Regulatory Filings • May 29, 2025
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Download Source FileN-CSRS 1 wahiofi-efp15699_ncsrs.htm WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC. - N-CSRS Field: Rule-Page
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07920
Western Asset High Income Opportunity Fund Inc.
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 47 th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Marc A. De Oliveira
Franklin Templeton
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-888-777-0102
Date of fiscal year end: September 30
Date of reporting period: March 31, 2025
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ITEM 1. REPORT TO STOCKHOLDERS.
The Semi-Annual Report to Stockholders is filed herewith.
Semi-Annual Report March 31, 2025
WESTERN ASSET HIGH INCOME OPPORTUNITY FUND INC. (HIO)
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Fund objectives
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.
What’s inside
| Letter from the president | III |
|---|---|
| Performance review | IV |
| Fund at a glance | 1 |
| Schedule of investments | 2 |
| Statement of assets and liabilities | 21 |
| Statement of operations | 22 |
| Statements of changes in net assets | 23 |
| Financial highlights | 24 |
| Notes to financial statements | 26 |
| Additional shareholder information | 41 |
| Dividend reinvestment plan | 42 |
II
Western Asset High Income Opportunity Fund Inc.
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Letter from the president
Dear Shareholder,
We are pleased to provide the semi-annual report of Western Asset High Income Opportunity Fund Inc. for the six-month reporting period ended March 31, 2025. Please read on for Fund performance information during the Fund’s reporting period.
As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.franklintempleton.com. Here you can gain immediate access to market and investment information, including:
•
Fund prices and performance,
•
Market insights and commentaries from our portfolio managers, and
•
A host of educational resources.
We look forward to helping you meet your financial goals.
Sincerely,
Jane Trust, CFA President and Chief Executive Officer
April 30, 2025
Western Asset High Income Opportunity Fund Inc.
III
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Performance review
For the six months ended March 31, 2025, Western Asset High Income Opportunity Fund Inc. returned 0.56% based on its net asset value (NAV) i and 3.63% based on its New York Stock Exchange (NYSE) market price per share. The Fund’s unmanaged benchmark, the Bloomberg U.S. Corporate High Yield — 2% Issuer Cap Index ii , returned 1.18% for the same period.
The Fund has a practice of seeking to maintain a relatively stable level of distributions to shareholders. This practice has no impact on the Fund’s investment strategy and may reduce the Fund’s NAV. The Fund’s manager believes the practice helps maintain the Fund’s competitiveness and may benefit the Fund’s market price and premium/discount to the Fund’s NAV.
During the six-month period, the Fund made distributions to shareholders totaling $0.21 per share. As of March 31, 2025, the Fund estimates that 75% of the distributions were sourced from net investment income and 25% constituted a return of capital. * The performance table shows the Fund’s six-month total return based on its NAV and market price as of March 31, 2025. Past performance is no guarantee of future results.
| Performance Snapshot as of March 31, 2025 (unaudited) | |
|---|---|
| Price Per Share | 6-Month Total Return** |
| $4.04 (NAV) | 0.56 %† |
| $3.98 (Market Price) | 3.63 %‡ |
All figures represent past performance and are not a guarantee of future results. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.
* Total returns are based on changes in NAV or market price, respectively. Returns reflect the* deduction of all Fund expenses, including management fees, operating expenses, and other Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors may pay on distributions or the sale of shares.**
† Total return assumes the reinvestment of all distributions, including returns of capital, if any, at NAV.
‡ Total return assumes the reinvestment of all distributions, including returns of capital, if any, in additional shares in accordance with the Fund’s Dividend Reinvestment Plan.
Looking for additional information?
The Fund is traded under the symbol “HIO” and its closing market price is available in most newspapers under the NYSE listings. The daily NAV is available online under the symbol “XHIOX” on most financial websites. Barron’s and The Wall Street Journal’s Monday edition both carry closed-end fund tables that provide additional information. In addition, the Fund
*
These estimates are not for tax purposes. The Fund will issue a Form 1099 with final composition of the distributions for tax purposes after year-end. A return of capital is not taxable and results in a reduction in the tax basis of a shareholder’s investment. For more information about a distribution’s composition, please refer to the Fund’s distribution press release or, if applicable, the Section 19 notice located in the press release section of our website, www.franklintempleton.com.
IV
Western Asset High Income Opportunity Fund Inc.
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issues a quarterly press release that can be found on most major financial websites as well as www.franklintempleton.com.
In a continuing effort to provide information concerning the Fund, shareholders may call 1-888-777-0102 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for the Fund’s current NAV, market price and other information.
Thank you for your investment in the Western Asset High Income Opportunity Fund Inc. As always, we appreciate that you have chosen us to manage your assets and we remain focused on achieving the Fund’s investment goals.
Sincerely,
Jane Trust, CFA President and Chief Executive Officer
April 30, 2025
RISKS: The Fund is a diversified closed-end management investment company designed primarily as a long-term investment and not as a trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty inherent in all investments, there can be no assurance that the Fund will achieve its investment objectives. The Fund’s common stock is traded on the New York Stock Exchange. Similar to stocks, the Fund’s share price will fluctuate with market conditions and, at the time of sale, may be worth more or less than the original investment. Shares of closed-end funds often trade at a discount to their net asset value. Diversification does not assure against market loss. The Fund’s investments are subject to a number of risks, such as credit risk, inflation risk and interest rate risk. The Fund may invest in lower-rated high yield bonds, commonly known as “junk bonds,” which are subject to greater credit risk (risk of default) and liquidity risk than higher-rated obligations. The Fund is also permitted purchases of equity securities. Equity securities generally have greater price volatility than fixed income securities. As interest rates rise, bond prices fall, reducing the value of the Fund’s holdings. The Fund may use derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses, and have a potentially large impact on Fund performance. In addition, the Fund may invest in foreign securities, which are subject to certain risks of overseas investing, including currency fluctuations and changes in political, social and economic conditions, which could result in significant fluctuations. These risks are magnified in emerging markets. Emerging market countries tend to have economic, political and legal systems that are less developed and are less stable than those of more developed countries. The market values of securities or other assets will fluctuate, sometimes sharply and unpredictably, due to changes in general market conditions, overall economic trends or events, governmental actions or intervention, actions taken by the U.S. Federal Reserve or foreign central banks, market disruptions caused by trade disputes or other factors, political developments, armed conflicts, economic sanctions and countermeasures in response to sanctions, major cybersecurity events,
Western Asset High Income Opportunity Fund Inc.
V
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Performance review (cont’d)
investor sentiment, the global and domestic effects of a pandemic, and other factors that may or may not be related to the issuer of the security or other asset. The Fund may also invest in money market funds, including funds affiliated with the Fund’s manager and subadvisers.
All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.
i
Net asset value (NAV) is calculated by subtracting total liabilities, including liabilities associated with financial leverage (if any), from the closing value of all securities held by the Fund (plus all other assets) and dividing the result (total net assets) by the total number of the common shares outstanding. The NAV fluctuates with changes in the market prices of securities in which the Fund has invested. However, the price at which an investor may buy or sell shares of the Fund is the Fund’s market price as determined by supply of and demand for the Fund’s shares.
ii
The Bloomberg U.S. Corporate High Yield — 2% Issuer Cap Index is an index of the 2% Issuer Cap component of the Bloomberg U.S. Corporate High Yield Index, which covers the U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market.
Important data provider notices and terms available at www.franklintempletondatasources.com.
VI
Western Asset High Income Opportunity Fund Inc.
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Fund at a glance † (unaudited)
Investment breakdown (%) as a percent of total investments
†
The bar graph above represents the composition of the Fund’s investments as of March 31, 2025, and September 30, 2024, and does not include derivatives, such as swap contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Schedule of investments (unaudited)
March 31, 2025
Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Corporate Bonds & Notes — 81.9% | ||||
| Communication Services — 14.5% | ||||
| Diversified Telecommunication Services — 2.7% | ||||
| Altice Financing SA, Senior Secured Notes | 5.000% | 1/15/28 | 1,050,000 | $ 789,308 (a) |
| Altice Financing SA, Senior Secured Notes | 5.750% | 8/15/29 | 4,690,000 | 3,437,318 (a) |
| Altice France Holding SA, Senior Secured Notes | 8.000% | 5/15/27 | 720,000 EUR | 238,209 (b) |
| Altice France Holding SA, Senior Secured Notes | 10.500% | 5/15/27 | 2,770,000 | 813,360 (a) |
| Altice France Holding SA, Senior Secured Notes | 6.000% | 2/15/28 | 1,230,000 | 361,317 (a) |
| Altice France SA, Senior Secured Notes | 5.125% | 7/15/29 | 750,000 | 588,565 (a) |
| Altice France SA, Senior Secured Notes | 5.500% | 10/15/29 | 1,890,000 | 1,500,283 (a) |
| Fibercop SpA, Senior Secured Notes | 6.000% | 9/30/34 | 939,000 | 859,909 (a) |
| Level 3 Financing Inc., Senior Secured Notes | 11.000% | 11/15/29 | 1,760,000 | 1,963,792 (a) |
| Total Diversified Telecommunication Services | 10,552,061 | |||
| Entertainment — 0.5% | ||||
| Banijay Entertainment SAS, Senior Secured Notes | 8.125% | 5/1/29 | 1,830,000 | 1,883,948 (a) |
| Interactive Media & Services — 0.3% | ||||
| Snap Inc., Senior Notes | 6.875% | 3/1/33 | 1,130,000 | 1,130,937 (a) |
| Media — 6.4% | ||||
| AMC Networks Inc., Senior Secured Notes | 10.250% | 1/15/29 | 700,000 | 726,114 (a) |
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.500% | 5/1/32 | 1,360,000 | 1,181,566 |
| CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | 4.250% | 1/15/34 | 4,360,000 | 3,589,348 (a) |
| Charter Communications Operating LLC/ Charter Communications Operating Capital Corp., Senior Secured Notes | 3.850% | 4/1/61 | 8,520,000 | 5,178,537 |
| DirecTV Financing LLC, Senior Secured Notes | 8.875% | 2/1/30 | 500,000 | 477,868 (a) |
| DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior Secured Notes | 10.000% | 2/15/31 | 760,000 | 730,398 (a) |
| DISH DBS Corp., Senior Notes | 5.125% | 6/1/29 | 3,458,000 | 2,260,604 |
| EchoStar Corp., Senior Secured Notes | 10.750% | 11/30/29 | 3,795,850 | 3,991,917 |
| EchoStar Corp., Senior Secured Notes (6.750% Cash or 6.750% PIK) | 6.750% | 11/30/30 | 2,035,789 | 1,849,756 (c) |
| iHeartCommunications Inc., Senior Secured Notes | 9.125% | 5/1/29 | 760,000 | 608,114 (a) |
| Sirius XM Radio LLC, Senior Notes | 4.125% | 7/1/30 | 130,000 | 115,594 (a) |
See Notes to Financial Statements.
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Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Media — continued | ||||
| Sirius XM Radio LLC, Senior Notes | 3.875% | 9/1/31 | 1,000,000 | $ 857,991 (a) |
| Virgin Media Vendor Financing Notes III DAC, Senior Secured Notes | 4.875% | 7/15/28 | 2,000,000 GBP | 2,398,547 (a) |
| VZ Secured Financing BV, Senior Secured Notes | 5.000% | 1/15/32 | 680,000 | 591,657 (a) |
| Total Media | 24,558,011 | |||
| Wireless Telecommunication Services — 4.6% | ||||
| CSC Holdings LLC, Senior Notes | 11.750% | 1/31/29 | 1,550,000 | 1,504,225 (a) |
| CSC Holdings LLC, Senior Notes | 4.125% | 12/1/30 | 2,080,000 | 1,508,889 (a) |
| CSC Holdings LLC, Senior Notes | 4.625% | 12/1/30 | 1,410,000 | 687,978 (a) |
| CSC Holdings LLC, Senior Notes | 4.500% | 11/15/31 | 5,670,000 | 4,118,740 (a) |
| Sprint Capital Corp., Senior Notes | 6.875% | 11/15/28 | 2,190,000 | 2,338,726 |
| Sprint Capital Corp., Senior Notes | 8.750% | 3/15/32 | 5,910,000 | 7,110,861 |
| Vmed O2 UK Financing I PLC, Senior Secured Notes | 4.750% | 7/15/31 | 500,000 | 435,170 (a) |
| Total Wireless Telecommunication Services | 17,704,589 | |||
| Total Communication Services | 55,829,546 | |||
| Consumer Discretionary — 16.5% | ||||
| Automobile Components — 2.2% | ||||
| Adient Global Holdings Ltd., Senior Notes | 7.500% | 2/15/33 | 490,000 | 459,247 (a) |
| American Axle & Manufacturing Inc., Senior Notes | 6.500% | 4/1/27 | 2,893,000 | 2,812,764 |
| Clarios Global LP/Clarios US Finance Co., Senior Secured Notes | 6.750% | 2/15/30 | 600,000 | 606,240 (a) |
| JB Poindexter & Co. Inc., Senior Notes | 8.750% | 12/15/31 | 1,840,000 | 1,893,227 (a) |
| ZF North America Capital Inc., Senior Notes | 6.875% | 4/14/28 | 390,000 | 383,552 (a) |
| ZF North America Capital Inc., Senior Notes | 7.125% | 4/14/30 | 1,220,000 | 1,175,576 (a) |
| ZF North America Capital Inc., Senior Notes | 6.875% | 4/23/32 | 1,278,000 | 1,187,209 (a) |
| Total Automobile Components | 8,517,815 | |||
| Automobiles — 1.4% | ||||
| Ford Motor Co., Senior Notes | 3.250% | 2/12/32 | 500,000 | 412,287 |
| Ford Motor Credit Co. LLC, Senior Notes | 3.625% | 6/17/31 | 820,000 | 705,786 |
| Nissan Motor Co. Ltd., Senior Notes | 4.810% | 9/17/30 | 1,530,000 | 1,454,208 (a) |
| PM General Purchaser LLC, Senior Secured Notes | 9.500% | 10/1/28 | 2,840,000 | 2,712,202 (a) |
| Total Automobiles | 5,284,483 | |||
| Broadline Retail — 0.2% | ||||
| Marks & Spencer PLC, Senior Notes | 7.125% | 12/1/37 | 790,000 | 850,769 (a) |
| Diversified Consumer Services — 0.6% | ||||
| Carriage Services Inc., Senior Notes | 4.250% | 5/15/29 | 600,000 | 548,746 (a) |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Schedule of investments (unaudited) (cont’d)
March 31, 2025
Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Diversified Consumer Services — continued | ||||
| Service Corp. International, Senior Notes | 7.500% | 4/1/27 | 1,825,000 | $ 1,890,435 |
| Total Diversified Consumer Services | 2,439,181 | |||
| Hotels, Restaurants & Leisure — 9.9% | ||||
| 888 Acquisitions Ltd., Senior Secured Notes | 7.558% | 7/15/27 | 2,600,000 EUR | 2,799,080 (a) |
| Carnival Corp., Senior Notes | 5.750% | 3/15/30 | 980,000 | 976,795 (a) |
| Carnival PLC, Senior Notes | 1.000% | 10/28/29 | 5,780,000 EUR | 5,528,291 |
| Full House Resorts Inc., Senior Secured Notes | 8.250% | 2/15/28 | 3,300,000 | 3,264,269 (a) |
| Melco Resorts Finance Ltd., Senior Notes | 5.375% | 12/4/29 | 1,367,000 | 1,259,746 (a) |
| NCL Corp. Ltd., Senior Notes | 7.750% | 2/15/29 | 1,871,000 | 1,951,156 (a) |
| NCL Finance Ltd., Senior Notes | 6.125% | 3/15/28 | 3,750,000 | 3,740,497 (a) |
| Pinnacle Bidco PLC, Senior Secured Notes | 10.000% | 10/11/28 | 900,000 GBP | 1,230,789 (a) |
| Royal Caribbean Cruises Ltd., Senior Notes | 5.375% | 7/15/27 | 2,980,000 | 2,970,261 (a) |
| Royal Caribbean Cruises Ltd., Senior Notes | 5.500% | 4/1/28 | 1,840,000 | 1,833,554 (a) |
| Royal Caribbean Cruises Ltd., Senior Notes | 5.625% | 9/30/31 | 970,000 | 953,154 (a) |
| Viking Cruises Ltd., Senior Notes | 5.875% | 9/15/27 | 1,000,000 | 995,565 (a) |
| Viking Cruises Ltd., Senior Notes | 9.125% | 7/15/31 | 3,000,000 | 3,207,018 (a) |
| Viking Ocean Cruises Ship VII Ltd., Senior Secured Notes | 5.625% | 2/15/29 | 2,550,000 | 2,512,353 (a) |
| VOC Escrow Ltd., Senior Secured Notes | 5.000% | 2/15/28 | 140,000 | 136,659 (a) |
| Wynn Macau Ltd., Senior Notes | 5.625% | 8/26/28 | 1,970,000 | 1,896,581 (a) |
| Wynn Macau Ltd., Senior Notes | 5.125% | 12/15/29 | 1,054,000 | 974,845 (a) |
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes | 7.125% | 2/15/31 | 1,730,000 | 1,791,389 (a) |
| Total Hotels, Restaurants & Leisure | 38,022,002 | |||
| Specialty Retail — 2.0% | ||||
| Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Notes | 11.500% | 8/15/29 | 2,000,000 | 1,956,620 (a) |
| Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Notes | 8.750% | 1/15/32 | 1,070,000 | 902,389 (a) |
| Michaels Cos. Inc., Senior Secured Notes | 5.250% | 5/1/28 | 1,800,000 | 1,244,696 (a) |
| PetSmart Inc./PetSmart Finance Corp., Senior Notes | 7.750% | 2/15/29 | 560,000 | 514,704 (a) |
| Sally Holdings LLC/Sally Capital Inc., Senior Notes | 6.750% | 3/1/32 | 1,700,000 | 1,705,289 |
| Upbound Group Inc., Senior Notes | 6.375% | 2/15/29 | 1,380,000 | 1,306,642 (a) |
| Total Specialty Retail | 7,630,340 |
See Notes to Financial Statements.
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Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Textiles, Apparel & Luxury Goods — 0.2% | ||||
| Saks Global Enterprises LLC, Senior Secured Notes | 11.000% | 12/15/29 | 920,000 | $ 746,570 (a) |
| Total Consumer Discretionary | 63,491,160 | |||
| Energy — 15.0% | ||||
| Energy Equipment & Services — 0.2% | ||||
| Noble Finance II LLC, Senior Notes | 8.000% | 4/15/30 | 850,000 | 850,044 (a) |
| Oil, Gas & Consumable Fuels — 14.8% | ||||
| Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes | 7.250% | 7/15/32 | 500,000 | 517,616 (a) |
| Chord Energy Corp., Senior Notes | 6.750% | 3/15/33 | 1,990,000 | 1,981,379 (a) |
| Crescent Energy Finance LLC, Senior Notes | 9.250% | 2/15/28 | 660,000 | 685,728 (a) |
| Crescent Energy Finance LLC, Senior Notes | 7.625% | 4/1/32 | 280,000 | 277,202 (a) |
| Ecopetrol SA, Senior Notes | 5.875% | 5/28/45 | 4,110,000 | 2,889,834 |
| 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 | 1,891,417 (d)(e) |
| EQM Midstream Partners LP, Senior Notes | 4.500% | 1/15/29 | 943,000 | 914,176 (a) |
| EQM Midstream Partners LP, Senior Notes | 7.500% | 6/1/30 | 780,000 | 843,317 (a) |
| EQM Midstream Partners LP, Senior Notes | 4.750% | 1/15/31 | 230,000 | 221,316 (a) |
| Expand Energy Corp., Senior Notes | 4.750% | 2/1/32 | 750,000 | 710,064 |
| Hilcorp Energy I LP/Hilcorp Finance Co., Senior Notes | 8.375% | 11/1/33 | 1,140,000 | 1,169,412 (a) |
| Kinder Morgan Inc., Senior Notes | 7.750% | 1/15/32 | 6,920,000 | 7,919,358 |
| New Generation Gas Gathering LLC, Senior Secured Notes (3 mo. Term SOFR + 5.750%) | 10.052% | 9/30/29 | 558,919 | 550,535 (a)(e)(f)(g) |
| NGPL PipeCo LLC, Senior Notes | 7.768% | 12/15/37 | 1,520,000 | 1,719,113 (a) |
| Occidental Petroleum Corp., Senior Notes | 5.875% | 9/1/25 | 4,396,000 | 4,405,607 |
| Occidental Petroleum Corp., Senior Notes | 5.550% | 3/15/26 | 750,000 | 753,497 |
| Occidental Petroleum Corp., Senior Notes | 6.200% | 3/15/40 | 1,070,000 | 1,059,439 |
| Permian Resources Operating LLC, Senior Notes | 6.250% | 2/1/33 | 1,940,000 | 1,933,848 (a) |
| Petrobras Global Finance BV, Senior Notes | 6.750% | 1/27/41 | 4,370,000 | 4,308,218 |
| Petroleos del Peru SA, Senior Notes | 4.750% | 6/19/32 | 1,500,000 | 1,128,176 (a) |
| Petroleos Mexicanos, Senior Notes | 6.500% | 6/2/41 | 1,000,000 | 707,355 |
| Range Resources Corp., Senior Notes | 8.250% | 1/15/29 | 620,000 | 638,234 |
| Rockies Express Pipeline LLC, Senior Notes | 6.750% | 3/15/33 | 320,000 | 325,759 (a) |
| Rockies Express Pipeline LLC, Senior Notes | 6.875% | 4/15/40 | 1,140,000 | 1,114,204 (a) |
| Summit Midstream Holdings LLC, Senior Secured Notes | 8.625% | 10/31/29 | 410,000 | 418,754 (a) |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
5
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Schedule of investments (unaudited) (cont’d)
March 31, 2025
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 | ||||
| Venture Global LNG Inc., Junior Subordinated Notes (9.000% to 9/30/29 then 5 year Treasury Constant Maturity Rate + 5.440%) | 9.000% | 9/30/29 | 2,610,000 | $ 2,478,923 (a)(d)(e) |
| Venture Global LNG Inc., Senior Secured Notes | 9.875% | 2/1/32 | 3,260,000 | 3,464,435 (a) |
| Vermilion Energy Inc., Senior Notes | 7.250% | 2/15/33 | 780,000 | 743,487 (a) |
| Western Midstream Operating LP, Senior Notes | 4.050% | 2/1/30 | 340,000 | 324,640 |
| Western Midstream Operating LP, Senior Notes | 5.300% | 3/1/48 | 1,070,000 | 919,365 |
| Western Midstream Operating LP, Senior Notes | 5.250% | 2/1/50 | 6,410,000 | 5,468,090 |
| Williams Cos. Inc., Senior Notes | 7.500% | 1/15/31 | 620,000 | 691,210 |
| Williams Cos. Inc., Senior Notes | 5.750% | 6/24/44 | 3,190,000 | 3,141,729 |
| YPF SA, Senior Notes | 6.950% | 7/21/27 | 530,000 | 526,747 (a) |
| Total Oil, Gas & Consumable Fuels | 56,842,184 | |||
| Total Energy | 57,692,228 | |||
| Financials — 8.2% | ||||
| Banks — 3.2% | ||||
| 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 | 1,517,784 (a)(d)(e) |
| 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 | 2,331,237 (a)(d)(e) |
| HSBC Holdings PLC, Subordinated Notes (8.113% to 11/3/32 then SOFR + 4.250%) | 8.113% | 11/3/33 | 1,440,000 | 1,640,714 (e) |
| Intesa Sanpaolo SpA, Subordinated Notes | 5.710% | 1/15/26 | 2,800,000 | 2,808,306 (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 | 2,068,409 (d)(e) |
| 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 | 1,914,104 (d)(e) |
| Total Banks | 12,280,554 | |||
| Capital Markets — 0.5% | ||||
| B3 SA - Brasil Bolsa Balcao, Senior Notes | 4.125% | 9/20/31 | 1,000,000 | 911,882 (b) |
| Credit Suisse AG AT1 Claim | — | — | 10,560,000 | 0 * (f)(g)(h) |
See Notes to Financial Statements.
6
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Capital Markets — continued | ||||
| StoneX Group Inc., Senior Secured Notes | 7.875% | 3/1/31 | 640,000 | $ 668,627 (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 | 555,155 (a)(d)(e) |
| Total Capital Markets | 2,135,664 | |||
| Consumer Finance — 0.6% | ||||
| FirstCash Inc., Senior Notes | 4.625% | 9/1/28 | 1,000,000 | 955,729 (a) |
| Navient Corp., Senior Notes | 6.750% | 6/15/26 | 1,400,000 | 1,411,045 |
| Total Consumer Finance | 2,366,774 | |||
| Financial Services — 2.5% | ||||
| Boost Newco Borrower LLC, Senior Secured Notes | 7.500% | 1/15/31 | 460,000 | 479,176 (a) |
| Boost Newco Borrower LLC/GTCR W Dutch Finance Sub BV, Senior Secured Notes | 8.500% | 1/15/31 | 1,160,000 GBP | 1,593,537 (a) |
| Burford Capital Global Finance LLC, Senior Notes | 9.250% | 7/1/31 | 2,000,000 | 2,109,654 (a) |
| Jane Street Group/JSG Finance Inc., Senior Secured Notes | 7.125% | 4/30/31 | 2,640,000 | 2,713,960 (a) |
| VFH Parent LLC/Valor Co-Issuer Inc., Senior Secured Notes | 7.500% | 6/15/31 | 780,000 | 802,044 (a) |
| VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes | 7.875% | 5/1/27 | 770,000 | 757,029 (a) |
| VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes | 9.500% | 6/1/28 | 380,000 | 376,537 (a) |
| VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior Notes | 6.375% | 2/1/30 | 880,000 | 772,016 (a) |
| Total Financial Services | 9,603,953 | |||
| Insurance — 0.6% | ||||
| APH Somerset Investor 2 LLC/APH2 Somerset Investor 2 LLC/APH3 Somerset Investor 2 LLC, Senior Notes | 7.875% | 11/1/29 | 1,150,000 | 1,134,515 (a) |
| MetLife Capital Trust IV, Junior Subordinated Notes | 7.875% | 12/15/37 | 1,010,000 | 1,109,074 (a) |
| Total Insurance | 2,243,589 | |||
| Mortgage Real Estate Investment Trusts (REITs) — 0.8% | ||||
| Apollo Commercial Real Estate Finance Inc., Senior Secured Notes | 4.625% | 6/15/29 | 750,000 | 680,854 (a) |
| Starwood Property Trust Inc., Senior Notes | 7.250% | 4/1/29 | 780,000 | 800,592 (a) |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
7
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Schedule of investments (unaudited) (cont’d)
March 31, 2025
Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Mortgage Real Estate Investment Trusts (REITs) — continued | ||||
| Starwood Property Trust Inc., Senior Notes | 6.000% | 4/15/30 | 1,500,000 | $ 1,467,446 (a) |
| Total Mortgage Real Estate Investment Trusts (REITs) | 2,948,892 | |||
| Total Financials | 31,579,426 | |||
| Health Care — 7.1% | ||||
| Health Care Providers & Services — 4.7% | ||||
| CHS/Community Health Systems Inc., Senior Secured Notes | 5.625% | 3/15/27 | 500,000 | 477,860 (a) |
| CHS/Community Health Systems Inc., Senior Secured Notes | 6.000% | 1/15/29 | 500,000 | 444,874 (a) |
| CHS/Community Health Systems Inc., Senior Secured Notes | 4.750% | 2/15/31 | 2,440,000 | 1,931,678 (a) |
| CHS/Community Health Systems Inc., Senior Secured Notes | 10.875% | 1/15/32 | 2,540,000 | 2,505,509 (a) |
| HCA Inc., Senior Notes | 7.690% | 6/15/25 | 170,000 | 170,860 |
| HCA Inc., Senior Notes | 7.500% | 11/15/95 | 6,265,000 | 6,562,287 |
| LifePoint Health Inc., Senior Secured Notes | 11.000% | 10/15/30 | 1,200,000 | 1,306,031 (a) |
| Sotera Health Holdings LLC, Senior Secured Notes | 7.375% | 6/1/31 | 990,000 | 1,007,702 (a) |
| Tenet Healthcare Corp., Secured Notes | 6.250% | 2/1/27 | 1,710,000 | 1,712,131 |
| Tenet Healthcare Corp., Senior Notes | 6.125% | 10/1/28 | 1,890,000 | 1,882,534 |
| Tenet Healthcare Corp., Senior Notes | 6.875% | 11/15/31 | 250,000 | 256,140 |
| Total Health Care Providers & Services | 18,257,606 | |||
| Pharmaceuticals — 2.4% | ||||
| 1261229 BC Ltd., Senior Secured Notes | 10.000% | 4/15/32 | 1,680,000 | 1,671,520 (a)(i) |
| Bausch Health Americas Inc., Senior Notes | 8.500% | 1/31/27 | 10,000 | 9,514 (a) |
| Bausch Health Cos. Inc., Senior Notes | 6.250% | 2/15/29 | 210,000 | 140,536 (a) |
| Bausch Health Cos. Inc., Senior Secured Notes | 4.875% | 6/1/28 | 2,770,000 | 2,239,988 (a) |
| Endo Finance Holdings Inc., Senior Secured Notes | 8.500% | 4/15/31 | 1,000,000 | 1,043,776 (a) |
| Par Pharmaceutical Inc., Escrow | — | — | 70,000 | 0 * (a)(f)(g)(h) |
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 5.125% | 5/9/29 | 880,000 | 860,576 |
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 8.125% | 9/15/31 | 1,150,000 | 1,283,147 |
| Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | 4.100% | 10/1/46 | 2,550,000 | 1,845,608 |
| Total Pharmaceuticals | 9,094,665 | |||
| Total Health Care | 27,352,271 |
See Notes to Financial Statements.
8
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Industrials — 9.2% | ||||
| Aerospace & Defense — 1.7% | ||||
| Axon Enterprise Inc., Senior Notes | 6.125% | 3/15/30 | 380,000 | $ 384,455 (a) |
| Axon Enterprise Inc., Senior Notes | 6.250% | 3/15/33 | 190,000 | 192,430 (a) |
| Bombardier Inc., Senior Notes | 7.500% | 2/1/29 | 2,990,000 | 3,068,993 (a) |
| Bombardier Inc., Senior Notes | 7.250% | 7/1/31 | 500,000 | 502,326 (a) |
| Bombardier Inc., Senior Notes | 7.000% | 6/1/32 | 260,000 | 259,200 (a) |
| TransDigm Inc., Senior Secured Notes | 7.125% | 12/1/31 | 875,000 | 901,327 (a) |
| TransDigm Inc., Senior Secured Notes | 6.625% | 3/1/32 | 1,020,000 | 1,034,274 (a) |
| Total Aerospace & Defense | 6,343,005 | |||
| Building Products — 0.6% | ||||
| Masterbrand Inc., Senior Notes | 7.000% | 7/15/32 | 500,000 | 499,651 (a) |
| Quikrete Holdings Inc., Senior Secured Notes | 6.375% | 3/1/32 | 1,700,000 | 1,712,180 (a) |
| Total Building Products | 2,211,831 | |||
| Commercial Services & Supplies — 2.9% | ||||
| CoreCivic Inc., Senior Notes | 4.750% | 10/15/27 | 280,000 | 271,931 |
| CoreCivic Inc., Senior Notes | 8.250% | 4/15/29 | 3,330,000 | 3,529,204 |
| GEO Group Inc., Senior Notes | 10.250% | 4/15/31 | 1,460,000 | 1,588,220 |
| GEO Group Inc., Senior Secured Notes | 8.625% | 4/15/29 | 1,210,000 | 1,272,241 |
| GFL Environmental Inc., Senior Secured Notes | 6.750% | 1/15/31 | 950,000 | 980,459 (a) |
| RB Global Holdings Inc., Senior Notes | 7.750% | 3/15/31 | 1,770,000 | 1,854,599 (a) |
| RR Donnelley & Sons Co., Senior Secured Notes | 9.500% | 8/1/29 | 1,840,000 | 1,824,390 (a) |
| Total Commercial Services & Supplies | 11,321,044 | |||
| Construction & Engineering — 0.8% | ||||
| Arcosa Inc., Senior Notes | 6.875% | 8/15/32 | 620,000 | 629,082 (a) |
| Brundage-Bone Concrete Pumping Holdings Inc., Senior Secured Notes | 7.500% | 2/1/32 | 210,000 | 200,195 (a) |
| Tutor Perini Corp., Senior Notes | 11.875% | 4/30/29 | 2,070,000 | 2,281,426 (a) |
| Total Construction & Engineering | 3,110,703 | |||
| Ground Transportation — 0.6% | ||||
| Carriage Purchaser Inc., Senior Notes | 7.875% | 10/15/29 | 1,290,000 | 1,154,990 (a) |
| XPO Inc., Senior Notes | 7.125% | 2/1/32 | 1,000,000 | 1,025,493 (a) |
| Total Ground Transportation | 2,180,483 | |||
| Machinery — 0.4% | ||||
| Titan International Inc., Senior Secured Notes | 7.000% | 4/30/28 | 1,730,000 | 1,713,318 |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
9
PAGE BREAK
Schedule of investments (unaudited) (cont’d)
March 31, 2025
Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Passenger Airlines — 1.8% | ||||
| American Airlines Inc., Senior Secured Notes | 8.500% | 5/15/29 | 5,510,000 | $ 5,597,175 (a) |
| Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes (11.000% Cash or 4.000% PIK and 8.000% Cash) | 11.000% | 3/6/30 | 1,517,297 | 1,352,291 (a)(c) |
| Total Passenger Airlines | 6,949,466 | |||
| Trading Companies & Distributors — 0.4% | ||||
| United Rentals North America Inc., Senior Notes | 5.500% | 5/15/27 | 376,000 | 374,966 |
| United Rentals North America Inc., Senior Notes | 6.125% | 3/15/34 | 1,000,000 | 1,001,875 (a) |
| Total Trading Companies & Distributors | 1,376,841 | |||
| Total Industrials | 35,206,691 | |||
| Information Technology — 4.7% | ||||
| Communications Equipment — 2.6% | ||||
| CommScope LLC, Senior Notes | 7.125% | 7/1/28 | 190,000 | 168,314 (a) |
| CommScope LLC, Senior Secured Notes | 4.750% | 9/1/29 | 1,566,000 | 1,394,209 (a) |
| CommScope LLC, Senior Secured Notes | 9.500% | 12/15/31 | 3,000,000 | 3,092,760 (a) |
| Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes | 9.000% | 9/15/29 | 4,490,000 | 4,099,275 (a) |
| Viasat Inc., Senior Notes | 7.500% | 5/30/31 | 1,400,000 | 1,058,922 (a) |
| Total Communications Equipment | 9,813,480 | |||
| Electronic Equipment, Instruments & Components — 0.5% | ||||
| EquipmentShare.com Inc., Secured Notes | 8.625% | 5/15/32 | 450,000 | 464,409 (a) |
| EquipmentShare.com Inc., Senior Secured Notes | 8.000% | 3/15/33 | 1,370,000 | 1,380,866 (a) |
| Total Electronic Equipment, Instruments & Components | 1,845,275 | |||
| IT Services — 0.4% | ||||
| Amentum Holdings Inc., Senior Notes | 7.250% | 8/1/32 | 940,000 | 925,677 (a) |
| Shift4 Payments LLC/Shift4 Payments Finance Sub Inc., Senior Notes | 6.750% | 8/15/32 | 800,000 | 806,989 (a) |
| Total IT Services | 1,732,666 | |||
| Software — 0.9% | ||||
| Cloud Software Group Inc., Senior Secured Notes | 8.250% | 6/30/32 | 1,870,000 | 1,903,389 (a) |
| Gen Digital Inc., Senior Notes | 6.250% | 4/1/33 | 560,000 | 558,853 (a) |
| Open Text Corp., Senior Notes | 3.875% | 2/15/28 | 1,000,000 | 942,897 (a) |
| Total Software | 3,405,139 | |||
| Technology Hardware, Storage & Peripherals — 0.3% | ||||
| Diebold Nixdorf Inc., Senior Secured Notes | 7.750% | 3/31/30 | 610,000 | 633,830 (a) |
See Notes to Financial Statements.
10
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Technology Hardware, Storage & Peripherals — continued | ||||
| Seagate HDD Cayman, Senior Notes | 4.875% | 6/1/27 | 400,000 | $ 393,112 |
| Total Technology Hardware, Storage & Peripherals | 1,026,942 | |||
| Total Information Technology | 17,823,502 | |||
| Materials — 3.8% | ||||
| Chemicals — 0.4% | ||||
| Braskem Netherlands Finance BV, Senior Notes | 5.875% | 1/31/50 | 450,000 | 310,254 (b) |
| Cerdia Finanz GmbH, Senior Secured Notes | 9.375% | 10/3/31 | 1,320,000 | 1,353,805 (a) |
| Total Chemicals | 1,664,059 | |||
| Containers & Packaging — 0.9% | ||||
| ARD Finance SA, Senior Secured Notes (6.500% Cash or 7.250% PIK) | 6.500% | 6/30/27 | 1,326,400 | 86,216 (a)(c) |
| Ardagh Metal Packaging Finance USA LLC/ Ardagh Metal Packaging Finance PLC, Senior Notes | 4.000% | 9/1/29 | 1,170,000 | 997,870 (a) |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes | 5.250% | 8/15/27 | 1,578,000 | 730,463 (a) |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Senior Notes | 5.250% | 8/15/27 | 1,510,000 | 698,986 (a) |
| Pactiv LLC, Senior Notes | 8.375% | 4/15/27 | 750,000 | 800,107 |
| Total Containers & Packaging | 3,313,642 | |||
| Metals & Mining — 2.5% | ||||
| Capstone Copper Corp., Senior Notes | 6.750% | 3/31/33 | 650,000 | 648,014 (a) |
| First Quantum Minerals Ltd., Secured Notes | 9.375% | 3/1/29 | 920,000 | 968,664 (a) |
| First Quantum Minerals Ltd., Senior Notes | 8.625% | 6/1/31 | 2,920,000 | 2,992,898 (a) |
| First Quantum Minerals Ltd., Senior Notes | 8.000% | 3/1/33 | 3,940,000 | 3,997,154 (a) |
| Freeport-McMoRan Inc., Senior Notes | 5.450% | 3/15/43 | 1,010,000 | 947,900 |
| Total Metals & Mining | 9,554,630 | |||
| Total Materials | 14,532,331 | |||
| Real Estate — 1.7% | ||||
| Diversified REITs — 0.1% | ||||
| MPT Operating Partnership LP/MPT Finance Corp., Senior Secured Notes | 8.500% | 2/15/32 | 460,000 | 468,949 (a) |
| Health Care REITs — 0.0%†† | ||||
| Diversified Healthcare Trust, Senior Notes | 4.375% | 3/1/31 | 240,000 | 184,031 |
| Hotel & Resort REITs — 0.8% | ||||
| Service Properties Trust, Senior Notes | 3.950% | 1/15/28 | 226,000 | 205,132 |
| Service Properties Trust, Senior Notes | 8.875% | 6/15/32 | 2,770,000 | 2,744,544 |
| Total Hotel & Resort REITs | 2,949,676 |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
11
PAGE BREAK
Schedule of investments (unaudited) (cont’d)
March 31, 2025
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 — 0.4% | ||||
| Add Hero Holdings Ltd., Senior Secured Notes (7.500% Cash or 8.500% PIK) | 8.500% | 9/30/29 | 320,973 | $ 25,723 (b)(c) |
| Add Hero Holdings Ltd., Senior Secured Notes (8.000% Cash or 9.000% PIK) | 9.000% | 9/30/30 | 249,633 | 6,865 (b)(c) |
| Add Hero Holdings Ltd., Senior Secured Notes (8.800% Cash or 9.800% PIK) | 9.800% | 9/30/31 | 327,015 | 8,175 (b)(c) |
| China Aoyuan Group Ltd., Senior Notes, Step bond (0.000% to 9/30/31 then 1.000%) | 0.000% | 3/30/2173 | 450,290 | 3,377 (b)(d) |
| China Aoyuan Group Ltd., Senior Secured Notes (5.500% PIK) | 5.500% | 9/30/31 | 122,116 | 1,947 (b)(c) |
| Country Garden Holdings Co. Ltd., Senior Secured Notes | — | 1/27/24 | 2,016,000 | 198,576 * (b)(j) |
| Cushman & Wakefield US Borrower LLC, Senior Secured Notes | 8.875% | 9/1/31 | 420,000 | 446,321 (a) |
| Five Point Operating Co. LP/Five Point Capital Corp., Senior Notes, Step bond (10.500% to 11/15/25 then 11.000%) | 10.500% | 1/15/28 | 880,000 | 897,204 (a) |
| Total Real Estate Management & Development | 1,588,188 | |||
| Specialized REITs — 0.4% | ||||
| Iron Mountain Inc., Senior Notes | 7.000% | 2/15/29 | 1,340,000 | 1,371,515 (a) |
| Total Real Estate | 6,562,359 | |||
| Utilities — 1.2% | ||||
| Electric Utilities — 1.0% | ||||
| Alpha Generation LLC, Senior Notes | 6.750% | 10/15/32 | 940,000 | 941,335 (a) |
| Vistra Operations Co. LLC, Senior Notes | 7.750% | 10/15/31 | 920,000 | 964,284 (a) |
| Vistra Operations Co. LLC, Senior Notes | 6.875% | 4/15/32 | 1,840,000 | 1,876,967 (a) |
| Total Electric Utilities | 3,782,586 | |||
| Independent Power and Renewable Electricity Producers — 0.2% | ||||
| Lightning Power LLC, Senior Secured Notes | 7.250% | 8/15/32 | 940,000 | 968,585 (a) |
| Total Utilities | 4,751,171 | |||
| Total Corporate Bonds & Notes (Cost — $302,148,491) | 314,820,685 | |||
| Senior Loans — 8.0% | ||||
| Communication Services — 1.4% | ||||
| Interactive Media & Services — 0.7% | ||||
| X Corp., Term Loan B1 (3 mo. Term SOFR + 6.650%) | 10.949% | 10/26/29 | 1,027,372 | 1,022,236 (e)(k)(l) |
| X Corp., Term Loan B3 | 9.500% | 10/26/29 | 1,540,000 | 1,581,803 (k)(l) |
| Total Interactive Media & Services | 2,604,039 |
See Notes to Financial Statements.
12
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Media — 0.7% | ||||
| Diamond Sports Net LLC, First Lien Exit Term Loan | 15.000% | 1/2/28 | 1,555,000 | $ 1,427,358 (k)(l) |
| Getty Images Inc., Dollar Term Loan B1 | 11.250% | 2/21/30 | 120,000 | 119,550 (g)(k)(l) |
| iHeartCommunications Inc., Refinanced Term Loan B (1 mo. Term SOFR + 5.889%) | 10.209% | 5/1/29 | 1,364,580 | 1,112,699 (e)(k)(l) |
| Total Media | 2,659,607 | |||
| Total Communication Services | 5,263,646 | |||
| Consumer Discretionary — 2.3% | ||||
| Automobile Components — 0.5% | ||||
| Clarios Global LP, 2024 Term Loan B (1 mo. Term SOFR + 2.500%) | 6.825% | 5/6/30 | 997,500 | 985,530 (e)(k)(l) |
| First Brands Group LLC, 2022 Incremental Term Loan (3 mo. Term SOFR + 5.262%) | 9.552% | 3/30/27 | 1,067,372 | 994,657 (e)(k)(l) |
| Total Automobile Components | 1,980,187 | |||
| Diversified Consumer Services — 0.5% | ||||
| Prime Security Services Borrower LLC, Term Loan B1 (1 mo. Term SOFR + 2.000%) | 6.325% | 10/13/30 | 995,006 | 991,952 (e)(k)(l) |
| WW International Inc., Initial Term Loan (3 mo. Term SOFR + 3.762%) | 8.052% | 4/13/28 | 4,350,000 | 1,126,650 (e)(k)(l) |
| Total Diversified Consumer Services | 2,118,602 | |||
| Hotels, Restaurants & Leisure — 1.3% | ||||
| 1011778 BC Unlimited Liability Co., Term Loan B6 (1 mo. Term SOFR + 1.750%) | 6.075% | 9/20/30 | 992,500 | 984,793 (e)(k)(l) |
| Caesars Entertainment Inc., Incremental Term Loan B1 (3 mo. Term SOFR + 2.250%) | 6.563% | 2/6/31 | 2,013,337 | 2,003,270 (e)(k)(l) |
| Fertitta Entertainment LLC, Initial Term Loan B (1 mo. Term SOFR + 3.500%) | 7.825% | 1/27/29 | 1,234,097 | 1,216,881 (e)(k)(l) |
| Station Casinos LLC, Term Loan Facility B (1 mo. Term SOFR + 2.000%) | 6.325% | 3/14/31 | 742,500 | 739,486 (e)(k)(l) |
| Total Hotels, Restaurants & Leisure | 4,944,430 | |||
| Total Consumer Discretionary | 9,043,219 | |||
| Consumer Staples — 0.3% | ||||
| Beverages — 0.3% | ||||
| Triton Water Holdings Inc., 2025 Refinancing Term Loan (3 mo. Term SOFR + 2.250%) | 6.549% | 3/31/28 | 1,234,088 | 1,230,528 (e)(k)(l) |
| Financials — 0.7% | ||||
| Banks — 0.2% | ||||
| Ascensus Group Holdings Inc., 2024 Term Loan B (1 mo. Term SOFR + 3.000%) | 7.325% | 8/2/28 | 592,150 | 589,373 (e)(k)(l) |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
13
PAGE BREAK
Schedule of investments (unaudited) (cont’d)
March 31, 2025
Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Consumer Finance — 0.1% | ||||
| Blackhawk Network Holdings Inc., Term Loan B (1 mo. Term SOFR + 4.000%) | 8.325% | 3/12/29 | 466,481 | $ 465,230 (e)(k)(l) |
| Financial Services — 0.4% | ||||
| Boost Newco Borrower LLC, Term Loan B2 (3 mo. Term SOFR + 2.000%) | 6.299% | 1/31/31 | 997,500 | 992,203 (e)(k)(l) |
| Nexus Buyer LLC, Amendment No. 9 Refinancing Term Loan (1 mo. Term SOFR + 3.500%) | 7.825% | 7/31/31 | 696,504 | 693,287 (e)(k)(l) |
| Total Financial Services | 1,685,490 | |||
| Total Financials | 2,740,093 | |||
| Health Care — 1.2% | ||||
| Health Care Equipment & Supplies — 0.6% | ||||
| Medline Borrower LP, Dollar Incremental Term Loan (1 mo. Term SOFR + 2.250%) | 6.575% | 10/23/28 | 2,157,678 | 2,156,027 (e)(k)(l) |
| Health Care Providers & Services — 0.6% | ||||
| LifePoint Health Inc., Term Loan B (3 mo. Term SOFR + 3.750%) | 8.052% | 5/16/31 | 2,487,515 | 2,418,064 (e)(k)(l) |
| Total Health Care | 4,574,091 | |||
| Industrials — 1.4% | ||||
| Aerospace & Defense — 0.2% | ||||
| TransDigm Inc., Term Loan J (3 mo. Term SOFR + 2.500%) | 6.799% | 2/28/31 | 990,019 | 985,687 (e)(k)(l) |
| Building Products — 0.3% | ||||
| ACProducts Holdings Inc., Initial Term Loan (3 mo. Term SOFR + 4.512%) | 8.811% | 5/17/28 | 394,872 | 261,768 (e)(k)(l) |
| Quikrete Holdings Inc., Term Loan B3 (1 mo. Term SOFR + 2.250%) | 6.575% | 2/10/32 | 900,000 | 891,027 (e)(k)(l) |
| Total Building Products | 1,152,795 | |||
| Commercial Services & Supplies — 0.3% | ||||
| Allied Universal Holdco LLC, USD Term Loan (1 mo. Term SOFR + 3.850%) | 8.175% | 5/12/28 | 989,743 | 989,823 (e)(k)(l) |
| Machinery — 0.2% | ||||
| TK Elevator Midco GmbH, USD Term Loan Facility B2 (3 mo. Term SOFR + 3.500%) | 7.737% | 4/30/30 | 987,562 | 986,145 (e)(k)(l) |
| Passenger Airlines — 0.4% | ||||
| United Airlines Inc., Term Loan B (3 mo. Term SOFR + 2.000%) | 6.297% | 2/22/31 | 1,395,751 | 1,394,502 (e)(k)(l) |
| Total Industrials | 5,508,952 |
See Notes to Financial Statements.
14
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Information Technology — 0.7% | ||||
| Software — 0.5% | ||||
| DCert Buyer Inc., First Lien Initial Term Loan (1 mo. Term SOFR + 4.000%) | 8.325% | 10/16/26 | 1,124,342 | $ 1,096,374 (e)(k)(l) |
| Modena Buyer LLC, Initial Term Loan (3 mo. Term SOFR + 4.500%) | 8.791% | 7/1/31 | 798,000 | 774,475 (e)(k)(l) |
| Total Software | 1,870,849 | |||
| Technology Hardware, Storage & Peripherals — 0.2% | ||||
| Vericast Corp., 2024 Extended Term Loan (6 mo. Term SOFR + 7.750%) | 12.035% | 6/16/26 | 684,224 | 655,486 (e)(k)(l) |
| Total Information Technology | 2,526,335 | |||
| Total Senior Loans (Cost — $33,624,123) | 30,886,864 | |||
| Asset-Backed Securities — 6.2% | ||||
| 720 East CLO Ltd., 2023-IA D (3 mo. Term SOFR + 5.850%) | 10.152% | 4/15/36 | 1,140,000 | 1,145,582 (a)(e) |
| 720 East CLO Ltd., 2025-7A E (3 mo. Term SOFR + 4.750%) | 9.038% | 4/20/37 | 390,000 | 390,315 (a)(e) |
| AGL CLO Ltd., 2022-17A ER (3 mo. Term SOFR + 4.650%) | 8.953% | 1/21/35 | 1,240,000 | 1,196,751 (a)(e) |
| AGL CLO Ltd., 2023-25A D (3 mo. Term SOFR + 5.300%) | 9.593% | 7/21/36 | 1,250,000 | 1,263,158 (a)(e) |
| AMMC CLO Ltd., 2021-24A DR (3 mo. Term SOFR + 2.950%) | 7.243% | 1/20/35 | 480,000 | 481,141 (a)(e) |
| Apex Credit CLO Ltd., 2019-2A ERR (3 mo. Term SOFR + 7.670%) | 11.983% | 1/25/38 | 820,000 | 835,939 (a)(e) |
| Ballyrock CLO Ltd., 2022-19A D (3 mo. Term SOFR + 7.110%) | 11.403% | 4/20/35 | 505,000 | 496,859 (a)(e) |
| Bear Mountain Park CLO Ltd., 2022-1A ER (3 mo. Term SOFR + 5.950%) | 10.252% | 7/15/37 | 770,000 | 779,648 (a)(e) |
| CarVal CLO Ltd., 2024-3A E (3 mo. Term SOFR + 6.350%) | 10.921% | 10/20/37 | 1,020,000 | 1,036,661 (a)(e) |
| CIFC Funding Ltd., 2022-2A ER (3 mo. Term SOFR + 4.750%) | 9.066% | 4/19/35 | 300,000 | 301,141 (a)(e) |
| Fort Greene Park CLO LLC, 2025-2A ER (3 mo. Term SOFR + 4.400%) | 8.717% | 4/22/34 | 1,080,000 | 1,057,798 (a)(e) |
| GoldenTree Loan Management US CLO Ltd., 2017-1A ER3 (3 mo. Term SOFR + 4.500%) | 8.803% | 4/20/34 | 470,000 | 462,143 (a)(e) |
| GoldenTree Loan Management US CLO Ltd., 2019-6A ER2 (3 mo. Term SOFR + 4.500%) | 8.811% | 4/20/35 | 280,000 | 280,050 (a)(e) |
| GoldenTree Loan Management US CLO Ltd., 2022-16A DRR (3 mo. Term SOFR + 2.400%) | 6.716% | 1/20/38 | 1,260,000 | 1,263,085 (a)(e) |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Schedule of investments (unaudited) (cont’d)
March 31, 2025
Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Asset-Backed Securities — continued | ||||
| Golub Capital Partners CLO Ltd., 2024-76A E (3 mo. Term SOFR + 5.750%) | 10.492% | 10/25/37 | 300,000 | $ 301,159 (a)(e) |
| Magnetite Ltd., 2015-12A ER (3 mo. Term SOFR + 5.942%) | 10.244% | 10/15/31 | 3,700,000 | 3,717,936 (a)(e) |
| Magnetite Ltd., 2019-24A ER (3 mo. Term SOFR + 6.400%) | 10.702% | 4/15/35 | 200,000 | 200,824 (a)(e) |
| Magnetite Ltd., 2020-26A ER2 (3 mo. Term SOFR + 4.700%) | 8.966% | 1/25/38 | 1,050,000 | 1,049,860 (a)(e) |
| Mountain View CLO Ltd., 2022-1A DR (3 mo. Term SOFR + 4.190%) | 8.492% | 4/15/34 | 530,000 | 534,505 (a)(e) |
| Nassau Ltd., 2021-IA DR (3 mo. Term SOFR + 3.600%) | 7.893% | 8/26/34 | 970,000 | 953,014 (a)(e) |
| Ocean Trails CLO Ltd., 2020-10A ER (3 mo. Term SOFR + 7.832%) | 12.134% | 10/15/34 | 1,000,000 | 997,430 (a)(e) |
| Ocean Trails CLO Ltd., 2022-12A ER (3 mo. Term SOFR + 7.500%) | 11.793% | 7/20/35 | 600,000 | 606,096 (a)(e) |
| OCP CLO Ltd., 2023-26A ER (3 mo. Term SOFR + 4.450%) | 8.769% | 4/17/37 | 600,000 | 586,138 (a)(e) |
| Octagon Investment Partners Ltd., 2018-1A C (3 mo. Term SOFR + 2.862%) | 7.155% | 1/20/31 | 425,000 | 425,029 (a)(e) |
| OHA Credit Funding Ltd., 2022-11A D1R (3 mo. Term SOFR + 2.850%) | 7.143% | 7/19/37 | 220,000 | 222,398 (a)(e) |
| Palmer Square CLO Ltd., 2022-3A D1R (3 mo. Term SOFR + 2.950%) | 7.243% | 7/20/37 | 310,000 | 313,132 (a)(e) |
| Palmer Square Loan Funding Ltd., 2024-1A D (3 mo. Term SOFR + 4.900%) | 9.202% | 10/15/32 | 550,000 | 549,997 (a)(e) |
| RAD CLO Ltd., 2023-21A D1R (3 mo. Term SOFR + 2.600%) | 6.917% | 1/25/37 | 1,140,000 | 1,142,815 (a)(e) |
| Trinitas CLO Ltd., 2024-27A D1 (3 mo. Term SOFR + 4.300%) | 8.593% | 4/18/37 | 280,000 | 284,893 (a)(e) |
| Voya CLO Ltd., 2020-3A D1RR (3 mo. Term SOFR + 2.700%) | 6.993% | 1/20/38 | 970,000 | 979,461 (a)(e) |
| Warwick Capital CLO Ltd., 2024-3A D (3 mo. Term SOFR + 4.500%) | 8.793% | 4/20/37 | 140,000 | 142,799 (a)(e) |
| Total Asset-Backed Securities (Cost — $24,009,330) | 23,997,757 | |||
| Sovereign Bonds — 1.3% | ||||
| Angola — 0.4% | ||||
| Angolan Government International Bond, Senior Notes | 8.000% | 11/26/29 | 1,600,000 | 1,422,376 (a) |
| Argentina — 0.5% | ||||
| Provincia de Buenos Aires, Senior Notes | 6.625% | 9/1/37 | 353,986 | 228,764 (a) |
See Notes to Financial Statements.
16
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Rate | Maturity Date | Face Amount† | Value |
|---|---|---|---|---|
| Argentina — continued | ||||
| Provincia de Cordoba, Senior Notes | 6.990% | 6/1/27 | 1,360,000 | $ 1,324,640 (a) |
| Provincia de Cordoba, Senior Notes | 6.875% | 2/1/29 | 340,000 | 321,236 (a) |
| Total Argentina | 1,874,640 | |||
| Bahamas — 0.4% | ||||
| Bahamas Government International Bond, Senior Notes | 6.950% | 11/20/29 | 1,630,000 | 1,572,950 (a) |
| Total Sovereign Bonds (Cost — $4,041,628) | 4,869,966 | |||
| Shares | ||||
| Preferred Stocks — 0.4% | ||||
| Financials — 0.4% | ||||
| Mortgage Real Estate Investment Trusts (REITs) — 0.4% | ||||
| AGNC Investment Corp., Non Voting Shares (6.125% to 4/15/25 then 3 mo. USD LIBOR + 4.697%) | 6.125% | 33,858 | 855,253 (e) | |
| Chimera Investment Corp., Non Voting Shares (7.750% to 9/30/25 then 3 mo. USD LIBOR + 4.743%) | 7.750% | 10,320 | 232,406 (e) | |
| MFA Financial Inc., Non Voting Shares (6.500% to 3/31/25 then 3 mo. USD LIBOR + 5.345%) | 6.500% | 18,881 | 468,249 (e) | |
| Total Preferred Stocks (Cost — $1,550,609) | 1,555,908 | |||
| Maturity Date | Face Amount† | |||
| Convertible Bonds & Notes — 0.3% | ||||
| Communication Services — 0.3% | ||||
| Media — 0.3% | ||||
| EchoStar Corp., Senior Secured Notes (3.875% Cash or 3.875% PIK) | 3.875% | 11/30/30 | 840,849 | 940,648 (c) |
| Real Estate — 0.0%†† | ||||
| Real Estate Management & Development — 0.0%†† | ||||
| China Aoyuan Group Ltd., Senior Notes | 0.000% | 9/30/28 | 40,244 | 805 (b) |
| Total Convertible Bonds & Notes (Cost — $931,095) | 941,453 | |||
| Shares | ||||
| Common Stocks — 0.2% | ||||
| Health Care — 0.0%†† | ||||
| Pharmaceuticals — 0.0%†† | ||||
| Endo Inc. | 360 | 8,640 * |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Schedule of investments (unaudited) (cont’d)
March 31, 2025
Western Asset High Income Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
| Security | Shares | Value | ||
|---|---|---|---|---|
| Industrials — 0.2% | ||||
| Passenger Airlines — 0.2% | ||||
| Spirit Airlines LLC | 59,529 | $ 833,410 * (f)(g) | ||
| Spirit Aviation Holdings Inc. | 346 | 4,844 * (f)(g)(m) | ||
| Total Industrials | 838,254 | |||
| Real Estate — 0.0%†† | ||||
| Real Estate Management & Development — 0.0%†† | ||||
| China Aoyuan Group Ltd. | 112,573 | 2,432 * (f) | ||
| Total Common Stocks (Cost — $848,638) | 849,326 | |||
| Expiration Date | Warrants | |||
| Warrants — 0.2% | ||||
| Industrials — 0.2% | ||||
| Passenger Airlines — 0.2% | ||||
| flyExclusive Inc. | 5/28/28 | 18,769 | 2,260 * | |
| Spirit Airlines LLC | 3/12/30 | 42,296 | 592,144 * (a)(f)(g)(m) | |
| Total Warrants (Cost — $532,855) | 594,404 | |||
| Rate | Maturity Date | Face Amount† | ||
| Collateralized Mortgage Obligations (n) — 0.1% | ||||
| LHOME Mortgage Trust, 2025-RTL1 M1 (Cost — $529,997) | 7.023% | 1/25/40 | 530,000 | 535,083 (a)(e) |
| Total Investments before Short-Term Investments (Cost — $368,216,766) | 379,051,446 | |||
| Shares | ||||
| Short-Term Investments — 0.9% | ||||
| Western Asset Premier Institutional Government Reserves, Premium Shares (Cost — $3,431,995) | 4.315% | 3,431,995 | 3,431,995 (o)(p) | |
| Total Investments — 99.5% (Cost — $371,648,761) | 382,483,441 | |||
| Other Assets in Excess of Liabilities — 0.5% | 1,966,253 | |||
| Total Net Assets — 100.0% | $ 384,449,694 |
See Notes to Financial Statements.
18
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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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) | 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. | |
| (d) | Security has no maturity date. The date shown represents the next call date. |
| (e) | 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. | |
| (f) | Security is fair valued in accordance with procedures approved by the Board of Directors (Note 1) . |
| (g) | Security is valued using significant unobservable inputs (Note 1) . |
| (h) | Value is less than $1. |
| (i) | Securities traded on a when-issued or delayed delivery basis. |
| (j) | The maturity principal is currently in default as of March 31, 2025. |
| (k) | Interest rates disclosed represent the effective rates on senior loans. Ranges in |
| interest rates are attributable to multiple contracts under the same loan. | |
| (l) | Senior loans may be considered restricted in that the Fund ordinarily is contractually |
| obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. | |
| (m) | Restricted security (Note 8) . |
| (n) | Collateralized mortgage obligations are secured by an underlying pool of mortgages |
| or mortgage pass-through certificates that are structured to direct payments on underlying collateral to different | |
| series or classes of the obligations. The interest rate may change positively or inversely in relation to one | |
| or more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower | |
| limit. | |
| (o) | Rate shown is one-day yield as of the end of the reporting period. |
| (p) | In this instance, as defined in the Investment Company Act of 1940, an “ Affiliated Company ” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company |
| which is under common ownership or control with the Fund. At March 31, 2025, the total market value of investments | |
| in Affiliated Companies was $3,431,995 and the cost was $3,431,995 (Note 7) . |
| Abbreviation(s) used in this schedule: — CLO | — | Collateralized Loan Obligation |
|---|---|---|
| EUR | — | Euro |
| GBP | — | British Pound |
| ICE | — | Intercontinental Exchange |
| LIBOR | — | London Interbank Offered Rate |
| PIK | — | Payment-In-Kind |
| SOFR | — | Secured Overnight Financing Rate |
| USD | — | United States Dollar |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Schedule of investments (unaudited) (cont’d)
March 31, 2025
Western Asset High Income Opportunity Fund Inc.
At March 31, 2025, the Fund had the following open swap contracts:
| CENTRALLY CLEARED CREDIT DEFAULT SWAPS ON CREDIT INDICES — SELL PROTECTION 1 — Reference Entity | Notional Amount 2 | Termination Date | Periodic Payments Received by the Fund † | Market Value 3 | Upfront Premiums Paid (Received) | Unrealized Depreciation |
|---|---|---|---|---|---|---|
| Markit CDX.NA.HY.44 Index | $ 4,150,000 | 6/20/30 | 5.000% quarterly | $ 213,977 | $ 245,783 | $ (31,806) |
| 1 | If the Fund is a seller of protection and a credit event occurs, as defined under
the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal
to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising
the referenced index or (ii) pay 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 loss (or profit) for the credit derivative had 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 entity’s 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. |
See Notes to Financial Statements.
20
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Statement of assets and liabilities (unaudited)
March 31, 2025
| Assets: | |
|---|---|
| Investments in unaffiliated securities, at value (Cost — $368,216,766) | $ 379,051,446 |
| Investments in affiliated securities, at value (Cost — $3,431,995) | 3,431,995 |
| Foreign currency, at value (Cost — $502,821) | 480,927 |
| Cash | 47,381 |
| Interest receivable | 6,567,848 |
| Deposits with brokers for centrally cleared swap contracts | 316,743 |
| Dividends receivable from affiliated investments | 10,435 |
| Receivable from brokers — net variation margin on centrally cleared swap contracts | 6,409 |
| Prepaid expenses | 37,160 |
| Total Assets | 389,950,344 |
| Liabilities: | |
| Distributions payable | 3,376,022 |
| Payable for securities purchased | 1,687,088 |
| Investment management fee payable | 247,520 |
| Directors’ fees payable | 8,822 |
| Accrued expenses | 181,198 |
| Total Liabilities | 5,500,650 |
| Total Net Assets | $ 384,449,694 |
| Net Assets: | |
| Par value ($0.001 par value; 95,099,215 shares issued and outstanding; 500,000,000 | |
| shares authorized) | $ 95,099 |
| Paid-in capital in excess of par value | 583,779,354 |
| Total distributable earnings (loss) | (199,424,759 ) |
| Total Net Assets | $ 384,449,694 |
| Shares Outstanding | 95,099,215 |
| Net Asset Value | $4.04 |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Statement of operations (unaudited)
For the Six Months Ended March 31, 2025
| Investment Income: | |
|---|---|
| Interest | $ 16,760,724 |
| Dividends from affiliated investments | 105,162 |
| Dividends from unaffiliated investments | 38,300 |
| Less: Foreign taxes withheld | (450 ) |
| Total Investment Income | 16,903,736 |
| Expenses: | |
| Investment management fee (Note 2) | 1,569,944 |
| Shareholder reports | 67,292 |
| Directors’ fees | 66,482 |
| Legal fees | 59,903 |
| Transfer agent fees | 28,535 |
| Audit and tax fees | 28,192 |
| Stock exchange listing fees | 24,335 |
| Fund accounting fees | 10,038 |
| Insurance | 1,225 |
| Custody fees | 808 |
| Miscellaneous expenses | 5,507 |
| Total Expenses | 1,862,261 |
| Less: Fee waivers and/or expense reimbursements (Note 2) | (100,711 ) |
| Net Expenses | 1,761,550 |
| Net Investment Income | 15,142,186 |
| Realized and Unrealized Gain (Loss) on Investments, Swap Contracts, Forward Foreign | |
| Currency Contracts and Foreign Currency Transactions (Notes 1, 3 and 4) : | |
| Net Realized Gain (Loss) From: | |
| Investment transactions in unaffiliated securities | 3,680,192 |
| Swap contracts | (32,513 ) |
| Forward foreign currency contracts | 247,503 |
| Foreign currency transactions | (39,947 ) |
| Net Realized Gain | 3,855,235 |
| Change in Net Unrealized Appreciation (Depreciation) From: | |
| Investments in unaffiliated securities | (16,647,290 ) |
| Swap contracts | (31,806 ) |
| Foreign currencies | 39,287 |
| Change in Net Unrealized Appreciation (Depreciation) | (16,639,809 ) |
| Net Loss on Investments, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions | (12,784,574 ) |
| Increase in Net Assets From Operations | $ 2,357,612 |
See Notes to Financial Statements.
22
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Statements of changes in net assets
| For the Six Months Ended March 31, 2025 (unaudited) and the Year Ended September 30, 2024 | 2025 | 2024 |
|---|---|---|
| Operations: | ||
| Net investment income | $ 15,142,186 | $ 32,431,857 |
| Net realized gain (loss) | 3,855,235 | (5,069,467 ) |
| Change in net unrealized appreciation (depreciation) | (16,639,809 ) | 20,685,749 |
| Increase in Net Assets From Operations | 2,357,612 | 48,048,139 |
| Distributions to Shareholders From (Note 1) : | ||
| Total distributable earnings | (20,256,133 ) | (32,786,512 ) |
| Return of capital | — | (7,725,754 ) |
| Decrease in Net Assets From Distributions to Shareholders | (20,256,133 ) | (40,512,266 ) |
| Increase (Decrease) in Net Assets | (17,898,521 ) | 7,535,873 |
| Net Assets: | ||
| Beginning of period | 402,348,215 | 394,812,342 |
| End of period | $ 384,449,694 | $ 402,348,215 |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Financial highlights
| For a share of capital stock outstanding throughout each year ended September 30, unless otherwise noted: | 2025 1,2 | 2024 1 | 2023 1 | 2022 1 | 2021 1 | 2020 1 |
|---|---|---|---|---|---|---|
| Net asset value, beginning of period | $4.23 | $4.15 | $4.22 | $5.45 | $5.27 | $5.50 |
| Income (loss) from operations: | ||||||
| Net investment income | 0.16 | 0.34 | 0.35 | 0.33 | 0.32 | 0.34 |
| Net realized and unrealized gain (loss) | (0.14 ) | 0.17 | (0.05 ) | (1.20 ) | 0.22 | (0.20 ) |
| Total income (loss) from operations | 0.02 | 0.51 | 0.30 | (0.87) | 0.54 | 0.14 |
| Less distributions from: | ||||||
| Net investment income | (0.21 ) 3 | (0.35 ) | (0.32 ) | (0.33 ) | (0.30 ) | (0.31 ) |
| Return of capital | — | (0.08 ) | (0.05 ) | (0.03 ) | (0.07 ) | (0.07 ) |
| Total distributions | (0.21 ) | (0.43 ) | (0.37 ) | (0.36 ) | (0.37 ) | (0.38 ) |
| Anti-dilutive impact of repurchase plan | — | — | — | — | — | 0.01 4 |
| Anti-dilutive impact of tender offer | — | — | — | — | 0.01 5 | — |
| Capital contributions | — | — | — | — | — | 0.00 6 |
| Net asset value, end of period | $4.04 | $4.23 | $4.15 | $4.22 | $5.45 | $5.27 |
| Market price, end of period | $3.98 | $4.05 | $3.64 | $3.68 | $5.19 | $4.90 |
| Total return, based on NAV 7,8 | 0.56 % | 12.87 % | 7.12 % | (16.60 )% | 10.73 % | 3.13 % 9 |
| Total return, based on Market Price 10 | 3.63 % | 24.11 % | 8.67 % | (23.16 )% | 13.92 % | 5.05 % |
| Net assets, end of period (millions) | $384 | $402 | $395 | $401 | $518 | $668 |
| Ratios to average net assets: | ||||||
| Gross expenses | 0.95 % 11 | 0.95 % | 0.94 % | 0.93 % | 0.91 % | 1.01 % 12 |
| Net expenses 13,14 | 0.90 11 | 0.93 | 0.94 | 0.93 | 0.89 | 0.99 12 |
| Net investment income | 7.72 11 | 8.16 | 8.19 | 6.66 | 5.82 | 6.35 |
| Portfolio turnover rate | 35 % | 45 % | 39 % | 79 % | 46 % | 63 % |
See Notes to Financial Statements.
24
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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| 1 | Per share amounts have been calculated using the average shares method. |
|---|---|
| 2 | For the six months ended March 31, 2025 (unaudited). |
| 3 | The actual source of the Fund’s current fiscal year distributions may be from net investment income, return of capital or a combination of both. Shareholders will be informed of the tax characteristics |
| of the distributions after the close of the fiscal year. | |
| 4 | The repurchase plan was completed at an average repurchase price of $3.67 for 1,150,582 |
| shares and $4,227,008 for the year ended September 30, 2020. | |
| 5 | The tender offer was completed at a price of $5.37 for 31,699,738 shares and $170,227,593 |
| for the year ended September 30, 2021. | |
| 6 | Amount represents less than $0.005 or greater than $(0.005) per share. |
| 7 | Performance figures may reflect compensating balance arrangements, fee waivers and/or |
| expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or | |
| expense reimbursements, the total return would have been lower. Past performance is no guarantee | |
| of future results. Total returns for periods of less than one year are not annualized. | |
| 8 | The total return calculation assumes that distributions are reinvested at NAV. Past |
| performance is no guarantee of future results. Total returns for periods of less than one year are not annualized. | |
| 9 | Includes the effect of a capital contribution. Absent the capital contribution, the |
| total return would have been unchanged. | |
| 10 | The total return calculation assumes that distributions are reinvested in accordance with the Fund’s dividend reinvestment plan. Past performance is no guarantee of future results. Total returns |
| for periods of less than one year are not annualized. | |
| 11 | Annualized. |
| 12 | Included in the expense ratios are certain non-recurring legal and transfer agent |
| fees that were incurred by the Fund during the period. Without these fees, the gross and net expense ratios would | |
| have been 0.92% and 0.90%, respectively. | |
| 13 | The manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund. |
| 14 | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
25
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Notes to financial statements (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. Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.
(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 (the “ Board ” ).
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Pursuant to policies adopted by the Board, 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. 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, 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 quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
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Notes to financial statements (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 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: | ||||
| Energy | — | $ 57,141,693 | $ 550,535 | $ 57,692,228 |
| Financials | — | 31,579,426 | 0 * | 31,579,426 |
| Health Care | — | 27,352,271 | 0 * | 27,352,271 |
| Other Corporate Bonds & Notes | — | 198,196,760 | — | 198,196,760 |
| Senior Loans: | ||||
| Communication Services | — | 5,144,096 | 119,550 | 5,263,646 |
| Other Senior Loans | — | 25,623,218 | — | 25,623,218 |
| Asset-Backed Securities | — | 23,997,757 | — | 23,997,757 |
| Sovereign Bonds | — | 4,869,966 | — | 4,869,966 |
| Preferred Stocks | $ 1,555,908 | — | — | 1,555,908 |
| Convertible Bonds & Notes | — | 941,453 | — | 941,453 |
| Common Stocks: | ||||
| Health Care | 8,640 | — | — | 8,640 |
| Industrials | — | — | 838,254 | 838,254 |
| Real Estate | — | 2,432 | — | 2,432 |
| Warrants: | ||||
| Industrials | — | 2,260 | 592,144 | 594,404 |
| Collateralized Mortgage Obligations | — | 535,083 | — | 535,083 |
| Total Long-Term Investments | 1,564,548 | 375,386,415 | 2,100,483 | 379,051,446 |
| Short-Term Investments† | 3,431,995 | — | — | 3,431,995 |
| Total Investments | $ 4,996,543 | $ 375,386,415 | $ 2,100,483 | $ 382,483,441 |
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| LIABILITIES — Description | Quoted Prices (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total |
|---|---|---|---|---|
| Other Financial Instruments: | ||||
| Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection†† | — | $ 31,806 | — | $ 31,806 |
| † | See Schedule of Investments for additional detailed categorizations. |
|---|---|
| * | Amount represents less than $1. |
| †† | Reflects the unrealized appreciation (depreciation) of the instruments. |
(b) 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.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected on the Statement of Assets and Liabilities. 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.
(c) 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. The use of swaps involves risks that are different from those associated with other portfolio transactions. Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract (“OTC Swaps”) or centrally cleared (“Centrally Cleared Swaps”). Unlike Centrally Cleared Swaps, the Fund has credit exposure to the counterparties of OTC Swaps.
In a Centrally Cleared Swap, immediately following execution of the swap, the swap agreement is submitted to a clearinghouse or central counterparty (the “CCP”) and the CCP becomes the ultimate counterparty of the swap agreement. The Fund is required to interface with the CCP through a broker, acting in an agency capacity. All payments are settled with the CCP through the broker. Upon entering into a Centrally Cleared Swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities.
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Notes to financial statements (unaudited) (cont’d)
Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of Centrally Cleared Swaps, if any, is recorded as a net receivable or payable for variation margin on the Statement of Assets and Liabilities. 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 Fund’s custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Schedule of Investments and restricted cash, if any, is identified on the Statement of Assets and Liabilities. Risks may exceed amounts recorded in the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts’ terms, and the possible lack of liquidity with respect to the swap agreements.
OTC Swap payments received or made at the beginning of the measurement period are reflected as a premium or deposit, respectively, on the Statement of Assets and Liabilities. These upfront payments are amortized over the life of the swap and are recognized as realized gain or loss in the Statement of Operations. Net periodic payments received or paid by the Fund are recognized as a realized gain or loss in the Statement of Operations.
The Fund’s maximum exposure in the event of a defined credit event on a credit default swap to sell protection is the notional amount. As of March 31, 2025, the total notional value of all credit default swaps to sell protection was $4,150,000. This amount would be offset by the value of the swap’s reference entity, upfront premiums received on the swap and any amounts received from the settlement of a credit default swap where the Fund bought protection for the same referenced security/entity.
For average notional amounts of swaps held during the six months ended March 31, 2025, see Note 4.
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 an active long or short position with respect to the likelihood of a particular issuer’s 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
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make under a CDS 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 entity’s 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 CDS agreements on corporate or sovereign issues are disclosed in 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 CDS 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 Fund’s 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 Fund’s exposure to the counterparty). As the protection seller, the Fund’s maximum risk is the notional amount of the contract. CDS 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 in excess of the related amounts recognized on the Statement of Assets and Liabilities. 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.
(d) Loan participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Fund’s 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
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Notes to financial statements (unaudited) (cont’d)
offset 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 offset between the lender and the borrower.
(e) Securities traded on a when-issued and delayed delivery basis. The Fund may trade securities on a when-issued or delayed delivery basis. In when-issued and delayed delivery transactions, the securities are purchased or sold by the Fund with payment and delivery taking place in the future in order to secure what is considered to be an advantageous price and yield to the Fund at the time of entering into the transaction.
Purchasing such securities involves risk of loss if the value of the securities declines prior to settlement. These securities are subject to market fluctuations and their current value is determined in the same manner as for other securities.
(f) Foreign currency translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates.
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,
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among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(g) Credit and market risk. The Fund invests in high-yield and emerging market instruments that are subject to certain credit and market risks. The yields of high-yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Fund’s investments 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 Fund’s investments in non-U.S. dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.
(h) Foreign investment risks. The Fund’s 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 may 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.
(i) 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 Fund’s subadviser 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 subadviser. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
With exchange traded and centrally cleared derivatives, there is less counterparty risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse.
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Notes to financial statements (unaudited) (cont’d)
While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default of the clearing broker or clearinghouse.
The Fund has entered into master agreements, such as an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement, with certain of its derivative counterparties that govern over-the-counter ( “ OTC ” ) derivatives and provide for general obligations, representations, agreements, collateral posting terms, netting provisions in the event 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 Fund’s net assets or net asset value per share 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.
Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. However, absent an event of default by the counterparty or a termination of the agreement, the terms of the ISDA Master Agreements do not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearinghouse for exchange traded derivatives while collateral terms are contract specific for OTC traded derivatives. Cash collateral that has been pledged to cover obligations of the Fund under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Schedule of Investments.
As of March 31, 2025, the Fund did not have any open OTC derivative transactions with credit related contingent features in a net liability position.
(j) Security transactions and investment income. Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities) is recorded on the accrual basis. Amortization of premiums and accretion of discounts on debt securities are recorded to interest income over the lives of the respective securities, except for premiums on certain callable debt securities, which are amortized to the earliest call date. Paydown gains and losses on mortgage- and asset-backed securities are recorded as adjustments to interest income. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the
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existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.
(k) Distributions to shareholders. Distributions from net investment income of the Fund, if any, are declared quarterly and paid on a monthly basis. The actual source of the Fund’s monthly distributions may be from net investment income, return of capital or a combination of both. Shareholders will be informed of the tax characteristics of the distributions after the close of the fiscal year. Distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(l) Compensating balance arrangements. The Fund has an arrangement with its custodian bank whereby a portion of the custodian’s fees is paid indirectly by credits earned on the Fund’s cash on deposit with the bank.
(m) Federal and other taxes. It is the Fund’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the “Code”), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund’s financial statements.
Management has analyzed the Fund’s tax positions taken on income tax returns for all open tax years and has concluded that as of September 30, 2024, no provision for income tax is required in the Fund’s financial statements. The Fund’s federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.
Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.
(n) Reclassification. GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset value per share.
2. Investment management agreement and other transactions with affiliates
Franklin Templeton Fund Adviser, LLC (“FTFA”) is the Fund’s investment manager. Western Asset Management Company, LLC (“Western Asset”) and Western Asset Management Company Limited (“Western Asset London”) are the Fund’s subadvisers. FTFA, Western
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Notes to financial statements (unaudited) (cont’d)
Asset and Western Asset London are indirect, wholly-owned subsidiaries of Franklin Resources, Inc. (“Franklin Resources”).
FTFA provides administrative and certain oversight services to the Fund. The Fund pays FTFA an investment management fee, calculated daily and paid monthly, at an annual rate of 0.80% of the Fund’s average daily net assets.
FTFA delegates to Western Asset the day-to-day portfolio management of the Fund. Western Asset London provides certain subadvisory services to the Fund relating to currency transactions and investments in non-U.S. dollar denominated debt securities. Western Asset London does not receive any compensation from the Fund and is paid by Western Asset for its services to the Fund. For its services, FTFA pays Western Asset a fee monthly, at an annual rate equal to 70% of the net management fee it receives from the Fund. In turn, Western Asset pays Western Asset London a monthly subadvisory fee in an amount equal to 100% of the management fee paid to Western Asset on the assets that Western Asset allocates to Western Asset London to manage.
The manager has agreed to waive the Fund’s management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund (the “affiliated money market fund waiver”).
Effective June 1, 2024, FTFA implemented a voluntary investment management fee waiver of 0.05% that will continue until May 31, 2025.
During the six months ended March 31, 2025, fees waived and/or expenses reimbursed amounted to $100,711, which included an affiliated money market fund waiver of $2,589.
All officers and one Director of the Fund are employees of Franklin Resources or its affiliates and do not receive compensation from the Fund.
3. Investments
During the six months ended March 31, 2025, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) were as follows:
| Purchases | $ 136,386,219 |
|---|---|
| Sales | 136,542,855 |
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At March 31, 2025, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
| Cost/Premiums Paid (Received) | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
|---|---|---|---|---|
| Securities | $ 374,577,637 | $ 23,633,939 | $ (15,728,135) | $ 7,905,804 |
| Swap contracts | 245,783 | — | (31,806) | (31,806) |
4. Derivative instruments and hedging activities
Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Statement of Assets and Liabilities at March 31, 2025.
| LIABILITY DERIVATIVES 1 | |
|---|---|
| Credit Risk | |
| Centrally cleared swap contracts 2 | $ 31,806 |
| 1 | Generally, the balance sheet location for asset derivatives is receivables/net unrealized
appreciation and for liability derivatives is payables/net unrealized depreciation. |
| --- | --- |
| 2 | Includes cumulative unrealized appreciation (depreciation) of centrally cleared swap
contracts as reported in the Schedule of Investments. Only net variation margin is reported within the receivables
and/or payables on the Statement of Assets and Liabilities. |
The following tables provide information about the effect of derivatives and hedging activities on the Fund’s Statement of Operations for the six months ended March 31, 2025. The first table provides additional detail about the amounts and sources of gains (losses) realized on derivatives during the period. The second table provides additional information about the change in net unrealized appreciation (depreciation) resulting from the Fund’s derivatives and hedging activities during the period.
| AMOUNT OF NET REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED | Foreign Exchange Risk | Credit Risk | Total |
|---|---|---|---|
| Swap contracts | — | $ (32,513 ) | $ (32,513 ) |
| Forward foreign currency contracts | $ 247,503 | — | 247,503 |
| Total | $ 247,503 | $ (32,513 ) | $ 214,990 |
| CHANGE IN NET UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | |
|---|---|
| Credit Risk | |
| Swap contracts | $ (31,806 ) |
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Notes to financial statements (unaudited) (cont’d)
During the six months ended March 31, 2025, the volume of derivative activity for the Fund was as follows:
| Average Market Value | |
|---|---|
| Forward foreign currency contracts (to buy)† | $ 1,341,478 |
| Forward foreign currency contracts (to sell)† | 2,025,799 |
| Average Notional Balance | |
| Credit default swap contracts (sell protection) | $ 2,964,286 |
† At March 31, 2025, there were no open positions held in this derivative.
5. Distributions subsequent to March 31, 2025
The following distributions have been declared by the Fund’s Board and are payable subsequent to the period end of this report:
| Record Date | Payable Date | Amount |
|---|---|---|
| 3/24/2025 | 4/1/2025 | $ 0.0355 |
| 4/23/2025 | 5/1/2025 | $ 0.0355 |
| 5/22/2025 | 6/2/2025 | $ 0.0355 |
| 6/23/2025 | 7/1/2025 | $ 0.0355 |
| 7/24/2025 | 8/1/2025 | $ 0.0355 |
| 8/22/2025 | 9/2/2025 | $ 0.0355 |
6. Stock repurchase program
On November 16, 2015, the Fund announced that the Fund’s Board had authorized the Fund to repurchase in the open market up to approximately 10% of the Fund’s outstanding common stock when the Fund’s shares are trading at a discount to net asset value. The Board has directed management of the Fund to repurchase shares of common stock at such times and in such amounts as management reasonably believes may enhance stockholder value. The Fund is under no obligation to purchase shares at any specific discount levels or in any specific amounts. During the six months ended March 31, 2025, and the year ended September 30, 2024, the Fund did not repurchase any shares.
Since the commencement of the stock repurchase program through March 31, 2025, the Fund repurchased 2,433,258 shares or 1.88% of its common shares outstanding for a total amount of $10,070,498.
7. 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
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Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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all or some portion of the six months ended March 31, 2025. The following transactions were effected in such company for the six months ended March 31, 2025.
| Affiliate Value at September 30, 2024 | Purchased — Cost | Shares | Sold — Proceeds | Shares | |
|---|---|---|---|---|---|
| Western Asset Premier Institutional Government Reserves, Premium Shares | $ 2,743,704 | $ 68,459,815 | 68,459,815 | $ 67,771,524 | 67,771,524 |
| (cont’d) | Realized Gain (Loss) | Dividend Income | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | Affiliate Value at March 31, 2025 |
|---|---|---|---|---|
| Western Asset Premier Institutional Government Reserves, Premium Shares | — | $ 105,162 | — | $ 3,431,995 |
8. Restricted securities
The following Fund investments are restricted as to resale and, in the absence of readily ascertainable market values, are fair valued in accordance with procedures approved by the Board.
| Security | Number of Shares/ Warrants | Acquisition Date | Cost | Fair Value at 3/31/2025 | Value Per Share/Warrant | Percent of Net Assets |
|---|---|---|---|---|---|---|
| Spirit Aviation Holdings Inc., Common Shares | 346 | 3/25 | $ 4,212 | $ 4,844 | $ 14.00 | 0.00 % (a) |
| Spirit Airlines LLC, Warrants | 42,296 | 3/25 | 514,884 | 592,144 (b) | 14.00 | 0.15 |
| $ 519,096 | $ 596,988 | 0.15 % |
| (a) | Amount represents less than 0.005%. |
|---|---|
| (b) | 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. |
9. Deferred capital losses
As of September 30, 2024, the Fund had deferred capital losses of $202,646,536, which have no expiration date, that will be available to offset future taxable capital gains.
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
39
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Notes to financial statements (unaudited) (cont’d)
10. Recent accounting pronouncement
In December 2023, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2023-09, Income Taxes (Topic 740) – Improvements to Income Tax Disclosures . The amendments enhance income tax disclosures by requiring greater disaggregation in the rate reconciliation and income taxes paid by jurisdiction, while removing certain disclosure requirements. The ASU is effective for annual periods beginning after December 15, 2024, with early adoption permitted. Management is currently evaluating the impact and believes that the adoption of the ASU will not have a material impact on the financial statements.
11. Operating segments
The Fund has adopted the Financial Accounting Standards Board (FASB) Accounting Standards Update (ASU) 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures . The update is limited to disclosure requirements and does not impact the Fund’s financial position or results of operations.
The Fund operates as a single operating segment, which is an investment portfolio. The Fund’s Investment Manager serves as the Chief Operating Decision Maker (CODM), evaluating fund-wide results and performance under a unified investment strategy. The CODM uses these measures to assess fund performance and allocate resources effectively. Internal reporting provided to the CODM aligns with the accounting policies and measurement principles used in the financial statements.
For information regarding segment assets, segment profit or loss, and significant expenses, refer to the Statement of Assets and Liabilities and the Statement of Operations, along with the related Notes to Financial Statements. The Fund’s Schedule of Investments provides details of the Fund’s investments that generate returns such as interest, dividends, and realized and unrealized gains or losses. Performance metrics, including portfolio turnover and expense ratios, are disclosed in the Financial Highlights.
40
Western Asset High Income Opportunity Fund Inc. 2025 Semi-Annual Report
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Additional shareholder information (unaudited)
Results of annual meeting of shareholders
The Annual Meeting of Shareholders of Western Asset High Income Opportunity Fund Inc. was held on April 14, 2025, for the purpose of considering and voting upon the proposals presented at the Meeting. The following table provides information concerning the matters voted upon at the Meeting:
Election of Directors
| Nominees | FOR | WITHHELD | ABSTAIN |
|---|---|---|---|
| Eileen A. Kamerick | 74,482,254 | 1,655,109 | 921,388 |
| Nisha Kumar | 74,468,571 | 1,639,212 | 950,968 |
At the Meeting, Mses. Kamerick and Kumar were each duly elected by the shareholders to serve as Class III Directors of the Fund until the 2028 Annual Meeting of Shareholders, or until their successors have been duly elected and qualified or until their resignation or are otherwise removed.
At March 31, 2025, in addition to Mses. Kamerick and Kumar, the other Directors of the Fund were as follows:
Robert D. Agdern Carol L. Colman Anthony Grillo Peter Mason Hillary A. Sale Jane Trust
Ratification of Selection of Independent Registered Public Accountants
To ratify the selection of PricewaterhouseCoopers LLP (“PwC”) as independent registered public accountants of the Fund for the fiscal year ended September 30, 2025.
| FOR | AGAINST | ABSTAIN | BROKER NON-VOTES |
|---|---|---|---|
| 75,321,515 | 868,590 | 868,646 | 0 |
Western Asset High Income Opportunity Fund Inc.
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Dividend reinvestment plan (unaudited)
Unless you elect to receive distributions in cash (i.e., opt-out), all dividends, including any capital gain dividends and return of capital distributions, on your Common Stock will be automatically reinvested by Computershare Trust Company, N.A., as agent for the stock- holders (the “Plan Agent”), in additional shares of Common Stock under the Fund’s Dividend Reinvestment Plan (the “Plan”). You may elect not to participate in the Plan by contacting the Plan Agent. If you do not participate, you will receive all cash distributions paid by check mailed directly to you by Computershare Trust Company, N.A., as dividend paying agent.
If you participate in the Plan, the number of shares of Common Stock you will receive will be determined as follows:
(1) If the market price of the Common Stock (plus $0.03 per share commission) on the payment date (or, if the payment date is not a NYSE trading day, the immediately preceding trading day) is equal to or exceeds the net asset value per share of the Common Stock at the close of trading on the NYSE on the payment date, the Fund will issue new Common Stock at a price equal to the greater of (a) the net asset value per share at the close of trading on the NYSE on the payment date or (b) 95% of the market price per share of the Common Stock on the payment date.
(2) If the net asset value per share of the Common Stock exceeds the market price of the Common Stock (plus $0.03 per share commission) at the close of trading on the NYSE on the payment date, the Plan Agent will receive the dividend or distribution in cash and will buy Common Stock in the open market, on the NYSE or elsewhere, for your account as soon as practicable commencing on the trading day following the payment date and terminating no later than the earlier of (a) 30 days after the dividend or distribution payment date, or (b) the payment date for the next succeeding dividend or distribution to be made to the stockholders; except when necessary to comply with applicable provisions of the federal securities laws. If during this period: (i) the market price (plus $0.03 per share commission) rises so that it equals or exceeds the net asset value per share of the Common Stock at the close of trading on the NYSE on the payment date before the Plan Agent has completed the open market purchases or (ii) if the Plan Agent is unable to invest the full amount eligible to be reinvested in open market purchases, the Plan Agent will cease purchasing Common Stock in the open market and the Fund shall issue the remaining Common Stock at a price per share equal to the greater of (a) the net asset value per share at the close of trading on the NYSE on the day prior to the issuance of shares for reinvestment or (b) 95% of the then current market price per share.
Common Stock in your account will be held by the Plan Agent in non-certificated form. Any proxy you receive will include all shares of Common Stock you have received under the Plan. You may withdraw from the Plan (i.e., opt-out) by notifying the Plan Agent in writing at P.O. Box 43006, Providence, RI 02940-3078 or by calling the Plan Agent at 1-888-888-0151. Such withdrawal will be effective immediately if notice is received by the Plan Agent not less than ten business days prior to any dividend or distribution record date; otherwise such
42
Western Asset High Income Opportunity Fund Inc.
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withdrawal will be effective as soon as practicable after the Plan Agent’s investment of the most recently declared dividend or distribution on the Common Stock.
Plan participants who sell their shares will be charged a service charge (currently $5.00 per transaction) and the Plan Agent is authorized to deduct brokerage charges actually incurred from the proceeds (currently $0.05 per share commission). There is no service charge for reinvestment of your dividends or distributions in Common Stock. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases. Because all dividends and distributions will be automatically reinvested in additional shares of Common Stock, this allows you to add to your investment through dollar cost averaging, which may lower the average cost of your Common Stock over time. Dollar cost averaging is a technique for lowering the average cost per share over time if the Fund’s net asset value declines. While dollar cost averaging has definite advantages, it cannot assure profit or protect against loss in declining markets.
Automatically reinvesting dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions. Investors will be subject to income tax on amounts reinvested under the Plan.
The Fund reserves the right to amend or terminate the Plan if, in the judgment of the Board of Directors, the change is warranted. The Plan may be terminated, amended or supplemented by the Fund upon notice in writing mailed to stockholders at least 30 days prior to the record date for the payment of any dividend or distribution by the Fund for which the termination or amendment is to be effective. Upon any termination, you will be sent cash for any fractional share of Common Stock in your account. You may elect to notify the Plan Agent in advance of such termination to have the Plan Agent sell part or all of your Common Stock on your behalf. Additional information about the Plan and your account may be obtained from the Plan Agent at P.O. Box 43006, Providence, RI 02940-3078 or by calling the Plan Agent at 1-888-888-0151.
Western Asset High Income Opportunity Fund Inc.
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Western Asset
High Income Opportunity Fund Inc.
Directors
Robert D. Agdern
Carol L. Colman
Anthony Grillo
Eileen A. Kamerick
Chair
Nisha Kumar
Peter Mason
Hillary A. Sale
Jane Trust
Officers
Jane Trust President and Chief Executive Officer
Christopher Berarducci Treasurer and Principal Financial Officer
Fred Jensen Chief Compliance Officer
Marc A. De Oliveira Secretary and Chief Legal Officer
Thomas C. Mandia Senior Vice President
Jeanne M. Kelly Senior Vice President
Western Asset High Income Opportunity Fund Inc.
620 Eighth Avenue 47th Floor New York, NY 10018
Investment manager
Franklin Templeton Fund Adviser, LLC
Subadviser s
Western Asset Management Company, LLC
Western Asset Management Company Limited
Custodian
The Bank of New York Mellon
Transfer agent
Computershare Inc. P.O. Box 43006 Providence, RI 02940-3078
Independent registered public accounting firm
PricewaterhouseCoopers LLP Baltimore, MD
Legal counsel
Simpson Thacher & Bartlett LLP 900 G Street NW Washington, DC 20001
New York Stock Exchange Symbol
HIO
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Franklin Templeton Funds Privacy and Security Notice
Your Privacy and the Security of Your Personal Information is Very Important to Us
This Privacy and Security Notice (the “Privacy Notice”) addresses the Funds’ privacy and data protection practices with respect to nonpublic personal information the Fund receives. The Legg Mason Funds include the Western Asset Money Market Funds (Funds) sold by the Funds’ distributor, Franklin Distributors, LLC, as well as Legg Mason-sponsored closed-end funds. The provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.
The Type of Nonpublic Personal Information the Funds Collect About You
The Funds collect and maintain nonpublic personal information about you in connection with your shareholder account. Such information may include, but is not limited to:
• Personal information included on applications or other forms;
• Account balances, transactions, and mutual fund holdings and positions;
• Bank account information, legal documents, and identity verification documentation; and
• Online account access user IDs, passwords, security challenge question responses.
How the Funds Use Nonpublic Personal Information About You
The Funds do not sell or share your nonpublic personal information with third parties or with affiliates for their marketing purposes, unless you have authorized the Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services you have authorized or as permitted or required by law. The Funds may disclose information about you to:
• Employees, agents, and affiliates on a “need to know” basis to enable the Funds to conduct ordinary business or to comply with obligations to government regulators;
• Service providers, including the Funds’ affiliates, who assist the Funds as part of the ordinary course of business (such as printing, mailing services, or processing or servicing your account with us) or otherwise perform services on the Funds’ behalf, including companies that may perform statistical analysis, market research and marketing services solely for the Funds;
• Permit access to transfer, whether in the United States or countries outside of the United States to such Funds’ employees, agents and affiliates and service providers as required to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;
• The Funds’ representatives such as legal counsel, accountants and auditors to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;
• Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust.
Except as otherwise permitted by applicable law, companies acting on the Funds’ behalf, including those outside the United States, are contractually obligated to keep nonpublic
NOT PART OF THE SEMI-ANNUAL REPORT
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Franklin Templeton Funds Privacy and Security Notice
(cont’d)
personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them to perform.
The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as permitted or required by applicable law, such as in connection with a law enforcement or regulatory request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be required to disclose your nonpublic personal information to third parties. While it is the Funds’ practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will remain unchanged.
Keeping You Informed of the Funds’ Privacy and Security Practices
The Funds will notify you annually of their privacy policy as required by federal law. While the Funds reserve the right to modify this policy at any time, they will notify you promptly if this privacy policy changes.
The Funds’ Security Practices
The Funds maintain appropriate physical, electronic and procedural safeguards designed to guard your nonpublic personal information. The Funds’ internal data security policies restrict access to your nonpublic personal information to authorized employees, who may use your nonpublic personal information for Fund business purposes only.
Although the Funds strive to protect your nonpublic personal information, they cannot ensure or warrant the security of any information you provide or transmit to them, and you do so at your own risk. In the event of a breach of the confidentiality or security of your nonpublic personal information, the Funds will attempt to notify you as necessary so you can take appropriate protective steps. If you have consented to the Funds using electronic communications or electronic delivery of statements, they may notify you under such circumstances using the most current email address you have on record with them.
In order for the Funds to provide effective service to you, keeping your account information accurate is very important. If you believe that your account information is incomplete, not accurate or not current, if you have questions about the Funds’ privacy practices, or our use of your nonpublic personal information, write the Funds using the contact information on your account statements, email the Funds by clicking on the Contact Us section of the Funds’ website at www.franklintempleton.com, or contact the Funds at 1-877-721-1926 for the Western Asset Money Market Funds or 1-888-777-0102 for the Legg Mason-sponsored closed-end funds. For additional information related to certain state privacy rights, please visit https://www.franklintempleton.com/help/privacy-policy.
Revised December 2023.
NOT PART OF THE SEMI-ANNUAL REPORT
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Western Asset High Income Opportunity Fund Inc.
Western Asset High Income Opportunity Fund Inc. 620 Eighth Avenue 47th Floor New York, NY 10018
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase, at market prices, shares of its stock.
The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Forms N-PORT are available on the SEC’s website at www.sec.gov. To obtain information on Form N-PORT, shareholders can call the Fund at 1-888-777-0102.
Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling 1-888-777-0102, (2) at www.franklintempleton.com and (3) on the SEC’s website at www.sec.gov.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Fund may be found on Franklin Templeton’s website, which can be accessed at www.franklintempleton.com. Any reference to Franklin Templeton’s website in this report is intended to allow investors public access to information regarding the Fund and does not, and is not intended to, incorporate Franklin Templeton’s website in this report.
This report is transmitted to the shareholders of Western Asset High Income Opportunity Fund Inc. for their information. This is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
Computershare Inc. P.O. Box 43006 Providence, RI 02940-3078
90073-S 5/25
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ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Included herein under Item 1.
ITEM 7. FINANCIAL STATEMENTS AND FINANCIAL HIGLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 10. REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 11. STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT.
The information is disclosed as part of the Financial Statements included in Item 1 of this Form N-CSR, as applicable.
ITEM 12. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
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ITEM 13. INVESTMENT PROFESSIONALS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 14. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 15. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 16. CONTROLS AND PROCEDURES.
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s 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 registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.
ITEM 17. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 18. RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION.
(a) Not applicable.
(b) Not applicable.
ITEM 19. EXHIBITS.
(a) (1) Not applicable.
Exhibit 99.CODE ETH
(a) (3) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT
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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, there unto duly authorized.
| Western Asset High Income Opportunity Fund Inc. | |
|---|---|
| By: | /s/ Jane Trust |
| Jane Trust | |
| Chief Executive Officer | |
| Date: | May 23, 2025 |
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/ Jane Trust |
|---|---|
| Jane Trust | |
| Chief Executive Officer | |
| Date: | May 23, 2025 |
| By: | /s/ Christopher
Berarducci |
| --- | --- |
| | Christopher Berarducci |
| | Principal Financial Officer |
| Date: | May 23, 2025 |
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