Schedule of Investments (unaudited)
June 30, 2024
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets) 
Security
 
Rate
Maturity
Date
Face
Amount†
Value
Corporate Bonds & Notes — 86.0%
Communication Services — 13.0%
Diversified Telecommunication Services — 2.2%
Altice Financing SA, Senior Secured Notes
5.000%
1/15/28
1,050,000
 
 $799,716
 (a)
Altice Financing SA, Senior Secured Notes
5.750%
8/15/29
4,690,000
 
3,412,829
 (a)
Altice France Holding SA, Senior Secured Notes
8.000%
5/15/27
720,000
 EUR
271,113
 (b)
Altice France Holding SA, Senior Secured Notes
10.500%
5/15/27
2,770,000
 
1,108,775
 (a)
Altice France Holding SA, Senior Secured Notes
6.000%
2/15/28
1,230,000
 
401,208
 (a)
Altice France SA, Senior Secured Notes
5.125%
7/15/29
750,000
 
494,375
 (a)
Altice France SA, Senior Secured Notes
5.500%
10/15/29
1,890,000
 
1,248,283
 (a)
Telecom Italia Capital SA, Senior Notes
6.000%
9/30/34
61,000
 
55,099
 
Telecom Italia Capital SA, Senior Notes
6.000%
9/30/34
939,000
 
889,796
 (a)
Total Diversified Telecommunication Services
8,681,194
Entertainment — 0.5%
Banijay Entertainment SASU, Senior Secured Notes
8.125%
5/1/29
2,090,000
 
2,139,504
 (a)
Interactive Media & Services — 0.3%
Match Group Holdings II LLC, Senior Notes
5.000%
12/15/27
1,000,000
 
959,622
 (a)
Match Group Holdings II LLC, Senior Notes
3.625%
10/1/31
360,000
 
305,182
 (a)
Total Interactive Media & Services
1,264,804
Media — 5.3%
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
4.250%
1/15/34
3,850,000
 
2,925,529
 (a)
Charter Communications Operating LLC/Charter Communications Operating
Capital Corp., Senior Secured Notes
3.850%
4/1/61
8,520,000
 
4,980,250
 
Clear Channel Outdoor Holdings Inc., Senior Notes
7.750%
4/15/28
570,000
 
499,402
 (a)
Clear Channel Outdoor Holdings Inc., Senior Notes
7.500%
6/1/29
1,140,000
 
953,753
 (a)
DirecTV Financing LLC, Senior Secured Notes
8.875%
2/1/30
1,000,000
 
979,532
 (a)
DISH DBS Corp., Senior Notes
5.875%
11/15/24
333,000
 
316,477
 
DISH DBS Corp., Senior Notes
7.375%
7/1/28
1,780,000
 
758,974
 
DISH DBS Corp., Senior Notes
5.125%
6/1/29
6,738,000
 
2,675,528
 
iHeartCommunications Inc., Senior Secured Notes
6.375%
5/1/26
800,000
 
622,386
 
Sirius XM Radio Inc., Senior Notes
4.125%
7/1/30
1,000,000
 
854,941
 (a)
Sirius XM Radio Inc., Senior Notes
3.875%
9/1/31
1,000,000
 
817,069
 (a)
Univision Communications Inc., Senior Secured Notes
6.625%
6/1/27
1,400,000
 
1,341,643
 (a)
Virgin Media Vendor Financing Notes III DAC, Senior Secured Notes
4.875%
7/15/28
2,000,000
 GBP
2,262,739
 (a)
VZ Secured Financing BV, Senior Secured Notes
5.000%
1/15/32
680,000
 
580,578
 (a)
Total Media
20,568,801
Wireless Telecommunication Services — 4.7%
CSC Holdings LLC, Senior Notes
11.750%
1/31/29
1,550,000
 
1,322,893
 (a)
CSC Holdings LLC, Senior Notes
4.125%
12/1/30
2,080,000
 
1,346,446
 (a)
CSC Holdings LLC, Senior Notes
4.625%
12/1/30
1,410,000
 
514,850
 (a)
CSC Holdings LLC, Senior Notes
4.500%
11/15/31
5,670,000
 
3,663,419
 (a)
Millicom International Cellular SA, Senior Notes
4.500%
4/27/31
1,750,000
 
1,507,425
 (a)
Sprint Capital Corp., Senior Notes
6.875%
11/15/28
2,190,000
 
2,323,200
 
Sprint Capital Corp., Senior Notes
8.750%
3/15/32
5,910,000
 
7,113,851
 
Vmed O2 UK Financing I PLC, Senior Secured Notes
4.750%
7/15/31
500,000
 
422,370
 (a)
Total Wireless Telecommunication Services
18,214,454
 
Total Communication Services
50,868,757
See Notes to Schedule of Investments.
1
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Consumer Discretionary — 19.4%
Automobile Components — 3.1%
Adient Global Holdings Ltd., Senior Notes
4.875%
8/15/26
3,529,000
 
 $3,435,071
 (a)
American Axle & Manufacturing Inc., Senior Notes
6.500%
4/1/27
3,903,000
 
3,901,052
 
Garrett Motion Holdings Inc./Garrett LX I Sarl, Senior Notes
7.750%
5/31/32
560,000
 
567,984
 (a)
JB Poindexter & Co. Inc., Senior Notes
8.750%
12/15/31
2,020,000
 
2,095,227
 (a)
ZF North America Capital Inc., Senior Notes
6.875%
4/14/28
880,000
 
897,781
 (a)
ZF North America Capital Inc., Senior Notes
7.125%
4/14/30
1,220,000
 
1,264,375
 (a)
Total Automobile Components
12,161,490
Automobiles — 1.5%
Ford Motor Co., Senior Notes
3.250%
2/12/32
1,000,000
 
826,947
 
Ford Motor Credit Co. LLC, Senior Notes
7.350%
3/6/30
1,000,000
 
1,058,850
 
Ford Motor Credit Co. LLC, Senior Notes
3.625%
6/17/31
3,520,000
 
3,036,425
 
PM General Purchaser LLC, Senior Secured Notes
9.500%
10/1/28
1,000,000
 
1,022,647
 (a)
Total Automobiles
5,944,869
Broadline Retail — 0.6%
Marks & Spencer PLC, Senior Notes
7.125%
12/1/37
2,190,000
 
2,344,435
 (a)
Distributors — 0.5%
Ritchie Bros Holdings Inc., Senior Notes
7.750%
3/15/31
1,770,000
 
1,850,723
 (a)
Diversified Consumer Services — 1.8%
APCOA Parking Holdings GmbH, Senior Secured Notes
4.625%
1/15/27
4,050,000
 EUR
4,255,339
 (a)
Carriage Services Inc., Senior Notes
4.250%
5/15/29
600,000
 
536,697
 (a)
Service Corp. International, Senior Notes
7.500%
4/1/27
1,975,000
 
2,050,617
 
Total Diversified Consumer Services
6,842,653
Hotels, Restaurants & Leisure — 10.7%
888 Acquisitions Ltd., Senior Secured Notes
7.558%
7/15/27
2,600,000
 EUR
2,789,451
 (a)
Carnival Holdings Bermuda Ltd., Senior Notes
10.375%
5/1/28
1,510,000
 
1,635,743
 (a)
Carnival PLC, Senior Notes
1.000%
10/28/29
5,780,000
 EUR
5,068,446
 
Full House Resorts Inc., Senior Secured Notes
8.250%
2/15/28
3,300,000
 
3,172,596
 (a)
Hilton Domestic Operating Co. Inc., Senior Notes
3.625%
2/15/32
2,000,000
 
1,732,444
 (a)
IRB Holding Corp., Senior Secured Notes
7.000%
6/15/25
1,230,000
 
1,231,326
 (a)
Melco Resorts Finance Ltd., Senior Notes
5.375%
12/4/29
1,367,000
 
1,227,595
 (a)
NCL Corp. Ltd., Senior Notes
3.625%
12/15/24
900,000
 
891,865
 (a)
NCL Corp. Ltd., Senior Notes
5.875%
3/15/26
320,000
 
316,587
 (a)
NCL Corp. Ltd., Senior Notes
7.750%
2/15/29
1,871,000
 
1,946,543
 (a)
NCL Corp. Ltd., Senior Secured Notes
8.125%
1/15/29
260,000
 
272,615
 (a)
NCL Finance Ltd., Senior Notes
6.125%
3/15/28
4,240,000
 
4,190,452
 (a)
Pinnacle Bidco PLC, Senior Secured Notes
10.000%
10/11/28
900,000
 GBP
1,209,507
 (a)
Royal Caribbean Cruises Ltd., Senior Notes
5.375%
7/15/27
2,980,000
 
2,936,259
 (a)
Royal Caribbean Cruises Ltd., Senior Notes
5.500%
4/1/28
1,840,000
 
1,817,780
 (a)
Royal Caribbean Cruises Ltd., Senior Notes
7.250%
1/15/30
1,660,000
 
1,719,843
 (a)
Sands China Ltd., Senior Notes
2.850%
3/8/29
1,200,000
 
1,056,961
 
Viking Cruises Ltd., Senior Notes
5.875%
9/15/27
1,000,000
 
990,279
 (a)
Viking Ocean Cruises Ship VII Ltd., Senior Secured Notes
5.625%
2/15/29
2,550,000
 
2,496,264
 (a)
VOC Escrow Ltd., Senior Secured Notes
5.000%
2/15/28
140,000
 
135,801
 (a)
Wynn Macau Ltd., Senior Notes
5.625%
8/26/28
1,970,000
 
1,848,835
 (a)
See Notes to Schedule of Investments.
2
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Hotels, Restaurants & Leisure — continued
Wynn Macau Ltd., Senior Notes
5.125%
12/15/29
1,674,000
 
 $1,517,483
 (a)
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes
7.125%
2/15/31
1,730,000
 
1,795,054
 (a)
Total Hotels, Restaurants & Leisure
41,999,729
Specialty Retail — 1.2%
FirstCash Inc., Senior Notes
4.625%
9/1/28
1,000,000
 
940,861
 (a)
Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Notes
8.750%
1/15/32
530,000
 
507,558
 (a)
Michaels Cos. Inc., Senior Secured Notes
5.250%
5/1/28
1,800,000
 
1,442,047
 (a)
Sally Holdings LLC/Sally Capital Inc., Senior Notes
6.750%
3/1/32
1,700,000
 
1,681,014
 
Total Specialty Retail
4,571,480
 
Total Consumer Discretionary
75,715,379
Consumer Staples — 0.4%
Food Products — 0.4%
FAGE International SA/FAGE USA Dairy Industry Inc., Senior Notes
5.625%
8/15/26
1,550,000
 
1,537,186
 (a)
 
Energy — 16.3%
Energy Equipment & Services — 0.2%
Noble Finance II LLC, Senior Notes
8.000%
4/15/30
850,000
 
885,264
 (a)
Oil, Gas & Consumable Fuels — 16.1%
Apache Corp., Senior Notes
5.100%
9/1/40
950,000
 
811,363
 
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes
6.625%
7/15/26
515,000
 
515,657
 (a)
Continental Resources Inc., Senior Notes
4.900%
6/1/44
1,050,000
 
859,209
 
Crescent Energy Finance LLC, Senior Notes
9.250%
2/15/28
660,000
 
697,978
 (a)
Crescent Energy Finance LLC, Senior Notes
7.625%
4/1/32
750,000
 
764,915
 (a)
Ecopetrol SA, Senior Notes
5.875%
5/28/45
4,110,000
 
2,948,951
 
Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3
mo. USD LIBOR + 4.155%)
6.625%
2/15/28
1,910,000
 
1,860,684
 (c)(d)
EQM Midstream Partners LP, Senior Notes
4.500%
1/15/29
1,020,000
 
963,350
 (a)
EQM Midstream Partners LP, Senior Notes
7.500%
6/1/30
780,000
 
832,893
 (a)
EQM Midstream Partners LP, Senior Notes
4.750%
1/15/31
230,000
 
215,204
 (a)
Hilcorp Energy I LP/Hilcorp Finance Co., Senior Notes
8.375%
11/1/33
1,140,000
 
1,215,801
 (a)
Kinder Morgan Inc., Senior Notes
7.750%
1/15/32
6,920,000
 
7,813,139
 
NGPL PipeCo LLC, Senior Notes
7.768%
12/15/37
1,520,000
 
1,755,699
 (a)
Occidental Petroleum Corp., Senior Notes
2.900%
8/15/24
1,330,000
 
1,324,473
 
Occidental Petroleum Corp., Senior Notes
5.875%
9/1/25
4,970,000
 
4,975,608
 
Occidental Petroleum Corp., Senior Notes
5.550%
3/15/26
750,000
 
749,075
 
Occidental Petroleum Corp., Senior Notes
6.200%
3/15/40
1,070,000
 
1,072,754
 
Pan American Energy LLC, Senior Notes
8.500%
4/30/32
1,000,000
 
1,048,200
 (a)
Permian Resources Operating LLC, Senior Notes
5.375%
1/15/26
500,000
 
495,247
 (a)
Petrobras Global Finance BV, Senior Notes
6.750%
1/27/41
4,370,000
 
4,212,846
 
Petroleos del Peru SA, Senior Notes
4.750%
6/19/32
1,500,000
 
1,124,461
 (a)
Petroleos Mexicanos, Senior Notes
6.500%
6/2/41
1,000,000
 
681,546
 
Puma International Financing SA, Senior Notes
7.750%
4/25/29
650,000
 
655,996
 (a)
Range Resources Corp., Senior Notes
4.875%
5/15/25
1,540,000
 
1,531,515
 
Range Resources Corp., Senior Notes
8.250%
1/15/29
620,000
 
642,993
 
Rockies Express Pipeline LLC, Senior Notes
6.875%
4/15/40
1,140,000
 
1,090,550
 (a)
SilverBow Resources Inc., Secured Notes (3 mo. Term SOFR + 7.750%)
13.089%
12/15/28
981,240
 
1,031,529
 (a)(d)
See Notes to Schedule of Investments.
3
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Oil, Gas & Consumable Fuels — continued
Southwestern Energy Co., Senior Notes
5.700%
1/23/25
500,000
 
 $499,586
 
Southwestern Energy Co., Senior Notes
4.750%
2/1/32
750,000
 
690,412
 
Summit Midstream Holdings LLC/Summit Midstream Finance Corp.,
Secured Notes
10.000%
10/15/26
1,430,000
 
1,471,403
 (a)
Venture Global LNG Inc., Senior Secured Notes
9.875%
2/1/32
2,660,000
 
2,896,873
 (a)
Western Midstream Operating LP, Senior Notes
4.050%
2/1/30
1,340,000
 
1,247,102
 
Western Midstream Operating LP, Senior Notes
5.300%
3/1/48
1,070,000
 
924,713
 
Western Midstream Operating LP, Senior Notes
5.250%
2/1/50
9,585,000
 
8,409,713
 
Williams Cos. Inc., Senior Notes
7.500%
1/15/31
620,000
 
686,089
 
Williams Cos. Inc., Senior Notes
5.750%
6/24/44
3,190,000
 
3,126,761
 
YPF SA, Senior Notes
8.500%
7/28/25
560,000
 
552,517
 (a)
YPF SA, Senior Notes
6.950%
7/21/27
530,000
 
480,130
 (a)
Total Oil, Gas & Consumable Fuels
62,876,935
 
Total Energy
63,762,199
Financials — 9.1%
Banks — 5.1%
Banco Mercantil del Norte SA, Junior Subordinated Notes (6.625% to
1/24/32 then 10 year Treasury Constant Maturity Rate + 5.034%)
6.625%
1/24/32
3,200,000
 
2,812,115
 (a)(c)(d)
Banco Mercantil del Norte SA, Junior Subordinated Notes (8.375% to
10/14/30 then 10 year Treasury Constant Maturity Rate + 7.760%)
8.375%
10/14/30
500,000
 
505,182
 (a)(c)(d)
BBVA Bancomer SA, Subordinated Notes (5.125% to 1/17/28 then 5 year
Treasury Constant Maturity Rate + 2.650%)
5.125%
1/18/33
1,960,000
 
1,787,641
 (a)(d)
BNP Paribas SA, Junior Subordinated Notes (7.750% to 8/16/29 then 5 year
Treasury Constant Maturity Rate + 4.899%)
7.750%
8/16/29
1,470,000
 
1,486,192
 (a)(c)(d)
Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then
USD 5 year ICE Swap Rate + 6.185%)
8.125%
12/23/25
2,290,000
 
2,326,969
 (a)(c)(d)
HSBC Holdings PLC, Subordinated Notes (8.113% to 11/3/32 then SOFR +
4.250%)
8.113%
11/3/33
1,440,000
 
1,627,467
 (d)
Intesa Sanpaolo SpA, Subordinated Notes
5.710%
1/15/26
2,800,000
 
2,774,694
 (a)
Lloyds Banking Group PLC, Junior Subordinated Notes (6.750% to 6/27/26
then 5 year Treasury Constant Maturity Rate + 4.815%)
6.750%
6/27/26
2,060,000
 
2,054,002
 (c)(d)
Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to 3/27/30
then 5 year Treasury Constant Maturity Rate + 3.913%)
8.000%
9/27/29
1,840,000
 
1,885,454
 (c)(d)
UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE
Swap Rate + 4.914%)
7.296%
4/2/34
2,710,000
 
2,766,998
 (a)(d)
Total Banks
20,026,714
Capital Markets — 0.4%
Credit Suisse AG AT1 Claim
—
—
10,560,000
 
316,800
 *(e)(f)
StoneX Group Inc., Senior Secured Notes
7.875%
3/1/31
640,000
 
660,603
 (a)
UBS Group AG, Junior Subordinated Notes (9.250% to 11/13/28 then 5 year
Treasury Constant Maturity Rate + 4.745%)
9.250%
11/13/28
510,000
 
549,985
 (a)(c)(d)
Total Capital Markets
1,527,388
Consumer Finance — 0.6%
Navient Corp., Senior Notes
5.875%
10/25/24
1,080,000
 
1,079,169
 
Navient Corp., Senior Notes
6.750%
6/15/26
1,400,000
 
1,409,635
 
Total Consumer Finance
2,488,804
See Notes to Schedule of Investments.
4
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Financial Services — 2.2%
Boost Newco Borrower LLC, Senior Secured Notes
7.500%
1/15/31
460,000
 
 $479,965
 (a)
Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK)
6.500%
9/15/24
1,753,143
 
1,689,271
 (a)(g)
GTCR W Dutch Finance Sub BV, Senior Secured Notes
8.500%
1/15/31
1,160,000
 GBP
1,574,720
 (a)
Jane Street Group/JSG Finance Inc., Senior Secured Notes
7.125%
4/30/31
1,640,000
 
1,683,098
 (a)
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes
3.625%
3/1/29
500,000
 
453,965
 (a)
VFH Parent LLC/Valor Co-Issuer Inc., Senior Secured Notes
7.500%
6/15/31
780,000
 
784,391
 (a)
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes
7.875%
5/1/27
1,250,000
 
1,106,153
 (a)
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes
6.375%
2/1/30
880,000
 
692,443
 (a)
Total Financial Services
8,464,006
Insurance — 0.3%
MetLife Capital Trust IV, Junior Subordinated Notes
7.875%
12/15/37
1,010,000
 
1,084,339
 (a)
Mortgage Real Estate Investment Trusts (REITs) — 0.5%
Apollo Commercial Real Estate Finance Inc., Senior Secured Notes
4.625%
6/15/29
750,000
 
629,578
 (a)
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Senior
Notes
5.250%
10/1/25
750,000
 
744,057
 (a)
Starwood Property Trust Inc., Senior Notes
7.250%
4/1/29
780,000
 
789,338
 (a)
Total Mortgage Real Estate Investment Trusts (REITs)
2,162,973
 
Total Financials
35,754,224
Health Care — 7.0%
Health Care Providers & Services — 5.3%
Centene Corp., Senior Notes
3.375%
2/15/30
1,400,000
 
1,243,709
 
CHS/Community Health Systems Inc., Senior Secured Notes
5.625%
3/15/27
500,000
 
466,056
 (a)
CHS/Community Health Systems Inc., Senior Secured Notes
6.000%
1/15/29
500,000
 
441,698
 (a)
CHS/Community Health Systems Inc., Senior Secured Notes
4.750%
2/15/31
2,440,000
 
1,920,721
 (a)
CHS/Community Health Systems Inc., Senior Secured Notes
10.875%
1/15/32
1,650,000
 
1,719,360
 (a)
HCA Inc., Senior Notes
7.690%
6/15/25
490,000
 
498,237
 
HCA Inc., Senior Notes
7.500%
11/15/95
6,265,000
 
6,760,842
 
Legacy LifePoint Health LLC, Senior Secured Notes
4.375%
2/15/27
750,000
 
717,062
 (a)
Sotera Health Holdings LLC, Senior Secured Notes
7.375%
6/1/31
990,000
 
992,708
 (a)
Tenet Healthcare Corp., Secured Notes
6.250%
2/1/27
3,910,000
 
3,910,798
 
Tenet Healthcare Corp., Senior Notes
6.125%
10/1/28
1,890,000
 
1,881,976
 
Tenet Healthcare Corp., Senior Notes
6.875%
11/15/31
250,000
 
264,055
 
Total Health Care Providers & Services
20,817,222
Pharmaceuticals — 1.7%
Bausch Health Cos. Inc., Senior Secured Notes
4.875%
6/1/28
1,660,000
 
1,244,245
 (a)
Cidron Aida Finco Sarl, Senior Secured Notes
5.000%
4/1/28
637,000
 EUR
632,511
 (a)
Endo Finance Holdings Inc., Senior Secured Notes
8.500%
4/15/31
1,000,000
 
1,033,227
 (a)
Par Pharmaceutical Inc., Escrow
—
—
70,000
 
0
 *(a)(e)(f)(h)
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
3.150%
10/1/26
1,150,000
 
1,080,204
 
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
5.125%
5/9/29
880,000
 
847,280
 
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
4.100%
10/1/46
2,550,000
 
1,783,787
 
Total Pharmaceuticals
6,621,254
 
Total Health Care
27,438,476
See Notes to Schedule of Investments.
5
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Industrials — 10.4%
Aerospace & Defense — 1.8%
Bombardier Inc., Senior Notes
7.500%
2/1/29
2,990,000
 
 $3,101,599
 (a)
Bombardier Inc., Senior Notes
7.250%
7/1/31
500,000
 
513,985
 (a)
TransDigm Inc., Senior Secured Notes
7.125%
12/1/31
1,930,000
 
1,991,040
 (a)
TransDigm Inc., Senior Secured Notes
6.625%
3/1/32
1,250,000
 
1,264,137
 (a)
Total Aerospace & Defense
6,870,761
Building Products — 0.5%
Masterbrand Inc., Senior Notes
7.000%
7/15/32
630,000
 
637,545
 (a)
Standard Industries Inc., Senior Notes
5.000%
2/15/27
860,000
 
836,753
 (a)
Standard Industries Inc., Senior Notes
4.375%
7/15/30
342,000
 
309,288
 (a)
Total Building Products
1,783,586
Commercial Services & Supplies — 2.2%
CoreCivic Inc., Senior Notes
4.750%
10/15/27
1,160,000
 
1,091,737
 
CoreCivic Inc., Senior Notes
8.250%
4/15/29
3,330,000
 
3,444,915
 
GEO Group Inc., Senior Notes
10.250%
4/15/31
1,460,000
 
1,528,839
 (a)
GEO Group Inc., Senior Secured Notes
8.625%
4/15/29
1,210,000
 
1,240,354
 (a)
GFL Environmental Inc., Senior Secured Notes
6.750%
1/15/31
1,360,000
 
1,389,150
 (a)
Total Commercial Services & Supplies
8,694,995
Electrical Equipment — 0.2%
Sensata Technologies BV, Senior Notes
4.000%
4/15/29
750,000
 
689,205
 (a)
Ground Transportation — 0.3%
XPO Inc., Senior Notes
7.125%
2/1/32
1,000,000
 
1,025,855
 (a)
Machinery — 0.4%
Titan International Inc., Senior Secured Notes
7.000%
4/30/28
1,730,000
 
1,665,391
 
Passenger Airlines — 4.4%
American Airlines Group Inc., Senior Notes
3.750%
3/1/25
5,470,000
 
5,388,188
 (a)
American Airlines Inc., Senior Secured Notes
8.500%
5/15/29
1,980,000
 
2,058,392
 (a)
Delta Air Lines Inc., Senior Notes
2.900%
10/28/24
2,580,000
 
2,554,796
 
Delta Air Lines Inc., Senior Notes
7.375%
1/15/26
720,000
 
735,075
 
Delta Air Lines Inc., Senior Secured Notes
7.000%
5/1/25
4,280,000
 
4,313,128
 (a)
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes
8.000%
9/20/25
3,135,999
 
2,291,753
 (a)
Total Passenger Airlines
17,341,332
Trading Companies & Distributors — 0.6%
H&E Equipment Services Inc., Senior Notes
3.875%
12/15/28
1,270,000
 
1,147,348
 (a)
United Rentals North America Inc., Senior Notes
5.500%
5/15/27
376,000
 
373,425
 
United Rentals North America Inc., Senior Notes
6.125%
3/15/34
1,000,000
 
997,603
 (a)
Total Trading Companies & Distributors
2,518,376
 
Total Industrials
40,589,501
Information Technology — 2.4%
Communications Equipment — 1.0%
CommScope Inc., Senior Notes
7.125%
7/1/28
190,000
 
78,956
 (a)
CommScope Technologies LLC, Senior Notes
5.000%
3/15/27
2,960,000
 
1,229,779
 (a)
Viasat Inc., Senior Notes
7.500%
5/30/31
2,420,000
 
1,610,604
 (a)
Viasat Inc., Senior Secured Notes
5.625%
4/15/27
1,000,000
 
895,873
 (a)
Total Communications Equipment
3,815,212
See Notes to Schedule of Investments.
6
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Electronic Equipment, Instruments & Components — 0.1%
EquipmentShare.com Inc., Secured Notes
8.625%
5/15/32
450,000
 
 $467,177
 (a)
Software — 0.8%
Cloud Software Group Inc., Senior Secured Notes
8.250%
6/30/32
2,320,000
 
2,366,101
 (a)
Open Text Corp., Senior Notes
3.875%
2/15/28
1,000,000
 
926,599
 (a)
Total Software
3,292,700
Technology Hardware, Storage & Peripherals — 0.5%
Seagate HDD Cayman, Senior Notes
4.750%
1/1/25
670,000
 
665,661
 
Seagate HDD Cayman, Senior Notes
4.875%
6/1/27
400,000
 
391,291
 
Vericast Corp., Senior Secured Notes
11.000%
9/15/26
650,000
 
697,125
 (a)
Total Technology Hardware, Storage & Peripherals
1,754,077
 
Total Information Technology
9,329,166
Materials — 4.7%
Chemicals — 0.5%
Braskem Netherlands Finance BV, Senior Notes
5.875%
1/31/50
450,000
 
332,759
 (b)
Sasol Financing USA LLC, Senior Notes
8.750%
5/3/29
1,540,000
 
1,567,685
 (a)
Total Chemicals
1,900,444
Construction Materials — 0.6%
Smyrna Ready Mix Concrete LLC, Senior Secured Notes
8.875%
11/15/31
2,250,000
 
2,389,469
 (a)
Containers & Packaging — 1.4%
ARD Finance SA, Senior Secured Notes (6.500% Cash or 7.250% PIK)
6.500%
6/30/27
1,280,000
 
325,773
 (a)(g)
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance
PLC, Senior Notes
4.000%
9/1/29
1,170,000
 
991,423
 (a)
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes
5.250%
8/15/27
1,578,000
 
984,533
 (a)
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes
5.250%
8/15/27
1,510,000
 
942,107
 (a)
Canpack SA/Canpack US LLC, Senior Notes
3.875%
11/15/29
1,550,000
 
1,391,563
 (a)
Pactiv LLC, Senior Notes
8.375%
4/15/27
750,000
 
785,299
 
Total Containers & Packaging
5,420,698
Metals & Mining — 2.2%
ArcelorMittal SA, Senior Notes
7.000%
10/15/39
1,870,000
 
2,010,938
 
First Quantum Minerals Ltd., Secured Notes
9.375%
3/1/29
920,000
 
962,435
 (a)
First Quantum Minerals Ltd., Senior Notes
6.875%
10/15/27
750,000
 
733,542
 (a)
Freeport-McMoRan Inc., Senior Notes
5.450%
3/15/43
1,010,000
 
960,060
 
Vale Overseas Ltd., Senior Notes
6.875%
11/21/36
2,320,000
 
2,491,135
 
Vale Overseas Ltd., Senior Notes
6.875%
11/10/39
1,500,000
 
1,600,405
 
Total Metals & Mining
8,758,515
 
Total Materials
18,469,126
Real Estate — 1.6%
Health Care REITs — 0.0%††
Diversified Healthcare Trust, Senior Notes
4.375%
3/1/31
240,000
 
175,089
 
Hotel & Resort REITs — 0.8%
Service Properties Trust, Senior Notes
3.950%
1/15/28
226,000
 
189,514
 
Service Properties Trust, Senior Notes
8.875%
6/15/32
3,210,000
 
2,996,648
 
Total Hotel & Resort REITs
3,186,162
Real Estate Management & Development — 0.2%
Add Hero Holdings Ltd., Senior Secured Notes (7.500% Cash or 8.500% PIK)
8.500%
9/30/29
295,336
 
15,505
 (b)(g)
See Notes to Schedule of Investments.
7
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Real Estate Management & Development — continued
Add Hero Holdings Ltd., Senior Secured Notes (8.000% Cash or 9.000% PIK)
9.000%
9/30/30
227,726
 
 $5,693
 (b)(g)
Add Hero Holdings Ltd., Senior Secured Notes (8.800% Cash or 9.800% PIK)
9.800%
9/30/31
297,178
 
7,429
 (b)(g)
China Aoyuan Group Ltd., Senior Notes, Step bond (0.000% to 9/30/31 then
1.000%)
0.000%
3/30/2173
450,290
 
4,503
 (b)(c)
China Aoyuan Group Ltd., Senior Secured Notes (5.500% PIK)
5.500%
9/30/31
115,666
 
1,157
 (b)(g)
Country Garden Holdings Co. Ltd., Senior Secured Notes
—
1/27/24
2,016,000
 
159,264
 *(b)(i)
Cushman & Wakefield US Borrower LLC, Senior Secured Notes
8.875%
9/1/31
420,000
 
442,275
 (a)
Total Real Estate Management & Development
635,826
Specialized REITs — 0.6%
Iron Mountain Inc., Senior Notes
7.000%
2/15/29
2,350,000
 
2,393,712
 (a)
 
Total Real Estate
6,390,789
Utilities — 1.7%
Electric Utilities — 0.8%
Vistra Operations Co. LLC, Senior Notes
7.750%
10/15/31
920,000
 
958,802
 (a)
Vistra Operations Co. LLC, Senior Notes
6.875%
4/15/32
2,250,000
 
2,285,858
 (a)
Total Electric Utilities
3,244,660
Gas Utilities — 0.9%
Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior
Notes
5.875%
3/1/27
3,290,000
 
3,258,857
 
 
Total Utilities
6,503,517
Total Corporate Bonds & Notes (Cost — $319,484,511)
336,358,320
Senior Loans — 7.8%
Communication Services — 0.3%
Media — 0.3%
iHeartCommunications Inc., New Term Loan (1 mo. Term SOFR + 3.114%)
8.458%
5/1/26
1,440,000
 
1,121,472
 (d)(j)(k)
 
Consumer Discretionary — 2.9%
Automobile Components — 0.5%
Clarios Global LP, Term Loan B
—
5/6/30
1,000,000
 
1,003,595
 (l)
First Brands Group LLC, 2022 Incremental Term Loan (3 mo. Term SOFR +
5.262%)
10.591%
3/30/27
1,077,474
 
1,072,760
 (d)(j)(k)
Total Automobile Components
2,076,355
Broadline Retail — 0.3%
Prime Security Services Borrower LLC, 2024 Refinancing Term Loan B1
—
10/13/30
1,000,000
 
1,000,700
 (l)
Diversified Consumer Services — 0.4%
WW International Inc., Initial Term Loan (1 mo. Term SOFR + 3.614%)
8.958%
4/13/28
4,350,000
 
1,663,875
 (d)(j)(k)
Hotels, Restaurants & Leisure — 1.7%
1011778 BC Unlimited Liability Co., Term Loan B6
—
9/20/30
1,000,000
 
998,735
 (l)
Caesars Entertainment Inc., Incremental Term Loan B1 (3 mo. Term SOFR +
2.750%)
8.097%
2/6/31
3,690,750
 
3,698,242
 (d)(j)(k)
Fertitta Entertainment LLC, Initial Term Loan B (1 mo. Term SOFR + 3.750%)
9.081%
1/27/29
1,243,639
 
1,246,512
 (d)(j)(k)
Station Casinos LLC, Term Loan Facility B
—
3/14/31
750,000
 
750,570
 (l)
Total Hotels, Restaurants & Leisure
6,694,059
 
Total Consumer Discretionary
11,434,989
See Notes to Schedule of Investments.
8
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Consumer Staples — 0.3%
Beverages — 0.3%
Triton Water Holdings Inc., First Lien Initial Term Loan (3 mo. Term SOFR +
3.512%)
8.846%
3/31/28
1,246,795
 
 $1,248,665
 (d)(j)(k)
 
Financials — 0.7%
Banks — 0.2%
Mercury Borrower Inc., First Lien Initial Term Loan (1 mo. Term SOFR +
3.614%)
8.958%
8/2/28
596,860
 
598,054
 (d)(j)(k)
Consumer Finance — 0.1%
Blackhawk Network Holdings Inc., Term Loan B (1 mo. Term SOFR + 5.000%)
10.344%
3/12/29
470,000
 
471,617
 (d)(j)(k)
Financial Services — 0.4%
Boost Newco Borrower LLC, Initial USD Term Loan (3 mo. Term SOFR +
3.000%)
8.335%
1/31/31
1,000,000
 
1,002,640
 (d)(j)(k)
Nexus Buyer LLC, Amendment No. 5 Term Loan (1 mo. Term SOFR + 4.500%)
9.844%
12/13/28
698,250
 
699,733
 (d)(j)(k)
Total Financial Services
1,702,373
 
Total Financials
2,772,044
Health Care — 1.4%
Health Care Equipment & Supplies — 0.8%
Medline Borrower LP, Term Loan B (1 mo. Term SOFR + 2.750%)
8.094%
10/23/28
3,042,375
 
3,051,883
 (d)(j)(k)(l)
Health Care Providers & Services — 0.6%
LifePoint Health Inc., 2024 Repricing Term Loan B (2 mo. Term SOFR +
4.750%)
10.056%
11/16/28
2,500,000
 
2,516,725
 (d)(j)(k)(l)
 
Total Health Care
5,568,608
Industrials — 1.5%
Aerospace & Defense — 0.3%
Transdigm Inc., Term Loan J (3 mo. Term SOFR + 2.500%)
7.843%
2/28/31
997,500
 
1,000,742
 (d)(j)(k)
Building Products — 0.1%
ACProducts Holdings Inc., Initial Term Loan (3 mo. Term SOFR + 4.512%)
9.846%
5/17/28
397,949
 
338,422
 (d)(j)(k)
Commercial Services & Supplies — 0.4%
Allied Universal Holdco LLC, USD Term Loan (1 mo. Term SOFR + 3.850%)
9.194%
5/12/28
997,436
 
994,728
 (d)(j)(k)
Garda World Security Corp., Fourth Additional Term Loan (3 mo. Term SOFR
+ 4.250%)
9.594%
2/1/29
598,477
 
602,966
 (d)(j)(k)
Total Commercial Services & Supplies
1,597,694
Machinery — 0.3%
TK Elevator Midco GmbH, USD Term Loan Facility B2
—
4/30/30
995,006
 
1,001,379
 (l)
Passenger Airlines — 0.4%
United Airlines Inc., Term Loan B (1 mo. Term SOFR + 2.750%)
8.094%
2/22/31
1,675,800
 
1,682,084
 (d)(j)(k)
 
Total Industrials
5,620,321
Information Technology — 0.7%
IT Services — 0.2%
Redstone Holdco 2 LP, First Lien Initial Term Loan (1 mo. Term SOFR +
4.864%)
10.208%
4/27/28
770,000
 
694,498
 (d)(j)(k)
See Notes to Schedule of Investments.
9
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Software — 0.5%
DCert Buyer Inc., First Lien Initial Term Loan (1 mo. Term SOFR + 4.000%)
9.344%
10/16/26
1,243,507
 
 $1,214,750
 (d)(j)(k)
Modena Buyer LLC, Term Loan
—
4/18/31
800,000
 
781,876
 (l)
Total Software
1,996,626
 
Total Information Technology
2,691,124
Total Senior Loans (Cost — $32,187,791)
30,457,223
Sovereign Bonds — 3.4%
Angola — 0.4%
Angolan Government International Bond, Senior Notes
8.000%
11/26/29
1,600,000
 
1,442,560
 (a)
Argentina — 0.6%
Provincia de Buenos Aires, Senior Notes, Step bond (6.375% to 9/1/24 then
6.625%)
6.375%
9/1/37
369,336
 
153,275
 (a)
Provincia de Cordoba, Senior Notes
6.990%
6/1/27
2,160,000
 
1,863,000
 (a)
Provincia de Cordoba, Senior Notes
6.875%
2/1/29
340,000
 
253,300
 (a)
Total Argentina
2,269,575
Bahamas — 0.4%
Bahamas Government International Bond, Senior Notes
6.950%
11/20/29
1,630,000
 
1,420,138
 (a)
Dominican Republic — 0.1%
Dominican Republic International Bond, Senior Notes
9.750%
6/5/26
25,000,000
 DOP
427,600
 (b)
Mexico — 1.9%
Mexican Bonos, Bonds
7.750%
5/29/31
156,010,000
 MXN
7,607,779
 
 
Total Sovereign Bonds (Cost — $12,087,585)
13,167,652
Asset-Backed Securities — 1.0%
Ballyrock CLO Ltd., 2022-19A D (3 mo. Term SOFR + 7.110%)
12.435%
4/20/35
505,000
 
500,040
 (a)(d)
Magnetite Ltd., 2015-12A ER (3 mo. Term SOFR + 5.942%)
11.270%
10/15/31
3,400,000
 
3,363,194
 (a)(d)
 
Total Asset-Backed Securities (Cost — $3,871,304)
3,863,234
Convertible Bonds & Notes — 0.7%
Communication Services — 0.7%
Media — 0.7%
DISH Network Corp., Senior Notes
0.000%
12/15/25
2,390,000
 
1,771,833
 
DISH Network Corp., Senior Notes
3.375%
8/15/26
1,680,000
 
1,050,269
 
 
Total Communication Services
2,822,102
Real Estate — 0.0%††
Real Estate Management & Development — 0.0%††
China Aoyuan Group Ltd., Senior Notes
0.000%
9/30/28
40,244
 
666
 (b)
 
Total Convertible Bonds & Notes (Cost — $3,285,083)
2,822,768
 
 
 
 
Shares
 
Common Stocks — 0.0%††
Health Care — 0.0%††
Pharmaceuticals — 0.0%††
Endo Inc.
360
10,170
 *
 
Real Estate — 0.0%††
Real Estate Management & Development — 0.0%††
China Aoyuan Group Ltd.
112,573
2,155
 *(e)
 
Total Common Stocks (Cost — $12,518)
12,325
 
See Notes to Schedule of Investments.
10
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
 Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
 
Expiration
Date
Warrants
Value
Warrants — 0.0%††
Industrials — 0.0%††
Passenger Airlines — 0.0%††
flyExclusive Inc. (Cost — $17,971)
5/28/28
18,769
 
 $11,355
 *
Total Investments before Short-Term Investments (Cost — $370,946,763)
386,692,877
 
 
Rate
Maturity
Date
Face
Amount†
 
Short-Term Investments — 2.5%
U.S. Treasury Bills — 2.4%
U.S. Treasury Bills
2.713%
7/2/24
3,500,000
3,499,488
 (m)
U.S. Treasury Bills
4.831%
7/9/24
3,200,000
3,196,290
 (m)
U.S. Treasury Bills
4.973%
7/11/24
2,500,000
2,496,356
 (m)
 
Total U.S. Treasury Bills (Cost — $9,192,180)
9,192,134
 
 
 
 
Shares
 
Money Market Funds — 0.1%
Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost — $495,659)  
5.254%
495,659
 
495,659
 (n)(o)
 
Total Short-Term Investments (Cost — $9,687,839)
9,687,793
Total Investments — 101.4% (Cost — $380,634,602)
396,380,670
Liabilities in Excess of Other Assets — (1.4)%
(5,316,221
)
Total Net Assets — 100.0%
$391,064,449
 
See Notes to Schedule of Investments.
11
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
June 30, 2024
 Western Asset High Income Opportunity Fund Inc.
†
Face amount denominated in U.S. dollars, unless otherwise noted.
††
Represents less than 0.1%.
*
Non-income producing security.
(a)
Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.
(b)
Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of
the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the
Board of Directors.
(c)
Security has no maturity date. The date shown represents the next call date.
(d)
Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
(e)
Security is fair valued in accordance with procedures approved by the Board of Directors (Note 1).
(f)
Security is valued using significant unobservable inputs (Note 1).
(g)
Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities.
(h)
Value is less than $1.
(i)
The maturity principal is currently in default as of June 30, 2024.
(j)
Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.
(k)
Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower
prior to the disposition of a senior loan.
(l)
All or a portion of this loan has not settled as of June 30, 2024. Interest rates are not effective until settlement date. Interest rates shown, if any, are for
the settled portion of the loan.
(m)
Rate shown represents yield-to-maturity.
(n)
Rate shown is one-day yield as of the end of the reporting period.
(o)
In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding
voting securities of an issuer, or a company which is under common ownership or control with the Fund. At June 30, 2024, the total market value of
investments in Affiliated Companies was $495,659 and the cost was $495,659 (Note 2).
 
Abbreviation(s) used in this schedule:
CLO
—
Collateralized Loan Obligation
DOP
—
Dominican Peso
EUR
—
Euro
GBP
—
British Pound
ICE
—
Intercontinental Exchange
LIBOR
—
London Interbank Offered Rate
MXN
—
Mexican Peso
PIK
—
Payment-In-Kind
SOFR
—
Secured Overnight Financing Rate
USD
—
United States Dollar
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
12
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset High Income Opportunity Fund Inc. (the “Fund”) was incorporated in Maryland and is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund seeks high current income. Capital appreciation is a secondary objective. In seeking to fulfill its investment objectives, the Fund invests, under normal market conditions, at least 80% of its net assets in high-yield securities and up to 20% in common stock equivalents, including options, warrants and rights.
The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.  
Pursuant to policies adopted by the Board of Directors, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
13
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
Notes to Schedule of Investments (unaudited) (cont’d)
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
•
Level 1 — unadjusted quoted prices in active markets for identical investments
•
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
•
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:
 
ASSETS
Description
Quoted Prices
(Level 1)
Other Significant
Observable Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Total
Long-Term Investments†:
Corporate Bonds & Notes:
Financials
—
 $35,437,424
 $316,800
 $35,754,224
Health Care
—
27,438,476
0
*
27,438,476
Other Corporate Bonds & Notes
—
273,165,620
—
273,165,620
Senior Loans
—
30,457,223
—
30,457,223
Sovereign Bonds
—
13,167,652
—
13,167,652
Asset-Backed Securities
—
3,863,234
—
3,863,234
Convertible Bonds & Notes
—
2,822,768
—
2,822,768
Common Stocks:
Health Care
 $10,170
—
—
10,170
Real Estate
—
2,155
—
2,155
Warrants
—
11,355
—
11,355
Total Long-Term Investments
10,170
386,365,907
316,800
386,692,877
Short-Term Investments†:
U.S. Treasury Bills
—
9,192,134
—
9,192,134
Money Market Funds
495,659
—
—
495,659
Total Short-Term Investments
495,659
9,192,134
—
9,687,793
Total Investments
$505,829
$395,558,041
$316,800
$396,380,670
 
†
See Schedule of Investments for additional detailed categorizations.
*
Amount represents less than $1.
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended June 30, 2024. The following transactions were effected in such company for the period ended June 30, 2024.
 
 
Affiliate
Value at

September 30,
2023
Purchased
Sold
Cost
Shares
Proceeds
Shares
Western Asset Premier
Institutional Government
Reserves, Premium
Shares
 $1,667,355
 $97,984,517
97,984,517
 $99,156,213
99,156,213
14
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report

 
(cont’d)
Realized
Gain (Loss)
Dividend
Income
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
Affiliate
Value at
June 30,
2024
Western Asset Premier
Institutional Government
Reserves, Premium Shares
—
 $224,613
—
 $495,659
15
Western Asset High Income Opportunity Fund Inc. 2024 Quarterly Report
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