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)
|
|
620 Eighth Avenue, 49
th
Floor, New York, NY
|
|
10018
|
(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:
|
March 31, 2012
|
|
|
|
|
|
|
|
|
|
|
ITEM 1. SCHEDULE OF INVESTMENTS.
WESTERN ASSET HIGH INCOME FUND INC.
FORM N-Q
MARCH 31, 2012
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited)
March 31, 2012
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
CORPORATE BONDS & NOTES
85.8%
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY
16.8%
|
|
|
|
|
|
|
|
|
|
Auto Components
0.1%
|
|
|
|
|
|
|
|
|
|
Allison Transmission Inc., Senior Notes
|
|
11.000%
|
|
11/1/15
|
|
18,000
|
|
$
|
19,035
|
(a)
|
Goodyear Tire & Rubber Co., Senior Notes
|
|
7.000%
|
|
5/15/22
|
|
30,000
|
|
29,325
|
|
Total Auto Components
|
|
|
|
|
|
|
|
48,360
|
|
Automobiles
0.6%
|
|
|
|
|
|
|
|
|
|
Chrysler Group LLC/CG Co.-Issuer Inc., Secured Notes
|
|
8.000%
|
|
6/15/19
|
|
200,000
|
|
202,000
|
|
Escrow GCB General Motors
|
|
|
|
|
|
435,000
|
|
9,515
|
*(b)
|
Escrow GCB General Motors
|
|
|
|
|
|
250,000
|
|
5,469
|
*(b)
|
Jaguar Holding Co. II/Jaguar Merger Sub Inc., Senior Notes
|
|
9.500%
|
|
12/1/19
|
|
50,000
|
|
54,500
|
(a)
|
Total Automobiles
|
|
|
|
|
|
|
|
271,484
|
|
Diversified Consumer Services
0.8%
|
|
|
|
|
|
|
|
|
|
Service Corp. International, Senior Notes
|
|
7.500%
|
|
4/1/27
|
|
120,000
|
|
122,100
|
|
ServiceMaster Co., Senior Subordinated Notes
|
|
8.000%
|
|
2/15/20
|
|
70,000
|
|
74,900
|
(a)
|
Sothebys, Senior Notes
|
|
7.750%
|
|
6/15/15
|
|
160,000
|
|
174,400
|
|
Total Diversified Consumer Services
|
|
|
|
|
|
|
|
371,400
|
|
Hotels, Restaurants & Leisure
7.3%
|
|
|
|
|
|
|
|
|
|
Bossier Casino Venture Holdco Inc., Senior Secured Bonds
|
|
14.000%
|
|
2/9/18
|
|
120,000
|
|
102,938
|
(a)(b)(c)(d)
|
Boyd Gaming Corp., Senior Notes
|
|
9.125%
|
|
12/1/18
|
|
40,000
|
|
41,850
|
|
Boyd Gaming Corp., Senior Subordinated Notes
|
|
7.125%
|
|
2/1/16
|
|
40,000
|
|
38,800
|
|
Caesars Entertainment Operating Co. Inc., Senior Notes
|
|
10.750%
|
|
2/1/16
|
|
249,000
|
|
218,497
|
|
Caesars Entertainment Operating Co. Inc., Senior Secured Notes
|
|
10.000%
|
|
12/15/15
|
|
140,000
|
|
129,500
|
|
CCM Merger Inc., Senior Notes
|
|
9.125%
|
|
5/1/19
|
|
130,000
|
|
131,950
|
(a)
|
CityCenter Holdings LLC/CityCenter Finance Corp., Secured Notes
|
|
11.500%
|
|
1/15/17
|
|
245,581
|
|
273,209
|
(c)
|
Downstream Development Quapaw, Senior Secured Notes
|
|
10.500%
|
|
7/1/19
|
|
130,000
|
|
134,712
|
(a)
|
El Pollo Loco Inc., Secured Notes
|
|
17.000%
|
|
1/1/18
|
|
285,985
|
|
259,174
|
(a)
|
Fiesta Restaurant Group, Secured Notes
|
|
8.875%
|
|
8/15/16
|
|
70,000
|
|
74,200
|
(a)
|
Hoa Restaurant Group LLC/Hoa Finance Corp., Senior Secured Notes
|
|
11.250%
|
|
4/1/17
|
|
160,000
|
|
158,800
|
(a)
|
Inn of the Mountain Gods Resort & Casino, Senior Secured Notes
|
|
8.750%
|
|
11/30/20
|
|
71,000
|
|
69,758
|
(a)
|
Landrys Acquisition Co., Secured Notes
|
|
11.625%
|
|
12/1/15
|
|
80,000
|
|
89,500
|
(a)
|
Landrys Holdings Inc., Senior Secured Notes
|
|
11.500%
|
|
6/1/14
|
|
140,000
|
|
140,700
|
(a)
|
Landrys Restaurants Inc., Senior Secured Notes
|
|
11.625%
|
|
12/1/15
|
|
85,000
|
|
95,094
|
|
MGM Resorts International, Senior Notes
|
|
5.875%
|
|
2/27/14
|
|
160,000
|
|
165,600
|
|
MGM Resorts International, Senior Notes
|
|
6.625%
|
|
7/15/15
|
|
20,000
|
|
20,650
|
|
MGM Resorts International, Senior Secured Notes
|
|
10.375%
|
|
5/15/14
|
|
15,000
|
|
17,081
|
|
MGM Resorts International, Senior Secured Notes
|
|
11.125%
|
|
11/15/17
|
|
40,000
|
|
45,450
|
|
Mohegan Tribal Gaming Authority, Senior Secured Notes
|
|
10.500%
|
|
12/15/16
|
|
410,000
|
|
357,725
|
(a)
|
NCL Corp. Ltd., Senior Notes
|
|
9.500%
|
|
11/15/18
|
|
280,000
|
|
303,100
|
|
NCL Corp. Ltd., Senior Secured Notes
|
|
11.750%
|
|
11/15/16
|
|
170,000
|
|
197,625
|
|
Pinnacle Entertainment Inc., Senior Notes
|
|
8.625%
|
|
8/1/17
|
|
85,000
|
|
93,075
|
|
Seven Seas Cruises S de RL LLC, Senior Secured Notes
|
|
9.125%
|
|
5/15/19
|
|
240,000
|
|
244,800
|
(a)
|
Snoqualmie Entertainment Authority, Senior Secured Notes
|
|
9.125%
|
|
2/1/15
|
|
45,000
|
|
45,394
|
(a)
|
Station Casinos Inc., Senior Subordinated Notes
|
|
6.500%
|
|
2/1/14
|
|
175,000
|
|
0
|
(b)(d)(e)(f)
|
Station Casinos Inc., Senior Subordinated Notes
|
|
6.625%
|
|
3/15/18
|
|
20,000
|
|
0
|
(b)(d)(e)(f)
|
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Secured Notes
|
|
8.625%
|
|
4/15/16
|
|
116,000
|
|
123,540
|
(a)
|
Total Hotels, Restaurants & Leisure
|
|
|
|
|
|
|
|
3,572,722
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
1
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Internet & Catalog Retail
0.3%
|
|
|
|
|
|
|
|
|
|
Netflix Inc., Senior Notes
|
|
8.500%
|
|
11/15/17
|
|
130,000
|
|
$
|
142,350
|
|
Media
4.9%
|
|
|
|
|
|
|
|
|
|
CCH II LLC/CCH II Capital Corp., Senior Notes
|
|
13.500%
|
|
11/30/16
|
|
64,850
|
|
74,091
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
|
|
8.125%
|
|
4/30/20
|
|
200,000
|
|
223,000
|
|
Cengage Learning Acquisitions Inc., Senior Notes
|
|
10.500%
|
|
1/15/15
|
|
200,000
|
|
151,500
|
(a)
|
Clear Channel Worldwide Holdings Inc., Senior Subordianted Notes
|
|
7.625%
|
|
3/15/20
|
|
90,000
|
|
88,650
|
(a)
|
Clear Channel Worldwide Holdings Inc., Senior Subordinated Notes
|
|
7.625%
|
|
3/15/20
|
|
10,000
|
|
9,700
|
(a)
|
DISH DBS Corp., Senior Notes
|
|
6.625%
|
|
10/1/14
|
|
20,000
|
|
21,900
|
|
DISH DBS Corp., Senior Notes
|
|
7.875%
|
|
9/1/19
|
|
45,000
|
|
51,975
|
|
DISH DBS Corp., Senior Notes
|
|
6.750%
|
|
6/1/21
|
|
60,000
|
|
64,950
|
|
EchoStar DBS Corp., Senior Notes
|
|
7.125%
|
|
2/1/16
|
|
70,000
|
|
77,788
|
|
Entercom Radio LLC, Senior Notes
|
|
10.500%
|
|
12/1/19
|
|
130,000
|
|
140,725
|
|
Globo Communicacoes e Participacoes SA, Bonds
|
|
7.250%
|
|
4/26/22
|
|
140,000
|
|
146,300
|
(a)
|
Good Sam Enterprises LLC, Secured Notes
|
|
11.500%
|
|
12/1/16
|
|
140,000
|
|
144,900
|
|
LBI Media Inc., Senior Notes
|
|
8.500%
|
|
8/1/17
|
|
10,000
|
|
3,075
|
(a)
|
LBI Media Inc., Senior Secured Notes
|
|
9.250%
|
|
4/15/19
|
|
130,000
|
|
111,150
|
(a)
|
Nara Cable Funding Ltd., Senior Secured Notes
|
|
8.875%
|
|
12/1/18
|
|
200,000
|
|
191,000
|
(a)
|
NET Servicos de Comunicacao SA, Bonds
|
|
7.500%
|
|
1/27/20
|
|
100,000
|
|
117,150
|
|
Nielsen Finance LLC/Nielsen Finance Co., Senior Notes
|
|
11.500%
|
|
5/1/16
|
|
40,000
|
|
46,300
|
|
Ono Finance II PLC, Senior Bonds
|
|
10.875%
|
|
7/15/19
|
|
180,000
|
|
164,700
|
(a)
|
Univision Communications Inc., Senior Notes
|
|
8.500%
|
|
5/15/21
|
|
50,000
|
|
49,750
|
(a)
|
Univision Communications Inc., Senior Secured Notes
|
|
7.875%
|
|
11/1/20
|
|
100,000
|
|
105,500
|
(a)
|
UPC Holding BV, Senior Notes
|
|
9.875%
|
|
4/15/18
|
|
65,000
|
|
72,150
|
(a)
|
UPCB Finance II Ltd., Senior Notes
|
|
6.375%
|
|
7/1/20
|
|
250,000
|
EUR
|
332,591
|
(a)
|
Total Media
|
|
|
|
|
|
|
|
2,388,845
|
|
Multiline Retail
0.3%
|
|
|
|
|
|
|
|
|
|
Neiman Marcus Group Inc., Senior Secured Notes
|
|
7.125%
|
|
6/1/28
|
|
160,000
|
|
153,200
|
|
Specialty Retail
1.8%
|
|
|
|
|
|
|
|
|
|
American Greetings Corp., Senior Notes
|
|
7.375%
|
|
12/1/21
|
|
70,000
|
|
72,100
|
|
Edcon Proprietary Ltd., Senior Secured Notes
|
|
9.500%
|
|
3/1/18
|
|
210,000
|
|
191,100
|
(a)
|
Gymboree Corp., Senior Notes
|
|
9.125%
|
|
12/1/18
|
|
80,000
|
|
74,200
|
|
Michaels Stores Inc., Senior Subordinated Bonds
|
|
11.375%
|
|
11/1/16
|
|
110,000
|
|
117,432
|
|
Michaels Stores Inc., Senior Subordinated Notes
|
|
13.000%
|
|
11/1/16
|
|
330,000
|
|
348,975
|
|
Spencer Spirit Holdings Inc./Spencer Gifts LLC/Spirit Halloween Superstores, Senior Notes
|
|
11.000%
|
|
5/1/17
|
|
90,000
|
|
92,250
|
(a)
|
Total Specialty Retail
|
|
|
|
|
|
|
|
896,057
|
|
Textiles, Apparel & Luxury Goods
0.7%
|
|
|
|
|
|
|
|
|
|
Empire Today LLC/Empire Today Finance Corp., Senior Secured Notes
|
|
11.375%
|
|
2/1/17
|
|
80,000
|
|
79,400
|
(a)
|
Oxford Industries Inc., Senior Secured Notes
|
|
11.375%
|
|
7/15/15
|
|
245,000
|
|
265,519
|
|
Total Textiles, Apparel & Luxury Goods
|
|
|
|
|
|
|
|
344,919
|
|
TOTAL CONSUMER DISCRETIONARY
|
|
|
|
|
|
|
|
8,189,337
|
|
CONSUMER STAPLES
1.1%
|
|
|
|
|
|
|
|
|
|
Food & Staples Retailing
0.2%
|
|
|
|
|
|
|
|
|
|
Post Holdings Inc., Senior Notes
|
|
7.375%
|
|
2/15/22
|
|
60,000
|
|
63,000
|
(a)
|
Food Products
0.6%
|
|
|
|
|
|
|
|
|
|
Harmony Foods Corp., Senior Secured Notes
|
|
10.000%
|
|
5/1/16
|
|
60,000
|
|
62,100
|
(a)
|
Simmons Foods Inc., Senior Secured Notes
|
|
10.500%
|
|
11/1/17
|
|
210,000
|
|
203,437
|
(a)
|
Smithfield Foods Inc., Senior Secured Notes
|
|
10.000%
|
|
7/15/14
|
|
23,000
|
|
27,025
|
|
Total Food Products
|
|
|
|
|
|
|
|
292,562
|
|
Personal Products
0.1%
|
|
|
|
|
|
|
|
|
|
Prestige Brands International Inc., Senior Notes
|
|
8.125%
|
|
2/1/20
|
|
50,000
|
|
54,438
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
2
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Tobacco
0.2%
|
|
|
|
|
|
|
|
|
|
Alliance One International Inc., Senior Notes
|
|
10.000%
|
|
7/15/16
|
|
110,000
|
|
$
|
111,100
|
|
TOTAL CONSUMER STAPLES
|
|
|
|
|
|
|
|
521,100
|
|
ENERGY
11.7%
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services
2.6%
|
|
|
|
|
|
|
|
|
|
Atwood Oceanics Inc., Senior Notes
|
|
6.500%
|
|
2/1/20
|
|
70,000
|
|
73,850
|
|
Hercules Offshore Inc., Senior Notes
|
|
10.250%
|
|
4/1/19
|
|
80,000
|
|
78,800
|
(a)
|
Hercules Offshore LLC, Senior Secured Notes
|
|
10.500%
|
|
10/15/17
|
|
245,000
|
|
257,862
|
(a)
|
Parker Drilling Co., Senior Notes
|
|
9.125%
|
|
4/1/18
|
|
140,000
|
|
149,100
|
|
Petroleum Geo-Services ASA, Senior Notes
|
|
7.375%
|
|
12/15/18
|
|
200,000
|
|
209,000
|
(a)
|
Pioneer Drilling Co., Senior Notes
|
|
9.875%
|
|
3/15/18
|
|
90,000
|
|
95,850
|
(a)
|
Vantage Drilling Co., Senior Secured Notes
|
|
11.500%
|
|
8/1/15
|
|
340,000
|
|
375,700
|
|
Total Energy Equipment & Services
|
|
|
|
|
|
|
|
1,240,162
|
|
Oil, Gas & Consumable Fuels
9.1%
|
|
|
|
|
|
|
|
|
|
Arch Coal Inc., Senior Notes
|
|
8.750%
|
|
8/1/16
|
|
160,000
|
|
168,800
|
|
Berry Petroleum Co., Senior Notes
|
|
10.250%
|
|
6/1/14
|
|
110,000
|
|
127,600
|
|
Berry Petroleum Co., Senior Notes
|
|
6.375%
|
|
9/15/22
|
|
180,000
|
|
185,400
|
|
Calumet Specialty Products Partners LP/Calumet Finance Corp., Senior Notes
|
|
9.375%
|
|
5/1/19
|
|
100,000
|
|
104,500
|
|
Calumet Specialty Products Partners LP/Calumet Finance Corp., Senior Notes
|
|
9.375%
|
|
5/1/19
|
|
40,000
|
|
41,800
|
|
Chesapeake Energy Corp., Senior Notes
|
|
6.625%
|
|
8/15/20
|
|
110,000
|
|
112,475
|
|
Coffeyville Resources LLC/Coffeyville Finance Inc., Senior Secured Notes
|
|
9.000%
|
|
4/1/15
|
|
110,000
|
|
118,250
|
(a)
|
Compagnie Generale de Geophysique-Veritas, Senior Notes
|
|
9.500%
|
|
5/15/16
|
|
160,000
|
|
176,800
|
|
CONSOL Energy Inc., Senior Notes
|
|
8.250%
|
|
4/1/20
|
|
140,000
|
|
147,000
|
|
Corral Petroleum Holdings AB, Senior Notes
|
|
15.000%
|
|
12/31/17
|
|
307,001
|
|
237,926
|
(a)(c)(d)
|
Crosstex Energy LP/Crosstex Energy Finance Corp., Senior Notes
|
|
8.875%
|
|
2/15/18
|
|
50,000
|
|
53,375
|
|
Energy Transfer Equity LP, Senior Notes
|
|
7.500%
|
|
10/15/20
|
|
130,000
|
|
144,950
|
|
Enterprise Products Operating LLP, Junior Subordinated Notes
|
|
8.375%
|
|
8/1/66
|
|
100,000
|
|
109,099
|
(g)
|
Enterprise Products Operating LLP, Subordinated Notes
|
|
7.034%
|
|
1/15/68
|
|
75,000
|
|
80,721
|
(g)
|
EXCO Resources Inc., Senior Notes
|
|
7.500%
|
|
9/15/18
|
|
220,000
|
|
196,900
|
|
Kodiak Oil & Gas Corp., Senior Notes
|
|
8.125%
|
|
12/1/19
|
|
100,000
|
|
105,875
|
(a)
|
LUKOIL International Finance BV, Bonds
|
|
6.356%
|
|
6/7/17
|
|
140,000
|
|
153,339
|
(a)
|
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Senior Notes
|
|
6.750%
|
|
11/1/20
|
|
50,000
|
|
54,250
|
|
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Senior Notes
|
|
6.500%
|
|
8/15/21
|
|
20,000
|
|
21,350
|
|
Milagro Oil & Gas Inc., Secured Notes
|
|
10.500%
|
|
5/15/16
|
|
160,000
|
|
125,600
|
|
Overseas Shipholding Group Inc., Senior Notes
|
|
8.125%
|
|
3/30/18
|
|
300,000
|
|
228,000
|
|
Peabody Energy Corp., Senior Notes
|
|
7.875%
|
|
11/1/26
|
|
40,000
|
|
41,600
|
|
Petrobras International Finance Co., Senior Notes
|
|
6.875%
|
|
1/20/40
|
|
55,000
|
|
65,168
|
|
Petrobras International Finance Co., Senior Notes
|
|
6.750%
|
|
1/27/41
|
|
20,000
|
|
23,295
|
|
Petroplus Finance Ltd., Senior Notes
|
|
6.750%
|
|
5/1/14
|
|
175,000
|
|
69,125
|
(a)(e)
|
Petroplus Finance Ltd., Senior Notes
|
|
7.000%
|
|
5/1/17
|
|
60,000
|
|
23,700
|
(a)(e)
|
Plains Exploration & Production Co., Senior Notes
|
|
10.000%
|
|
3/1/16
|
|
130,000
|
|
144,300
|
|
Plains Exploration & Production Co., Senior Notes
|
|
8.625%
|
|
10/15/19
|
|
115,000
|
|
129,663
|
|
Quicksilver Resources Inc., Senior Notes
|
|
11.750%
|
|
1/1/16
|
|
295,000
|
|
313,437
|
|
Samson Investment Co., Senior Notes
|
|
9.750%
|
|
2/15/20
|
|
190,000
|
|
192,613
|
(a)
|
SandRidge Energy Inc., Senior Notes
|
|
7.500%
|
|
3/15/21
|
|
50,000
|
|
49,500
|
|
Teekay Corp., Senior Notes
|
|
8.500%
|
|
1/15/20
|
|
220,000
|
|
229,350
|
|
TNK-BP Finance SA, Senior Notes
|
|
7.500%
|
|
7/18/16
|
|
210,000
|
|
237,825
|
(a)
|
Westmoreland Coal Co./Westmoreland Partners, Senior Secured Notes
|
|
10.750%
|
|
2/1/18
|
|
100,000
|
|
95,250
|
(a)
|
Xinergy Ltd., Senior Secured Notes
|
|
9.250%
|
|
5/15/19
|
|
180,000
|
|
139,500
|
(a)
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
|
|
|
|
4,448,336
|
|
TOTAL ENERGY
|
|
|
|
|
|
|
|
5,688,498
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
3
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
FINANCIALS
7.9%
|
|
|
|
|
|
|
|
|
|
Capital Markets
0.2%
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Group Inc., Subordinated Notes
|
|
6.750%
|
|
10/1/37
|
|
110,000
|
|
$
|
107,799
|
|
Commercial Banks
2.3%
|
|
|
|
|
|
|
|
|
|
BankAmerica Institutional Capital A, Junior Subordinated Bonds
|
|
8.070%
|
|
12/31/26
|
|
140,000
|
|
141,400
|
(a)
|
BankAmerica Institutional Capital B, Junior Subordinated Bonds
|
|
7.700%
|
|
12/31/26
|
|
100,000
|
|
100,250
|
(a)
|
Barclays Bank PLC, Subordinated Notes
|
|
6.050%
|
|
12/4/17
|
|
100,000
|
|
103,315
|
(a)
|
Barclays Bank PLC, Subordinated Notes
|
|
10.179%
|
|
6/12/21
|
|
100,000
|
|
118,606
|
(a)
|
Credit Agricole SA, Subordinated Notes
|
|
8.375%
|
|
10/13/19
|
|
100,000
|
|
93,500
|
(a)(g)(h)
|
Intesa Sanpaolo SpA, Senior Notes
|
|
3.625%
|
|
8/12/15
|
|
250,000
|
|
239,021
|
(a)
|
Royal Bank of Scotland Group PLC, Junior Subordinated Bonds
|
|
7.648%
|
|
9/30/31
|
|
90,000
|
|
76,725
|
(g)(h)
|
Royal Bank of Scotland Group PLC, Subordinated Notes
|
|
5.000%
|
|
10/1/14
|
|
140,000
|
|
138,381
|
|
Santander Issuances SAU, Subordinated Notes
|
|
5.911%
|
|
6/20/16
|
|
100,000
|
|
97,412
|
(a)
|
Total Commercial Banks
|
|
|
|
|
|
|
|
1,108,610
|
|
Consumer Finance
0.7%
|
|
|
|
|
|
|
|
|
|
Ally Financial Inc., Senior Bonds
|
|
0.000%
|
|
12/1/12
|
|
160,000
|
|
155,200
|
|
Ally Financial Inc., Senior Notes
|
|
5.500%
|
|
2/15/17
|
|
20,000
|
|
20,045
|
|
GMAC International Finance BV, Senior Bonds
|
|
7.500%
|
|
4/21/15
|
|
100,000
|
EUR
|
137,371
|
|
Total Consumer Finance
|
|
|
|
|
|
|
|
312,616
|
|
Diversified Financial Services
4.2%
|
|
|
|
|
|
|
|
|
|
Bank of America Corp., Senior Notes
|
|
6.500%
|
|
8/1/16
|
|
50,000
|
|
55,026
|
|
Bankrate Inc., Senior Secured Notes
|
|
11.750%
|
|
7/15/15
|
|
165,000
|
|
190,162
|
|
Capital One Capital V, Junior Subordinated Notes, Cumulative Trust Preferred Securities
|
|
10.250%
|
|
8/15/39
|
|
110,000
|
|
113,575
|
|
Countrywide Capital III, Junior Subordinated Notes
|
|
8.050%
|
|
6/15/27
|
|
30,000
|
|
30,600
|
|
International Lease Finance Corp., Medium-Term Notes, Senior Notes
|
|
5.625%
|
|
9/20/13
|
|
70,000
|
|
71,138
|
|
International Lease Finance Corp., Senior Notes
|
|
8.750%
|
|
3/15/17
|
|
100,000
|
|
111,500
|
|
International Lease Finance Corp., Senior Notes
|
|
8.875%
|
|
9/1/17
|
|
390,000
|
|
436,800
|
|
International Lease Finance Corp., Senior Notes
|
|
8.250%
|
|
12/15/20
|
|
280,000
|
|
308,759
|
|
MBNA Capital A, Junior Subordinated Notes
|
|
8.278%
|
|
12/1/26
|
|
130,000
|
|
131,788
|
|
TransUnion Holding Co. Inc., Senior Notes
|
|
9.625%
|
|
6/15/18
|
|
110,000
|
|
116,325
|
(a)(c)
|
ZFS Finance USA Trust II, Bonds
|
|
6.450%
|
|
12/15/65
|
|
500,000
|
|
500,000
|
(a)(g)
|
Total Diversified Financial Services
|
|
|
|
|
|
|
|
2,065,673
|
|
Insurance
0.5%
|
|
|
|
|
|
|
|
|
|
American International Group Inc., Junior Subordinated Notes
|
|
8.175%
|
|
5/15/68
|
|
30,000
|
|
31,905
|
(g)
|
American International Group Inc., Senior Notes
|
|
8.250%
|
|
8/15/18
|
|
100,000
|
|
120,347
|
|
ING Capital Funding Trust III, Junior Subordinated Bonds
|
|
4.070%
|
|
6/30/12
|
|
40,000
|
|
34,587
|
(g)(h)
|
MetLife Capital Trust IV, Junior Subordinated Notes
|
|
7.875%
|
|
12/15/37
|
|
60,000
|
|
66,300
|
(a)
|
Total Insurance
|
|
|
|
|
|
|
|
253,139
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
3,847,837
|
|
HEALTH CARE
5.5%
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies
0.2%
|
|
|
|
|
|
|
|
|
|
Biomet Inc., Senior Toggle Notes
|
|
10.375%
|
|
10/15/17
|
|
70,000
|
|
75,775
|
(c)
|
Health Care Providers & Services
5.3%
|
|
|
|
|
|
|
|
|
|
Acadia Healthcare Co. Inc., Senior Notes
|
|
12.875%
|
|
11/1/18
|
|
130,000
|
|
139,100
|
|
American Renal Associates Holdings Inc., Senior Notes
|
|
10.250%
|
|
3/1/16
|
|
177,093
|
|
187,719
|
(c)
|
American Renal Holdings, Senior Secured Notes
|
|
8.375%
|
|
5/15/18
|
|
110,000
|
|
117,563
|
|
AMERIGROUP Corp., Senior Notes
|
|
7.500%
|
|
11/15/19
|
|
90,000
|
|
99,000
|
|
Community Health Systems Inc., Senior Notes
|
|
8.000%
|
|
11/15/19
|
|
180,000
|
|
186,300
|
(a)
|
Community Health Systems Inc., Senior Notes
|
|
8.000%
|
|
11/15/19
|
|
100,000
|
|
104,000
|
(a)
|
CRC Health Corp., Senior Subordinated Notes
|
|
10.750%
|
|
2/1/16
|
|
455,000
|
|
422,012
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
4
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Health Care Providers & Services continued
|
|
|
|
|
|
|
|
|
ExamWorks Group Inc., Senior Notes
|
|
9.000%
|
|
7/15/19
|
|
100,000
|
|
$
|
100,000
|
(a)
|
Fresenius Medical Care U.S. Finance Inc., Senior Notes
|
|
6.875%
|
|
7/15/17
|
|
80,000
|
|
89,000
|
|
Fresenius U.S. Finance II Inc., Senior Notes
|
|
9.000%
|
|
7/15/15
|
|
140,000
|
|
162,050
|
(a)
|
HCA Inc., Senior Secured Notes
|
|
7.875%
|
|
2/15/20
|
|
275,000
|
|
303,531
|
|
INC Research LLC, Senior Notes
|
|
11.500%
|
|
7/15/19
|
|
70,000
|
|
68,600
|
(a)
|
InVentiv Health Inc., Senior Notes
|
|
10.000%
|
|
8/15/18
|
|
140,000
|
|
127,400
|
(a)
|
Tenet Healthcare Corp., Senior Notes
|
|
6.875%
|
|
11/15/31
|
|
210,000
|
|
180,600
|
|
Universal Hospital Services Inc., Senior Secured Notes
|
|
8.500%
|
|
6/1/15
|
|
190,000
|
|
195,462
|
(g)
|
US Oncology Inc. Escrow
|
|
|
|
|
|
110,000
|
|
2,750
|
*
|
Vanguard Health Holdings Co., II LLC, Senior Notes
|
|
8.000%
|
|
2/1/18
|
|
110,000
|
|
112,750
|
|
Total Health Care Providers & Services
|
|
|
|
|
|
|
|
2,597,837
|
|
TOTAL HEALTH CARE
|
|
|
|
|
|
|
|
2,673,612
|
|
INDUSTRIALS
15.9%
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense
1.7%
|
|
|
|
|
|
|
|
|
|
Ducommun Inc., Senior Notes
|
|
9.750%
|
|
7/15/18
|
|
90,000
|
|
95,850
|
|
FGI Operating Co. Inc., Senior Secured Notes
|
|
10.250%
|
|
8/1/15
|
|
171,000
|
|
184,270
|
|
Kratos Defense & Security Solutions Inc., Senior Secured Notes
|
|
10.000%
|
|
6/1/17
|
|
230,000
|
|
250,125
|
|
Triumph Group Inc., Senior Notes
|
|
8.625%
|
|
7/15/18
|
|
70,000
|
|
78,750
|
|
Wyle Services Corp., Senior Subordinated Notes
|
|
10.500%
|
|
4/1/18
|
|
205,000
|
|
218,325
|
(a)
|
Total Aerospace & Defense
|
|
|
|
|
|
|
|
827,320
|
|
Airlines
2.1%
|
|
|
|
|
|
|
|
|
|
American Airlines Pass-Through Trust, Secured Notes
|
|
7.000%
|
|
1/31/18
|
|
74,427
|
|
72,938
|
(a)
|
Continental Airlines Inc., Pass-Through Certificates
|
|
9.250%
|
|
5/10/17
|
|
12,573
|
|
13,516
|
|
Continental Airlines Inc., Pass-Through Certificates, Subordinated Secured Notes
|
|
7.339%
|
|
4/19/14
|
|
123,084
|
|
124,930
|
|
DAE Aviation Holdings Inc., Senior Notes
|
|
11.250%
|
|
8/1/15
|
|
410,000
|
|
429,475
|
(a)
|
Delta Air Lines Inc., Pass-Through Certificates, Secured Notes
|
|
8.021%
|
|
8/10/22
|
|
81,527
|
|
83,051
|
|
Delta Air Lines Inc., Pass-Through Certificates, Subordinated Secured Notes
|
|
9.750%
|
|
12/17/16
|
|
33,205
|
|
35,364
|
|
Delta Air Lines Inc., Senior Secured Notes
|
|
9.500%
|
|
9/15/14
|
|
51,000
|
|
54,570
|
(a)
|
United Air Lines Inc., Senior Secured Notes
|
|
9.875%
|
|
8/1/13
|
|
189,000
|
|
199,395
|
(a)
|
Total Airlines
|
|
|
|
|
|
|
|
1,013,239
|
|
Building Products
1.4%
|
|
|
|
|
|
|
|
|
|
Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Subordinated Notes
|
|
11.000%
|
|
6/30/15
|
|
54,600
|
|
45,318
|
(a)(b)
|
Building Materials Corp. of America, Senior Notes
|
|
6.750%
|
|
5/1/21
|
|
220,000
|
|
234,025
|
(a)
|
GTL Trade Finance Inc., Senior Notes
|
|
7.250%
|
|
10/20/17
|
|
139,000
|
|
160,823
|
(a)
|
GTL Trade Finance Inc., Senior Notes
|
|
7.250%
|
|
10/20/17
|
|
130,000
|
|
150,410
|
(a)
|
Rearden G Holdings EINS GmbH, Senior Notes
|
|
7.875%
|
|
3/30/20
|
|
100,000
|
|
106,430
|
(a)
|
Total Building Products
|
|
|
|
|
|
|
|
697,006
|
|
Commercial Services & Supplies
2.4%
|
|
|
|
|
|
|
|
|
|
Altegrity Inc., Senior Subordinated Notes
|
|
11.750%
|
|
5/1/16
|
|
260,000
|
|
247,650
|
(a)
|
American Reprographics Co., Senior Notes
|
|
10.500%
|
|
12/15/16
|
|
190,000
|
|
189,050
|
|
Cenveo Corp., Secured Notes
|
|
8.875%
|
|
2/1/18
|
|
80,000
|
|
76,400
|
|
Geo Group Inc., Senior Notes
|
|
7.750%
|
|
10/15/17
|
|
155,000
|
|
168,369
|
|
JM Huber Corp., Senior Notes
|
|
9.875%
|
|
11/1/19
|
|
80,000
|
|
83,600
|
(a)
|
Monitronics International Inc., Senior Notes
|
|
9.125%
|
|
4/1/20
|
|
200,000
|
|
203,500
|
(a)
|
RSC Equipment Rental Inc./RSC Holdings III LLC, Senior Notes
|
|
8.250%
|
|
2/1/21
|
|
80,000
|
|
85,600
|
|
Taylor Morrison Communities Inc./Monarch Communities Inc., Senior Notes
|
|
7.750%
|
|
4/15/20
|
|
100,000
|
|
100,000
|
(a)
|
Total Commercial Services & Supplies
|
|
|
|
|
|
|
|
1,154,169
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
5
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Construction & Engineering
0.8%
|
|
|
|
|
|
|
|
|
|
Abengoa Finance SAU, Senior Notes
|
|
8.875%
|
|
11/1/17
|
|
150,000
|
|
$
|
150,000
|
(a)
|
Odebrecht Finance Ltd., Senior Notes
|
|
6.000%
|
|
4/5/23
|
|
220,000
|
|
229,746
|
(a)
|
Total Construction & Engineering
|
|
|
|
|
|
|
|
379,746
|
|
Electrical Equipment
0.3%
|
|
|
|
|
|
|
|
|
|
NES Rentals Holdings Inc., Senior Secured Notes
|
|
12.250%
|
|
4/15/15
|
|
170,000
|
|
159,800
|
(a)
|
Industrial Conglomerates
0.3%
|
|
|
|
|
|
|
|
|
|
Leucadia National Corp., Senior Notes
|
|
8.125%
|
|
9/15/15
|
|
120,000
|
|
135,000
|
|
Machinery
0.5%
|
|
|
|
|
|
|
|
|
|
Dematic SA, Senior Secured Notes
|
|
8.750%
|
|
5/1/16
|
|
220,000
|
|
229,900
|
(a)
|
Marine
0.9%
|
|
|
|
|
|
|
|
|
|
Horizon Lines LLC, Senior Secured Notes
|
|
11.000%
|
|
10/15/16
|
|
90,000
|
|
88,200
|
(a)(b)
|
Horizon Lines LLC, Senior Secured Notes
|
|
13.000%
|
|
10/15/16
|
|
120,000
|
|
114,450
|
(a)(b)(c)
|
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Senior Secured Notes
|
|
8.625%
|
|
11/1/17
|
|
290,000
|
|
262,450
|
|
Total Marine
|
|
|
|
|
|
|
|
465,100
|
|
Road & Rail
2.6%
|
|
|
|
|
|
|
|
|
|
Florida East Coast Holdings Corp., Senior Notes
|
|
10.500%
|
|
8/1/17
|
|
373,713
|
|
300,839
|
(c)
|
Florida East Coast Railway Corp., Senior Secured Notes
|
|
8.125%
|
|
2/1/17
|
|
50,000
|
|
51,250
|
|
Jack Cooper Holdings Corp., Senior Secured Notes
|
|
13.250%
|
|
12/15/15
|
|
230,000
|
|
238,050
|
(a)
|
Kansas City Southern de Mexico, Senior Notes
|
|
12.500%
|
|
4/1/16
|
|
111,000
|
|
129,037
|
|
Kansas City Southern de Mexico, Senior Notes
|
|
8.000%
|
|
2/1/18
|
|
290,000
|
|
324,800
|
|
Quality Distribution LLC/QD Capital Corp., Secured Notes
|
|
9.875%
|
|
11/1/18
|
|
200,000
|
|
220,500
|
|
Total Road & Rail
|
|
|
|
|
|
|
|
1,264,476
|
|
Trading Companies & Distributors
1.1%
|
|
|
|
|
|
|
|
|
|
H&E Equipment Services Inc., Senior Notes
|
|
8.375%
|
|
7/15/16
|
|
160,000
|
|
165,600
|
|
UR Financing Escrow Corp., Senior Notes
|
|
7.625%
|
|
4/15/22
|
|
360,000
|
|
370,800
|
(a)
|
Total Trading Companies & Distributors
|
|
|
|
|
|
|
|
536,400
|
|
Transportation
1.5%
|
|
|
|
|
|
|
|
|
|
CMA CGM, Senior Notes
|
|
8.500%
|
|
4/15/17
|
|
280,000
|
|
177,450
|
(a)
|
Hapag-Lloyd AG, Senior Notes
|
|
9.750%
|
|
10/15/17
|
|
250,000
|
|
243,750
|
(a)
|
Syncreon Global Ireland Ltd./Syncreon Global Finance US Inc., Senior Notes
|
|
9.500%
|
|
5/1/18
|
|
330,000
|
|
325,050
|
(a)
|
Total Transportation
|
|
|
|
|
|
|
|
746,250
|
|
Transportation Infrastructure
0.3%
|
|
|
|
|
|
|
|
|
|
Aguila 3 SA, Senior Secured Notes
|
|
7.875%
|
|
1/31/18
|
|
150,000
|
|
157,500
|
(a)
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
7,765,906
|
|
INFORMATION TECHNOLOGY
2.5%
|
|
|
|
|
|
|
|
|
|
Communications Equipment
0.5%
|
|
|
|
|
|
|
|
|
|
Lucent Technologies Inc., Debentures
|
|
6.450%
|
|
3/15/29
|
|
285,000
|
|
226,575
|
|
Electronic Equipment, Instruments & Components
0.6%
|
|
|
|
|
|
NXP BV/NXP Funding LLC, Senior Secured Notes
|
|
9.750%
|
|
8/1/18
|
|
280,000
|
|
317,800
|
(a)
|
IT Services
1.2%
|
|
|
|
|
|
|
|
|
|
First Data Corp., Senior Notes
|
|
10.550%
|
|
9/24/15
|
|
402,872
|
|
410,929
|
|
First Data Corp., Senior Notes
|
|
12.625%
|
|
1/15/21
|
|
140,000
|
|
141,050
|
|
Sterling Merger Inc., Senior Notes
|
|
11.000%
|
|
10/1/19
|
|
20,000
|
|
21,200
|
(a)
|
Total IT Services
|
|
|
|
|
|
|
|
573,179
|
|
Semiconductors & Semiconductor Equipment
0.1%
|
|
|
|
|
|
|
|
Freescale Semiconductor Inc., Senior Subordinated Notes
|
|
10.125%
|
|
12/15/16
|
|
66,000
|
|
70,620
|
|
Software
0.1%
|
|
|
|
|
|
|
|
|
|
Lawson Software Inc., Senior Notes
|
|
9.375%
|
|
4/1/19
|
|
50,000
|
|
51,875
|
(a)
|
TOTAL INFORMATION TECHNOLOGY
|
|
|
|
|
|
|
|
1,240,049
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
6
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
MATERIALS
8.9%
|
|
|
|
|
|
|
|
|
|
Chemicals
1.3%
|
|
|
|
|
|
|
|
|
|
Georgia Gulf Corp., Senior Secured Notes
|
|
9.000%
|
|
1/15/17
|
|
110,000
|
|
$
|
122,650
|
(a)
|
Ineos Finance PLC, Senior Secured Notes
|
|
9.000%
|
|
5/15/15
|
|
100,000
|
|
106,625
|
(a)
|
Kerling PLC, Senior Secured Notes
|
|
10.625%
|
|
1/28/17
|
|
93,000
|
EUR
|
124,034
|
(a)
|
Lyondell Chemical Co., Senior Secured Notes
|
|
8.000%
|
|
11/1/17
|
|
44,000
|
|
49,610
|
|
Lyondell Chemical Co., Senior Secured Notes
|
|
11.000%
|
|
5/1/18
|
|
79,856
|
|
88,640
|
|
Solutia Inc., Senior Notes
|
|
8.750%
|
|
11/1/17
|
|
15,000
|
|
17,081
|
|
Solutia Inc., Senior Notes
|
|
7.875%
|
|
3/15/20
|
|
120,000
|
|
141,300
|
|
Total Chemicals
|
|
|
|
|
|
|
|
649,940
|
|
Containers & Packaging
2.7%
|
|
|
|
|
|
|
|
|
|
Ardagh Packaging Finance PLC, Senior Notes
|
|
9.125%
|
|
10/15/20
|
|
200,000
|
|
215,500
|
(a)
|
Longview Fibre Paper & Packaging Inc., Senior Secured Notes
|
|
8.000%
|
|
6/1/16
|
|
120,000
|
|
122,850
|
(a)
|
Pretium Packaging LLC/Pretium Finance Inc., Senior Secured Notes
|
|
11.500%
|
|
4/1/16
|
|
220,000
|
|
232,100
|
|
Reynolds Group Issuer Inc./Reynolds Group Issuer LLC, Senior Notes
|
|
9.875%
|
|
8/15/19
|
|
390,000
|
|
399,263
|
(a)
|
Reynolds Group Issuer Inc./Reynolds Group Issuer LLC, Senior Notes
|
|
9.875%
|
|
8/15/19
|
|
100,000
|
|
102,375
|
(a)
|
Viskase Cos. Inc., Senior Secured Notes
|
|
9.875%
|
|
1/15/18
|
|
210,000
|
|
223,125
|
(a)
|
Total Containers & Packaging
|
|
|
|
|
|
|
|
1,295,213
|
|
Metals & Mining
3.9%
|
|
|
|
|
|
|
|
|
|
Evraz Group SA, Notes
|
|
9.500%
|
|
4/24/18
|
|
100,000
|
|
110,598
|
(a)
|
Evraz Group SA, Senior Notes
|
|
9.500%
|
|
4/24/18
|
|
100,000
|
|
110,598
|
(a)
|
FMG Resources (August 2006) Pty Ltd., Senior Notes
|
|
7.000%
|
|
11/1/15
|
|
30,000
|
|
30,750
|
(a)
|
FMG Resources (August 2006) Pty Ltd., Senior Notes
|
|
8.250%
|
|
11/1/19
|
|
230,000
|
|
242,650
|
(a)
|
FMG Resources (August 2006) Pty Ltd., Senior Notes
|
|
6.875%
|
|
4/1/22
|
|
100,000
|
|
97,750
|
(a)
|
Midwest Vanadium Pty Ltd., Senior Secured Notes
|
|
11.500%
|
|
2/15/18
|
|
360,000
|
|
250,200
|
(a)
|
Mirabela Nickel Ltd., Senior Notes
|
|
8.750%
|
|
4/15/18
|
|
130,000
|
|
112,450
|
(a)
|
Novelis Inc., Senior Notes
|
|
8.750%
|
|
12/15/20
|
|
170,000
|
|
187,000
|
|
Optima Specialty Steel Inc., Senior Secured Notes
|
|
12.500%
|
|
12/15/16
|
|
110,000
|
|
116,050
|
(a)
|
Ryerson Holding Corp., Senior Secured Notes
|
|
0.000%
|
|
2/1/15
|
|
280,000
|
|
128,800
|
|
Tempel Steel Co., Senior Secured Notes
|
|
12.000%
|
|
8/15/16
|
|
90,000
|
|
88,650
|
(a)
|
Vale Overseas Ltd., Notes
|
|
8.250%
|
|
1/17/34
|
|
62,000
|
|
81,700
|
|
Vale Overseas Ltd., Notes
|
|
6.875%
|
|
11/21/36
|
|
68,000
|
|
79,209
|
|
Vedanta Resources PLC, Senior Notes
|
|
8.750%
|
|
1/15/14
|
|
100,000
|
|
103,750
|
(a)
|
Vedanta Resources PLC, Senior Notes
|
|
6.750%
|
|
6/7/16
|
|
200,000
|
|
188,000
|
(a)
|
Total Metals & Mining
|
|
|
|
|
|
|
|
1,928,155
|
|
Paper & Forest Products
1.0%
|
|
|
|
|
|
|
|
|
|
Appleton Papers Inc., Senior Secured Notes
|
|
10.500%
|
|
6/15/15
|
|
90,000
|
|
93,825
|
(a)
|
Appleton Papers Inc., Senior Secured Notes
|
|
11.250%
|
|
12/15/15
|
|
176,000
|
|
164,120
|
|
Verso Paper Holdings LLC, Senior Subordinated Notes
|
|
11.375%
|
|
8/1/16
|
|
40,000
|
|
25,700
|
|
Verso Paper Holdings LLC/Verso Paper Inc., Senior Secured Notes
|
|
11.750%
|
|
1/15/19
|
|
90,000
|
|
93,038
|
(a)
|
Verso Paper Holdings LLC/Verso Paper Inc., Senior Secured Notes
|
|
8.750%
|
|
2/1/19
|
|
210,000
|
|
116,550
|
|
Total Paper & Forest Products
|
|
|
|
|
|
|
|
493,233
|
|
TOTAL MATERIALS
|
|
|
|
|
|
|
|
4,366,541
|
|
TELECOMMUNICATION SERVICES
8.5%
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services
5.1%
|
|
|
|
|
|
|
|
Axtel SAB de CV, Senior Notes
|
|
7.625%
|
|
2/1/17
|
|
250,000
|
|
205,000
|
(a)
|
Axtel SAB de CV, Senior Notes
|
|
9.000%
|
|
9/22/19
|
|
8,000
|
|
6,600
|
(a)
|
Cincinnati Bell Telephone Co., Senior Debentures
|
|
6.300%
|
|
12/1/28
|
|
15,000
|
|
12,075
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
7
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Diversified Telecommunication Services continued
|
|
|
|
|
Cogent Communications Group Inc., Senior Secured Notes
|
|
8.375%
|
|
2/15/18
|
|
130,000
|
|
$
|
138,775
|
(a)
|
Inmarsat Finance PLC, Senior Notes
|
|
7.375%
|
|
12/1/17
|
|
200,000
|
|
214,500
|
(a)
|
Intelsat Jackson Holdings Ltd., Senior Notes
|
|
11.250%
|
|
6/15/16
|
|
25,000
|
|
26,375
|
|
Intelsat Jackson Holdings SA, Senior Notes
|
|
7.250%
|
|
10/15/20
|
|
200,000
|
|
210,750
|
(a)
|
Intelsat Jackson Holdings SA, Senior Notes
|
|
7.500%
|
|
4/1/21
|
|
60,000
|
|
63,375
|
|
Intelsat Luxembourg SA, Senior Notes
|
|
11.250%
|
|
2/4/17
|
|
300,000
|
|
312,750
|
|
Level 3 Financing Inc., Senior Notes
|
|
8.625%
|
|
7/15/20
|
|
150,000
|
|
157,875
|
(a)
|
Primus Telecommunications Holding Inc., Senior Notes
|
|
10.000%
|
|
4/15/17
|
|
13,977
|
|
14,257
|
(a)
|
TW Telecom Holdings Inc., Senior Notes
|
|
8.000%
|
|
3/1/18
|
|
170,000
|
|
186,575
|
|
UBS Luxembourg SA for OJSC Vimpel Communications, Loan Participation Notes
|
|
8.250%
|
|
5/23/16
|
|
130,000
|
|
141,537
|
(a)
|
Vimpel Communications, Loan Participation Notes
|
|
8.375%
|
|
4/30/13
|
|
100,000
|
|
105,250
|
(a)
|
West Corp., Senior Notes
|
|
8.625%
|
|
10/1/18
|
|
160,000
|
|
176,400
|
|
Wind Acquisition Finance SA, Senior Notes
|
|
11.750%
|
|
7/15/17
|
|
130,000
|
|
128,700
|
(a)
|
Wind Acquisition Holdings Finance SpA, Senior Notes
|
|
12.250%
|
|
7/15/17
|
|
230,000
|
|
204,700
|
(a)(c)
|
Windstream Corp., Senior Notes
|
|
7.500%
|
|
4/1/23
|
|
200,000
|
|
207,000
|
|
Total Diversified Telecommunication Services
|
|
|
|
|
|
|
|
2,512,494
|
|
Wireless Telecommunication Services
3.4%
|
|
|
|
|
|
|
|
|
|
MetroPCS Wireless Inc., Senior Notes
|
|
7.875%
|
|
9/1/18
|
|
100,000
|
|
105,750
|
|
MetroPCS Wireless Inc., Senior Notes
|
|
6.625%
|
|
11/15/20
|
|
100,000
|
|
99,625
|
|
Sprint Capital Corp., Global Notes
|
|
6.900%
|
|
5/1/19
|
|
160,000
|
|
139,200
|
|
Sprint Capital Corp., Senior Notes
|
|
6.875%
|
|
11/15/28
|
|
220,000
|
|
169,400
|
|
Sprint Capital Corp., Senior Notes
|
|
8.750%
|
|
3/15/32
|
|
480,000
|
|
414,000
|
|
Sprint Nextel Corp., Senior Notes
|
|
9.000%
|
|
11/15/18
|
|
300,000
|
|
330,000
|
(a)
|
Syniverse Holdings Inc., Senior Notes
|
|
9.125%
|
|
1/15/19
|
|
165,000
|
|
182,738
|
|
VimpelCom Holdings BV, Senior Notes
|
|
7.504%
|
|
3/1/22
|
|
200,000
|
|
195,000
|
(a)
|
Total Wireless Telecommunication Services
|
|
|
|
|
|
|
|
1,635,713
|
|
TOTAL TELECOMMUNICATION SERVICES
|
|
|
|
|
|
|
|
4,148,207
|
|
UTILITIES
7.0%
|
|
|
|
|
|
|
|
|
|
Electric Utilities
3.1%
|
|
|
|
|
|
|
|
|
|
AES Red Oak LLC, Secured Notes
|
|
9.200%
|
|
11/30/29
|
|
280,000
|
|
302,400
|
|
Astoria Depositor Corp., Pass-Through Certificates
|
|
8.144%
|
|
5/1/21
|
|
150,000
|
|
127,500
|
(a)
|
Energy Future Intermediate Holding Co. LLC/EFIH Finance Inc., Secured Notes
|
|
11.750%
|
|
3/1/22
|
|
350,000
|
|
358,750
|
(a)
|
GenOn REMA LLC, Senior Secured Notes
|
|
9.237%
|
|
7/2/17
|
|
39,618
|
|
38,825
|
|
Midwest Generation LLC, Pass-Through Certificates
|
|
8.560%
|
|
1/2/16
|
|
49,607
|
|
47,250
|
|
Reliant Energy Mid-Atlantic Power Holdings LLC, Senior Notes
|
|
9.681%
|
|
7/2/26
|
|
440,000
|
|
418,000
|
|
Texas Competitive Electric Holdings Co. LLC, Senior Notes
|
|
10.250%
|
|
11/1/15
|
|
90,000
|
|
21,038
|
|
Texas Competitive Electric Holdings Co. LLC/TCEH Finance Inc., Senior Secured Notes
|
|
11.500%
|
|
10/1/20
|
|
330,000
|
|
216,975
|
(a)
|
Total Electric Utilities
|
|
|
|
|
|
|
|
1,530,738
|
|
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%
|
|
|
|
|
|
|
Atlantic Power Corp., Senior Notes
|
|
9.000%
|
|
11/15/18
|
|
110,000
|
|
111,650
|
(a)
|
Calpine Corp., Senior Secured Notes
|
|
7.500%
|
|
2/15/21
|
|
40,000
|
|
42,900
|
(a)
|
Calpine Corp., Senior Secured Notes
|
|
7.875%
|
|
1/15/23
|
|
280,000
|
|
303,800
|
(a)
|
Colbun SA, Senior Notes
|
|
6.000%
|
|
1/21/20
|
|
100,000
|
|
106,764
|
(a)
|
Dynegy Inc., Bonds
|
|
7.670%
|
|
11/8/16
|
|
160,000
|
|
99,200
|
(e)
|
Edison Mission Energy, Senior Notes
|
|
7.750%
|
|
6/15/16
|
|
170,000
|
|
118,150
|
|
Energy Future Intermediate Holding Co. LLC/EFIH Finance Inc., Senior Secured Notes
|
|
10.000%
|
|
12/1/20
|
|
125,000
|
|
136,875
|
|
First Wind Holdings Inc., Senior Secured Notes
|
|
10.250%
|
|
6/1/18
|
|
170,000
|
|
171,700
|
(a)
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
8
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Independent Power Producers & Energy Traders continued
|
|
|
|
|
|
Foresight Energy LLC/Foresight Energy Corp., Senior Notes
|
|
9.625%
|
|
8/15/17
|
|
340,000
|
|
$
|
358,700
|
(a)
|
Mirant Americas Generation LLC, Senior Notes
|
|
9.125%
|
|
5/1/31
|
|
290,000
|
|
250,850
|
|
Mirant Mid Atlantic LLC, Pass-Through Certificates
|
|
10.060%
|
|
12/30/28
|
|
48,715
|
|
50,176
|
|
Total Independent Power Producers & Energy Traders
|
|
|
|
|
|
1,750,765
|
|
TOTAL UTILITIES
|
|
|
|
|
|
|
|
3,409,603
|
|
TOTAL CORPORATE BONDS & NOTES (Cost $40,880,952)
|
|
|
|
41,850,690
|
|
COLLATERALIZED SENIOR LOANS
2.2%
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY
0.3%
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure
0.3%
|
|
|
|
|
|
|
|
|
|
El Pollo Loco Inc., First Lien Term Loan
|
|
9.250%
|
|
7/14/17
|
|
119,100
|
|
119,100
|
(i)
|
INDUSTRIALS
1.0%
|
|
|
|
|
|
|
|
|
|
Marine
0.1%
|
|
|
|
|
|
|
|
|
|
Trico Shipping AS, Term Loan A
|
|
10.000%
|
|
5/13/14
|
|
19,739
|
|
19,739
|
(b)(i)
|
Trico Shipping AS, Term Loan B
|
|
|
|
5/13/14
|
|
34,754
|
|
34,754
|
(b)(j)
|
Total Marine
|
|
|
|
|
|
|
|
54,493
|
|
Trading Companies & Distributors
0.9%
|
|
|
|
|
|
|
|
|
|
United Rentals Inc.
|
|
|
|
4/13/12
|
|
216,265
|
|
216,265
|
(b)(d)(j)
|
United Rentals Inc.
|
|
|
|
1/17/13
|
|
229,554
|
|
229,554
|
(b)(d)(j)
|
Total Trading Companies & Distributors
|
|
|
|
|
|
|
|
445,819
|
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
500,312
|
|
INFORMATION TECHNOLOGY
0.2%
|
|
|
|
|
|
|
|
|
|
IT Services
0.2%
|
|
|
|
|
|
|
|
|
|
SRA International Inc., Term Loan B
|
|
6.500%
|
|
7/20/18
|
|
99,943
|
|
99,756
|
(i)
|
TELECOMMUNICATION SERVICES
0.6%
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services
0.6%
|
|
|
|
|
|
|
|
|
|
Vodafone Americas Finance 2 Inc., Term Loan A
|
|
6.875%
|
|
8/11/15
|
|
287,957
|
|
287,957
|
(i)
|
UTILITIES
0.1%
|
|
|
|
|
|
|
|
|
|
Electric Utilities
0.1%
|
|
|
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co. LLC, Term Loan
|
|
4.743%
|
|
10/10/17
|
|
95,155
|
|
53,138
|
(i)
|
TOTAL COLLATERALIZED SENIOR LOANS (Cost $1,079,263)
|
|
|
|
1,060,263
|
|
CONVERTIBLE BONDS & NOTES
1.0%
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY
0.7%
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services
0.7%
|
|
|
|
|
|
|
|
|
|
Realogy Corp., Senior Subordinated Bonds
|
|
11.000%
|
|
4/15/18
|
|
420,000
|
|
344,400
|
(a)
|
INDUSTRIALS
0.2%
|
|
|
|
|
|
|
|
|
|
Marine
0.2%
|
|
|
|
|
|
|
|
|
|
Horizon Lines Inc., Secured Senior Notes
|
|
6.000%
|
|
4/15/17
|
|
158,181
|
|
118,636
|
(b)(d)
|
Horizon Lines Inc., Secured Senior Notes
|
|
6.000%
|
|
4/15/17
|
|
43,939
|
|
14,280
|
(b)(d)
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
132,916
|
|
MATERIALS
0.1%
|
|
|
|
|
|
|
|
|
|
Chemicals
0.1%
|
|
|
|
|
|
|
|
|
|
Hercules Inc.
|
|
6.500%
|
|
6/30/29
|
|
40,000
|
|
32,325
|
|
TOTAL CONVERTIBLE BONDS & NOTES (Cost $530,926)
|
|
|
|
509,641
|
|
SOVEREIGN BONDS
4.7%
|
|
|
|
|
|
|
|
|
|
Argentina
0.8%
|
|
|
|
|
|
|
|
|
|
Republic of Argentina, GDP Linked Securities, Senior Bonds
|
|
4.383%
|
|
12/15/35
|
|
65,000
|
|
8,613
|
(g)(k)
|
Republic of Argentina, Senior Bonds
|
|
7.000%
|
|
9/12/13
|
|
358,000
|
|
361,940
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
9
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
|
|
VALUE
|
|
Argentina continued
|
|
|
|
|
|
|
|
|
|
Republic of Argentina, Senior Bonds
|
|
7.000%
|
|
10/3/15
|
|
26,000
|
|
$
|
24,537
|
|
Republic of Argentina, Senior Notes
|
|
8.750%
|
|
6/2/17
|
|
25,000
|
|
24,312
|
|
Total Argentina
|
|
|
|
|
|
|
|
419,402
|
|
Brazil
0.6%
|
|
|
|
|
|
|
|
|
|
Brazil Nota do Tesouro Nacional, Notes
|
|
10.000%
|
|
1/1/14
|
|
43,000
|
BRL
|
23,696
|
|
Brazil Nota do Tesouro Nacional, Notes
|
|
10.000%
|
|
1/1/17
|
|
472,000
|
BRL
|
251,923
|
|
Total Brazil
|
|
|
|
|
|
|
|
275,619
|
|
Colombia
0.2%
|
|
|
|
|
|
|
|
|
|
Republic of Colombia, Senior Notes
|
|
7.375%
|
|
3/18/19
|
|
100,000
|
|
128,800
|
|
India
0.3%
|
|
|
|
|
|
|
|
|
|
ICICI Bank Ltd., Junior Subordinated Bonds
|
|
6.375%
|
|
4/30/22
|
|
140,000
|
|
133,700
|
(a)(g)
|
Indonesia
0.5%
|
|
|
|
|
|
|
|
|
|
Republic of Indonesia, Senior Bonds
|
|
10.250%
|
|
7/15/22
|
|
539,000,000
|
IDR
|
77,547
|
|
Republic of Indonesia, Senior Bonds
|
|
11.000%
|
|
9/15/25
|
|
297,000,000
|
IDR
|
45,547
|
|
Republic of Indonesia, Senior Bonds
|
|
10.250%
|
|
7/15/27
|
|
378,000,000
|
IDR
|
55,632
|
|
Republic of Indonesia, Senior Bonds
|
|
9.750%
|
|
5/15/37
|
|
408,000,000
|
IDR
|
60,216
|
|
Total Indonesia
|
|
|
|
|
|
|
|
238,942
|
|
Peru
0.2%
|
|
|
|
|
|
|
|
|
|
Republic of Peru, Bonds
|
|
7.840%
|
|
8/12/20
|
|
186,000
|
PEN
|
80,998
|
|
Russia
0.3%
|
|
|
|
|
|
|
|
|
|
RSHB Capital, Loan Participation Notes, Senior Secured Bonds
|
|
6.299%
|
|
5/15/17
|
|
140,000
|
|
149,100
|
(a)
|
Turkey
0.9%
|
|
|
|
|
|
|
|
|
|
Republic of Turkey, Senior Notes
|
|
7.000%
|
|
6/5/20
|
|
12,000
|
|
13,740
|
|
Republic of Turkey, Senior Notes
|
|
6.875%
|
|
3/17/36
|
|
377,000
|
|
420,355
|
|
Total Turkey
|
|
|
|
|
|
|
|
434,095
|
|
Venezuela
0.9%
|
|
|
|
|
|
|
|
|
|
Bolivarian Republic of Venezuela
|
|
5.750%
|
|
2/26/16
|
|
386,000
|
|
344,505
|
(a)
|
Bolivarian Republic of Venezuela
|
|
7.650%
|
|
4/21/25
|
|
16,000
|
|
12,160
|
|
Bolivarian Republic of Venezuela, Collective Action Securities, Global Senior Bonds
|
|
9.375%
|
|
1/13/34
|
|
53,000
|
|
44,388
|
|
Bolivarian Republic of Venezuela, Collective Action Securities, Notes
|
|
10.750%
|
|
9/19/13
|
|
28,000
|
|
29,330
|
|
Bolivarian Republic of Venezuela, Global Senior Bonds
|
|
8.500%
|
|
10/8/14
|
|
12,000
|
|
12,090
|
|
Total Venezuela
|
|
|
|
|
|
|
|
442,473
|
|
TOTAL SOVEREIGN BONDS (Cost $2,209,749)
|
|
|
|
|
|
2,303,129
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES
|
|
|
|
COMMON STOCKS
1.8%
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY
1.0%
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure
0.0%
|
|
|
|
|
|
|
|
|
|
Bossier Casino Venture Holdco Inc.
|
|
|
|
|
|
8,531
|
|
17,062
|
*(b)(d)
|
Media
1.0%
|
|
|
|
|
|
|
|
|
|
Charter Communications Inc., Class A Shares
|
|
|
|
|
|
7,415
|
|
470,482
|
*
|
TOTAL CONSUMER DISCRETIONARY
|
|
|
|
|
|
|
|
487,544
|
|
ENERGY
0.4%
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services
0.4%
|
|
|
|
|
|
|
|
|
|
KCAD Holdings I Ltd.
|
|
|
|
|
|
20,462,180
|
|
206,218
|
*(b)(d)
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
10
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
SECURITY
|
|
|
|
|
|
SHARES
|
|
VALUE
|
|
INDUSTRIALS
0.4%
|
|
|
|
|
|
|
|
|
|
Marine
0.4%
|
|
|
|
|
|
|
|
|
|
DeepOcean Group Holding AS
|
|
|
|
|
|
9,303
|
|
$
|
160,477
|
*(d)
|
Horizon Lines Inc., Class A Shares
|
|
|
|
|
|
4,161
|
|
24,050
|
*
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
184,527
|
|
TOTAL COMMON STOCKS (Cost $597,862)
|
|
|
|
|
|
|
878,289
|
|
|
|
|
|
|
|
|
|
|
|
|
|
RATE
|
|
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCKS
0.4%
|
|
|
|
|
|
|
|
|
|
FINANCIALS
0.4%
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services
0.4%
|
|
|
|
|
|
|
|
|
|
Citigroup Inc. (Cost - $206,395)
|
|
7.500%
|
|
|
|
2,000
|
|
207,060
|
|
PREFERRED STOCKS
2.0%
|
|
|
|
|
|
|
|
|
|
FINANCIALS
1.9%
|
|
|
|
|
|
|
|
|
|
Consumer Finance
0.8%
|
|
|
|
|
|
|
|
|
|
GMAC Capital Trust I
|
|
8.125%
|
|
|
|
17,381
|
|
401,675
|
(g)
|
Diversified Financial Services
1.1%
|
|
|
|
|
|
|
|
|
|
Citigroup Capital XII
|
|
8.500%
|
|
|
|
13,200
|
|
337,920
|
(g)
|
Citigroup Capital XIII
|
|
7.875%
|
|
|
|
7,225
|
|
196,520
|
(g)
|
Total Diversified Financial Services
|
|
|
|
|
|
|
|
534,440
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
936,115
|
|
INDUSTRIALS
0.1%
|
|
|
|
|
|
|
|
|
|
Road & Rail
0.1%
|
|
|
|
|
|
|
|
|
|
Jack Cooper Holdings Corp.
|
|
20.000%
|
|
|
|
434
|
|
43,617
|
(a)(d)(g)
|
TOTAL PREFERRED STOCKS (Cost $971,318)
|
|
|
|
979,732
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
EXPIRATION
DATE
|
|
NOTIONAL
AMOUNT
|
|
|
|
PURCHASED OPTIONS
0.2%
|
|
|
|
|
|
|
|
|
|
Credit default swaption with BNP Paribas to buy protection on Markit CDX.NA.HY.17 Index, Put @ $97.00 (Cost - $155,663)
|
|
|
|
6/20/12
|
|
4,096,400
|
|
90,263
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WARRANTS
|
|
|
|
WARRANTS
0.1%
|
|
|
|
|
|
|
|
|
|
Buffets Restaurant Holdings
|
|
|
|
4/28/14
|
|
168
|
|
2
|
*(b)(d)
|
Charter Communications Inc.
|
|
|
|
11/30/14
|
|
209
|
|
4,021
|
*
|
Jack Cooper Holdings Corp.
|
|
|
|
12/15/17
|
|
210
|
|
15,750
|
*(d)
|
Jack Cooper Holdings Corp.
|
|
|
|
5/6/18
|
|
97
|
|
7,275
|
*(d)
|
Nortek Inc.
|
|
|
|
12/7/14
|
|
339
|
|
780
|
*(b)(d)
|
SemGroup Corp.
|
|
|
|
11/30/14
|
|
912
|
|
6,767
|
*(b)
|
TOTAL WARRANTS (Cost $10,043)
|
|
|
|
|
|
|
|
34,595
|
|
TOTAL INVESTMENTS 98.2% (Cost $46,642,171#)
|
|
|
|
|
47,913,662
|
|
Other Assets in Excess of Liabilities 1.8%
|
|
|
|
|
|
|
|
891,405
|
|
TOTAL NET ASSETS 100.0%
|
|
|
|
|
|
|
|
$
|
48,805,067
|
|
Face amount/notional 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)
Illiquid security.
(c)
Payment-in-kind security for which part of the income earned may be paid as additional principal.
(d)
Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1).
(e)
The coupon payment on these securities is currently in default as of March 31, 2012.
(f)
Value is less than $1.
(g)
Variable rate security. Interest rate disclosed is as of the most recent information available.
See Notes to Schedule of Investments.
11
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd)
March 31, 2012
(h)
Security has no maturity date. The date shown represents the next call date.
(i)
Interest rates disclosed represent the effective rates on collateralized senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.
(j)
All or a portion of this loan is unfunded as of March 31, 2012. The interest rate for fully unfunded term loans is to be determined.
(k)
The securitys interest income payments are contingent upon the performance of Argentinas GDP. There are no principal payments over the life of the security or upon the expiration of the security.
#
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
|
PEN
|
- Peruvian Nuevo Sol
|
SCHEDULE OF WRITTEN OPTIONS
SECURITY
|
|
EXPIRATION
DATE
|
|
STRIKE
PRICE
|
|
NOTIONAL
AMOUNT
|
|
VALUE
|
|
Credit default swaption with BNP Paribas to buy protection on Markit CDX.NA.HY.17 Index, Call
|
|
4/18/12
|
|
$
|
99.50
|
|
1,348,300
|
|
$
|
4,125
|
|
Credit default swaption with BNP Paribas to sell protection on Markit CDX.NA.HY.17 Index, Put
|
|
6/20/12
|
|
92.00
|
|
8,192,800
|
|
60,059
|
|
TOTAL WRITTEN OPTIONS
(Premiums received $169,249)
|
|
|
|
|
|
|
|
$
|
64,184
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional amount denominated in U.S. dollars, unless otherwise noted.
See Notes to Schedule of Investments.
12
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 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.
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 internal models 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. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investments fair value. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Directors.
The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North American Fund Valuation Committee (the Valuation Committee). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Funds pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuers financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
13
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 quoted prices in active markets for identical investments
·
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
·
Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Funds assets and liabilities carried at fair value:
ASSETS
|
|
|
|
|
|
|
|
|
|
|
DESCRIPTION
|
|
QUOTED
PRICES
(LEVEL 1)
|
|
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
|
|
TOTAL
|
|
Long-term investments:
|
|
|
|
|
|
|
|
|
|
Corporate bonds & notes
|
|
|
|
$
|
41,509,826
|
|
$
|
340,864
|
|
$
|
41,850,690
|
|
Collateralized senior loans
|
|
|
|
614,444
|
|
445,819
|
|
1,060,263
|
|
Convertible bonds & notes
|
|
|
|
495,361
|
|
14,280
|
|
509,641
|
|
Sovereign bonds
|
|
|
|
2,303,129
|
|
|
|
2,303,129
|
|
Common stocks:
|
|
|
|
|
|
|
|
|
|
Consumer discretionary
|
|
$
|
470,482
|
|
|
|
17,062
|
|
487,544
|
|
Energy
|
|
|
|
|
|
206,218
|
|
206,218
|
|
Industrials
|
|
24,050
|
|
160,477
|
|
|
|
184,527
|
|
Convertible preferred stocks
|
|
207,060
|
|
|
|
|
|
207,060
|
|
Preferred stocks:
|
|
|
|
|
|
|
|
|
|
Financials
|
|
936,115
|
|
|
|
|
|
936,115
|
|
Industrials
|
|
|
|
43,617
|
|
|
|
43,617
|
|
Purchased options
|
|
|
|
90,263
|
|
|
|
90,263
|
|
Warrants
|
|
|
|
33,813
|
|
782
|
|
34,595
|
|
Total investments
|
|
$
|
1,637,707
|
|
$
|
45,250,930
|
|
$
|
1,025,025
|
|
$
|
47,913,662
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
$
|
11,382
|
|
|
|
|
|
$
|
11,382
|
|
Forward foreign currency contracts
|
|
|
|
$
|
3,392
|
|
|
|
3,392
|
|
Credit default swaps on sovereign issues - buy protection
|
|
|
|
74,236
|
|
|
|
74,236
|
|
Credit default swaps on credit indices - buy protection
|
|
|
|
21,809
|
|
|
|
21,809
|
|
Total other financial instruments
|
|
$
|
11,382
|
|
$
|
99,437
|
|
|
|
$
|
110,819
|
|
Total
|
|
$
|
1,649,089
|
|
$
|
45,350,367
|
|
$
|
1,025,025
|
|
$
|
48,024,481
|
|
14
Notes to schedule of investments (unaudited) (continued)
LIABILITIES
|
|
|
|
|
|
|
|
|
|
|
|
|
QUOTED
PRICES
|
|
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
|
|
|
|
DESCRIPTION
|
|
(LEVEL 1)
|
|
(LEVEL 2)
|
|
(LEVEL 3)
|
|
TOTAL
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
Written options
|
|
|
|
$
|
64,184
|
|
|
|
$
|
64,184
|
|
Forward foreign currency contracts
|
|
|
|
2,077
|
|
|
|
2,077
|
|
Total
|
|
|
|
$
|
66,261
|
|
|
|
$
|
66,261
|
|
See Schedule of Investments for additional detailed categorizations.
Values include any premiums paid or received with respect to swap contracts.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
|
|
|
|
|
|
|
|
COMMON STOCKS
|
|
PREFERRED
STOCKS
|
|
|
|
|
|
|
|
CORPORATE
|
|
|
|
CONVERTIBLE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BONDS &
|
|
COLLATERALIZED
|
|
BONDS &
|
|
CONSUMER
|
|
|
|
|
|
|
|
|
|
|
|
INVESTMENTS IN SECURITIES
|
|
NOTES
|
|
SENIOR LOANS
|
|
NOTES
|
|
DISCRETIONARY
|
|
ENERGY
|
|
INDUSTRIALS
|
|
INDUSTRIALS
|
|
WARRANTS
|
|
TOTAL
|
|
Balance as of December 31, 2011
|
|
$
|
578,591
|
|
$
|
220,000
|
|
|
|
|
|
$
|
206,218
|
|
$
|
158,151
|
|
$
|
43,400
|
|
$
|
25,202
|
|
$
|
1,231,562
|
|
Accrued premiums/discounts
|
|
634
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
634
|
|
Realized gain (loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in unrealized appreciation
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(depreciation)
(1)
|
|
11,201
|
|
|
|
|
|
|
|
|
|
2,326
|
|
217
|
|
5,372
|
|
19,116
|
|
Purchases
|
|
102,938
|
|
445,819
|
|
|
|
$
|
17,062
|
|
|
|
|
|
|
|
|
|
565,819
|
|
Sales
|
|
|
|
(220,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
(220,000
|
)
|
Transfers into Level 3
(2)
|
|
|
|
|
|
$
|
14,280
|
|
|
|
|
|
|
|
|
|
|
|
14,280
|
|
Transfers out of Level 3
(3)
|
|
(352,500
|
)
|
|
|
|
|
|
|
|
|
(160,477
|
)
|
(43,617
|
)
|
(29,792
|
)
|
(586,386
|
)
|
Balance as of March 31, 2012
|
|
$
|
340,864
|
|
$
|
445,819
|
|
$
|
14,280
|
|
$
|
17,062
|
|
$
|
206,218
|
|
|
|
|
|
$
|
782
|
|
$
|
1,025,025
|
|
Net change in unrealized appreciation
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(depreciation) for investments in securities still held at March 31, 2012
(1)
|
|
$
|
983
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(136
|
)
|
$
|
847
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Funds policy is to recognize transfers between levels as of the end of the reporting period.
(1)
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.
(2)
Transferred into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable inputs.
(3)
Transferred out of Level 3 as a result of the availability of a quoted price in an active market for an identical investment or the availability of other significant observable inputs.
(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 enters 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.
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 uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes.
A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
15
Notes to schedule of investments (unaudited) (continued)
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) Written options.
When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the Funds basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased by the Fund from the exercise of the written put option to form the Funds basis in the underlying security purchased. The writer or buyer of an option traded on an exchange can liquidate the position before the exercise of the option by entering into a closing transaction. The cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Fund.
The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. The risk in writing an uncovered call option is that the Fund is exposed to the risk of loss if the market price of the underlying security increases. 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.
(f) Swaptions.
The
Fund purchases and writes swaption contracts to manage exposure to an underlying instrument. The Fund may also purchase or write options to manage exposure to fluctuations in interest rates or to enhance yield. Swaption contracts written by the Fund represent an option that gives the purchaser the right, but not the obligation, to enter into a previously agreed upon swap contract at a future date. Swaption contracts purchased by the Fund represent an option that gives the Fund the right, but not the obligation, to enter into a previously agreed upon swap contract at a future date.
When the Fund writes a swaption, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the swaption written. If the swaption expires, the Fund realizes a gain equal to the amount of the premium received.
When the Fund purchases a swaption, an amount equal to the premium paid by the Fund is recorded as an investment on the statement of assets and liabilities, the value of which is marked-to-market daily to reflect the current market value of the swaption purchased. If the swaption expires, the Fund realizes a loss equal to the amount of the premium paid.
Swaptions are marked-to-market daily based upon quotations from market makers.
(g) Swap agreements.
The Fund invests in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes, including to increase the Funds return. The use of swaps involves risks that are different from those associated with other portfolio transactions.
Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon termination of the swap agreement. Collateral, in the form of restricted cash or securities, may be required to be held in segregated accounts with the Funds custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Schedule of Investments.
Credit default swaps
The Fund enters into credit default swap (CDS) contracts for investment purposes, to manage its credit risk or to add leverage. CDS agreements involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party, typically corporate or sovereign issuers, on a specified obligation, or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. The Fund may use a CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund has exposure to an issuer) or to take
16
Notes to schedule of investments (unaudited) (continued)
an active long or short position with respect to the likelihood of a particular issuers default. As a seller of protection, the Fund generally receives an upfront payment or a stream of payments throughout the term of the swap provided that there is no credit event. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the maximum potential amount of future payments (undiscounted) that the Fund could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These amounts of potential payments will be partially offset by any recovery of values from the respective referenced obligations. As a seller of protection, the Fund effectively adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. As a buyer of protection, the Fund generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied spreads are the theoretical prices a lender receives for credit default protection. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. Credit spreads utilized in determining the period end market value of credit default swap agreements on corporate or sovereign issues are disclosed in the Notes to the Schedule of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for credit derivatives. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, particularly in relation to the notional amount of the contract as well as the annual payment rate, serve as an indication of the current status of the payment/performance risk.
The Funds maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract (this risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty). As the protection seller, the Funds maximum risk is the notional amount of the contract. Credit default swaps are considered to have credit risk-related contingent features since they require payment by the protection seller to the protection buyer upon the occurrence of a defined credit event.
Entering into a CDS agreement involves, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates.
(h) 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.
(i) Unfunded loan commitments.
The Fund may enter into certain credit agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrowers discretion. The commitments are disclosed in the accompanying Schedule of Investments. At March 31, 2012, the Fund had sufficient cash and/or securities to cover these commitments.
(j) 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.
17
Notes to schedule of investments (unaudited) (continued)
(k) 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.
(l) Foreign investment risks.
The Funds investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
(m) Counterparty risk and credit-risk-related contingent features of derivative instruments.
The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Funds investment manager attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the investment manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
The Fund has entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Funds net assets or NAV over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.
As of March 31, 2012, the Fund held written options and forward foreign currency contracts with credit related contingent features which had a liability position of $66,261. If a contingent feature in the master agreements would have been triggered, the Fund would have been required to pay this amount to its derivatives counterparties.
(n) Security transactions.
Security transactions are accounted for on a trade date basis.
2. Investments
At March 31, 2012, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
Gross unrealized appreciation
|
|
$
|
3,136,121
|
|
Gross unrealized depreciation
|
|
(1,864,630
|
)
|
Net unrealized appreciation
|
|
$
|
1,271,491
|
|
During the period ended March 31, 2012, written option transactions for the Fund were as follows:
|
|
Notional Amount
|
|
Premiums
|
|
Written options, outstanding as of December 31, 2011
|
|
|
|
|
|
Options written
|
|
$
|
12,138,100
|
|
$
|
197,169
|
|
Options expired
|
|
(2,597,000
|
)
|
(27,920
|
)
|
Written options, outstanding as of March 31, 2012
|
|
$
|
9,541,100
|
|
$
|
169,249
|
|
18
Notes to schedule of investments (unaudited) (continued)
At March 31, 2012, the Fund had the following open futures contracts:
|
|
NUMBER
OF
CONTRACTS
|
|
EXPIRATION
DATE
|
|
BASIS
VALUE
|
|
MARKET
VALUE
|
|
UNREALIZED
GAIN
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 5-Year Notes
|
|
17
|
|
6/12
|
|
$
|
2,094,546
|
|
$
|
2,083,164
|
|
$
|
11,382
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At March 31, 2012, the Fund had the following open forward foreign currency contracts:
FOREIGN CURRENCY
|
|
COUNTERPARTY
|
|
LOCAL
CURRENCY
|
|
MARKET
VALUE
|
|
SETTLEMENT
DATE
|
|
UNREALIZED
GAIN (LOSS)
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
Brazilian Real
|
|
Citibank, N.A.
|
|
250,000
|
|
$
|
136,546
|
|
4/16/12
|
|
$
|
3,392
|
|
Euro
|
|
Royal Bank of Scotland PLC
|
|
400,000
|
|
533,587
|
|
5/16/12
|
|
(2,077
|
)
|
Net unrealized gain on open forward foreign currency contracts
|
|
|
|
$
|
1,315
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At March 31, 2012, the Fund held the following credit default swap contracts:
CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - BUY PROTECTION
(1)
SWAP COUNTERPARTY
(REFERENCE ENTITY)
|
|
NOTIONAL
AMOUNT
(2)
|
|
TERMINATION
DATE
|
|
PERIODIC
PAYMENTS
MADE BY
THE FUND
|
|
MARKET
VALUE
|
|
UPFRONT
PREMIUMS
PAID
|
|
UNREALIZED (DEPRECIATION)
|
|
BNP Paribas (Spain Government Bond, 5.500%, due 7/30/17)
|
|
$
|
520,000
|
|
6/20/17
|
|
1.000% quarterly
|
|
$
|
74,236
|
|
$
|
74,895
|
|
$
|
(659
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION
(1)
|
|
SWAP COUNTERPARTY
(REFERENCE ENTITY)
|
|
NOTIONAL AMOUNT
(2)
|
|
TERMINATION
DATE
|
|
PERIODIC
PAYMENTS
MADE BY
THE FUND
|
|
MARKET
VALUE
(3)
|
|
UPFRONT
PREMIUMS
PAID
|
|
UNREALIZED (DEPRECIATION)
|
|
BNP Paribas (MARKIT CDX.NA.HY.17 Index)
|
|
$
|
485,000
|
|
12/20/16
|
|
5.000% quarterly
|
|
$
|
7,789
|
|
$
|
13,573
|
|
$
|
(5,784
|
)
|
BNP Paribas (MARKIT CDX.NA.HY.17 Index)
|
|
679,000
|
|
12/20/16
|
|
5.000% quarterly
|
|
10,905
|
|
20,242
|
|
(9,337
|
)
|
BNP Paribas (MARKIT CDX.NA.HY.17 Index)
|
|
194,000
|
|
12/20/16
|
|
5.000% quarterly
|
|
3,115
|
|
5,665
|
|
(2,550
|
)
|
Total
|
|
$
|
1,358,000
|
|
|
|
|
|
$
|
21,809
|
|
$
|
39,480
|
|
$
|
(17,671
|
)
|
(1) If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(3) The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Percentage shown is an annual percentage rate.
3. Derivative instruments and hedging activities
Financial Accounting Standards Board Codification Topic 815 requires enhanced disclosure about an entitys derivative and hedging activities.
19
Notes to schedule of investments (unaudited) (continued)
The following is a summary of the Funds derivative instruments categorized by risk exposure at March 31, 2012.
|
|
|
|
|
|
Futures
Contracts
|
|
Forward Foreign Currency
Contracts
|
|
|
|
|
|
Primary Underlying
Risk Disclosure
|
|
Purchased
Options,
at value
|
|
Written
Options, at
value
|
|
Unrealized
Appreciation
|
|
Unrealized
Appreciation
|
|
Unrealized
Depreciation
|
|
Swap
Contracts,
at value
|
|
Total
|
|
Interest Rate Risk
|
|
|
|
|
|
$
|
11,382
|
|
|
|
|
|
|
|
$
|
11,382
|
|
Foreign Exchange Risk
|
|
|
|
|
|
|
|
$
|
3,392
|
|
$
|
(2,077
|
)
|
|
|
1,315
|
|
Credit Risk
|
|
$
|
90,263
|
|
$
|
(64,184
|
)
|
|
|
|
|
|
|
$
|
96,045
|
|
122,124
|
|
Total
|
|
$
|
90,263
|
|
$
|
(64,184
|
)
|
$
|
11,382
|
|
$
|
3,392
|
|
$
|
(2,077
|
)
|
$
|
96,045
|
|
$
|
134,821
|
|
During the period ended March 31, 2012, the volume of derivative activity for the Fund was as follows:
|
|
Average market
value
|
|
Purchased options
|
|
$
|
90,469
|
|
Written options
|
|
85,435
|
|
Forward foreign currency contracts (to sell)
|
|
597,366
|
|
Futures contracts (to sell)
|
|
2,095,316
|
|
|
|
|
|
|
|
Average notional
balance
|
|
Credit default swap contracts (to buy protection)
|
|
$
|
809,000
|
|
4. Recent accounting pronouncement
In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (ASU No. 2011-04). ASU No. 2011-04 establishes common requirements for measuring fair value and for disclosing information about fair value measurements. ASU No. 2011-04 is effective during interim and annual periods beginning after December 15, 2011. Management has evaluated ASU No. 2011-04 and concluded that it does not materially impact the financial statement amounts; however, as required, additional disclosure has been included about fair value measurement.
20
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: May 29, 2012
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: May 29, 2012
By
|
/s/ Richard F. Sennett
|
|
|
Richard F. Sennett
|
|
|
Principal Financial Officer
|
|
Date: May 29, 2012
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