Regulatory Filings • Sep 22, 2015
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Download Source FileN-Q 1 d20943dnq.htm WESTERN ASSET MUNICIPAL HIGH INCOME FUND INC. WESTERN ASSET MUNICIPAL HIGH INCOME FUND INC.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-05497
Western Asset Municipal High Income Fund Inc.
(Exact name of registrant as specified in charter)
620 Eighth Avenue, 49 th Floor, New York, NY 10018
(Address of principal executive offices) (Zip code)
Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrants telephone number, including area code: (888)777-0102
Date of fiscal year end: October 31
Date of reporting period: July 31, 2015
ITEM 1. SCHEDULE OF INVESTMENTS.
WESTERN ASSET MUNICIPAL HIGH INCOME FUND INC.
FORM N-Q
JULY 31, 2015
WESTERN ASSET MUNICIPAL HIGH INCOME FUND INC.
Schedule of investments (unaudited) July 31, 2015
| SECURITY | FACE AMOUNT | VALUE | |||
|---|---|---|---|---|---|
| MUNICIPAL BONDS - 96.3% | |||||
| Alabama - 4.1% | |||||
| Jefferson County, AL, Sewer Revenue: | |||||
| AGM | 5.500 % | 10/1/53 | $ 400,000 | $ 441,272 | (a) |
| Convertible CAB, Subordinated Lien | 0.000 % | 10/1/50 | 3,020,000 | 1,968,859 | (b) |
| Subordinated Lien Warrants | 6.000 % | 10/1/42 | 1,120,000 | 1,251,857 | |
| Subordinated Lien Warrants | 6.500 % | 10/1/53 | 3,000,000 | 3,449,160 | |
| Total Alabama | 7,111,148 | ||||
| Arizona - 1.9% | |||||
| Phoenix, AZ, IDA, Education Revenue, Basis School Inc. | 5.000 % | 7/1/35 | 1,000,000 | 1,008,510 | (c) |
| Salt Verde, AZ, Financial Corp. Senior Gas Revenue | 5.000 % | 12/1/37 | 1,500,000 | 1,654,200 | |
| University Medical Center Corp., AZ, Hospital Revenue | 6.250 % | 7/1/29 | 500,000 | 595,210 | (d) |
| Total Arizona | 3,257,920 | ||||
| California - 9.5% | |||||
| Anaheim, CA, Public Financing Authority Lease Revenue | 5.000 % | 5/1/46 | 2,000,000 | 2,206,660 | |
| California State PCFA, Water Furnishing Revenue | 5.000 % | 11/21/45 | 3,000,000 | 3,098,970 | (c) |
| California State Public Works Board, Lease Revenue, Various Capital Project | 5.125 % | 10/1/31 | 1,500,000 | 1,709,535 | |
| California Statewide CDA, Student Housing Revenue: | |||||
| Provident Group-Pomona Properties LLC | 5.600 % | 1/15/36 | 505,000 | 504,369 | |
| Provident Group-Pomona Properties LLC | 5.750 % | 1/15/45 | 360,000 | 347,133 | |
| Inland Valley, CA, Development Agency, Successor Agency Tax Allocation Revenue | 5.000 % | 9/1/44 | 500,000 | 540,870 | |
| M-S-R Energy Authority, CA, Gas Revenue | 7.000 % | 11/1/34 | 2,000,000 | 2,711,300 | |
| M-S-R Energy Authority, CA, Gas Revenue | 6.500 % | 11/1/39 | 3,000,000 | 3,927,600 | |
| Redding, CA, Redevelopment Agency, Tax Allocation, Shastec Redevelopment Project | 5.000 % | 9/1/29 | 600,000 | 600,186 | |
| River Islands, CA, Public Financing Authority Special Tax, Community Facilities District No. 2003-1 | 5.500 % | 9/1/45 | 620,000 | 635,091 | |
| Total California | 16,281,714 | ||||
| Colorado - 4.6% | |||||
| Colorado Educational & Cultural Facilities Authority Revenue: | |||||
| Cheyenne Mountain Charter Academy | 5.250 % | 6/15/25 | 680,000 | 704,718 | |
| Cheyenne Mountain Charter Academy | 5.125 % | 6/15/32 | 510,000 | 525,530 | |
| Elbert County Charter | 7.375 % | 3/1/35 | 785,000 | 785,235 | |
| Public Authority for Colorado Energy, Natural Gas Purchase Revenue | 6.125 % | 11/15/23 | 4,000,000 | 4,910,040 | |
| Reata South Metropolitan District, CO, GO | 7.250 % | 6/1/37 | 1,000,000 | 922,360 | |
| Total Colorado | 7,847,883 | ||||
| Delaware - 3.2% | |||||
| Delaware State EDA Revenue, Indian River Power LLC | 5.375 % | 10/1/45 | 2,000,000 | 2,164,600 | |
| Sussex County, DE, Recovery Zone Facility Revenue, NRG Energy Inc., Indian River Power LLC | 6.000 % | 10/1/40 | 3,000,000 | 3,406,530 | |
| Total Delaware | 5,571,130 |
See Notes to Schedule of Investments.
1
WESTERN ASSET MUNICIPAL HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd) July 31, 2015
| SECURITY | FACE AMOUNT | VALUE | |||
|---|---|---|---|---|---|
| District of Columbia - 1.5% | |||||
| District of Columbia Revenue: | |||||
| Friendship Public Charter School Inc. | 5.000 % | 6/1/42 | $ 2,000,000 | $ 2,065,440 | |
| KIPP Charter School | 6.000 % | 7/1/33 | 200,000 | 229,354 | |
| KIPP Charter School | 6.000 % | 7/1/43 | 250,000 | 281,788 | |
| Total District of Columbia | 2,576,582 | ||||
| Florida - 3.1% | |||||
| Bonnet Creek Resort Community Development District, Special Assessment | 7.500 % | 5/1/34 | 835,000 | 836,060 | |
| Florida State Mid-Bay Bridge Authority Revenue | 5.000 % | 10/1/28 | 500,000 | 550,140 | |
| Martin County, FL, IDA Revenue, Indiantown Cogeneration LP Project | 4.200 % | 12/15/25 | 1,500,000 | 1,519,695 | (e) |
| Palm Beach County, FL, Health Facilities Authority Revenue: | |||||
| Sinai Residences Boca Raton Project | 7.500 % | 6/1/49 | 400,000 | 456,872 | |
| Sinai Residences Boca Raton Project, Entrance Fee | 6.000 % | 6/1/21 | 300,000 | 322,962 | |
| Reunion, FL, East Community Development District, Special Assessment | 6.600 % | 5/1/33 | 330,000 | 315,051 | |
| Reunion, FL, East Community Development District, Special Assessment | 7.375 % | 5/1/33 | 285,000 | 3 | * (f) |
| Santa Rosa, FL, Bay Bridge Authority Revenue | 6.250 % | 7/1/28 | 860,680 | 387,306 | * (f) |
| University of Central Florida, COP, FGIC | 5.000 % | 10/1/25 | 1,000,000 | 1,007,600 | |
| Total Florida | 5,395,689 | ||||
| Georgia - 3.6% | |||||
| Atlanta, GA, Development Authority Educational Facilities Revenue, Science Park LLC Project | 5.000 % | 7/1/32 | 2,000,000 | 2,126,700 | |
| Atlanta, GA, Water & Wastewater Revenue | 6.250 % | 11/1/39 | 2,000,000 | 2,417,080 | (d) |
| DeKalb, Newton & Gwinnett Counties, GA, Joint Development Authority Revenue, GGC Foundation LLC Project | 6.125 % | 7/1/40 | 1,000,000 | 1,116,670 | |
| Franklin County, GA, Industrial Building Authority Revenue, Emmanuel College Inc. | 6.000 % | 11/1/32 | 1,000,000 | 600,000 | |
| Total Georgia | 6,260,450 | ||||
| Hawaii - 1.3% | |||||
| Hawaii State Department of Budget & Finance Special Purpose Revenue, Hawaiian Electric Co. | 6.500 % | 7/1/39 | 2,000,000 | 2,286,240 | |
| Illinois - 1.8% | |||||
| Chicago, IL, Motor Fuel Tax Revenue, AGM | 5.000 % | 1/1/32 | 1,000,000 | 1,055,400 | |
| Illinois Finance Authority Revenue, Refunding, Chicago Charter School Project | 5.000 % | 12/1/26 | 1,000,000 | 1,022,420 | |
| Illinois State Finance Authority Revenue, Franciscan Communities Inc. | 5.250 % | 5/15/47 | 1,000,000 | 1,015,870 | |
| Total Illinois | 3,093,690 | ||||
| Indiana - 2.0% | |||||
| County of St. Joseph, IN, EDR: | |||||
| Holy Cross Village Notre Dame Project | 6.000 % | 5/15/26 | 285,000 | 290,093 | |
| Holy Cross Village Notre Dame Project | 6.000 % | 5/15/38 | 550,000 | 554,763 |
See Notes to Schedule of Investments.
2
WESTERN ASSET MUNICIPAL HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd) July 31, 2015
| SECURITY | FACE AMOUNT | VALUE | |||
|---|---|---|---|---|---|
| Indiana - (continued) | |||||
| Indiana State Finance Authority Revenue, Private Activity Ohio River Bridges East End Crossing Project | 5.000 % | 7/1/48 | $ 2,000,000 | $ 2,061,800 | (e) |
| Valparaiso, IN, Exempt Facilities Revenue, Pratt Paper LLC Project | 7.000 % | 1/1/44 | 500,000 | 603,380 | (e) |
| Total Indiana | 3,510,036 | ||||
| Iowa - 3.2% | |||||
| Iowa State Finance Authority Midwestern Disaster Area Revenue: | |||||
| Iowa Fertilizer Co. Project | 5.000 % | 12/1/19 | 500,000 | 528,380 | |
| Iowa Fertilizer Co. Project | 5.250 % | 12/1/25 | 4,540,000 | 4,938,113 | |
| Total Iowa | 5,466,493 | ||||
| Kansas - 0.7% | |||||
| Salina, KS, Hospital Revenue, Refunding & Improvement Salina Regional Health | 5.000 % | 10/1/22 | 1,150,000 | 1,181,890 | |
| Kentucky - 1.3% | |||||
| Owen County, KY, Waterworks System Revenue, Kentucky American Water Co. Project | 6.250 % | 6/1/39 | 2,000,000 | 2,273,260 | |
| Louisiana - 0.1% | |||||
| Epps, LA, COP | 8.000 % | 6/1/18 | 775,000 | 116,250 | * (f) |
| Maryland - 2.0% | |||||
| Maryland State Health & Higher EFA Revenue, Mercy Medical Center | 6.250 % | 7/1/31 | 3,000,000 | 3,378,660 | |
| Massachusetts - 0.7% | |||||
| Massachusetts State DFA Revenue, Tufts Medical Center Inc. | 6.875 % | 1/1/41 | 1,000,000 | 1,163,260 | |
| Michigan - 3.2% | |||||
| Gaudior Academy, COP | 7.250 % | 4/1/34 | 1,000,000 | 404,000 | (g)(h) |
| Michigan State Finance Authority Limited Obligation Revenue: | |||||
| Higher Education, Thomas M Cooley Law School Project | 6.000 % | 7/1/24 | 310,000 | 316,215 | (c) |
| Higher Education, Thomas M Cooley Law School Project | 6.750 % | 7/1/44 | 430,000 | 453,482 | (c) |
| Michigan State Finance Authority Revenue: | |||||
| Senior Lien Detroit Water & Sewer | 5.000 % | 7/1/33 | 260,000 | 273,536 | |
| Senior Lien Detroit Water & Sewer | 5.000 % | 7/1/44 | 270,000 | 276,637 | |
| Michigan State Strategic Fund Limited Obligation Revenue: | |||||
| Evangelical Homes of Michigan | 5.250 % | 6/1/32 | 500,000 | 520,890 | |
| Evangelical Homes of Michigan | 5.500 % | 6/1/47 | 750,000 | 765,742 | |
| Royal Oak, MI, Hospital Finance Authority Revenue, William Beaumont Hospital | 8.250 % | 9/1/39 | 2,000,000 | 2,434,200 | (d) |
| Total Michigan | 5,444,702 | ||||
| Missouri - 2.9% | |||||
| Missouri State HEFA Revenue: | |||||
| Lutheran Senior Services | 6.000 % | 2/1/41 | 500,000 | 549,620 | |
| Lutheran Senior Services | 5.000 % | 2/1/44 | 750,000 | 787,005 | |
| Refunding, St. Lukes Episcopal | 5.000 % | 12/1/21 | 1,300,000 | 1,373,073 | |
| St. Louis County, MO, IDA, Senior Living Facilities Revenue, Friendship Village of Sunset Hills | 5.875 % | 9/1/43 | 2,000,000 | 2,295,100 | |
| Total Missouri | 5,004,798 |
See Notes to Schedule of Investments.
3
WESTERN ASSET MUNICIPAL HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd) July 31, 2015
| SECURITY | FACE AMOUNT | VALUE | |||
|---|---|---|---|---|---|
| Nebraska - 2.1% | |||||
| Central Plains Energy Project, NE, Gas Project Revenue, Project #3 | 5.000 % | 9/1/42 | $ 3,340,000 | $ 3,533,319 | |
| Nevada - 0.5% | |||||
| Director of the State of Nevada Department of Business & Industry Revenue: | |||||
| Somerset Academy of Las Vegas | 5.000 % | 12/15/35 | 300,000 | 293,235 | (c) |
| Somerset Academy of Las Vegas | 5.125 % | 12/15/45 | 500,000 | 483,900 | (c) |
| Total Nevada | 777,135 | ||||
| New Jersey - 6.4% | |||||
| Gloucester County, NJ, PCFA Revenue, Keystone Urban Renewal, Logan Generating | 5.000 % | 12/1/24 | 450,000 | 502,893 | (e) |
| New Jersey State EDA Revenue: | |||||
| Private Activity-The Goethals Bridge Replacement Project | 5.375 % | 1/1/43 | 1,500,000 | 1,607,220 | (e) |
| Refunding | 6.875 % | 1/1/37 | 4,985,000 | 5,012,667 | (e) |
| New Jersey State Higher Education Assistance Authority, Student Loan Revenue | 5.000 % | 12/1/44 | 640,000 | 649,529 | (e) |
| Salem County, NJ, PCFA Revenue, Chambers Project | 5.000 % | 12/1/23 | 3,000,000 | 3,261,330 | (e) |
| Total New Jersey | 11,033,639 | ||||
| New York - 2.1% | |||||
| Brooklyn Arena, NY, Local Development Corp. Revenue, Barclays Center Project | 6.250 % | 7/15/40 | 2,000,000 | 2,306,320 | |
| New York State Liberty Development Corp., Liberty Revenue, 3 World Trade Center LLC Project | 5.000 % | 11/15/44 | 1,205,000 | 1,214,700 | (c) |
| Total New York | 3,521,020 | ||||
| North Carolina - 0.3% | |||||
| North Carolina Department of Transportation Private Activity Revenue, I-77 Hot Lanes Project | 5.000 % | 12/31/37 | 500,000 | 529,620 | (e) |
| Ohio - 2.1% | |||||
| Cuyahoga County, OH, Hospital Facilities Revenue, Canton Inc. Project | 7.500 % | 1/1/30 | 1,295,000 | 1,297,059 | |
| Miami County, OH, Hospital Facilities Revenue, Refunding and Improvement Upper Valley Medical Center | 5.250 % | 5/15/21 | 1,500,000 | 1,552,590 | |
| Ohio State Private Activity Revenue, Portsmouth Bypass Project | 5.000 % | 6/30/53 | 700,000 | 728,826 | (e) |
| Total Ohio | 3,578,475 | ||||
| Oklahoma - 0.6% | |||||
| Tulsa County, OK, Industrial Authority, Senior Living Community Revenue, Montereau Inc. Project | 7.125 % | 11/1/30 | 1,000,000 | 1,090,770 | |
| Pennsylvania - 3.6% | |||||
| Cumberland County, PA, Municipal Authority Revenue, Diakon Lutheran Social Ministries Project | 5.000 % | 1/1/28 | 350,000 | 378,053 | |
| Erie County, PA, Convention Center Authority Gtd. Hotel Revenue, County GTD | 5.000 % | 1/15/36 | 750,000 | 827,730 | |
| Monroe County, PA, Hospital Authority Revenue, Pocono Medical Center | 5.000 % | 1/1/27 | 1,000,000 | 1,048,340 |
See Notes to Schedule of Investments.
4
WESTERN ASSET MUNICIPAL HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd) July 31, 2015
| SECURITY | FACE AMOUNT | VALUE | |||
|---|---|---|---|---|---|
| Pennsylvania - (continued) | |||||
| Montgomery County, PA, IDA Revenue: | |||||
| Acts Retirement-Life Communities | 5.000 % | 11/15/28 | $ 1,400,000 | $ 1,504,678 | |
| Acts Retirement-Life Communities | 5.000 % | 11/15/29 | 1,350,000 | 1,449,265 | |
| Philadelphia, PA, Authority for IDR: | |||||
| Discovery Charter School Inc. Project | 6.250 % | 4/1/37 | 500,000 | 518,650 | |
| Performing Arts Charter School Project | 6.000 % | 6/15/23 | 500,000 | 523,060 | (c) |
| Total Pennsylvania | 6,249,776 | ||||
| Puerto Rico - 0.7% | |||||
| Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue | 5.250 % | 8/1/41 | 1,500,000 | 585,000 | |
| Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue | 5.000 % | 8/1/43 | 1,500,000 | 585,000 | |
| Total Puerto Rico | 1,170,000 | ||||
| Tennessee - 1.5% | |||||
| Shelby County, TN, Health Educational & Housing Facilities Board Revenue, Trezevant Manor Project | 5.750 % | 9/1/37 | 2,500,000 | 2,540,900 | |
| Texas - 20.5% | |||||
| Brazos River, TX, Harbor Industrial Development Corp., Environmental Facilities Revenue, Dow Chemical Co. | 5.900 % | 5/1/28 | 1,500,000 | 1,621,695 | (b)(e)(i) |
| Central Texas Regional Mobility Authority Revenue | 5.000 % | 1/1/42 | 2,000,000 | 2,104,760 | |
| Dallas-Fort Worth, TX, International Airport Revenue, Joint Improvement | 5.000 % | 11/1/42 | 4,000,000 | 4,214,160 | (e) |
| Grand Parkway Transportation Corp., TX, System Toll Revenue, Convertible CABs | 0.000 % | 10/1/35 | 1,500,000 | 1,177,920 | (b) |
| Gulf Coast, TX, IDA Revenue, Citgo Petroleum Corp. Project | 4.875 % | 5/1/25 | 1,000,000 | 1,041,920 | (e) |
| Harris County, TX, Cultural Education Facilities Finance Corp., Medical Facilities Revenue, Baylor College of Medicine | 5.625 % | 11/15/32 | 2,000,000 | 2,262,860 | |
| Love Field Airport Modernization Corp., TX, Special Facilities Revenue, Southwest Airlines Co. Project | 5.250 % | 11/1/40 | 6,000,000 | 6,489,360 | |
| New Hope Cultural Education Facilities Finance Corp., TX, Student Housing Revenue, Collegiate Housing Stephenville II LLC, Tarleton State University | |||||
| Project | 5.000 % | 4/1/39 | 1,165,000 | 1,195,383 | |
| North Texas Tollway Authority Revenue | 5.750 % | 1/1/40 | 2,500,000 | 2,730,175 | |
| Texas Midwest Public Facility Corp. Revenue, Secure Treatment Facility Project | 9.000 % | 10/1/30 | 2,000,000 | 280,000 | * (f) |
| Texas State Municipal Gas Acquisition & Supply Corp. III, Gas Supply Revenue | 5.000 % | 12/15/28 | 1,500,000 | 1,636,695 | |
| Texas State Private Activity Bond Surface Transportation Corp. Revenue: | |||||
| LBJ Infrastructure Group LLC | 7.000 % | 6/30/40 | 4,000,000 | 4,772,600 | |
| Senior Lien, NTE Mobility Partners LLC | 6.875 % | 12/31/39 | 2,000,000 | 2,355,500 | |
| Texas State Public Finance Authority, Charter School Finance Corp. Revenue: | |||||
| Cosmos Foundation Inc. | 6.200 % | 2/15/40 | 1,000,000 | 1,213,300 | (d) |
| Uplift Education | 5.750 % | 12/1/27 | 1,500,000 | 1,621,635 | |
| Willacy County, TX, PFC Project Revenue, County Jail | 7.500 % | 11/1/25 | 445,000 | 423,151 | |
| Total Texas | 35,141,114 |
See Notes to Schedule of Investments.
5
WESTERN ASSET MUNICIPAL HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd) July 31, 2015
| SECURITY | FACE AMOUNT | VALUE | |||
|---|---|---|---|---|---|
| U.S. Virgin Islands - 1.7% | |||||
| Virgin Islands Public Finance Authority Revenue, Matching Fund Loan | 6.750 % | 10/1/37 | $ 2,500,000 | $ 2,863,050 | |
| Virginia - 1.9% | |||||
| Virginia State Small Business Financing Authority Revenue: | |||||
| Elizabeth River Crossings OpCo LLC Project | 5.250 % | 1/1/32 | 1,000,000 | 1,085,410 | (e) |
| Elizabeth River Crossings OpCo LLC Project | 5.500 % | 1/1/42 | 2,000,000 | 2,166,840 | (e) |
| Total Virginia | 3,252,250 | ||||
| West Virginia - 1.5% | |||||
| Pleasants County, WV, PCR, Refunding, County Commission, Allegheny Energy Supply Co., LLC | 5.250 % | 10/15/37 | 2,500,000 | 2,582,425 | |
| Wisconsin - 0.1% | |||||
| Public Finance Authority, WI, Revenue, Church Home of Hartford Inc. | 5.000 % | 9/1/38 | 250,000 | 244,963 | (c) |
| TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $155,733,867) | 165,330,251 | ||||
| SHORT-TERM INVESTMENTS - 2.7% | |||||
| California - 0.2% | |||||
| California Statewide CDA Revenue, Kaiser Permanente | 0.010 % | 4/1/45 | 100,000 | 100,000 | (j)(k) |
| San Diego County, CA, Regional Transportation Commission, Sales Tax Revenue, SPA-JPMorgan Chase | 0.020 % | 4/1/38 | 300,000 | 300,000 | (j)(k) |
| Total California | 400,000 | ||||
| Florida - 0.4% | |||||
| Miami-Dade County, FL, IDA Revenue, Professional Modification, AAR Aircraft Services Inc., LOC-Wells Fargo Bank N.A. | 0.050 % | 8/1/18 | 750,000 | 750,000 | (e)(j)(k) |
| Massachusetts - 0.9% | |||||
| Massachusetts State HEFA Revenue, Partners Healthcare Systems, SPA-JPMorgan Chase | 0.020 % | 7/1/27 | 1,600,000 | 1,600,000 | (j)(k) |
| New Hampshire - 0.1% | |||||
| New Hampshire State Business Finance Authority Solid Waste Disposal Revenue, Lonza Biologies Inc. Project, LOC-Landesbank | |||||
| Hessen-Thuringen | 0.130 % | 11/1/20 | 100,000 | 100,000 | (e)(j)(k) |
| New York - 0.5% | |||||
| New York City, NY, TFA Revenue, New York City Recovery Project, SPA-Royal Bank of Canada | 0.010 % | 11/1/22 | 800,000 | 800,000 | (j)(k) |
| North Carolina - 0.4% | |||||
| Charlotte, NC, COP, Refunding Convention Facility Project B, SPA-Wells Fargo Bank N.A. | 0.020 % | 12/1/21 | 200,000 | 200,000 | (j)(k) |
| North Carolina State Medical Care Commission, Health Care Facilities Revenue, Novant Health Group, SPA-JPMorgan Chase | 0.030 % | 11/1/34 | 500,000 | 500,000 | (j)(k) |
| Total North Carolina | 700,000 |
See Notes to Schedule of Investments.
6
WESTERN ASSET MUNICIPAL HIGH INCOME FUND INC.
Schedule of investments (unaudited) (contd) July 31, 2015
| SECURITY | FACE AMOUNT | VALUE | |||
|---|---|---|---|---|---|
| Pennsylvania - 0.1% | |||||
| Pennsylvania State Housing Finance Agency, Single-Family Mortgage Revenue, SPA-Sumitomo Mitsui Banking | 0.030 % | 4/1/26 | $ 100,000 | $ 100,000 | (e)(j)(k) |
| Texas - 0.1% | |||||
| Texas State, GO, Veterans Housing Assistance, SPA-JPMorgan Chase | 0.030 % | 6/1/38 | 200,000 | 200,000 | (e)(j)(k) |
| TOTAL SHORT-TERM INVESTMENTS (Cost - $4,650,000) | 4,650,000 | ||||
| TOTAL INVESTMENTS - 99.0% (Cost - $160,383,867#) | 169,980,251 | ||||
| Other Assets in Excess of Liabilities - 1.0% | 1,803,470 | ||||
| TOTAL NET ASSETS - 100.0% | $ 171,783,721 |
(a) All or a portion of this security is held at the broker as collateral for open futures contracts.
(b) Variable rate security. Interest rate disclosed is as of the most recent information available.
(c) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors, unless otherwise noted.
(d) Pre-Refunded bonds are escrowed with U.S. government obligations and/or U.S. government agency securities and are considered by the manager to be triple-A rated even if issuer has not applied for new ratings.
(e) Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT).
(f) The coupon payment on these securities is currently in default as of July 31, 2015.
(g) Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1).
(h) Illiquid security.
(i) Maturity date shown represents the mandatory tender date.
(j) Variable rate demand obligations have a demand feature under which the Fund can tender them back to the issuer or liquidity provider on no more than 7 days notice.
(k) Maturity date shown is the final maturity date. The security may be sold back to the issuer before final maturity.
Abbreviations used in this schedule:
| AGM | Assured Guaranty Municipal Corporation - Insured Bonds |
|---|---|
| CAB | Capital Appreciation Bonds |
| CDA | Communities Development Authority |
| COP | Certificates of Participation |
| DFA | Development Finance Agency |
| EDA | Economic Development Authority |
| EDR | Economic Development Revenue |
| EFA | Educational Facilities Authority |
| FGIC | Financial Guaranty Insurance Company - Insured Bonds |
| GO | General Obligation |
| GTD | Guaranteed |
| HEFA | Health & Educational Facilities Authority |
| IDA | Industrial Development Authority |
| IDR | Industrial Development Revenue |
| LOC | Letter of Credit |
| PCFA | Pollution Control Financing Authority |
| PCR | Pollution Control Revenue |
| PFC | Public Facilities Corporation |
| SPA | Standby Bond Purchase Agreement - Insured Bonds |
| TFA | Transitional Finance Authority |
This Schedule of Investments is unaudited and is intended to provide information about the Funds portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Funds most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
7
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Municipal High Income Fund Inc. (the Fund) was incorporated in Maryland and is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the 1940 Act). The Fund seeks high current income exempt from federal income taxes.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (GAAP).
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investments fair value. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Directors.
The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (formerly, Legg Mason North American Fund Valuation Committee) (the Valuation Committee). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Funds pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuers financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
Level 1 quoted prices in active markets for identical investments
Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
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Notes to Schedule of Investments (unaudited) (continued)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Funds assets and liabilities carried at fair value:
| ASSETS — DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL |
|---|---|---|---|---|
| Municipal bonds: | ||||
| Michigan | | $ 5,040,702 | $ 404,000 | $ 5,444,702 |
| Other municipal bonds | | 159,885,549 | | 159,885,549 |
| Short-term investments | | 4,650,000 | | 4,650,000 |
| Total investments | | $ 169,576,251 | $ 404,000 | $ 169,980,251 |
| LIABILITIES | ||||
| DESCRIPTION | QUOTED PRICES (LEVEL 1) | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | TOTAL |
| Other financial instruments: | ||||
| Futures contracts | $ 27,400 | | | $ 27,400 |
See Schedule of Investments for additional detailed categorizations.
2. Investments
At July 31, 2015, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
| Gross unrealized appreciation | $ | |
|---|---|---|
| Gross unrealized depreciation | (5,494,144 | ) |
| Net unrealized appreciation | $ 9,596,384 |
At July 31, 2015, the Fund had the following open futures contracts:
| Basis Value | Market Value | Unrealized Depreciation | ||||
|---|---|---|---|---|---|---|
| Contracts to Sell: | ||||||
| U.S. Treasury Long-Term Bonds | 22 | 9/15 | $ 3,403,225 | $ 3,430,625 | $ (27,400 | ) |
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ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are likely to materially affect the registrants internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Western Asset Municipal High Income Fund Inc.
| By | /s/ J ANE T RUST |
|---|---|
| Jane Trust | |
| Chief Executive Officer | |
| Date: | September 21, 2015 |
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/ J ANE T RUST |
|---|---|
| Jane Trust | |
| Chief Executive Officer | |
| Date: | September 21, 2015 |
| By | /s/ R ICHARD F.
S ENNETT |
| --- | --- |
| | Richard F. Sennett |
| | Principal Financial Officer |
| Date: | September 21, 2015 |
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