|
|
|
|
|
|
|
|
|
American International
Group Inc., Senior Notes
|
|
8.250%
|
|
8/15/18
|
|
100,000
|
|
117,000
|
|
MetLife Capital Trust IV,
Junior Subordinated Notes
|
|
7.875%
|
|
12/15/37
|
|
60,000
|
|
63,300
|
(a)
|
Total Insurance
|
|
|
|
|
|
|
|
180,300
|
|
Real
Estate Investment Trusts (REITs) 0.0%
|
|
|
|
|
|
|
|
|
Host Hotels &
Resorts, LP, Senior Notes
|
|
6.375%
|
|
3/15/15
|
|
20,000
|
|
20,575
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
6,262,030
|
|
HEALTH
CARE 5.5%
|
|
|
|
|
|
|
|
|
|
Health Care
Equipment & Supplies 0.5%
|
|
|
|
|
|
|
|
|
|
Biomet Inc., Senior Notes
|
|
10.000%
|
|
10/15/17
|
|
110,000
|
|
121,963
|
|
Biomet Inc., Senior Notes
|
|
11.625%
|
|
10/15/17
|
|
40,000
|
|
44,750
|
|
Biomet Inc., Senior Toggle
Notes
|
|
10.375%
|
|
10/15/17
|
|
50,000
|
|
55,750
|
(e)
|
Total Health Care
Equipment & Supplies
|
|
|
|
|
|
|
|
222,463
|
|
Health Care
Providers & Services 4.8%
|
|
|
|
|
|
|
|
|
|
American Renal Holdings,
Senior Secured Notes
|
|
8.375%
|
|
5/15/18
|
|
110,000
|
|
113,850
|
(a)
|
CRC Health Corp., Senior
Subordinated Notes
|
|
10.750%
|
|
2/1/16
|
|
345,000
|
|
327,750
|
|
HCA Inc., Senior Notes
|
|
6.300%
|
|
10/1/12
|
|
275,000
|
|
280,500
|
|
HCA Inc., Senior Notes
|
|
6.250%
|
|
2/15/13
|
|
5,000
|
|
5,113
|
|
HCA Inc., Senior Secured
Notes
|
|
7.875%
|
|
2/15/20
|
|
275,000
|
|
302,156
|
|
InVentiv Health Inc.,
Senior Notes
|
|
10.000%
|
|
8/15/18
|
|
50,000
|
|
49,812
|
(a)
|
Omnicare Inc., Senior
Subordinated Notes
|
|
7.750%
|
|
6/1/20
|
|
30,000
|
|
30,825
|
|
Tenet Healthcare Corp.,
Senior Secured Notes
|
|
10.000%
|
|
5/1/18
|
|
240,000
|
|
275,400
|
(g)
|
Universal Hospital
Services Inc., Senior Secured Notes
|
|
4.134%
|
|
6/1/15
|
|
50,000
|
|
43,250
|
(d)
|
Universal Hospital
Services Inc., Senior Secured Notes
|
|
8.500%
|
|
6/1/15
|
|
190,000
|
|
192,137
|
(e)
|
US Oncology Holdings Inc.,
Senior Notes
|
|
6.737%
|
|
3/15/12
|
|
381,357
|
|
363,243
|
(d)(e)
|
US Oncology Inc., Senior
Secured Notes
|
|
9.125%
|
|
8/15/17
|
|
210,000
|
|
223,650
|
|
Vanguard Health Holdings
Co., II LLC, Senior Notes
|
|
8.000%
|
|
2/1/18
|
|
130,000
|
|
132,600
|
|
Total Health Care
Providers & Services
|
|
|
|
|
|
|
|
2,340,286
|
|
Health Care Technology
0.2%
|
|
|
|
|
|
|
|
|
|
Multiplan Inc., Senior
Notes
|
|
9.875%
|
|
9/1/18
|
|
80,000
|
|
83,800
|
(a)
|
TOTAL HEALTH CARE
|
|
|
|
|
|
|
|
2,646,549
|
|
INDUSTRIALS
10.3%
|
|
|
|
|
|
|
|
|
|
Aerospace &
Defense 1.4%
|
|
|
|
|
|
|
|
|
|
Freedom Group Inc., Senior
Secured Notes
|
|
10.250%
|
|
8/1/15
|
|
190,000
|
|
201,875
|
(a)
|
Kratos Defense &
Security Solutions Inc., Senior Secured Notes
|
|
10.000%
|
|
6/1/17
|
|
100,000
|
|
106,500
|
|
Triumph Group Inc., Senior
Notes
|
|
8.625%
|
|
7/15/18
|
|
150,000
|
|
162,000
|
|
Wyle Services Corp.,
Senior Subordinated Notes
|
|
10.500%
|
|
4/1/18
|
|
205,000
|
|
203,975
|
(a)
|
Total Aerospace &
Defense
|
|
|
|
|
|
|
|
674,350
|
|
Airlines 2.6%
|
|
|
|
|
|
|
|
|
|
Air Canada, Senior Secured
Notes
|
|
9.250%
|
|
8/1/15
|
|
70,000
|
|
71,050
|
(a)
|
Continental Airlines Inc.,
Pass-Through Certificates
|
|
9.250%
|
|
5/10/17
|
|
15,000
|
|
15,956
|
(g)
|
Continental Airlines Inc.,
Pass-Through Certificates, Subordinated Secured Notes
|
|
8.312%
|
|
4/2/11
|
|
47,099
|
|
47,452
|
|
Continental Airlines Inc.,
Pass-Through Certificates, Subordinated Secured Notes
|
|
7.339%
|
|
4/19/14
|
|
199,141
|
|
199,391
|
|
Continental Airlines Inc.,
Senior Secured Notes
|
|
6.750%
|
|
9/15/15
|
|
150,000
|
|
152,813
|
(a)
|
DAE Aviation Holdings
Inc., Senior Notes
|
|
11.250%
|
|
8/1/15
|
|
410,000
|
|
415,166
|
(a)
|
Delta Air Lines Inc.,
Pass-Through Certificates, Subordinated Secured Notes
|
|
9.750%
|
|
12/17/16
|
|
57,014
|
|
61,005
|
|
Delta Air Lines Inc., Senior
Secured Notes
|
|
9.500%
|
|
9/15/14
|
|
58,000
|
|
63,220
|
(a)
|
United Air Lines Inc.,
Senior Secured Notes
|
|
9.875%
|
|
8/1/13
|
|
210,000
|
|
228,900
|
(a)
|
Total Airlines
|
|
|
|
|
|
|
|
1,254,953
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
5
WESTERN ASSET HIGH INCOME FUND
INC.
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Building Products 0.9%
|
|
|
|
|
|
|
|
|
|
Ashton Woods USA
LLC/Ashton Woods Finance Co., Senior Subordinated Notes, step bond
|
|
0.000%
|
|
6/30/15
|
|
|
54,600
|
|
$
|
27,573
|
(a)(c)
|
GTL Trade Finance Inc.,
Senior Notes
|
|
7.250%
|
|
10/20/17
|
|
139,000
|
|
155,506
|
(a)
|
GTL Trade Finance Inc.,
Senior Notes
|
|
7.250%
|
|
10/20/17
|
|
130,000
|
|
145,438
|
(a)
|
Rearden G Holdings EINS
GmbH, Senior Notes
|
|
7.875%
|
|
3/30/20
|
|
100,000
|
|
107,500
|
(a)
|
Total Building Products
|
|
|
|
|
|
|
|
436,017
|
|
Commercial
Services & Supplies 1.6%
|
|
|
|
|
|
|
|
|
|
ACCO Brands Corp., Senior
Secured Notes
|
|
10.625%
|
|
3/15/15
|
|
160,000
|
|
179,600
|
|
ACCO Brands Corp., Senior
Subordinated Notes
|
|
7.625%
|
|
8/15/15
|
|
60,000
|
|
57,900
|
|
Altegrity Inc., Senior
Subordinated Notes
|
|
11.750%
|
|
5/1/16
|
|
260,000
|
|
253,825
|
(a)
|
Garda World Security
Corp., Senior Notes
|
|
9.750%
|
|
3/15/17
|
|
70,000
|
|
74,900
|
(a)
|
Geo Group Inc., Senior
Notes
|
|
7.750%
|
|
10/15/17
|
|
155,000
|
|
163,525
|
(a)
|
RSC Equipment Rental
Inc./RSC Holdings III LLC, Senior Secured Notes
|
|
10.000%
|
|
7/15/17
|
|
55,000
|
|
61,462
|
(a)
|
Total Commercial
Services & Supplies
|
|
|
|
|
|
|
|
791,212
|
|
Construction &
Engineering 0.2%
|
|
|
|
|
|
|
|
|
|
Odebrecht Finance Ltd.,
Senior Notes
|
|
7.500%
|
|
10/18/17
|
|
100,000
|
|
109,500
|
(a)
|
Electrical Equipment
0.2%
|
|
|
|
|
|
|
|
|
|
NES Rentals Holdings Inc.,
Senior Secured Notes
|
|
12.250%
|
|
4/15/15
|
|
130,000
|
|
102,700
|
(a)
|
Industrial Conglomerates
0.3%
|
|
|
|
|
|
|
|
|
|
Leucadia National Corp.,
Senior Notes
|
|
8.125%
|
|
9/15/15
|
|
120,000
|
|
129,600
|
|
Marine 0.4%
|
|
|
|
|
|
|
|
|
|
Trico Shipping AS, Senior
Secured Notes
|
|
13.875%
|
|
11/1/14
|
|
210,000
|
|
188,475
|
(a)
|
Road & Rail
1.7%
|
|
|
|
|
|
|
|
|
|
Kansas City Southern de
Mexico, Senior Notes
|
|
12.500%
|
|
4/1/16
|
|
211,000
|
|
253,728
|
|
Kansas City Southern de
Mexico, Senior Notes
|
|
8.000%
|
|
2/1/18
|
|
290,000
|
|
313,200
|
(a)
|
Kansas City Southern
Railway, Senior Notes
|
|
13.000%
|
|
12/15/13
|
|
20,000
|
|
24,325
|
|
RailAmerica Inc., Senior
Secured Notes
|
|
9.250%
|
|
7/1/17
|
|
213,000
|
|
234,566
|
|
Total Road & Rail
|
|
|
|
|
|
|
|
825,819
|
|
Trading
Companies & Distributors 0.7%
|
|
|
|
|
|
|
|
|
|
Ashtead Capital Inc.,
Notes
|
|
9.000%
|
|
8/15/16
|
|
100,000
|
|
104,000
|
(a)
|
Ashtead Holdings PLC,
Senior Secured Notes
|
|
8.625%
|
|
8/1/15
|
|
90,000
|
|
93,150
|
(a)
|
H&E Equipment Services
Inc., Senior Notes
|
|
8.375%
|
|
7/15/16
|
|
160,000
|
|
160,800
|
|
Total Trading
Companies & Distributors
|
|
|
|
|
|
|
|
357,950
|
|
Transportation 0.3%
|
|
|
|
|
|
|
|
|
|
Syncreon Global Ireland
Ltd./Syncreon Global Finance US Inc., Senior Notes
|
|
9.500%
|
|
5/1/18
|
|
160,000
|
|
157,800
|
(a)
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
5,028,376
|
|
INFORMATION
TECHNOLOGY 3.3%
|
|
|
|
|
|
|
|
|
|
Communications Equipment
0.4%
|
|
|
|
|
|
|
|
|
|
Lucent Technologies Inc.,
Debentures
|
|
6.450%
|
|
3/15/29
|
|
285,000
|
|
208,762
|
|
Electronic
Equipment, Instruments & Components 0.6%
|
|
|
|
|
|
|
NXP BV/NXP Funding LLC,
Senior Secured Notes
|
|
9.750%
|
|
8/1/18
|
|
280,000
|
|
299,600
|
(a)
|
IT Services 1.4%
|
|
|
|
|
|
|
|
|
|
Ceridian Corp., Senior
Notes
|
|
12.250%
|
|
11/15/15
|
|
143,775
|
|
136,946
|
(e)
|
Fidelity National
Information Services Inc., Senior Notes
|
|
7.625%
|
|
7/15/17
|
|
40,000
|
|
42,900
|
(a)
|
Fidelity National
Information Services Inc., Senior Notes
|
|
7.875%
|
|
7/15/20
|
|
70,000
|
|
75,775
|
(a)
|
First Data Corp., Senior
Notes
|
|
9.875%
|
|
9/24/15
|
|
60,000
|
|
49,350
|
|
First Data Corp., Senior
Notes
|
|
10.550%
|
|
9/24/15
|
|
363,512
|
|
295,807
|
(e)
|
GXS Worldwide Inc., Senior
Secured Notes
|
|
9.750%
|
|
6/15/15
|
|
70,000
|
|
70,088
|
|
Total IT Services
|
|
|
|
|
|
|
|
670,866
|
|
Semiconductors &
Semiconductor Equipment 0.7%
|
|
|
|
|
|
|
|
Freescale Semiconductor
Inc., Senior Notes
|
|
10.750%
|
|
8/1/20
|
|
40,000
|
|
40,300
|
(a)
|
Freescale Semiconductor
Inc., Senior Secured Notes
|
|
9.250%
|
|
4/15/18
|
|
50,000
|
|
52,250
|
(a)
|
Freescale Semiconductor
Inc., Senior Subordinated Notes
|
|
10.125%
|
|
12/15/16
|
|
190,000
|
|
173,850
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See
Notes to Schedule of Investments.
6
WESTERN ASSET HIGH INCOME FUND
INC.
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Semiconductors &
Semiconductor Equipment continued
|
|
|
|
|
|
|
|
Freescale Semiconductor
Inc., Senior Toggle Notes
|
|
9.125%
|
|
12/15/14
|
|
|
57,776
|
|
$
|
58,065
|
(e)
|
Total Semiconductors &
Semiconductor Equipment
|
|
|
|
|
|
|
|
324,465
|
|
Software 0.2%
|
|
|
|
|
|
|
|
|
|
Aspect Software Inc.,
Senior Secured Notes
|
|
10.625%
|
|
5/15/17
|
|
105,000
|
|
109,594
|
(a)
|
TOTAL INFORMATION
TECHNOLOGY
|
|
|
|
|
|
|
|
1,613,287
|
|
MATERIALS
7.5%
|
|
|
|
|
|
|
|
|
|
Chemicals 2.4%
|
|
|
|
|
|
|
|
|
|
Ashland Inc., Senior Notes
|
|
9.125%
|
|
6/1/17
|
|
265,000
|
|
304,750
|
|
CF Industries Inc., Senior
Notes
|
|
6.875%
|
|
5/1/18
|
|
20,000
|
|
21,575
|
|
CF Industries Inc., Senior
Notes
|
|
7.125%
|
|
5/1/20
|
|
80,000
|
|
87,700
|
|
FMC Finance III SA, Senior
Notes
|
|
6.875%
|
|
7/15/17
|
|
80,000
|
|
86,000
|
|
Georgia Gulf Corp., Senior
Secured Notes
|
|
9.000%
|
|
1/15/17
|
|
110,000
|
|
115,775
|
(a)
|
Ineos Finance PLC, Senior
Secured Notes
|
|
9.000%
|
|
5/15/15
|
|
100,000
|
|
104,875
|
(a)
|
Kerling PLC, Senior Secured
Notes
|
|
10.625%
|
|
1/28/17
|
|
93,000
|
EUR
|
133,914
|
(a)
|
Solutia Inc., Senior Notes
|
|
8.750%
|
|
11/1/17
|
|
95,000
|
|
104,262
|
|
Solutia Inc., Senior Notes
|
|
7.875%
|
|
3/15/20
|
|
120,000
|
|
128,850
|
|
Texas Petro Chemical Corp.
Group LLC, Senior Secured Notes
|
|
8.250%
|
|
10/1/17
|
|
70,000
|
|
71,925
|
(a)(c)
|
Total Chemicals
|
|
|
|
|
|
|
|
1,159,626
|
|
Containers &
Packaging 1.7%
|
|
|
|
|
|
|
|
|
|
Ardagh Packaging Finance
PLC, Senior Notes
|
|
9.125%
|
|
10/15/20
|
|
200,000
|
|
200,000
|
(a)
|
Ball Corp., Senior Notes
|
|
6.625%
|
|
3/15/18
|
|
30,000
|
|
31,650
|
|
Berry Plastics Corp.,
Senior Secured Notes
|
|
9.500%
|
|
5/15/18
|
|
160,000
|
|
151,200
|
|
Berry Plastics Holding
Corp., Second Priority Senior Secured Notes
|
|
8.875%
|
|
9/15/14
|
|
70,000
|
|
68,425
|
|
Radnor Holdings Inc.,
Senior Notes
|
|
11.000%
|
|
3/15/11
|
|
100,000
|
|
0
|
(b)(c)(g)
|
Solo Cup Co., Senior
Secured Notes
|
|
10.500%
|
|
11/1/13
|
|
135,000
|
|
140,400
|
|
Viskase Cos. Inc., Senior
Secured Notes
|
|
9.875%
|
|
1/15/18
|
|
190,000
|
|
194,750
|
(a)(c)
|
Viskase Cos. Inc., Senior
Secured Notes
|
|
9.875%
|
|
1/15/18
|
|
20,000
|
|
20,500
|
(a)(c)
|
Total Containers &
Packaging
|
|
|
|
|
|
|
|
806,925
|
|
Metals & Mining
1.3%
|
|
|
|
|
|
|
|
|
|
Evraz Group SA, Notes
|
|
8.875%
|
|
4/24/13
|
|
100,000
|
|
106,870
|
(a)
|
Evraz Group SA, Notes
|
|
9.500%
|
|
4/24/18
|
|
100,000
|
|
112,500
|
(a)
|
Ryerson Holding Corp.,
Senior Discount Notes
|
|
0.000%
|
|
2/1/15
|
|
280,000
|
|
129,500
|
(a)
|
Vale Overseas Ltd., Notes
|
|
8.250%
|
|
1/17/34
|
|
62,000
|
|
79,236
|
|
Vale Overseas Ltd., Notes
|
|
6.875%
|
|
11/21/36
|
|
100,000
|
|
114,496
|
|
Vedanta Resources PLC,
Senior Notes
|
|
8.750%
|
|
1/15/14
|
|
100,000
|
|
108,000
|
(a)
|
Total Metals & Mining
|
|
|
|
|
|
|
|
650,602
|
|
Paper & Forest
Products 2.1%
|
|
|
|
|
|
|
|
|
|
Appleton Papers Inc.,
Senior Secured Notes
|
|
11.250%
|
|
12/15/15
|
|
346,000
|
|
257,770
|
(a)
|
Georgia-Pacific LLC,
Senior Notes
|
|
8.250%
|
|
5/1/16
|
|
40,000
|
|
44,650
|
(a)
|
Neenah Paper Inc., Senior
Notes
|
|
7.375%
|
|
11/15/14
|
|
50,000
|
|
50,313
|
|
NewPage Corp., Senior
Secured Notes
|
|
11.375%
|
|
12/31/14
|
|
240,000
|
|
218,400
|
|
Smurfit Capital Funding
PLC, Debentures
|
|
7.500%
|
|
11/20/25
|
|
200,000
|
|
180,000
|
|
Verso Paper Holdings LLC,
Senior Secured Notes
|
|
11.500%
|
|
7/1/14
|
|
255,000
|
|
280,500
|
|
Verso Paper Holdings LLC,
Senior Subordinated Notes
|
|
11.375%
|
|
8/1/16
|
|
20,000
|
|
18,075
|
|
Total Paper & Forest
Products
|
|
|
|
|
|
|
|
1,049,708
|
|
TOTAL MATERIALS
|
|
|
|
|
|
|
|
3,666,861
|
|
TELECOMMUNICATION
SERVICES 9.7%
|
|
|
|
|
|
|
|
|
|
Diversified
Telecommunication Services 5.7%
|
|
|
|
|
|
|
|
Axtel SAB de CV, Senior
Notes
|
|
7.625%
|
|
2/1/17
|
|
250,000
|
|
229,375
|
(a)
|
Axtel SAB de CV, Senior
Notes
|
|
9.000%
|
|
9/22/19
|
|
8,000
|
|
7,420
|
(a)
|
CC Holdings GS V LLC,
Senior Secured Notes
|
|
7.750%
|
|
5/1/17
|
|
10,000
|
|
11,100
|
(a)
|
Cincinnati Bell Telephone
Co., Senior Debentures
|
|
6.300%
|
|
12/1/28
|
|
25,000
|
|
19,125
|
|
Hawaiian Telcom
Communications Inc., Senior Subordinated Notes
|
|
12.500%
|
|
5/1/15
|
|
110,000
|
|
11
|
(b)(c)
|
Inmarsat Finance PLC,
Senior Notes
|
|
7.375%
|
|
12/1/17
|
|
200,000
|
|
210,000
|
(a)
|
Intelsat Intermediate
Holding Co., Ltd., Senior Discount Notes
|
|
9.500%
|
|
2/1/15
|
|
40,000
|
|
41,600
|
|
Intelsat Jackson Holdings
Ltd., Senior Notes
|
|
9.500%
|
|
6/15/16
|
|
235,000
|
|
251,744
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
7
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
September 30,
2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Diversified
Telecommunication Services continued
|
|
|
|
|
|
|
|
Intelsat Jackson Holdings
Ltd., Senior Notes
|
|
11.250%
|
|
6/15/16
|
|
|
90,000
|
|
$
|
98,325
|
|
Intelsat Jackson Holdings
Ltd., Senior Notes
|
|
11.500%
|
|
6/15/16
|
|
430,000
|
|
468,700
|
|
Level 3 Financing Inc.,
Senior Notes
|
|
9.250%
|
|
11/1/14
|
|
80,000
|
|
75,600
|
|
Level 3 Financing Inc.,
Senior Notes
|
|
10.000%
|
|
2/1/18
|
|
100,000
|
|
90,500
|
|
Qwest Communications
International Inc., Senior Notes
|
|
8.000%
|
|
10/1/15
|
|
20,000
|
|
21,750
|
|
TW Telecom Holdings Inc.,
Senior Notes
|
|
8.000%
|
|
3/1/18
|
|
170,000
|
|
178,925
|
|
UBS Luxembourg SA for OJSC
Vimpel Communications, Loan Participation Notes
|
|
8.250%
|
|
5/23/16
|
|
130,000
|
|
142,025
|
(a)
|
Valor Telecommunications
Enterprises LLC/Finance Corp., Senior Notes
|
|
7.750%
|
|
2/15/15
|
|
100,000
|
|
103,555
|
|
Vimpel Communications,
Loan Participation Notes
|
|
8.375%
|
|
4/30/13
|
|
100,000
|
|
108,375
|
(a)
|
West Corp., Senior Notes
|
|
8.625%
|
|
10/1/18
|
|
120,000
|
|
120,000
|
(a)
|
Wind Acquisition Holdings
Finance SpA, Senior Notes
|
|
12.250%
|
|
7/15/17
|
|
400,008
|
|
430,509
|
(a)(e)
|
Windstream Corp., Senior
Notes
|
|
8.625%
|
|
8/1/16
|
|
150,000
|
|
159,375
|
|
Total
Diversified Telecommunication Services
|
|
|
|
|
|
2,768,014
|
|
Wireless
Telecommunication Services 4.0%
|
|
|
|
|
|
|
|
Cricket Communications
Inc., Senior Secured Notes
|
|
7.750%
|
|
5/15/16
|
|
130,000
|
|
138,613
|
|
MetroPCS Wireless Inc.,
Senior Notes
|
|
7.875%
|
|
9/1/18
|
|
100,000
|
|
103,500
|
|
Sprint Capital Corp.,
Global Notes
|
|
6.900%
|
|
5/1/19
|
|
160,000
|
|
161,600
|
|
Sprint Capital Corp.,
Senior Notes
|
|
8.375%
|
|
3/15/12
|
|
385,000
|
|
413,875
|
|
Sprint Capital Corp.,
Senior Notes
|
|
6.875%
|
|
11/15/28
|
|
150,000
|
|
138,000
|
|
Sprint Capital Corp.,
Senior Notes
|
|
8.750%
|
|
3/15/32
|
|
550,000
|
|
580,250
|
|
True Move Co., Ltd.,
Notes
|
|
10.750%
|
|
12/16/13
|
|
395,000
|
|
421,662
|
(a)
|
Total
Wireless Telecommunication Services
|
|
|
|
|
|
1,957,500
|
|
TOTAL
TELECOMMUNICATION SERVICES
|
|
|
|
|
|
4,725,514
|
|
UTILITIES
5.0%
|
|
|
|
|
|
|
|
|
|
Electric Utilities
1.1%
|
|
|
|
|
|
|
|
|
|
EEB International Ltd.,
Senior Bonds
|
|
8.750%
|
|
10/31/14
|
|
100,000
|
|
109,500
|
(a)
|
Reliant Energy
Mid-Atlantic Power Holdings LLC, Senior Notes
|
|
9.681%
|
|
7/2/26
|
|
230,000
|
|
239,775
|
|
Texas Competitive Electric
Holdings Co. LLC, Senior Notes
|
|
10.250%
|
|
11/1/15
|
|
295,000
|
|
194,700
|
|
Total Electric Utilities
|
|
|
|
|
|
|
|
543,975
|
|
Gas Utilities 0.3%
|
|
|
|
|
|
|
|
|
|
Suburban Propane Partners
LP/Suburban Energy Finance Corp., Senior Notes
|
|
7.375%
|
|
3/15/20
|
|
120,000
|
|
128,100
|
|
Independent
Power Producers & Energy Traders 3.6%
|
|
|
|
|
|
|
Calpine Corp., Senior
Secured Notes
|
|
7.875%
|
|
7/31/20
|
|
160,000
|
|
165,200
|
(a)
|
Colbun SA, Senior Notes
|
|
6.000%
|
|
1/21/20
|
|
100,000
|
|
105,851
|
(a)
|
Dynegy Holdings Inc.,
Senior Debentures
|
|
7.625%
|
|
10/15/26
|
|
180,000
|
|
109,350
|
|
Dynegy Inc., Bonds
|
|
7.670%
|
|
11/8/16
|
|
160,000
|
|
148,400
|
|
Edison Mission Energy,
Senior Notes
|
|
7.750%
|
|
6/15/16
|
|
50,000
|
|
39,375
|
|
Edison Mission Energy,
Senior Notes
|
|
7.625%
|
|
5/15/27
|
|
85,000
|
|
57,587
|
|
Energy Future Holdings
Corp., Senior Notes
|
|
10.875%
|
|
11/1/17
|
|
315,000
|
|
190,575
|
|
Energy Future Holdings
Corp., Senior Notes
|
|
11.250%
|
|
11/1/17
|
|
16,182
|
|
7,808
|
(e)
|
Energy Future Intermediate
Holding Co. LLC/EFIH Finance Inc., Senior Secured Notes
|
|
10.000%
|
|
12/1/20
|
|
206,108
|
|
205,575
|
|
Foresight Energy
LLC/Foresight Energy Corp., Senior Notes
|
|
9.625%
|
|
8/15/17
|
|
350,000
|
|
362,250
|
(a)
|
Mirant Americas Generation
LLC, Senior Notes
|
|
9.125%
|
|
5/1/31
|
|
290,000
|
|
276,225
|
|
Mirant Mid Atlantic LLC,
Pass-Through Certificates
|
|
10.060%
|
|
12/30/28
|
|
48,715
|
|
53,830
|
|
NRG Energy Inc., Senior
Notes
|
|
7.375%
|
|
1/15/17
|
|
30,000
|
|
30,825
|
|
Total
Independent Power Producers & Energy Traders
|
|
|
|
|
|
1,752,851
|
|
TOTAL UTILITIES
|
|
|
|
|
|
|
|
2,424,926
|
|
TOTAL
CORPORATE BONDS & NOTES (Cost $41,598,765)
|
|
|
|
43,041,879
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
8
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
COLLATERALIZED
SENIOR LOANS 1.2%
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY
0.1%
|
|
|
|
|
|
|
|
|
|
Auto Components 0.1%
|
|
|
|
|
|
|
|
|
|
Allison Transmission Inc.,
Term Loan B
|
|
3.010
- 3.050%
|
|
8/7/14
|
|
|
33,715
|
|
$
|
31,724
|
(h)
|
ENERGY 0.4%
|
|
|
|
|
|
|
|
|
|
Energy
Equipment & Services 0.4%
|
|
|
|
|
|
|
|
|
Turbo Beta Ltd., Term Loan
|
|
14.500%
|
|
3/15/18
|
|
254,571
|
|
222,749
|
(c)(e)(h)
|
TELECOMMUNICATION
SERVICES 0.5%
|
|
|
|
|
|
|
|
|
Wireless
Telecommunication Services 0.5%
|
|
|
|
|
|
|
|
Vodafone Group PLC, Term
Loan
|
|
6.875%
|
|
8/11/15
|
|
260,000
|
|
260,000
|
(e)(g)(h)
|
UTILITIES 0.2%
|
|
|
|
|
|
|
|
|
|
Independent
Power Producers & Energy Traders 0.2%
|
|
|
|
|
|
|
Energy Future Holdings,
Term Loan B3
|
|
3.758
- 3.789%
|
|
10/10/14
|
|
99,233
|
|
77,002
|
(h)
|
TOTAL COLLATERALIZED
SENIOR LOANS (Cost $625,982)
|
|
|
|
591,475
|
|
CONVERTIBLE
BONDS & NOTES 0.6%
|
|
|
|
|
|
|
|
|
|
INDUSTRIALS 0.6%
|
|
|
|
|
|
|
|
|
|
Marine 0.6%
|
|
|
|
|
|
|
|
|
|
Horizon Lines Inc., Senior
Notes
(Cost - $292,196)
|
|
4.250%
|
|
8/15/12
|
|
330,000
|
|
301,950
|
|
SOVEREIGN BONDS 4.8%
|
|
|
|
|
|
|
|
|
|
Argentina 0.8%
|
|
|
|
|
|
|
|
|
|
Republic of Argentina, GDP
Linked Securities, Senior Bonds
|
|
3.169%
|
|
12/15/35
|
|
65,000
|
|
7,800
|
(k)
|
Republic of Argentina,
Senior Bonds
|
|
7.000%
|
|
9/12/13
|
|
358,000
|
|
336,172
|
|
Republic of Argentina,
Senior Bonds
|
|
7.000%
|
|
10/3/15
|
|
26,000
|
|
22,922
|
|
Republic of Argentina,
Senior Notes
|
|
8.750%
|
|
6/2/17
|
|
25,000
|
|
24,219
|
|
Total Argentina
|
|
|
|
|
|
|
|
391,113
|
|
Brazil 0.7%
|
|
|
|
|
|
|
|
|
|
Brazil Nota do Tesouro
Nacional, Notes
|
|
10.000%
|
|
1/1/12
|
|
512,000
|
BRL
|
297,350
|
|
Brazil Nota do Tesouro
Nacional, Notes
|
|
10.000%
|
|
1/1/14
|
|
29,000
|
BRL
|
16,280
|
|
Brazil Nota do Tesouro
Nacional, Notes
|
|
10.000%
|
|
1/1/17
|
|
45,000
|
BRL
|
24,616
|
|
Total Brazil
|
|
|
|
|
|
|
|
338,246
|
|
Colombia 0.3%
|
|
|
|
|
|
|
|
|
|
Republic of Colombia,
Senior Notes
|
|
7.375%
|
|
3/18/19
|
|
100,000
|
|
127,000
|
|
Indonesia 0.4%
|
|
|
|
|
|
|
|
|
|
Republic of Indonesia,
Senior Bonds
|
|
10.250%
|
|
7/15/22
|
|
539,000,000
|
IDR
|
71,356
|
|
Republic of Indonesia,
Senior Bonds
|
|
11.000%
|
|
9/15/25
|
|
297,000,000
|
IDR
|
41,645
|
|
Republic of Indonesia,
Senior Bonds
|
|
10.250%
|
|
7/15/27
|
|
378,000,000
|
IDR
|
49,384
|
|
Republic of Indonesia,
Senior Bonds
|
|
9.750%
|
|
5/15/37
|
|
408,000,000
|
IDR
|
50,261
|
|
Total Indonesia
|
|
|
|
|
|
|
|
212,646
|
|
Russia 0.9%
|
|
|
|
|
|
|
|
|
|
RSHB Capital, Loan Participation
Notes, Senior Secured Bonds
|
|
6.299%
|
|
5/15/17
|
|
140,000
|
|
146,650
|
(a)
|
RSHB Capital, Loan
Participation Notes, Senior Secured Notes
|
|
7.175%
|
|
5/16/13
|
|
70,000
|
|
75,250
|
(a)
|
RSHB Capital, Loan
Participation Notes, Senior Secured Notes
|
|
9.000%
|
|
6/11/14
|
|
150,000
|
|
172,875
|
(a)
|
Russian Agricultural Bank,
Credit-Linked Notes (HSBC Bank PLC)
|
|
8.900%
|
|
12/20/10
|
|
1,224,000
|
RUB
|
38,586
|
(a)(g)
|
Total Russia
|
|
|
|
|
|
|
|
433,361
|
|
Turkey 1.0%
|
|
|
|
|
|
|
|
|
|
Republic of Turkey, Senior
Notes
|
|
7.000%
|
|
6/5/20
|
|
12,000
|
|
14,430
|
|
Republic of Turkey, Senior
Notes
|
|
6.875%
|
|
3/17/36
|
|
417,000
|
|
486,847
|
|
Total Turkey
|
|
|
|
|
|
|
|
501,277
|
|
Venezuela 0.7%
|
|
|
|
|
|
|
|
|
|
Bolivarian Republic of
Venezuela
|
|
5.750%
|
|
2/26/16
|
|
386,000
|
|
269,737
|
(a)
|
Bolivarian Republic of
Venezuela
|
|
7.650%
|
|
4/21/25
|
|
16,000
|
|
9,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
9
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Venezuela continued
|
|
|
|
|
|
|
|
|
|
Bolivarian Republic of
Venezuela, Collective Action Securities, Global Senior Bonds
|
|
9.375%
|
|
1/13/34
|
|
|
53,000
|
|
$
|
36,305
|
|
Bolivarian Republic of
Venezuela, Collective Action Securities, Notes
|
|
10.750%
|
|
9/19/13
|
|
28,000
|
|
26,530
|
|
Bolivarian Republic of
Venezuela, Global Senior Bonds
|
|
8.500%
|
|
10/8/14
|
|
12,000
|
|
10,140
|
|
Total Venezuela
|
|
|
|
|
|
|
|
352,512
|
|
TOTAL
SOVEREIGN BONDS (Cost $2,341,328)
|
|
|
|
|
|
2,356,155
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES
|
|
|
|
COMMON
STOCKS 1.3%
|
|
|
|
|
|
|
|
|
|
CONSUMER
DISCRETIONARY 1.0%
|
|
|
|
|
|
|
|
|
|
Media 1.0%
|
|
|
|
|
|
|
|
|
|
Charter Communications
Inc.
|
|
|
|
|
|
10,703
|
|
347,847
|
*(g)
|
Charter Communications
Inc., Class A Shares
|
|
|
|
|
|
3,836
|
|
124,670
|
*
|
SuperMedia Inc.
|
|
|
|
|
|
119
|
|
1,255
|
*
|
TOTAL
CONSUMER DISCRETIONARY
|
|
|
|
|
|
473,772
|
|
ENERGY
0.1%
|
|
|
|
|
|
|
|
|
|
Oil, Gas &
Consumable Fuels 0.1%
|
|
|
|
|
|
|
|
|
|
SemGroup Corp.,
Class A Shares
|
|
|
|
|
|
867
|
|
20,153
|
*
|
INDUSTRIALS
0.0%
|
|
|
|
|
|
|
|
|
|
Building Products 0.0%
|
|
|
|
|
|
|
|
|
|
Ashton Woods USA LLC,
Class B Membership
|
|
|
|
|
|
17
|
|
7,651
|
(c)(g)
|
Nortek Inc.
|
|
|
|
|
|
229
|
|
9,028
|
*
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
16,679
|
|
MATERIALS
0.2%
|
|
|
|
|
|
|
|
|
|
Chemicals 0.2%
|
|
|
|
|
|
|
|
|
|
Applied Extrusion
Technologies Inc., Class B Shares
|
|
|
|
|
|
1,091
|
|
2,455
|
*(c)(g)
|
Georgia Gulf Corp.
|
|
|
|
|
|
6,273
|
|
102,501
|
*
|
TOTAL MATERIALS
|
|
|
|
|
|
|
|
104,956
|
|
TOTAL
COMMON STOCKS (Cost $741,680)
|
|
|
|
|
|
615,560
|
|
CONVERTIBLE
PREFERRED STOCKS 0.8%
|
|
|
|
|
|
|
|
FINANCIALS 0.8%
|
|
|
|
|
|
|
|
|
|
Diversified Financial
Services 0.8%
|
|
|
|
|
|
|
|
|
|
Bank of America Corp.
|
|
7.250%
|
|
|
|
290
|
|
284,925
|
|
Citigroup Inc.
|
|
7.500%
|
|
|
|
806
|
|
95,519
|
|
TOTAL
CONVERTIBLE PREFERRED STOCKS (Cost $367,435)
|
|
|
|
380,444
|
|
PREFERRED STOCKS 1.3%
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY
0.2%
|
|
|
|
|
|
|
|
|
|
Automobiles 0.2%
|
|
|
|
|
|
|
|
|
|
Saturns, Series F
2003-5
|
|
8.125%
|
|
|
|
3,935
|
|
99,949
|
|
FINANCIALS
1.1%
|
|
|
|
|
|
|
|
|
|
Commercial Banks 0.3%
|
|
|
|
|
|
|
|
|
|
Banesto Holdings Ltd.
|
|
10.500%
|
|
|
|
6,000
|
|
156,750
|
(a)
|
Diversified Financial
Services 0.8%
|
|
|
|
|
|
|
|
|
|
Citigroup Capital XII
|
|
8.500%
|
|
|
|
14,100
|
|
372,381
|
(d)
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
529,131
|
|
TOTAL
PREFERRED STOCKS (Cost $570,106)
|
|
|
|
|
|
629,080
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
10
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
September 30, 2010
SECURITY
|
|
|
|
EXPIRATION
DATE
|
|
WARRANTS
|
|
VALUE
|
|
WARRANTS 0.0%
|
|
|
|
|
|
|
|
|
|
Buffets Restaurant
Holdings
|
|
|
|
4/28/14
|
|
169
|
|
$
|
2
|
*(c)(g)
|
Charter Communications
Inc.
|
|
|
|
11/30/14
|
|
209
|
|
1,343
|
*
|
Nortek Inc.
|
|
|
|
12/7/14
|
|
340
|
|
4,121
|
*
|
SemGroup Corp.
|
|
|
|
11/30/14
|
|
912
|
|
5,246
|
*
|
Turbo Beta Ltd.
|
|
|
|
11/1/14
|
|
1
|
|
|
0
|
*(c)(g)
|
TOTAL WARRANTS (Cost
$4,751)
|
|
|
|
|
|
|
|
10,712
|
|
TOTAL
INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost $46,542,243)
|
|
47,927,255
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
|
|
SHORT-TERM
INVESTMENTS 0.0%
|
|
|
|
|
|
|
|
|
|
U.S. Government Agencies
0.0%
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage
Association (FNMA), Discount Notes (Cost - $6,990)
|
|
0.240%
|
|
5/9/11
|
|
|
7,000
|
|
6,992
|
(i)(j)
|
TOTAL
INVESTMENTS 98.5% (Cost $46,549,233#)
|
|
|
|
|
|
47,934,247
|
|
Other
Assets in Excess of Liabilities 1.5%
|
|
|
|
|
|
713,443
|
|
TOTAL
NET ASSETS 100.0%
|
|
|
|
|
|
$
|
48,647,690
|
|
|
|
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, unless otherwise noted.
|
(b)
|
|
The coupon payment on
these securities is currently in default as of September 30, 2010.
|
(c)
|
|
Illiquid security.
|
(d)
|
|
Variable rate security.
Interest rate disclosed is that which is in effect at September 30,
2010.
|
(e)
|
|
Payment-in-kind security
for which part of the income earned may be paid as additional principal.
|
(f)
|
|
Security has no maturity
date. The date shown represents the next call date.
|
(g)
|
|
Security is valued in good
faith at fair value in accordance with procedures approved by the Board of
Directors (See Note 1).
|
(h)
|
|
Interest rates disclosed
represent the effective rates on collateralized senior loans. Ranges in
interest rates are attributable to multiple contracts under the same loan.
|
(i)
|
|
All or a portion of this
security is held at the broker as collateral for open futures contracts.
|
(j)
|
|
Rate shown represents
yield-to-maturity.
|
(k)
|
|
Variable rate security.
Interest rate disclosed is as of the most recent available information.
|
#
|
|
Aggregate cost for federal
income tax purposes is substantially the same.
|
|
|
|
|
|
Abbreviations used in this
schedule:
|
|
|
BRL
|
- Brazilian Real
|
|
|
EUR
|
- Euro
|
|
|
GDP
|
- Gross Domestic Product
|
|
|
IDR
|
- Indonesian Rupiah
|
|
|
OJSC
|
- Open Joint Stock Company
|
|
|
RUB
|
- Russian Ruble
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of
Investments.
11
Notes to Schedule of Investments (unaudited)
1. Organization and Significant Accounting Policies
Western Asset High Income 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 to maintain a high level of current
income by investing at least 80% of its net assets, plus any borrowings for
investment purposes, in high-yield debt securities issued by U.S. and foreign
corporations and foreign governments. As a secondary objective, the Fund seeks
capital appreciation.
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.
Debt securities are valued at the mean
between the last quoted bid and asked prices provided by an independent pricing
service that are based on transactions in debt obligations, quotations from bond
dealers, market transactions in comparable securities and various other
relationships between securities. Publicly traded foreign government debt
securities are typically traded internationally in the over-the-counter market,
and are valued at the mean between the last quoted bid and asked prices as of
the close of business of that market. 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 prices are not readily
available, or are determined not to reflect fair value, 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 at fair
value as determined in accordance with procedures approved by the Funds Board
of Directors. Short-term obligations with maturities of 60 days or less are
valued at amortized cost, which approximates fair value.
The
Fund has adopted Financial Accounting Standards Board Codification Topic 820 (ASC
Topic 820). ASC Topic 820 establishes a single definition of fair value,
creates a three-tier hierarchy as a framework for measuring fair value based on
inputs used to value the Funds investments, and requires additional disclosure
about fair value. The hierarchy of inputs is summarized below.
·
Level 1quoted
prices in active markets for identical investments
·
Level 2other
significant observable inputs (including quoted prices for similar investments,
interest rates, prepayment speeds, credit risk, etc.)
·
Level
3significant unobservable inputs (including the Funds own assumptions in
determining the fair value of investments)
The
inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities.
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.
12
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:
DESCRIPTION
|
|
QUOTED
PRICES
(LEVEL 1)
|
|
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
|
|
TOTAL
|
|
Long-term investments:
|
|
|
|
|
|
|
|
|
|
Corporate bonds & notes
|
|
|
|
$
|
42,994,665
|
|
$
|
85,800
|
|
$
|
43,080,465
|
|
Collateralized senior loans
|
|
|
|
331,475
|
|
260,000
|
|
591,475
|
|
Convertible bonds & notes
|
|
|
|
301,950
|
|
|
|
301,950
|
|
Sovereign bonds
|
|
|
|
2,317,569
|
|
|
|
2,317,569
|
|
Common stocks:
|
|
|
|
|
|
|
|
|
|
Consumer discretionary
|
|
$
|
125,925
|
|
347,847
|
|
|
|
473,772
|
|
Industrials
|
|
9,028
|
|
|
|
7,651
|
|
16,679
|
|
Materials
|
|
102,501
|
|
|
|
2,455
|
|
104,956
|
|
Other common stocks
|
|
20,153
|
|
|
|
|
|
20,153
|
|
Convertible preferred stocks
|
|
380,444
|
|
|
|
|
|
380,444
|
|
Preferred stocks
|
|
472,330
|
|
156,750
|
|
|
|
629,080
|
|
Warrants
|
|
1,343
|
|
9,367
|
|
2
|
|
10,712
|
|
Total long-term investments
|
|
$
|
1,111,724
|
|
$
|
46,459,623
|
|
$
|
355,908
|
|
$
|
47,927,255
|
|
Short-term investments
|
|
|
|
6,992
|
|
|
|
6,992
|
|
Total investments
|
|
$
|
1,111,724
|
|
$
|
46,466,615
|
|
$
|
355,908
|
|
$
|
47,934,247
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
$
|
(24,076
|
)
|
|
|
|
|
$
|
(24,076
|
)
|
Forward foreign currency contracts
|
|
|
|
$
|
(12,070
|
)
|
|
|
(12,070
|
)
|
Total other financial instruments
|
|
$
|
(24,076
|
)
|
$
|
(12,070
|
)
|
|
|
$
|
(36,146
|
)
|
Total
|
|
$
|
1,087,648
|
|
$
|
46,454,545
|
|
$
|
355,908
|
|
$
|
47,898,101
|
|
See Schedule of Investments for additional detailed categorizations.
The
following is a reconciliation of investments in which significant unobservable
inputs (Level 3) were used in determining fair value:
|
|
CORPORATE
|
|
ASSET-
|
|
|
|
COMMON STOCKS
|
|
|
|
|
|
|
|
|
|
|
|
BONDS &
|
|
BACKED
|
|
COLLATERALIZED
|
|
CONSUMER
|
|
|
|
|
|
|
|
ESCROWED
|
|
PREFERRED
|
|
|
|
|
|
INVESTMENTS IN SECURITIES
|
|
NOTES
|
|
SECURITIES
|
|
SENIOR LOANS
|
|
DISCRETIONARY
|
|
ENERGY
|
|
INDUSTRIALS
|
|
MATERIALS
|
|
SHARES
|
|
STOCKS
|
|
WARRANTS
|
|
TOTAL
|
|
Balance as of December 31, 2009
|
|
$
|
273,880
|
|
$
|
0
|
*
|
|
|
$
|
0
|
*
|
$
|
20,804
|
|
|
|
$
|
2,455
|
|
$
|
0
|
*
|
$
|
0
|
*
|
$
|
4,333
|
|
$
|
301,472
|
|
Accrued premiums /discounts
|
|
27,201
|
|
|
|
$
|
39
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,240
|
|
Realized gain (loss)
1
|
|
(10,295
|
)
|
(493,850
|
)
|
|
|
(22,000
|
)
|
|
|
|
|
|
|
|
|
(4,880
|
)
|
|
|
(531,025
|
)
|
Change in unrealized appreciation (depreciation)
2
|
|
40,503
|
|
493,850
|
|
1,690
|
|
22,000
|
|
(651
|
)
|
$
|
7,651
|
|
|
|
(0
|
)*
|
4,880
|
|
5,036
|
|
574,959
|
|
Net purchases (sales)
|
|
(245,489
|
)
|
|
|
258,271
|
|
|
|
|
|
0
|
*
|
|
|
|
|
|
|
|
|
12,782
|
|
Transfers into Level 3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out of Level 3
|
|
|
|
|
|
|
|
|
|
(20,153
|
)
|
|
|
|
|
|
|
|
|
(9,367
|
)
|
(29,520
|
)
|
Balance as of September 30, 2010
|
|
$
|
85,800
|
|
|
|
|
$
|
260,000
|
|
|
|
|
|
|
|
$
|
7,651
|
|
$
|
2,455
|
|
|
|
|
|
|
|
$
|
2
|
|
$
|
355,908
|
|
Net change in unrealized appreciation (depreciation) for
investments in securities still held at September 30, 2010
2
|
|
$
|
5,800
|
|
|
|
$
|
1,690
|
|
|
|
|
|
$
|
7,651
|
|
|
|
|
|
|
|
$
|
2
|
|
$
|
15,143
|
|
* Value is
less than $1.
1
This amount is included in net realized gain
(loss) from investment transactions.
2
Change in unrealized appreciation
(depreciation) includes net unrealized appreciation (depreciation) resulting
from changes in investment values during the reporting period and the reversal
of previously recorded unrealized appreciation (depreciation) when gains or
losses are realized.
(b) Repurchase Agreements.
The Fund may enter into repurchase agreements with institutions that its
investment adviser has determined are creditworthy. Each repurchase agreement
is recorded at cost. Under the terms of a typical repurchase agreement, the
Fund acquires a debt security subject to an obligation of the seller to
repurchase, and of the Fund to resell, the security at an agreed-upon price and
time, thereby determining the yield during the Funds holding period. When
entering into repurchase agreements, it is the Funds policy that its custodian
or a third party custodian, acting on the Funds behalf, take possession of the
underlying collateral securities, the market value of which, at all times, at
least equals the principal amount of the repurchase transaction, including
accrued interest. To the extent that any repurchase transaction maturity exceeds
one business day, the value of the collateral is marked to market and measured
against the value of the agreement in an effort to ensure the adequacy of the
collateral. If the counterparty defaults, the Fund generally has the right to
use the collateral to satisfy the terms of the repurchase transaction. However,
if the market value of the collateral declines during the period in which the
Fund seeks to assert its rights or if bankruptcy proceedings are commenced with
respect to the seller of the security, realization of the collateral by the
Fund may be delayed or limited.
(c) Forward
Foreign Currency Contracts.
The
Fund may enter into a forward foreign currency contract to hedge against
foreign currency exchange rate risk on its non-U.S. dollar denominated
securities or to facilitate settlement of a foreign currency denominated
portfolio transaction. A forward foreign currency contract is an agreement
between two parties to buy and sell a currency at a set price with delivery and
settlement at a future date. The contract is marked-to-market daily and the
change in value is recorded by the Fund as an unrealized gain or loss. When a
forward foreign currency contract is closed, through either delivery or offset
by entering into another forward foreign currency contract, the Fund recognizes
a realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value of the contract at the time it
is closed.
13
Notes to Schedule of Investments (unaudited) (continued)
When
entering into a forward foreign currency contract, the Fund bears the risk of
an unfavorable change in the foreign exchange rate underlying the forward
foreign currency contract. Risks may also arise upon entering into these
contracts from the potential inability of the counterparties to meet the terms
of their contracts.
(d) Futures Contracts.
The Fund may use futures contracts to gain exposure to, or hedge against,
changes in the value of interest rates or foreign currencies.
A futures
contract represents a commitment for the future purchase or sale of an asset at
a specified price on a specified date.
Upon entering into a futures
contract, the Fund is required to deposit cash or cash equivalents with a
broker in an amount equal to a certain percentage of the contract amount. This
is known as the initial margin and subsequent payments (variation margin)
are made or received by the Fund each day, depending on the daily fluctuation
in the value of the contract. For certain futures, including foreign
denominated futures, variation margin is not settled daily, but is recorded as
a net variation margin payable or receivable. Futures contracts are valued
daily at the settlement price established by the board of trade or exchange on
which they are traded.
Futures
contracts involve, to varying degrees, risk of loss. In addition, there is the
risk that the Fund may not be able to enter into a closing transaction because
of an illiquid secondary market.
(e) Loan Participations.
The
Fund may invest in loans arranged through private negotiation between one or
more financial institutions. The Funds investment in any such loan may be in
the form of a participation in or an assignment of the loan. In connection with
purchasing participations, the Fund generally will have no right to enforce
compliance by the borrower with the terms of the loan agreement related to the
loan, or any rights of off-set against the borrower and the Fund may not
benefit directly from any collateral supporting the loan in which it has
purchased the participation.
The Fund assumes the credit risk of the borrower,
the lender that is selling the participation and any other persons
interpositioned between the Fund and the borrower. In the event of the
insolvency of the lender selling the participation, the Fund may be treated as
a general creditor of the lender and may not benefit from any off-set between
the lender and the borrower.
(f) Foreign Currency
Translation.
Investment
securities and other assets and liabilities denominated in foreign currencies
are translated into U.S. dollar amounts based upon prevailing exchange rates on
the date of valuation. Purchases and
sales of investment securities and income and expense items denominated in
foreign currencies are translated into U.S. dollar amounts based upon
prevailing exchange rates on the respective dates of such transactions.
Foreign security and
currency transactions may involve certain considerations and risks not
typically associated with those of U.S. dollar denominated transactions as a
result of, among other factors, the possibility of lower levels of governmental
supervision and regulation of foreign securities markets and the possibility of
political or economic instability.
(g) Credit and Market Risk.
The
Fund invests in high-yield and emerging market instruments that are subject to
certain credit and market risks. The yields of high-yield and emerging market
debt obligations reflect, among other things, perceived credit and market
risks. The Funds investment in securities rated below investment grade
typically involve risks not associated with higher rated securities including,
among others, greater risk related to timely and ultimate payment of interest
and principal, greater market price volatility and less liquid secondary market
trading. The consequences of political, social, economic or diplomatic changes
may have disruptive effects on the market prices of investments held by the
Fund. The Funds investment in non-U.S. dollar denominated securities may also
result in foreign currency losses caused by devaluations and exchange rate
fluctuations.
(h) Security Transactions.
Security transactions are accounted for on a
trade date basis.
2. Investments
At
September 30, 2010, the aggregate gross unrealized appreciation and
depreciation of investments for federal income tax purposes were substantially
as follows:
Gross unrealized appreciation
|
|
$
|
3,671,679
|
|
Gross unrealized depreciation
|
|
(2,286,665
|
)
|
Net unrealized appreciation
|
|
$
|
1,385,014
|
|
14
Notes to Schedule of Investments (unaudited) (continued)
At
September 30, 2010, the Fund had the following open futures contracts:
|
|
Number of
|
|
Expiration
|
|
Basis
|
|
Market
|
|
Unrealized
|
|
|
|
Contracts
|
|
Date
|
|
Value
|
|
Value
|
|
Loss
|
|
Contracts to Buy:
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
Treasury Bonds
|
|
4
|
|
12/10
|
|
$
|
571,802
|
|
$
|
565,125
|
|
$
|
(6,677
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
U.S.
Treasury 5-Year Notes
|
|
17
|
|
12/10
|
|
2,037,343
|
|
2,054,742
|
|
(17,399
|
)
|
Net unrealized loss on open futures
contracts
|
|
|
|
|
|
|
|
$
|
(24,076
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At
September 30, 2010, the Fund had the following open forward foreign
currency contracts:
Foreign Currency
|
|
Counterparty
|
|
Local
Currency
|
|
Market
Value
|
|
Settlement
Date
|
|
Unrealized
Loss
|
|
Contracts
to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
Euro
|
|
Citibank,
N.A.
|
|
92,435
|
|
$
|
125,964
|
|
11/24/10
|
|
$
|
(7,193
|
)
|
Euro
|
|
Citibank,
N.A.
|
|
100,000
|
|
136,272
|
|
11/24/10
|
|
(4,877
|
)
|
Net
unrealized loss on open forward foreign currency contracts
|
|
|
|
|
|
|
$
|
(12,070
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3. Derivative Instruments and Hedging Activities
Financial
Accounting Standards Board Codification Topic 815 requires enhanced disclosure
about an entitys derivative and hedging activities.
The
following is a summary of the Funds derivative instruments categorized by risk
exposure at September 30, 2010.
|
|
Futures Contracts
|
|
Forward Foreign Currency Contracts
|
|
|
|
Primary Underlying Risk
Disclosure
|
|
Unrealized
Appreciation
|
|
Unrealized
Depreciation
|
|
Unrealized
Appreciation
|
|
Unrealized
Depreciation
|
|
Total
|
|
Interest Rate Contracts
|
|
|
|
$
|
(24,076
|
)
|
|
|
|
|
$
|
(24,076
|
)
|
Foreign Exchange Contracts
|
|
|
|
|
|
|
|
$
|
(12,070
|
)
|
(12,070
|
)
|
Total
|
|
|
|
$
|
(24,076
|
)
|
|
|
$
|
(12,070
|
)
|
$
|
(36,146
|
)
|
During
the period ended September 30, 2010, the volume of derivative activity for
the Fund was as follows:
|
|
Average Market
Value
|
|
Forward foreign currency contracts (to sell)
|
|
$
|
160,817
|
|
Futures contracts (to buy)
|
|
421,125
|
|
Futures contracts (to sell)
|
|
1,602,556
|
|
|
|
|
|
|
The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Funds net assets and/or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds International Swap and Derivatives Association, Inc. master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty.
15
ITEM 2.
CONTROLS AND
PROCEDURES.
(a)
The registrants
principal executive officer and principal financial officer have concluded that
the registrants disclosure controls and procedures (as defined in Rule 30a-
3(c) under the Investment Company Act of 1940, as amended (the 1940 Act))
are effective as of a date within 90 days of the filing date of this report
that includes the disclosure required by this paragraph, based on their
evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under
the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.
(b)
There were no
changes in the registrants internal control over financial reporting (as
defined in Rule 30a-3(d) under the 1940 Act) that occurred during the
registrants last fiscal quarter that have materially affected, or are likely
to materially affect the registrants internal control over financial
reporting.
ITEM
3.
EXHIBITS.
Certifications
pursuant to Rule 30a-2(a) under the Investment Company Act of 1940,
as amended, are attached hereto.
SIGNATURES
Pursuant to the requirements
of the Securities Exchange Act of 1934 and the Investment Company Act of 1940,
the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
Western
Asset High Income Fund Inc.
By
|
/s/ R. Jay Gerken
|
|
|
R. Jay Gerken
|
|
|
Chief Executive Officer
|
|
|
|
Date: November 23, 2010
|
|
Pursuant to the requirements
of the Securities Exchange Act of 1934 and the Investment Company Act of 1940,
this report has been signed below by the following persons on behalf of the
registrant and in the capacities and on the dates indicated.
By
|
/s/ R. Jay Gerken
|
|
|
R. Jay Gerken
|
|
|
Chief Executive Officer
|
|
|
|
Date: November 23, 2010
|
|
By
|
/s/ Kaprel Ozsolak
|
|
|
Kaprel Ozsolak
|
|
|
Chief Financial Officer
|
|
|
|
Date: November 23, 2010
|
|
Western Asset High Income Fund Inc. (NYSE:HIF)
Historical Stock Chart
From Jun 2024 to Jul 2024
Western Asset High Income Fund Inc. (NYSE:HIF)
Historical Stock Chart
From Jul 2023 to Jul 2024