UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
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Investment Company Act file number
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811-7162
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Western Asset High Income Fund Inc.
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(Exact name of registrant as specified in charter)
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620 Eighth Avenue, New York, NY
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10018
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(Address of principal executive offices)
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(Zip code)
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Robert I. Frenkel, Esq.
Legg Mason & Co., LLC
100 First Stamford Place
Stamford, CT 06902
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(Name and address of agent for service)
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Registrant’s telephone number, including area code:
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(888)777-0102
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Date of fiscal year end:
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December 31
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Date of reporting period:
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September 30, 2011
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ITEM 1. SCHEDULE OF INVESTMENTS
WESTERN ASSET HIGH INCOME FUND INC.
FORM N-Q
SEPTEMBER 30, 2011
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
VALUE
|
|
|
CORPORATE BONDS & NOTES
— 84.3%
|
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY
— 18.2%
|
|
|
|
|
|
|
|
|
|
|
Automobiles
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
Escrow GCB General Motors
|
|
7.200%
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|
1/15/11
|
|
|
250,000
|
|
$
|
2,500
|
(a)(b)(c)(g)
|
|
Escrow GCB General Motors
|
|
8.375%
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|
7/15/33
|
|
435,000
|
|
4,350
|
(a)(b)(g)
|
|
Ford Motor Credit Co., LLC, Senior Notes
|
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7.500%
|
|
8/1/12
|
|
105,000
|
|
107,172
|
|
|
Total Automobiles
|
|
|
|
|
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|
114,022
|
|
|
Diversified Consumer Services
— 0.7%
|
|
|
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|
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Service Corp. International, Senior Notes
|
|
7.500%
|
|
4/1/27
|
|
130,000
|
|
121,875
|
|
|
Sotheby’s, Senior Notes
|
|
7.750%
|
|
6/15/15
|
|
160,000
|
|
167,600
|
|
|
Stonemor Operating LLC/Cornerstone Family Services of WV/Osiris Holding, Senior Notes
|
|
10.250%
|
|
12/1/17
|
|
35,000
|
|
33,688
|
|
|
Total Diversified Consumer Services
|
|
|
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|
|
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323,163
|
|
|
Hotels, Restaurants & Leisure
— 6.5%
|
|
|
|
|
|
|
|
|
|
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Boyd Gaming Corp., Senior Subordinated Notes
|
|
7.125%
|
|
2/1/16
|
|
40,000
|
|
29,600
|
|
|
Caesars Entertainment Operating Co. Inc., Senior Notes
|
|
10.750%
|
|
2/1/16
|
|
229,000
|
|
167,170
|
|
|
Caesars Entertainment Operating Co. Inc., Senior Secured Notes
|
|
10.000%
|
|
12/15/15
|
|
160,000
|
|
144,800
|
|
|
CityCenter Holdings LLC/CityCenter Finance Corp., Senior Secured Notes
|
|
10.750%
|
|
1/15/17
|
|
232,228
|
|
206,247
|
(d)(e)
|
|
Downstream Development Quapaw, Senior Secured Notes
|
|
10.500%
|
|
7/1/19
|
|
130,000
|
|
123,175
|
(d)
|
|
El Pollo Loco Inc., Secured Notes
|
|
17.000%
|
|
1/1/18
|
|
280,000
|
|
240,100
|
(d)
|
|
Fiesta Restaurant Group, Secured Notes
|
|
8.875%
|
|
8/15/16
|
|
70,000
|
|
68,425
|
(d)
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|
Hoa Restaurant Group LLC/Hoa Finance Corp., Senior Secured Notes
|
|
11.250%
|
|
4/1/17
|
|
110,000
|
|
101,750
|
(d)
|
|
Inn of the Mountain Gods Resort & Casino, Senior Secured Notes
|
|
8.750%
|
|
11/30/20
|
|
104,000
|
|
100,360
|
(d)
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|
Landry’s Holdings Inc., Senior Secured Notes
|
|
11.500%
|
|
6/1/14
|
|
100,000
|
|
93,000
|
(d)
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Landry’s Restaurants Inc., Senior Secured Notes
|
|
11.625%
|
|
12/1/15
|
|
145,000
|
|
146,450
|
|
|
Landry’s Restaurants Inc., Senior Secured Notes
|
|
11.625%
|
|
12/1/15
|
|
30,000
|
|
30,300
|
(d)
|
|
MGM Resorts International, Senior Notes
|
|
5.875%
|
|
2/27/14
|
|
160,000
|
|
146,800
|
|
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MGM Resorts International, Senior Notes
|
|
6.625%
|
|
7/15/15
|
|
20,000
|
|
17,050
|
|
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MGM Resorts International, Senior Secured Notes
|
|
10.375%
|
|
5/15/14
|
|
15,000
|
|
16,444
|
|
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MGM Resorts International, Senior Secured Notes
|
|
11.125%
|
|
11/15/17
|
|
40,000
|
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44,100
|
|
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Mohegan Tribal Gaming Authority, Senior Subordinated Notes
|
|
8.000%
|
|
4/1/12
|
|
410,000
|
|
272,650
|
|
|
NCL Corp. Ltd., Senior Notes
|
|
9.500%
|
|
11/15/18
|
|
280,000
|
|
284,200
|
(d)
|
|
NCL Corp. Ltd., Senior Secured Notes
|
|
11.750%
|
|
11/15/16
|
|
170,000
|
|
192,100
|
|
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Pinnacle Entertainment Inc., Senior Notes
|
|
8.625%
|
|
8/1/17
|
|
85,000
|
|
86,062
|
|
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Pinnacle Entertainment Inc., Senior Subordinated Notes
|
|
7.500%
|
|
6/15/15
|
|
30,000
|
|
29,025
|
|
|
Seven Seas Cruises S de RL LLC, Senior Secured Notes
|
|
9.125%
|
|
5/15/19
|
|
140,000
|
|
139,300
|
(d)
|
|
Snoqualmie Entertainment Authority, Senior Secured Notes
|
|
4.179%
|
|
2/1/14
|
|
90,000
|
|
79,200
|
(d)(f)
|
|
Snoqualmie Entertainment Authority, Senior Secured Notes
|
|
9.125%
|
|
2/1/15
|
|
45,000
|
|
43,538
|
(d)
|
|
Station Casinos Inc., Senior Subordinated Notes
|
|
6.500%
|
|
2/1/14
|
|
175,000
|
|
18
|
(a)(b)(g)
|
|
Station Casinos Inc., Senior Subordinated Notes
|
|
6.625%
|
|
3/15/18
|
|
20,000
|
|
2
|
(a)(b)(g)
|
|
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Secured Notes
|
|
8.625%
|
|
4/15/16
|
|
136,000
|
|
134,640
|
(d)
|
|
Total Hotels, Restaurants & Leisure
|
|
|
|
|
|
|
|
2,936,506
|
|
|
Household Durables
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
Standard Pacific Corp., Senior Notes
|
|
8.375%
|
|
1/15/21
|
|
110,000
|
|
91,025
|
|
|
Internet & Catalog Retail
— 0.8%
|
|
|
|
|
|
|
|
|
|
|
Netflix Inc., Senior Notes
|
|
8.500%
|
|
11/15/17
|
|
130,000
|
|
141,375
|
|
|
QVC Inc., Senior Secured Notes
|
|
7.375%
|
|
10/15/20
|
|
195,000
|
|
208,650
|
(d)
|
|
Total Internet & Catalog Retail
|
|
|
|
|
|
|
|
350,025
|
|
|
Media
— 6.0%
|
|
|
|
|
|
|
|
|
|
|
CCH II LLC/CCH II Capital Corp., Senior Notes
|
|
13.500%
|
|
11/30/16
|
|
64,850
|
|
74,253
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
1
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (cont’d)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
VALUE
|
|
|
Media
— (continued)
|
|
|
|
|
|
|
|
|
|
|
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
|
|
8.125%
|
|
4/30/20
|
|
|
200,000
|
|
$
|
209,000
|
|
|
Cengage Learning Acquisitions Inc., Senior Notes
|
|
10.500%
|
|
1/15/15
|
|
500,000
|
|
322,500
|
(d)
|
|
Cengage Learning Acquisitions Inc., Senior Subordinated Notes
|
|
13.250%
|
|
7/15/15
|
|
90,000
|
|
51,750
|
(d)
|
|
Charter Communications Inc., Senior Notes
|
|
6.500%
|
|
4/30/21
|
|
110,000
|
|
104,500
|
|
|
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes
|
|
10.875%
|
|
9/15/14
|
|
160,000
|
|
172,400
|
(d)
|
|
CSC Holdings Inc., Senior Debentures
|
|
7.875%
|
|
2/15/18
|
|
230,000
|
|
242,650
|
|
|
DISH DBS Corp., Senior Notes
|
|
6.625%
|
|
10/1/14
|
|
20,000
|
|
20,325
|
|
|
DISH DBS Corp., Senior Notes
|
|
7.875%
|
|
9/1/19
|
|
45,000
|
|
46,125
|
|
|
DISH DBS Corp., Senior Notes
|
|
6.750%
|
|
6/1/21
|
|
90,000
|
|
86,400
|
(d)
|
|
EchoStar DBS Corp., Senior Notes
|
|
7.125%
|
|
2/1/16
|
|
70,000
|
|
71,225
|
|
|
Globo Communicacoes e Participacoes SA, Bonds
|
|
7.250%
|
|
4/26/22
|
|
140,000
|
|
145,600
|
(d)
|
|
Good Sam Enterprises LLC, Secured Notes
|
|
11.500%
|
|
12/1/16
|
|
140,000
|
|
131,600
|
|
|
LBI Media Inc., Senior Secured Notes
|
|
9.250%
|
|
4/15/19
|
|
140,000
|
|
116,200
|
(d)
|
|
NET Servicos de Comunicacao SA, Bonds
|
|
7.500%
|
|
1/27/20
|
|
100,000
|
|
112,000
|
|
|
Nielsen Finance LLC/Nielsen Finance Co., Senior Notes
|
|
11.500%
|
|
5/1/16
|
|
40,000
|
|
45,600
|
|
|
Nielsen Finance LLC/Nielsen Finance Co., Senior Notes
|
|
7.750%
|
|
10/15/18
|
|
90,000
|
|
92,250
|
|
|
Univision Communications Inc., Senior Notes
|
|
8.500%
|
|
5/15/21
|
|
120,000
|
|
94,200
|
(d)
|
|
Univision Communications Inc., Senior Secured Notes
|
|
6.875%
|
|
5/15/19
|
|
150,000
|
|
134,250
|
(d)
|
|
Univision Communications Inc., Senior Secured Notes
|
|
7.875%
|
|
11/1/20
|
|
100,000
|
|
94,250
|
(d)
|
|
UPC Holding BV, Senior Notes
|
|
9.875%
|
|
4/15/18
|
|
65,000
|
|
65,325
|
(d)
|
|
UPCB Finance II Ltd., Senior Notes
|
|
6.375%
|
|
7/1/20
|
|
250,000
|
EUR
|
289,721
|
(d)
|
|
Total Media
|
|
|
|
|
|
|
|
2,722,124
|
|
|
Multiline Retail
— 0.5%
|
|
|
|
|
|
|
|
|
|
|
Neiman Marcus Group Inc., Senior Secured Notes
|
|
7.125%
|
|
6/1/28
|
|
235,000
|
|
205,625
|
|
|
Specialty Retail
— 2.6%
|
|
|
|
|
|
|
|
|
|
|
American Greetings Corp., Senior Notes
|
|
7.375%
|
|
6/1/16
|
|
275,000
|
|
281,187
|
|
|
American Greetings Corp., Senior Notes
|
|
7.375%
|
|
6/1/16
|
|
35,000
|
|
34,388
|
|
|
American Greetings Corp., Senior Notes
|
|
7.375%
|
|
6/1/16
|
|
20,000
|
|
19,650
|
|
|
Edcon Proprietary Ltd., Senior Secured Notes
|
|
9.500%
|
|
3/1/18
|
|
210,000
|
|
171,150
|
(d)
|
|
Gymboree Corp., Senior Notes
|
|
9.125%
|
|
12/1/18
|
|
180,000
|
|
134,100
|
|
|
Michaels Stores Inc., Senior Subordinated Bonds
|
|
11.375%
|
|
11/1/16
|
|
110,000
|
|
111,925
|
|
|
Michaels Stores Inc., Senior Subordinated Notes, step bond
|
|
0.000%
|
|
11/1/16
|
|
330,000
|
|
341,550
|
|
|
Spencer Spirit Holdings Inc./Spencer Gifts LLC/Spirit Halloween Superstores, Senior Notes
|
|
11.000%
|
|
5/1/17
|
|
90,000
|
|
85,950
|
(d)
|
|
Total Specialty Retail
|
|
|
|
|
|
|
|
1,179,900
|
|
|
Textiles, Apparel & Luxury Goods
— 0.7%
|
|
|
|
|
|
|
|
|
|
|
Empire Today LLC/Empire Today Finance Corp., Senior Secured Notes
|
|
11.375%
|
|
2/1/17
|
|
60,000
|
|
55,200
|
(d)
|
|
Oxford Industries Inc., Senior Secured Notes
|
|
11.375%
|
|
7/15/15
|
|
245,000
|
|
270,725
|
|
|
Total Textiles, Apparel & Luxury Goods
|
|
|
|
|
|
|
|
325,925
|
|
|
TOTAL CONSUMER DISCRETIONARY
|
|
|
|
|
|
|
|
8,248,315
|
|
|
CONSUMER STAPLES
— 1.3%
|
|
|
|
|
|
|
|
|
|
|
Food Products
— 1.0%
|
|
|
|
|
|
|
|
|
|
|
Blue Merger Sub Inc., Senior Notes
|
|
7.625%
|
|
2/15/19
|
|
220,000
|
|
187,000
|
(d)
|
|
Harmony Foods Corp., Senior Secured Notes
|
|
10.000%
|
|
5/1/16
|
|
60,000
|
|
60,000
|
(d)
|
|
Simmons Foods Inc., Senior Secured Notes
|
|
10.500%
|
|
11/1/17
|
|
210,000
|
|
182,700
|
(d)
|
|
Smithfield Foods Inc., Senior Secured Notes
|
|
10.000%
|
|
7/15/14
|
|
23,000
|
|
26,220
|
|
|
Total Food Products
|
|
|
|
|
|
|
|
455,920
|
|
|
Household Products
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
Reynolds Group DL Escrow Inc./Reynolds Group Escrow LLC, Senior Secured Notes
|
|
8.750%
|
|
10/15/16
|
|
100,000
|
|
100,750
|
(d)
|
|
Tobacco
— 0.1%
|
|
|
|
|
|
|
|
|
|
|
Alliance One International Inc., Senior Notes
|
|
10.000%
|
|
7/15/16
|
|
40,000
|
|
33,200
|
|
|
TOTAL CONSUMER STAPLES
|
|
|
|
|
|
|
|
589,870
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
2
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (cont’d)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
VALUE
|
|
|
ENERGY
— 10.2%
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services
— 1.7%
|
|
|
|
|
|
|
|
|
|
|
Complete Production Services Inc., Senior Notes
|
|
8.000%
|
|
12/15/16
|
|
|
110,000
|
|
$
|
110,550
|
|
|
Hercules Offshore LLC, Senior Secured Notes
|
|
10.500%
|
|
10/15/17
|
|
175,000
|
|
166,250
|
(d)
|
|
Parker Drilling Co., Senior Notes
|
|
9.125%
|
|
4/1/18
|
|
140,000
|
|
142,100
|
|
|
Precision Drilling Corp., Senior Notes
|
|
6.625%
|
|
11/15/20
|
|
40,000
|
|
39,200
|
|
|
Vantage Drilling Co., Senior Secured Notes
|
|
11.500%
|
|
8/1/15
|
|
280,000
|
|
289,800
|
|
|
Total Energy Equipment & Services
|
|
|
|
|
|
|
|
747,900
|
|
|
Oil, Gas & Consumable Fuels
— 8.5%
|
|
|
|
|
|
|
|
|
|
|
Berry Petroleum Co., Senior Notes
|
|
10.250%
|
|
6/1/14
|
|
110,000
|
|
123,750
|
|
|
Calumet Specialty Products Partners LP/Calumet Finance Corp., Senior Notes
|
|
9.375%
|
|
5/1/19
|
|
100,000
|
|
93,500
|
(d)
|
|
Calumet Specialty Products Partners LP/Calumet Finance Corp., Senior Notes
|
|
9.375%
|
|
5/1/19
|
|
40,000
|
|
37,000
|
(d)
|
|
Chesapeake Energy Corp., Senior Notes
|
|
6.625%
|
|
8/15/20
|
|
210,000
|
|
217,350
|
|
|
Compagnie Generale de Geophysique-Veritas, Senior Notes
|
|
9.500%
|
|
5/15/16
|
|
160,000
|
|
164,800
|
|
|
CONSOL Energy Inc., Senior Notes
|
|
8.250%
|
|
4/1/20
|
|
140,000
|
|
148,050
|
|
|
Corral Petroleum Holdings AB, Senior Notes
|
|
15.000%
|
|
12/31/17
|
|
293,781
|
|
254,121
|
(b)(d)(e)
|
|
Crosstex Energy LP/Crosstex Energy Finance Corp., Senior Notes
|
|
8.875%
|
|
2/15/18
|
|
50,000
|
|
51,500
|
|
|
Energy Transfer Equity LP, Senior Notes
|
|
7.500%
|
|
10/15/20
|
|
130,000
|
|
134,225
|
|
|
Enterprise Products Operating LLP, Junior Subordinated Notes
|
|
8.375%
|
|
8/1/66
|
|
100,000
|
|
103,727
|
(f)
|
|
Enterprise Products Operating LLP, Subordinated Notes
|
|
7.034%
|
|
1/15/68
|
|
75,000
|
|
76,127
|
(f)
|
|
EXCO Resources Inc., Senior Notes
|
|
7.500%
|
|
9/15/18
|
|
220,000
|
|
194,700
|
|
|
LUKOIL International Finance BV, Bonds
|
|
6.356%
|
|
6/7/17
|
|
140,000
|
|
141,400
|
(d)
|
|
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Senior Notes
|
|
8.750%
|
|
4/15/18
|
|
45,000
|
|
48,150
|
|
|
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Senior Notes
|
|
6.750%
|
|
11/1/20
|
|
50,000
|
|
51,000
|
|
|
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., Senior Notes
|
|
6.500%
|
|
8/15/21
|
|
20,000
|
|
20,600
|
|
|
Milagro Oil & Gas Inc., Secured Notes
|
|
10.500%
|
|
5/15/16
|
|
160,000
|
|
128,800
|
(d)
|
|
Offshore Group Investments Ltd., Senior Secured Notes
|
|
11.500%
|
|
8/1/15
|
|
60,000
|
|
62,100
|
(d)
|
|
Overseas Shipholding Group Inc., Senior Notes
|
|
8.125%
|
|
3/30/18
|
|
300,000
|
|
250,500
|
|
|
Peabody Energy Corp., Senior Notes
|
|
7.875%
|
|
11/1/26
|
|
40,000
|
|
43,800
|
|
|
Petrobras International Finance Co., Senior Notes
|
|
6.875%
|
|
1/20/40
|
|
55,000
|
|
58,575
|
|
|
Petrobras International Finance Co., Senior Notes
|
|
6.750%
|
|
1/27/41
|
|
20,000
|
|
20,900
|
|
|
Petroplus Finance Ltd., Senior Notes
|
|
6.750%
|
|
5/1/14
|
|
175,000
|
|
153,125
|
(d)
|
|
Petroplus Finance Ltd., Senior Notes
|
|
7.000%
|
|
5/1/17
|
|
60,000
|
|
48,900
|
(d)
|
|
Plains Exploration & Production Co., Senior Notes
|
|
10.000%
|
|
3/1/16
|
|
130,000
|
|
141,700
|
|
|
Plains Exploration & Production Co., Senior Notes
|
|
8.625%
|
|
10/15/19
|
|
115,000
|
|
124,200
|
|
|
Quicksilver Resources Inc., Senior Notes
|
|
11.750%
|
|
1/1/16
|
|
275,000
|
|
298,375
|
|
|
Quicksilver Resources Inc., Senior Notes
|
|
9.125%
|
|
8/15/19
|
|
20,000
|
|
19,700
|
|
|
SandRidge Energy Inc., Senior Notes
|
|
7.500%
|
|
3/15/21
|
|
50,000
|
|
46,250
|
(d)
|
|
Teekay Corp., Senior Notes
|
|
8.500%
|
|
1/15/20
|
|
220,000
|
|
211,750
|
|
|
TNK-BP Finance SA, Senior Notes
|
|
7.500%
|
|
7/18/16
|
|
210,000
|
|
218,425
|
(d)
|
|
Whiting Petroleum Corp., Senior Subordinated Notes
|
|
6.500%
|
|
10/1/18
|
|
60,000
|
|
60,600
|
|
|
Xinergy Ltd., Senior Secured Notes
|
|
9.250%
|
|
5/15/19
|
|
140,000
|
|
126,000
|
(d)
|
|
Total Oil, Gas & Consumable Fuels
|
|
|
|
|
|
|
|
3,873,700
|
|
|
TOTAL ENERGY
|
|
|
|
|
|
|
|
4,621,600
|
|
|
FINANCIALS
— 5.8%
|
|
|
|
|
|
|
|
|
|
|
Capital Markets
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
Goldman Sachs Group Inc., Subordinated Notes
|
|
6.750%
|
|
10/1/37
|
|
110,000
|
|
100,914
|
|
|
Commercial Banks
— 1.2%
|
|
|
|
|
|
|
|
|
|
|
BAC Capital Trust VI, Capital Securities, Junior Subordinated Notes
|
|
5.625%
|
|
3/8/35
|
|
140,000
|
|
100,599
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
3
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (cont’d)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
VALUE
|
|
|
Commercial Banks — continued
|
|
|
|
|
|
|
|
|
|
|
|
|
CIT Group Inc., Senior Secured Bonds
|
|
7.000%
|
|
5/1/16
|
|
|
94,619
|
|
$
|
91,899
|
|
|
Credit Agricole SA, Subordinated Notes
|
|
8.375%
|
|
10/13/19
|
|
100,000
|
|
79,250
|
(d)(f)(h)
|
|
NB Capital Trust II, Junior Subordinated Notes
|
|
7.830%
|
|
12/15/26
|
|
140,000
|
|
126,525
|
|
|
NB Capital Trust IV, Junior Subordinated Notes
|
|
8.250%
|
|
4/15/27
|
|
90,000
|
|
84,150
|
|
|
Royal Bank of Scotland Group PLC, Junior Subordinated Bonds
|
|
7.648%
|
|
9/30/31
|
|
80,000
|
|
52,400
|
(f)(h)
|
|
Total Commercial Banks
|
|
|
|
|
|
|
|
534,823
|
|
|
Consumer Finance
— 0.8%
|
|
|
|
|
|
|
|
|
|
|
Ally Financial Inc., Senior Bonds
|
|
0.000%
|
|
12/1/12
|
|
160,000
|
|
145,600
|
|
|
Ally Financial Inc., Senior Notes
|
|
7.500%
|
|
12/31/13
|
|
30,000
|
|
30,525
|
|
|
GMAC International Finance BV, Senior Bonds
|
|
7.500%
|
|
4/21/15
|
|
100,000
|
EUR
|
122,252
|
|
|
SLM Corp., Medium-Term Notes, Senior Notes
|
|
8.450%
|
|
6/15/18
|
|
70,000
|
|
72,904
|
|
|
Total Consumer Finance
|
|
|
|
|
|
|
|
371,281
|
|
|
Diversified Financial Services
— 3.0%
|
|
|
|
|
|
|
|
|
|
|
Bank of America Corp., Notes, Preferred Securities
|
|
8.000%
|
|
1/30/18
|
|
15,000
|
|
12,767
|
(f)(h)
|
|
Bankrate Inc., Senior Secured Notes
|
|
11.750%
|
|
7/15/15
|
|
125,000
|
|
140,625
|
|
|
Capital One Capital V, Junior Subordinated Notes, Cumulative Trust Preferred Securities
|
|
10.250%
|
|
8/15/39
|
|
110,000
|
|
112,338
|
|
|
Countrywide Capital III, Junior Subordinated Notes
|
|
8.050%
|
|
6/15/27
|
|
30,000
|
|
27,825
|
|
|
International Lease Finance Corp., Medium-Term Notes, Senior Notes
|
|
5.625%
|
|
9/20/13
|
|
70,000
|
|
67,463
|
|
|
International Lease Finance Corp., Senior Notes
|
|
8.750%
|
|
3/15/17
|
|
100,000
|
|
100,750
|
|
|
International Lease Finance Corp., Senior Notes
|
|
8.875%
|
|
9/1/17
|
|
390,000
|
|
393,900
|
|
|
International Lease Finance Corp., Senior Notes
|
|
8.250%
|
|
12/15/20
|
|
280,000
|
|
275,100
|
|
|
MBNA Capital A, Junior Subordinated Notes
|
|
8.278%
|
|
12/1/26
|
|
130,000
|
|
121,387
|
|
|
Residential Capital LLC, Junior Secured Notes
|
|
9.625%
|
|
5/15/15
|
|
160,000
|
|
124,800
|
|
|
Total Diversified Financial Services
|
|
|
|
|
|
|
|
1,376,955
|
|
|
Insurance
— 0.6%
|
|
|
|
|
|
|
|
|
|
|
American International Group Inc., Senior Notes
|
|
8.250%
|
|
8/15/18
|
|
100,000
|
|
111,138
|
|
|
Dai-ichi Life Insurance Co., Ltd., Subordinated Notes
|
|
7.250%
|
|
7/25/21
|
|
70,000
|
|
68,961
|
(d)(f)(h)
|
|
ING Capital Funding Trust III, Junior Subordinated Bonds
|
|
3.969%
|
|
12/31/11
|
|
40,000
|
|
30,042
|
(f)(h)
|
|
MetLife Capital Trust IV, Junior Subordinated Notes
|
|
7.875%
|
|
12/15/37
|
|
60,000
|
|
59,400
|
(d)
|
|
Total Insurance
|
|
|
|
|
|
|
|
269,541
|
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
2,653,514
|
|
|
HEALTH CARE
— 4.8%
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
Biomet Inc., Senior Notes
|
|
10.000%
|
|
10/15/17
|
|
20,000
|
|
20,700
|
|
|
Biomet Inc., Senior Toggle Notes
|
|
10.375%
|
|
10/15/17
|
|
70,000
|
|
72,100
|
(e)
|
|
Total Health Care Equipment & Supplies
|
|
|
|
|
|
|
|
92,800
|
|
|
Health Care Providers & Services
— 4.5%
|
|
|
|
|
|
|
|
|
|
|
American Renal Associates Holdings Inc., Senior Notes
|
|
9.750%
|
|
3/1/16
|
|
168,260
|
|
162,958
|
|
|
American Renal Holdings, Senior Secured Notes
|
|
8.375%
|
|
5/15/18
|
|
110,000
|
|
111,100
|
|
|
CRC Health Corp., Senior Subordinated Notes
|
|
10.750%
|
|
2/1/16
|
|
455,000
|
|
451,587
|
|
|
ExamWorks Group Inc., Senior Notes
|
|
9.000%
|
|
7/15/19
|
|
100,000
|
|
94,000
|
(d)
|
|
Fresenius Medical Care U.S. Finance Inc., Senior Notes
|
|
6.875%
|
|
7/15/17
|
|
80,000
|
|
82,800
|
|
|
Fresenius U.S. Finance II Inc., Senior Notes
|
|
9.000%
|
|
7/15/15
|
|
140,000
|
|
155,400
|
(d)
|
|
HCA Inc., Senior Secured Notes
|
|
7.875%
|
|
2/15/20
|
|
275,000
|
|
286,000
|
|
|
INC Research LLC, Senior Notes
|
|
11.500%
|
|
7/15/19
|
|
70,000
|
|
62,825
|
(d)
|
|
InVentiv Health Inc., Senior Notes
|
|
10.000%
|
|
8/15/18
|
|
140,000
|
|
123,900
|
(d)
|
|
Tenet Healthcare Corp., Senior Notes
|
|
6.875%
|
|
11/15/31
|
|
210,000
|
|
160,650
|
|
|
Tenet Healthcare Corp., Senior Secured Notes
|
|
10.000%
|
|
5/1/18
|
|
60,000
|
|
65,250
|
|
|
Universal Hospital Services Inc., Senior Secured Notes
|
|
8.500%
|
|
6/1/15
|
|
190,000
|
|
185,963
|
(e)
|
|
US Oncology Inc.
|
|
9.125%
|
|
8/15/17
|
|
110,000
|
|
1,375
|
(g)
|
|
Vanguard Health Holdings Co., II LLC, Senior Notes
|
|
8.000%
|
|
2/1/18
|
|
110,000
|
|
101,475
|
|
|
Total Health Care Providers & Services
|
|
|
|
|
|
|
|
2,045,283
|
|
See Notes to Schedule of Investments.
4
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (cont’d)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
VALUE
|
|
|
Pharmaceuticals
— 0.1%
|
|
|
|
|
|
|
|
|
|
|
Giant Funding Corp., Senior Secured Notes
|
|
8.250%
|
|
2/1/18
|
|
|
70,000
|
|
$
|
70,350
|
(d)
|
|
TOTAL HEALTH CARE
|
|
|
|
|
|
|
|
2,208,433
|
|
|
INDUSTRIALS
— 15.7%
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense
— 2.0%
|
|
|
|
|
|
|
|
|
|
|
Ducommun Inc., Senior Notes
|
|
9.750%
|
|
7/15/18
|
|
90,000
|
|
90,450
|
(d)
|
|
FGI Operating Co. Inc., Senior Secured Notes
|
|
10.250%
|
|
8/1/15
|
|
171,000
|
|
178,695
|
|
|
Huntington Ingalls Industries Inc., Senior Notes
|
|
6.875%
|
|
3/15/18
|
|
90,000
|
|
84,150
|
(d)
|
|
Huntington Ingalls Industries Inc., Senior Notes
|
|
7.125%
|
|
3/15/21
|
|
70,000
|
|
65,275
|
(d)
|
|
Kratos Defense & Security Solutions Inc., Senior Notes
|
|
10.000%
|
|
6/1/17
|
|
10,000
|
|
10,000
|
(d)
|
|
Kratos Defense & Security Solutions Inc., Senior Secured Notes
|
|
10.000%
|
|
6/1/17
|
|
220,000
|
|
220,000
|
|
|
Triumph Group Inc., Senior Notes
|
|
8.625%
|
|
7/15/18
|
|
70,000
|
|
74,900
|
|
|
Wyle Services Corp., Senior Subordinated Notes
|
|
10.500%
|
|
4/1/18
|
|
205,000
|
|
199,875
|
(d)
|
|
Total Aerospace & Defense
|
|
|
|
|
|
|
|
923,345
|
|
|
Airlines
— 2.3%
|
|
|
|
|
|
|
|
|
|
|
American Airlines Pass-Through Trust, Secured Notes
|
|
7.000%
|
|
1/31/18
|
|
79,472
|
|
65,167
|
(d)
|
|
Continental Airlines Inc., Pass-Through Certificates
|
|
9.250%
|
|
5/10/17
|
|
13,417
|
|
13,417
|
|
|
Continental Airlines Inc., Pass-Through Certificates, Subordinated Secured Notes
|
|
7.339%
|
|
4/19/14
|
|
148,209
|
|
144,504
|
|
|
DAE Aviation Holdings Inc., Senior Notes
|
|
11.250%
|
|
8/1/15
|
|
410,000
|
|
416,150
|
(d)
|
|
Delta Air Lines Inc., Pass-Through Certificates, Secured Notes
|
|
8.021%
|
|
8/10/22
|
|
107,557
|
|
104,868
|
|
|
Delta Air Lines Inc., Pass-Through Certificates, Subordinated Secured Notes
|
|
9.750%
|
|
12/17/16
|
|
41,745
|
|
42,788
|
|
|
Delta Air Lines Inc., Senior Secured Notes
|
|
9.500%
|
|
9/15/14
|
|
58,000
|
|
60,030
|
(d)
|
|
United Air Lines Inc., Senior Secured Notes
|
|
9.875%
|
|
8/1/13
|
|
189,000
|
|
194,670
|
(d)
|
|
Total Airlines
|
|
|
|
|
|
|
|
1,041,594
|
|
|
Building Products
— 1.5%
|
|
|
|
|
|
|
|
|
|
|
Ashton Woods USA LLC/Ashton Woods Finance Co., Senior Subordinated Notes, step bond
|
|
0.000%
|
|
6/30/15
|
|
54,600
|
|
38,493
|
(a)(d)
|
|
Building Materials Corp. of America, Senior Notes
|
|
6.750%
|
|
5/1/21
|
|
220,000
|
|
209,550
|
(d)
|
|
GTL Trade Finance Inc., Senior Notes
|
|
7.250%
|
|
10/20/17
|
|
139,000
|
|
146,645
|
(d)
|
|
GTL Trade Finance Inc., Senior Notes
|
|
7.250%
|
|
10/20/17
|
|
130,000
|
|
137,150
|
(d)
|
|
Rearden G Holdings EINS GmbH, Senior Notes
|
|
7.875%
|
|
3/30/20
|
|
100,000
|
|
98,000
|
(d)
|
|
Shea Homes LP, Senior Secured Notes
|
|
8.625%
|
|
5/15/19
|
|
90,000
|
|
74,025
|
(d)
|
|
Total Building Products
|
|
|
|
|
|
|
|
703,863
|
|
|
Commercial Services & Supplies
— 1.4%
|
|
|
|
|
|
|
|
|
|
|
Altegrity Inc., Senior Subordinated Notes
|
|
11.750%
|
|
5/1/16
|
|
260,000
|
|
240,500
|
(d)
|
|
American Reprographics Co., Senior Notes
|
|
10.500%
|
|
12/15/16
|
|
160,000
|
|
144,800
|
|
|
Geo Group Inc., Senior Notes
|
|
7.750%
|
|
10/15/17
|
|
155,000
|
|
160,812
|
|
|
RSC Equipment Rental Inc./RSC Holdings III LLC, Senior Notes
|
|
8.250%
|
|
2/1/21
|
|
80,000
|
|
69,600
|
|
|
Total Commercial Services & Supplies
|
|
|
|
|
|
|
|
615,712
|
|
|
Construction & Engineering
— 0.8%
|
|
|
|
|
|
|
|
|
|
|
Abengoa Finance SAU, Senior Notes
|
|
8.875%
|
|
11/1/17
|
|
150,000
|
|
138,000
|
(d)
|
|
Odebrecht Finance Ltd., Senior Notes
|
|
6.000%
|
|
4/5/23
|
|
220,000
|
|
206,800
|
(d)
|
|
Total Construction & Engineering
|
|
|
|
|
|
|
|
344,800
|
|
|
Electrical Equipment
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
NES Rentals Holdings Inc., Senior Secured Notes
|
|
12.250%
|
|
4/15/15
|
|
170,000
|
|
142,800
|
(d)
|
|
Industrial Conglomerates
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
Leucadia National Corp., Senior Notes
|
|
8.125%
|
|
9/15/15
|
|
120,000
|
|
128,100
|
|
|
Machinery
— 0.5%
|
|
|
|
|
|
|
|
|
|
|
Dematic SA, Senior Secured Notes
|
|
8.750%
|
|
5/1/16
|
|
220,000
|
|
205,700
|
(d)
|
|
Marine
— 1.1%
|
|
|
|
|
|
|
|
|
|
|
Horizon Lines LLC, Senior Secured Notes
|
|
11.000%
|
|
10/15/16
|
|
90,000
|
|
90,000
|
(a)(b)(d)
|
|
Horizon Lines LLC, Senior Secured Notes
|
|
13.000%
|
|
10/15/16
|
|
120,000
|
|
120,000
|
(a)(b)(d)(e)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
5
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (cont’d)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
VALUE
|
|
|
Marine
— (continued)
|
|
|
|
|
|
|
|
|
|
|
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Senior Secured Notes
|
|
8.625%
|
|
11/1/17
|
|
|
290,000
|
|
$
|
242,875
|
|
|
Navios Maritime Holdings Inc./Navios Maritime Finance II U.S. Inc., Senior Notes
|
|
8.125%
|
|
2/15/19
|
|
80,000
|
|
67,200
|
|
|
Total Marine
|
|
|
|
|
|
|
|
520,075
|
|
|
Road & Rail
— 3.6%
|
|
|
|
|
|
|
|
|
|
|
AE Escrow Corp., Senior Notes
|
|
9.750%
|
|
3/15/20
|
|
100,000
|
|
96,500
|
(d)
|
|
Avis Budget Car Rental LLC/Avis Budget Finance Inc., Senior Notes
|
|
9.625%
|
|
3/15/18
|
|
40,000
|
|
39,800
|
|
|
Florida East Coast Holdings Corp., Senior Notes
|
|
10.500%
|
|
8/1/17
|
|
273,812
|
|
253,479
|
(e)
|
|
Florida East Coast Railway Corp., Senior Secured Notes
|
|
8.125%
|
|
2/1/17
|
|
140,000
|
|
136,500
|
|
|
Jack Cooper Holdings Corp., Senior Secured Notes
|
|
13.250%
|
|
12/15/15
|
|
230,000
|
|
232,300
|
(b)(d)
|
|
Kansas City Southern de Mexico, Senior Notes
|
|
12.500%
|
|
4/1/16
|
|
111,000
|
|
128,483
|
|
|
Kansas City Southern de Mexico, Senior Notes
|
|
8.000%
|
|
2/1/18
|
|
290,000
|
|
311,750
|
|
|
Kansas City Southern Railway, Senior Notes
|
|
13.000%
|
|
12/15/13
|
|
20,000
|
|
23,000
|
|
|
Quality Distribution LLC/QD Capital Corp., Secured Notes
|
|
9.875%
|
|
11/1/18
|
|
200,000
|
|
194,000
|
|
|
RailAmerica Inc., Senior Secured Notes
|
|
9.250%
|
|
7/1/17
|
|
183,000
|
|
199,012
|
|
|
Total Road & Rail
|
|
|
|
|
|
|
|
1,614,824
|
|
|
Trading Companies & Distributors
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
H&E Equipment Services Inc., Senior Notes
|
|
8.375%
|
|
7/15/16
|
|
160,000
|
|
154,400
|
|
|
Transportation
— 1.3%
|
|
|
|
|
|
|
|
|
|
|
CMA CGM, Senior Notes
|
|
8.500%
|
|
4/15/17
|
|
280,000
|
|
114,800
|
(d)
|
|
Hapag-Lloyd AG, Senior Notes
|
|
9.750%
|
|
10/15/17
|
|
250,000
|
|
173,750
|
(d)
|
|
Syncreon Global Ireland Ltd./Syncreon Global Finance US Inc., Senior Notes
|
|
9.500%
|
|
5/1/18
|
|
330,000
|
|
311,850
|
(d)
|
|
Total Transportation
|
|
|
|
|
|
|
|
600,400
|
|
|
Transportation Infrastructure
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
Aguila 3 SA, Senior Secured Notes
|
|
7.875%
|
|
1/31/18
|
|
150,000
|
|
137,250
|
(d)
|
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
7,132,863
|
|
|
INFORMATION TECHNOLOGY
— 3.2%
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment
— 0.5%
|
|
|
|
|
|
|
|
|
|
|
Lucent Technologies Inc., Debentures
|
|
6.450%
|
|
3/15/29
|
|
285,000
|
|
237,975
|
|
|
Electronic Equipment, Instruments & Components
— 0.7%
|
|
|
|
|
|
|
NXP BV/NXP Funding LLC, Senior Secured Notes
|
|
9.750%
|
|
8/1/18
|
|
280,000
|
|
294,000
|
(d)
|
|
IT Services
— 1.3%
|
|
|
|
|
|
|
|
|
|
|
Ceridian Corp., Senior Notes
|
|
12.250%
|
|
11/15/15
|
|
143,775
|
|
116,457
|
(e)
|
|
First Data Corp., Senior Notes
|
|
10.550%
|
|
9/24/15
|
|
402,872
|
|
337,055
|
(e)
|
|
First Data Corp., Senior Notes
|
|
11.250%
|
|
3/31/16
|
|
100,000
|
|
68,000
|
|
|
First Data Corp., Senior Notes
|
|
12.625%
|
|
1/15/21
|
|
40,000
|
|
29,800
|
(d)
|
|
First Data Corp., Senior Secured Notes
|
|
7.375%
|
|
6/15/19
|
|
10,000
|
|
8,925
|
(d)
|
|
Sterling Merger Inc., Senior Notes
|
|
11.000%
|
|
10/1/19
|
|
20,000
|
|
19,100
|
(d)
|
|
Total IT Services
|
|
|
|
|
|
|
|
579,337
|
|
|
Semiconductors & Semiconductor Equipment
— 0.7%
|
|
|
|
|
|
|
CDW LLC/CDW Finance Corp., Senior Notes
|
|
11.000%
|
|
10/12/15
|
|
80,000
|
|
80,200
|
|
|
CDW LLC/CDW Finance Corp., Senior Notes
|
|
11.500%
|
|
10/12/15
|
|
60,000
|
|
60,150
|
(e)
|
|
Freescale Semiconductor Inc., Senior Subordinated Notes
|
|
10.125%
|
|
12/15/16
|
|
190,000
|
|
194,275
|
|
|
Total Semiconductors & Semiconductor Equipment
|
|
334,625
|
|
|
TOTAL INFORMATION TECHNOLOGY
|
|
|
|
|
|
|
|
1,445,937
|
|
|
MATERIALS
— 8.8%
|
|
|
|
|
|
|
|
|
|
|
Chemicals
— 1.8%
|
|
|
|
|
|
|
|
|
|
|
Georgia Gulf Corp., Senior Secured Notes
|
|
9.000%
|
|
1/15/17
|
|
110,000
|
|
111,650
|
(d)
|
|
Ineos Finance PLC, Senior Secured Notes
|
|
9.000%
|
|
5/15/15
|
|
100,000
|
|
95,500
|
(d)
|
|
Kerling PLC, Senior Secured Notes
|
|
10.625%
|
|
1/28/17
|
|
93,000
|
EUR
|
102,169
|
(d)
|
|
LBI Escrow Corp., Senior Secured Notes
|
|
8.000%
|
|
11/1/17
|
|
132,000
|
|
142,890
|
(d)
|
|
Lyondell Chemical Co., Senior Secured Notes
|
|
11.000%
|
|
5/1/18
|
|
160,000
|
|
173,600
|
|
|
Solutia Inc., Senior Notes
|
|
8.750%
|
|
11/1/17
|
|
15,000
|
|
16,050
|
|
|
Solutia Inc., Senior Notes
|
|
7.875%
|
|
3/15/20
|
|
120,000
|
|
126,900
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
6
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (cont’d)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
VALUE
|
|
|
Chemicals
— (continued)
|
|
|
|
|
|
|
|
|
|
|
Texas Petrochemical Corp. Group LLC, Senior Secured Notes
|
|
8.250%
|
|
10/1/17
|
|
|
70,000
|
|
$
|
68,775
|
(d)
|
|
Total Chemicals
|
|
|
|
|
|
|
|
837,534
|
|
|
Containers & Packaging
— 2.6%
|
|
|
|
|
|
|
|
|
|
|
Ardagh Packaging Finance PLC, Senior Notes
|
|
9.125%
|
|
10/15/20
|
|
200,000
|
|
181,000
|
(d)
|
|
Berry Plastics Corp., Secured Notes
|
|
9.750%
|
|
1/15/21
|
|
150,000
|
|
128,250
|
|
|
Longview Fibre Paper & Packaging Inc., Senior Secured Notes
|
|
8.000%
|
|
6/1/16
|
|
120,000
|
|
117,000
|
(d)
|
|
Pretium Packaging LLC/Pretium Finance Inc., Senior Secured Notes
|
|
11.500%
|
|
4/1/16
|
|
220,000
|
|
216,700
|
(d)
|
|
Reynolds Group Issuer Inc./Reynolds Group Issuer LLC, Senior Notes
|
|
8.250%
|
|
2/15/21
|
|
390,000
|
|
310,050
|
(d)
|
|
Viskase Cos. Inc., Senior Secured Notes
|
|
9.875%
|
|
1/15/18
|
|
210,000
|
|
213,150
|
(d)
|
|
Total Containers & Packaging
|
|
|
|
|
|
|
|
1,166,150
|
|
|
Metals & Mining
— 3.2%
|
|
|
|
|
|
|
|
|
|
|
Evraz Group SA, Notes
|
|
9.500%
|
|
4/24/18
|
|
100,000
|
|
98,000
|
(d)
|
|
Evraz Group SA, Senior Notes
|
|
9.500%
|
|
4/24/18
|
|
100,000
|
|
98,000
|
(d)
|
|
FMG Resources (August 2006) Pty Ltd., Senior Notes
|
|
7.000%
|
|
11/1/15
|
|
30,000
|
|
28,050
|
(d)
|
|
Midwest Vanadium Pty Ltd., Senior Secured Notes
|
|
11.500%
|
|
2/15/18
|
|
360,000
|
|
286,200
|
(d)
|
|
Mirabela Nickel Ltd., Senior Notes
|
|
8.750%
|
|
4/15/18
|
|
130,000
|
|
105,950
|
(d)
|
|
Novelis Inc., Senior Notes
|
|
8.750%
|
|
12/15/20
|
|
220,000
|
|
216,700
|
|
|
Ryerson Holding Corp., Senior Secured Notes
|
|
0.000%
|
|
2/1/15
|
|
280,000
|
|
121,800
|
|
|
Tempel Steel Co., Senior Secured Notes
|
|
12.000%
|
|
8/15/16
|
|
90,000
|
|
85,950
|
(b)(d)
|
|
Vale Overseas Ltd., Notes
|
|
8.250%
|
|
1/17/34
|
|
62,000
|
|
76,136
|
|
|
Vale Overseas Ltd., Notes
|
|
6.875%
|
|
11/21/36
|
|
68,000
|
|
73,515
|
|
|
Vedanta Resources PLC, Senior Notes
|
|
8.750%
|
|
1/15/14
|
|
100,000
|
|
96,500
|
(d)
|
|
Vedanta Resources PLC, Senior Notes
|
|
6.750%
|
|
6/7/16
|
|
200,000
|
|
164,000
|
(d)
|
|
Total Metals & Mining
|
|
|
|
|
|
|
|
1,450,801
|
|
|
Paper & Forest Products
— 1.2%
|
|
|
|
|
|
|
|
|
|
|
Appleton Papers Inc., Senior Secured Notes
|
|
11.250%
|
|
12/15/15
|
|
176,000
|
|
171,600
|
|
|
NewPage Corp., Senior Secured Notes
|
|
11.375%
|
|
12/31/14
|
|
140,000
|
|
104,650
|
(g)
|
|
Sappi Papier Holding GmbH, Senior Secured Notes
|
|
6.625%
|
|
4/15/21
|
|
210,000
|
|
179,550
|
(d)
|
|
Verso Paper Holdings LLC, Senior Subordinated Notes
|
|
11.375%
|
|
8/1/16
|
|
60,000
|
|
43,800
|
|
|
Verso Paper Holdings LLC/Verso Paper Inc., Senior Secured Notes
|
|
8.750%
|
|
2/1/19
|
|
70,000
|
|
48,650
|
|
|
Total Paper & Forest Products
|
|
|
|
|
|
|
|
548,250
|
|
|
TOTAL MATERIALS
|
|
|
|
|
|
|
|
4,002,735
|
|
|
TELECOMMUNICATION SERVICES
— 9.4%
|
|
|
|
|
|
|
|
|
|
|
Diversified Telecommunication Services
— 5.7%
|
|
|
|
|
|
|
Axtel SAB de CV, Senior Notes
|
|
7.625%
|
|
2/1/17
|
|
250,000
|
|
206,250
|
(d)
|
|
Axtel SAB de CV, Senior Notes
|
|
9.000%
|
|
9/22/19
|
|
8,000
|
|
6,800
|
(d)
|
|
Cincinnati Bell Telephone Co., Senior Debentures
|
|
6.300%
|
|
12/1/28
|
|
15,000
|
|
11,400
|
|
|
Cogent Communications Group Inc., Senior Secured Notes
|
|
8.375%
|
|
2/15/18
|
|
130,000
|
|
134,225
|
(d)
|
|
Inmarsat Finance PLC, Senior Notes
|
|
7.375%
|
|
12/1/17
|
|
200,000
|
|
201,500
|
(d)
|
|
Intelsat Jackson Holdings Ltd., Senior Notes
|
|
11.250%
|
|
6/15/16
|
|
60,000
|
|
61,350
|
|
|
Intelsat Jackson Holdings Ltd., Senior Notes
|
|
8.500%
|
|
11/1/19
|
|
60,000
|
|
58,800
|
|
|
Intelsat Jackson Holdings SA, Senior Notes
|
|
7.250%
|
|
10/15/20
|
|
200,000
|
|
185,000
|
(d)
|
|
Intelsat Luxembourg SA, Senior Notes
|
|
11.250%
|
|
2/4/17
|
|
300,000
|
|
261,000
|
|
|
Level 3 Financing Inc., Senior Notes
|
|
9.250%
|
|
11/1/14
|
|
116,000
|
|
115,130
|
|
|
Primus Telecom Holdings, Senior Secured Notes
|
|
9.500%
|
|
5/15/17
|
|
110,000
|
|
107,250
|
(d)
|
|
Primus Telecommunications Holding Inc., Senior Notes
|
|
10.000%
|
|
4/15/17
|
|
23,977
|
|
22,478
|
(d)
|
|
TW Telecom Holdings Inc., Senior Notes
|
|
8.000%
|
|
3/1/18
|
|
170,000
|
|
177,650
|
|
|
UBS Luxembourg SA for OJSC Vimpel Communications, Loan Participation Notes
|
|
8.250%
|
|
5/23/16
|
|
130,000
|
|
124,800
|
(d)
|
|
Vimpel Communications, Loan Participation Notes
|
|
8.375%
|
|
4/30/13
|
|
100,000
|
|
101,250
|
(d)
|
|
West Corp., Senior Notes
|
|
8.625%
|
|
10/1/18
|
|
160,000
|
|
156,400
|
|
|
West Corp., Senior Notes
|
|
7.875%
|
|
1/15/19
|
|
200,000
|
|
189,000
|
|
|
Wind Acquisition Finance SA, Senior Notes
|
|
11.750%
|
|
7/15/17
|
|
130,000
|
|
111,150
|
(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
7
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (cont’d)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
VALUE
|
|
|
Diversified Telecommunication Services
— (continued)
|
|
|
|
|
|
|
Wind Acquisition Finance SA, Senior Secured Notes
|
|
7.250%
|
|
2/15/18
|
|
|
200,000
|
|
$
|
171,250
|
(d)
|
|
Windstream Corp., Senior Notes
|
|
7.500%
|
|
4/1/23
|
|
200,000
|
|
187,500
|
|
|
Total Diversified Telecommunication Services
|
|
|
|
2,590,183
|
|
|
Wireless Telecommunication Services
— 3.7%
|
|
|
|
|
|
|
MetroPCS Wireless Inc., Senior Notes
|
|
7.875%
|
|
9/1/18
|
|
100,000
|
|
97,500
|
|
|
MetroPCS Wireless Inc., Senior Notes
|
|
6.625%
|
|
11/15/20
|
|
100,000
|
|
88,250
|
|
|
Sprint Capital Corp., Global Notes
|
|
6.900%
|
|
5/1/19
|
|
160,000
|
|
138,400
|
|
|
Sprint Capital Corp., Senior Notes
|
|
6.875%
|
|
11/15/28
|
|
150,000
|
|
112,875
|
|
|
Sprint Capital Corp., Senior Notes
|
|
8.750%
|
|
3/15/32
|
|
550,000
|
|
480,563
|
|
|
Syniverse Holdings Inc., Senior Notes
|
|
9.125%
|
|
1/15/19
|
|
165,000
|
|
162,525
|
|
|
True Move Co., Ltd., Notes
|
|
10.750%
|
|
12/16/13
|
|
395,000
|
|
422,650
|
(d)
|
|
VimpelCom Holdings BV, Senior Notes
|
|
7.504%
|
|
3/1/22
|
|
200,000
|
|
161,500
|
(d)
|
|
Total Wireless Telecommunication Services
|
|
|
|
1,664,263
|
|
|
TOTAL TELECOMMUNICATION SERVICES
|
|
4,254,446
|
|
|
UTILITIES
— 6.9%
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities
— 2.1%
|
|
|
|
|
|
|
|
|
|
|
AES Red Oak LLC, Secured Notes
|
|
9.200%
|
|
11/30/29
|
|
280,000
|
|
289,800
|
|
|
Astoria Depositor Corp., Pass-Through Certificates
|
|
8.144%
|
|
5/1/21
|
|
150,000
|
|
133,500
|
(d)
|
|
Reliant Energy Mid-Atlantic Power Holdings LLC, Senior Notes
|
|
9.681%
|
|
7/2/26
|
|
340,000
|
|
345,100
|
|
|
Texas Competitive Electric Holdings Co. LLC/TCEH Finance Inc., Senior Secured Notes
|
|
11.500%
|
|
10/1/20
|
|
220,000
|
|
177,100
|
(d)
|
|
Total Electric Utilities
|
|
|
|
|
|
|
|
945,500
|
|
|
Gas Utilities
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes
|
|
7.375%
|
|
3/15/20
|
|
120,000
|
|
120,600
|
|
|
Independent Power Producers & Energy Traders
— 4.5%
|
|
|
|
|
|
|
|
|
Calpine Corp., Senior Secured Notes
|
|
7.875%
|
|
7/31/20
|
|
70,000
|
|
67,900
|
(d)
|
|
Calpine Corp., Senior Secured Notes
|
|
7.500%
|
|
2/15/21
|
|
40,000
|
|
38,400
|
(d)
|
|
Calpine Corp., Senior Secured Notes
|
|
7.875%
|
|
1/15/23
|
|
280,000
|
|
271,600
|
(d)
|
|
Colbun SA, Senior Notes
|
|
6.000%
|
|
1/21/20
|
|
100,000
|
|
102,603
|
(d)
|
|
Dynegy Inc., Bonds
|
|
7.670%
|
|
11/8/16
|
|
160,000
|
|
88,000
|
|
|
Edison Mission Energy, Senior Notes
|
|
7.625%
|
|
5/15/27
|
|
85,000
|
|
47,175
|
|
|
Energy Future Holdings Corp., Senior Notes
|
|
10.875%
|
|
11/1/17
|
|
405,000
|
|
328,050
|
|
|
Energy Future Holdings Corp., Senior Notes
|
|
11.250%
|
|
11/1/17
|
|
108,069
|
|
85,316
|
(e)
|
|
Energy Future Intermediate Holding Co. LLC, Senior Secured Notes
|
|
9.750%
|
|
10/15/19
|
|
40,000
|
|
39,596
|
|
|
Energy Future Intermediate Holding Co. LLC/EFIH Finance Inc., Senior Secured Notes
|
|
10.000%
|
|
12/1/20
|
|
165,000
|
|
161,700
|
|
|
First Wind Holdings Inc., Senior Secured Notes
|
|
10.250%
|
|
6/1/18
|
|
110,000
|
|
105,050
|
(d)
|
|
Foresight Energy LLC/Foresight Energy Corp., Senior Notes
|
|
9.625%
|
|
8/15/17
|
|
340,000
|
|
345,100
|
(d)
|
|
Mirant Americas Generation LLC, Senior Notes
|
|
9.125%
|
|
5/1/31
|
|
390,000
|
|
329,550
|
|
|
Mirant Mid Atlantic LLC, Pass-Through Certificates
|
|
10.060%
|
|
12/30/28
|
|
48,715
|
|
51,151
|
|
|
Total Independent Power Producers & Energy Traders
|
|
|
|
|
|
2,061,191
|
|
|
TOTAL UTILITIES
|
|
|
|
|
|
|
|
3,127,291
|
|
|
TOTAL CORPORATE BONDS & NOTES (Cost — $39,939,382)
|
|
|
|
38,285,004
|
|
|
COLLATERALIZED SENIOR LOANS
— 1.8%
|
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY
— 0.6%
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
CityCenter Holdings LLC, Term Loan
|
|
7.500%
|
|
1/13/15
|
|
45,000
|
|
43,965
|
(i)
|
|
El Pollo Loco Inc., First Lien Term Loan
|
|
9.250%
|
|
7/14/17
|
|
119,700
|
|
110,722
|
(i)
|
|
Total Hotels, Restaurants & Leisure
|
|
|
|
|
|
|
|
154,687
|
|
|
Specialty Retail
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
BCBG Maxazria International, Term Loan B
|
|
9.870%
|
|
5/19/15
|
|
140,000
|
|
135,100
|
(i)
|
|
TOTAL CONSUMER DISCRETIONARY
|
|
|
|
|
|
|
|
289,787
|
|
|
INDUSTRIALS
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
Marine
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
Trico Shipping AS, Term Loan A
|
|
10.000%
|
|
5/12/14
|
|
34,754
|
|
34,928
|
(a)(i)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
8
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (cont’d)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
VALUE
|
|
|
Marine
— (continued)
|
|
|
|
|
|
|
|
|
|
|
Trico Shipping AS, Term Loan B
|
|
0.000%
|
|
5/12/14
|
|
|
34,754
|
|
$
|
34,928
|
(a)(i)(m)
|
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
69,856
|
|
|
INFORMATION TECHNOLOGY
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
IT Services
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
SRA International Inc., Term Loan B
|
|
6.500%
|
|
7/20/18
|
|
110,000
|
|
102,025
|
(i)
|
|
TELECOMMUNICATION SERVICES
— 0.6%
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services
— 0.6%
|
|
|
|
|
|
|
Vodafone Americas Finance 2 Inc., Term Loan A
|
6.875%
|
|
8/11/15
|
|
277,925
|
|
279,315
|
(i)
|
|
UTILITIES
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
Texas Competitive Electric Holdings Co. LLC, Term Loan
|
|
4.726 - 4.772%
|
|
10/10/17
|
|
95,155
|
|
64,081
|
(i)
|
|
TOTAL COLLATERALIZED SENIOR LOANS (Cost — $824,804)
|
|
|
|
805,064
|
|
|
CONVERTIBLE BONDS & NOTES
— 1.6%
|
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY
— 1.1%
|
|
|
|
|
|
|
|
|
|
|
Diversified Consumer Services
— 1.1%
|
|
|
|
|
|
|
|
|
|
|
Realogy Corp., Senior Subordinated Bonds
|
|
11.000%
|
|
4/15/18
|
|
620,000
|
|
489,800
|
(d)
|
|
ENERGY
— 0.0%
|
|
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels
— 0.0%
|
|
|
|
|
|
|
|
|
|
|
James River Coal Co., Senior Notes
|
|
3.125%
|
|
3/15/18
|
|
20,000
|
|
12,975
|
(d)
|
|
INDUSTRIALS
— 0.4%
|
|
|
|
|
|
|
|
|
|
|
Marine
— 0.4%
|
|
|
|
|
|
|
|
|
|
|
Horizon Lines Inc., Senior Notes
|
|
4.250%
|
|
8/15/12
|
|
290,000
|
|
213,150
|
(a)
|
|
MATERIALS
— 0.1%
|
|
|
|
|
|
|
|
|
|
|
Chemicals
— 0.1%
|
|
|
|
|
|
|
|
|
|
|
Hercules Inc.
|
|
6.500%
|
|
6/30/29
|
|
40,000
|
|
30,900
|
|
|
TOTAL CONVERTIBLE BONDS & NOTES (Cost — $757,427)
|
|
|
746,825
|
|
|
SOVEREIGN BONDS
— 4.6%
|
|
|
|
|
|
|
|
|
|
|
Argentina
— 0.9%
|
|
|
|
|
|
|
|
|
|
|
Republic of Argentina, GDP Linked Securities, Senior Bonds
|
|
0.000%
|
|
12/15/35
|
|
65,000
|
|
9,100
|
(f)(j)
|
|
Republic of Argentina, Senior Bonds
|
|
7.000%
|
|
9/12/13
|
|
358,000
|
|
339,549
|
|
|
Republic of Argentina, Senior Bonds
|
|
7.000%
|
|
10/3/15
|
|
26,000
|
|
21,970
|
|
|
Republic of Argentina, Senior Notes
|
|
8.750%
|
|
6/2/17
|
|
25,000
|
|
22,000
|
|
|
Total Argentina
|
|
|
|
|
|
|
|
392,619
|
|
|
Brazil
— 0.5%
|
|
|
|
|
|
|
|
|
|
|
Brazil Nota do Tesouro Nacional, Notes
|
|
10.000%
|
|
1/1/14
|
|
43,000
|
BRL
|
22,394
|
|
|
Brazil Nota do Tesouro Nacional, Notes
|
|
10.000%
|
|
1/1/17
|
|
447,000
|
BRL
|
223,577
|
|
|
Total Brazil
|
|
|
|
|
|
|
|
245,971
|
|
|
Colombia
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
Republic of Colombia, Senior Notes
|
|
7.375%
|
|
3/18/19
|
|
100,000
|
|
123,850
|
|
|
India
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
ICICI Bank Ltd., Junior Subordinated Bonds
|
|
6.375%
|
|
4/30/22
|
|
140,000
|
|
116,900
|
(d)(f)
|
|
Indonesia
— 0.5%
|
|
|
|
|
|
|
|
|
|
|
Republic of Indonesia, Senior Bonds
|
|
10.250%
|
|
7/15/22
|
|
539,000,000
|
IDR
|
75,984
|
|
|
Republic of Indonesia, Senior Bonds
|
|
11.000%
|
|
9/15/25
|
|
297,000,000
|
IDR
|
44,822
|
|
|
Republic of Indonesia, Senior Bonds
|
|
10.250%
|
|
7/15/27
|
|
378,000,000
|
IDR
|
54,151
|
|
|
Republic of Indonesia, Senior Bonds
|
|
9.750%
|
|
5/15/37
|
|
408,000,000
|
IDR
|
56,850
|
|
|
Total Indonesia
|
|
|
|
|
|
|
|
231,807
|
|
|
Peru
— 0.1%
|
|
|
|
|
|
|
|
|
|
|
Republic of Peru, Bonds
|
|
7.840%
|
|
8/12/20
|
|
170,000
|
PEN
|
69,539
|
|
|
Russia
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
RSHB Capital, Loan Participation Notes, Senior Secured Bonds
|
|
6.299%
|
|
5/15/17
|
|
140,000
|
|
138,425
|
(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedule of Investments.
9
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (cont’d)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
VALUE
|
|
|
Turkey
— 0.9%
|
|
|
|
|
|
|
|
|
|
|
Republic of Turkey, Senior Notes
|
|
7.000%
|
|
6/5/20
|
|
|
12,000
|
|
$
|
13,500
|
|
|
Republic of Turkey, Senior Notes
|
|
6.875%
|
|
3/17/36
|
|
377,000
|
|
403,390
|
|
|
Total Turkey
|
|
|
|
|
|
|
|
416,890
|
|
|
Venezuela
— 0.8%
|
|
|
|
|
|
|
|
|
|
|
Bolivarian Republic of Venezuela
|
|
5.750%
|
|
2/26/16
|
|
386,000
|
|
276,955
|
(d)
|
|
Bolivarian Republic of Venezuela
|
|
7.650%
|
|
4/21/25
|
|
16,000
|
|
9,120
|
|
|
Bolivarian Republic of Venezuela, Collective Action Securities, Global Senior Bonds
|
|
9.375%
|
|
1/13/34
|
|
53,000
|
|
32,993
|
|
|
Bolivarian Republic of Venezuela, Collective Action Securities, Notes
|
|
10.750%
|
|
9/19/13
|
|
28,000
|
|
27,650
|
|
|
Bolivarian Republic of Venezuela, Global Senior Bonds
|
|
8.500%
|
|
10/8/14
|
|
12,000
|
|
10,620
|
|
|
Total Venezuela
|
|
|
|
|
|
|
|
357,338
|
|
|
TOTAL SOVEREIGN BONDS (Cost — $2,185,411)
|
|
|
|
2,093,339
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHARES
|
|
|
|
|
COMMON STOCKS
— 2.3%
|
|
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY
— 1.5%
|
|
|
|
|
|
|
|
|
|
|
Automobiles
— 0.1%
|
|
|
|
|
|
|
|
|
|
|
General Motors Co.
|
|
|
|
|
|
2,736
|
|
55,212
|
*
|
|
Media
— 1.4%
|
|
|
|
|
|
|
|
|
|
|
Charter Communications Inc., Class A Shares
|
|
|
|
|
|
13,139
|
|
615,431
|
*
|
|
TOTAL CONSUMER DISCRETIONARY
|
|
|
|
|
|
|
|
670,643
|
|
|
ENERGY
— 0.5%
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services
— 0.5%
|
|
|
|
|
|
|
|
|
|
|
KCAD Holdings I Ltd.
|
|
|
|
|
|
20,462,180
|
|
206,218
|
*(a)(b)
|
|
Oil, Gas & Consumable Fuels
— 0.0%
|
|
|
|
|
|
|
|
|
|
|
SemGroup Corp., Class A Shares
|
|
|
|
|
|
866
|
|
17,285
|
*
|
|
TOTAL ENERGY
|
|
|
|
|
|
|
|
223,503
|
|
|
INDUSTRIALS
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
Building Products
— 0.0%
|
|
|
|
|
|
|
|
|
|
|
Ashton Woods USA LLC, Class B Membership
|
|
|
|
|
|
17
|
|
10,965
|
*(a)(b)
|
|
Nortek Inc.
|
|
|
|
|
|
229
|
|
4,809
|
*
|
|
Total Building Products
|
|
|
|
|
|
|
|
15,774
|
|
|
Marine
— 0.3%
|
|
|
|
|
|
|
|
|
|
|
DeepOcean Group Holding AS
|
|
|
|
|
|
9,303
|
|
139,545
|
*(b)
|
|
TOTAL INDUSTRIALS
|
|
|
|
|
|
|
|
155,319
|
|
|
TOTAL COMMON STOCKS (Cost — $979,709)
|
|
|
|
1,049,465
|
|
|
CONVERTIBLE PREFERRED STOCKS
— 0.6%
|
|
|
|
|
|
|
|
|
|
|
FINANCIALS
— 0.6%
|
|
|
|
|
|
|
|
|
|
|
Diversified Financial Services
— 0.6%
|
|
|
|
|
|
|
|
|
|
|
Bank of America Corp.
|
|
7.250%
|
|
|
|
290
|
|
222,137
|
|
|
Citigroup Inc.
|
|
7.500%
|
|
|
|
900
|
|
71,667
|
|
|
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost — $393,473)
|
|
|
|
293,804
|
|
|
PREFERRED STOCKS
— 2.3%
|
|
|
|
|
|
|
|
|
|
|
FINANCIALS
— 2.2%
|
|
|
|
|
|
|
|
|
|
|
Commercial Banks
— 0.5%
|
|
|
|
|
|
|
|
|
|
|
Banesto Holdings Ltd.
|
|
10.500%
|
|
|
|
8,225
|
|
206,653
|
(d)
|
|
Consumer Finance
— 0.6%
|
|
|
|
|
|
|
|
|
|
|
GMAC Capital Trust I
|
|
8.125%
|
|
|
|
14,381
|
|
262,453
|
(f)
|
|
Diversified Financial Services
— 1.1%
|
|
|
|
|
|
|
|
|
|
|
Citigroup Capital XII
|
|
8.500%
|
|
|
|
13,200
|
|
331,320
|
(f)
|
See Notes to Schedule of Investments.
10
WESTERN ASSET HIGH INCOME FUND INC.
Schedule of investments (unaudited) (cont’d)
September 30, 2011
|
SECURITY
|
|
RATE
|
|
|
|
SHARES
|
|
VALUE
|
|
|
Diversified Financial Services
— (continued)
|
|
|
|
|
|
|
|
Citigroup Capital XIII
|
|
7.875%
|
|
|
|
7,225
|
|
$
|
190,813
|
(f)
|
|
Total Diversified Financial Services
|
|
|
|
|
|
|
|
522,133
|
|
|
TOTAL FINANCIALS
|
|
|
|
|
|
|
|
991,239
|
|
|
INDUSTRIALS
— 0.1%
|
|
|
|
|
|
|
|
|
|
|
Road & Rail
— 0.1%
|
|
|
|
|
|
|
|
|
|
|
Jack Cooper Holdings Corp.
|
|
20.000%
|
|
|
|
434
|
|
41,230
|
(b)(d)(f)
|
|
TOTAL PREFERRED STOCKS (Cost — $1,126,378)
|
|
|
|
1,032,469
|
|
|
|
|
|
|
EXPIRATION
DATE
|
|
WARRANTS
|
|
|
|
|
WARRANTS
— 0.2%
|
|
|
|
|
|
|
|
|
|
|
Buffets Restaurant Holdings
|
|
|
|
4/28/14
|
|
168
|
|
2
|
*(a)(b)
|
|
Charter Communications Inc.
|
|
|
|
11/30/14
|
|
209
|
|
2,351
|
*(b)
|
|
General Motors Co.
|
|
|
|
7/10/16
|
|
2,486
|
|
28,937
|
*
|
|
General Motors Co.
|
|
|
|
7/10/19
|
|
2,486
|
|
19,714
|
*
|
|
Jack Cooper Holdings Corp.
|
|
|
|
12/15/17
|
|
210
|
|
13,125
|
*(b)
|
|
Jack Cooper Holdings Corp.
|
|
|
|
5/6/18
|
|
97
|
|
6,063
|
*(b)
|
|
Nortek Inc.
|
|
|
|
12/7/14
|
|
339
|
|
678
|
*(a)(b)
|
|
SemGroup Corp.
|
|
|
|
11/30/14
|
|
912
|
|
3,739
|
*(a)
|
|
TOTAL WARRANTS (Cost — $312,583)
|
|
|
|
|
|
|
|
74,609
|
|
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $46,519,167)
|
|
44,380,579
|
|
|
|
|
|
|
MATURITY
DATE
|
|
FACE
AMOUNT
†
|
|
|
|
|
SHORT-TERM INVESTMENTS
— 0.1%
|
|
|
|
|
|
|
|
|
|
|
U.S. Government Agencies
— 0.1%
|
|
|
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes
|
|
0.100 - 0.120%
|
1/10/12
|
|
|
22,000
|
|
21,999
|
(k)(l)
|
|
Federal National Mortgage Association (FNMA), Discount Notes
|
|
0.100%
|
1/9/12
|
|
2,000
|
|
2,000
|
(k)(l)
|
|
TOTAL SHORT-TERM INVESTMENTS (Cost — $23,993)
|
|
|
|
23,999
|
|
|
TOTAL INVESTMENTS — 97.8% (Cost — $46,543,160#)
|
|
|
|
44,404,578
|
|
|
Other Assets in Excess of Liabilities — 2.2%
|
|
|
|
|
|
|
|
995,998
|
|
|
TOTAL NET ASSETS — 100.0%
|
|
|
|
|
|
|
|
$
|
45,400,576
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
†
|
Face amount denominated in U.S. dollars, unless otherwise noted.
|
|
*
|
Non-income producing security.
|
|
(a)
|
Illiquid security.
|
|
(b)
|
Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1).
|
|
(c)
|
The maturity principal is currently in default as of September 30, 2011.
|
|
(d)
|
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.
|
|
(e)
|
Payment-in-kind security for which part of the income earned may be paid as additional principal.
|
|
(f)
|
Variable rate security. Interest rate disclosed is as of the most recent information available.
|
|
(g)
|
The coupon payment on these securities is currently in default as of September 30, 2011.
|
|
(h)
|
Security has no maturity date. The date shown represents the next call date.
|
|
(i)
|
Interest rates disclosed represent the effective rates on collateralized senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.
|
|
(j)
|
The security’s interest income payments are contingent upon the performance of Argentina’s GDP. There are no principal payments over the life of the security or upon the expiration of the security.
|
|
(k)
|
Rate shown represents yield-to-maturity.
|
|
(l)
|
All or a portion of this security is held at the broker as collateral for open futures contracts.
|
|
(m)
|
All or a portion of this loan is unfunded as of September 30, 2011. The interest rate for fully unfunded term loans is to be determined.
|
|
#
|
Aggregate cost for federal income tax purposes is substantially the same.
|
|
|
|
|
Abbreviations used in this schedule:
|
|
|
BRL
|
- Brazilian Real
|
|
|
EUR
|
- Euro
|
|
|
GDP
|
- Gross Domestic Product
|
|
|
IDR
|
- Indonesian Rupiah
|
|
|
OJSC
|
- Open Joint Stock Company
|
|
|
PEN
|
- Peruvian Nuevo Sol
|
See Notes to Schedule of Investments.
11
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset High Income Fund Inc. (the “Fund”) was incorporated in Maryland and is registered as a diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund seeks to maintain a high level of current income by investing at least 80% of its net assets in high-yield debt securities issued by U.S. and foreign corporations and foreign governments. As a secondary objective, the Fund seeks capital appreciation.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation.
The valuations for fixed income securities 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 fair valuation techniques and methodologies. 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 investment’s fair value. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. 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. 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). 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 Fund has adopted Financial Accounting Standards Board Codification Topic 820 (“ASC Topic 820”). ASC Topic 820 establishes a single definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund’s investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized 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 Fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
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
|
|
—
|
|
$
|
37,495,763
|
|
$
|
789,241
|
|
$
|
38,285,004
|
|
|
Collateralized senior loans
|
|
—
|
|
805,064
|
|
—
|
|
805,064
|
|
|
Convertible bonds & notes
|
|
—
|
|
746,825
|
|
—
|
|
746,825
|
|
|
Sovereign bonds
|
|
—
|
|
2,093,339
|
|
—
|
|
2,093,339
|
|
|
Common stocks:
|
|
|
|
|
|
|
|
|
|
|
Consumer discretionary
|
|
$
|
670,643
|
|
—
|
|
—
|
|
670,643
|
|
|
Energy
|
|
17,285
|
|
—
|
|
206,218
|
|
223,503
|
|
|
Industrials
|
|
4,809
|
|
—
|
|
150,510
|
|
155,319
|
|
|
Convertible preferred stocks
|
|
293,804
|
|
—
|
|
—
|
|
293,804
|
|
|
Preferred stocks:
|
|
|
|
|
|
|
|
|
|
|
Financials
|
|
784,586
|
|
206,653
|
|
—
|
|
991,239
|
|
|
Industrials
|
|
—
|
|
—
|
|
41,230
|
|
41,230
|
|
|
Warrants
|
|
48,651
|
|
3,739
|
|
22,219
|
|
74,609
|
|
|
Total long-term investments
|
|
$
|
1,819,778
|
|
$
|
41,351,383
|
|
$
|
1,209,418
|
|
$
|
44,380,579
|
|
|
Short-term investments†
|
|
—
|
|
23,999
|
|
—
|
|
23,999
|
|
|
Total investments
|
|
$
|
1,819,778
|
|
$
|
41,375,382
|
|
$
|
1,209,418
|
|
$
|
44,404,578
|
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
|
Forward foreign currency contracts
|
|
—
|
|
$
|
22,226
|
|
—
|
|
$
|
22,226
|
|
|
Total
|
|
$
|
1,819,778
|
|
$
|
41,397,608
|
|
$
|
1,209,418
|
|
$
|
44,426,804
|
|
12
Notes to Schedule of Investments (unaudited) (continued)
LIABILITIES
|
DESCRIPTION
|
|
QUOTED
PRICES
(LEVEL 1)
|
|
OTHER
SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
|
|
TOTAL
|
|
|
Other financial instruments:
|
|
|
|
|
|
|
|
|
|
|
Futures contracts
|
|
$
|
712
|
|
—
|
|
—
|
|
$
|
712
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
†See Schedule of Investments for additional detailed categorizations.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:
|
|
|
|
|
|
|
COMMON STOCKS
|
|
|
|
|
|
|
|
|
|
|
CORPORATE
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BONDS &
|
|
COLLATERALIZED
|
|
|
|
|
|
|
|
PREFERRED
|
|
|
|
|
|
|
INVESTMENTS IN SECURITIES
|
|
NOTES
|
|
SENIOR LOANS
|
|
ENERGY
|
|
INDUSTRIALS
|
|
MATERIALS
|
|
STOCKS
|
|
WARRANTS
|
|
TOTAL
|
|
|
Balance as of December 31, 2010
|
|
$
|
202,816
|
|
$
|
263,900
|
|
—
|
|
$
|
7,651
|
|
$
|
2,455
|
|
—
|
|
$
|
7,631
|
|
$
|
484,453
|
|
|
Accrued premiums/discounts
|
|
326
|
|
79
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
405
|
|
|
Realized gain (loss)
(1)
|
|
(100,625
|
)
|
—
|
|
—
|
|
—
|
|
(33,790
|
)
|
—
|
|
(11
|
)
|
(134,426
|
)
|
|
Change in unrealized appreciation (depreciation)
(2)
|
|
86,216
|
|
(5,505
|
)
|
$
|
26,151
|
|
(74,464
|
)
|
31,608
|
|
$
|
3,151
|
|
6,944
|
|
74,101
|
|
|
Net purchases (sales)
|
|
600,489
|
|
(258,474
|
)
|
180,067
|
|
217,323
|
|
(273
|
)
|
38,079
|
|
5,303
|
|
782,514
|
|
|
Transfers into Level 3
|
|
19
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
2,352
|
|
2,371
|
|
|
Transfers out of Level 3
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
|
Balance as of September 30, 2011
|
|
$
|
789,241
|
|
—
|
|
$
|
206,218
|
|
$
|
150,510
|
|
—
|
|
$
|
41,230
|
|
$
|
22,219
|
|
$
|
1,209,418
|
|
|
Net change in unrealized appreciation (depreciation) for investments in securities still held at September 30, 2011
(2)
|
|
$
|
(14,409
|
)
|
—
|
|
$
|
26,151
|
|
$
|
(74,464
|
)
|
—
|
|
$
|
3,151
|
|
$
|
6,944
|
|
$
|
(52,627
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
This amount is included in net realized gain (loss) from investment transactions.
(2)
Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized.
(b) Repurchase agreements.
The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund’s holding period. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian, acting on the Fund’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or
13
Notes to Schedule of Investments (unaudited) (continued)
if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.
(c) Forward foreign currency contracts.
The Fund enters into a forward foreign currency contract to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated securities or to facilitate settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price with delivery and settlement at a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is closed, through either delivery or offset by entering into another forward foreign currency contract, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it is closed.
When entering into a forward foreign currency contract, the Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
(d) Futures contracts.
The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes.
A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ‘‘initial margin’’ and subsequent payments (‘‘variation margin’’) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures,
variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded.
Futures contracts involve, to varying degrees, risk of loss. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(e) Loan participations.
The Fund may invest
in loans arranged through private negotiation between one or more financial institutions. The 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 off-set against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation.
The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any off-set between the lender and the borrower.
(f) Foreign currency translation.
Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(g) Credit and market risk.
The Fund invests in high-yield and emerging market instruments that are subject to certain credit and market risks. The yields of high-yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Fund’s investment in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Fund. The Fund’s investment in non-U.S. dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.
14
Notes to Schedule of Investments (unaudited) (continued)
(h) 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 investment manager attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the investment manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
The Fund has entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or NAV over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.
As of September 30, 2011, the Fund did not have any open derivative transactions with credit related contingent features in a net liability position.
(i) Security transactions.
Security transactions are accounted for on a trade date basis.
2. Investments
At September 30, 2011, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
Gross unrealized appreciation
|
|
$1,806,291
|
|
|
Gross unrealized depreciation
|
|
(3,944,873
|
)
|
|
Net unrealized depreciation
|
|
$(2,138,582
|
)
|
At September 30, 2011, the Fund had the following open futures contracts:
|
|
|
NUMBER OF
CONTRACTS
|
|
EXPIRATION
DATE
|
|
BASIS
VALUE
|
|
MARKET
VALUE
|
|
UNREALIZED
(LOSS)
|
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury 5-Year Notes
|
|
17
|
|
12/11
|
|
$
|
2,081,522
|
|
$
|
2,082,234
|
|
$
|
(712
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
During the period ended September 30, 2011, written option transactions for the Fund were as follows:
|
|
|
Notional Amount
|
|
Premiums
|
|
|
Written options, outstanding December 31, 2010
|
|
—
|
|
—
|
|
|
Options written
|
|
19,660,000
|
|
$314,560
|
|
|
Options closed
|
|
(2,300,000
|
)
|
(64,400
|
)
|
|
Options expired
|
|
(17,360,000
|
)
|
(250,160
|
)
|
|
Written options, outstanding September 30, 2011
|
|
—
|
|
—
|
|
At September 30, 2011, the Fund had the following open forward foreign currency contracts:
|
FOREIGN CURRENCY
|
|
COUNTERPARTY
|
|
LOCAL
CURRENCY
|
|
MARKET
VALUE
|
|
SETTLEMENT
DATE
|
|
UNREALIZED
GAIN
|
|
|
Contracts to Sell:
|
|
|
|
|
|
|
|
|
|
|
|
|
Euro
|
|
Royal Bank of Scotland PLC
|
|
100,000
|
|
$
|
133,939
|
|
11/16/11
|
|
$
|
7,533
|
|
|
Euro
|
|
Royal Bank of Scotland PLC
|
|
100,000
|
|
133,939
|
|
11/16/11
|
|
9,817
|
|
|
Euro
|
|
Royal Bank of Scotland PLC
|
|
200,000
|
|
267,878
|
|
11/16/11
|
|
4,876
|
|
|
Net unrealized gain on open forward foreign currency contracts
|
|
|
|
|
$22,226
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15
Notes to Schedule of Investments (unaudited) (continued)
3. Derivative instruments and hedging activities
Financial Accounting Standards Board Codification Topic 815 requires enhanced disclosure about an entity’s derivative and hedging activities.
The following is a summary of the Fund’s derivative instruments categorized by risk exposure at September 30, 2011.
|
|
|
Futures Contracts
|
|
|
|
Forward Foreign
Currency Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Primary Underlying Risk
Disclosure
|
|
Unrealized
Appreciation
|
|
Unrealized
Depreciation
|
|
Unrealized
Appreciation
|
|
Unrealized
Depreciation
|
|
Total
|
|
|
Interest Rate Contracts
|
|
—
|
|
$(712
|
)
|
—
|
|
—
|
|
$(712
|
)
|
|
Foreign Exchange Contracts
|
|
—
|
|
—
|
|
$22,226
|
|
—
|
|
22,226
|
|
|
Total
|
|
—
|
|
$(712
|
)
|
$22,226
|
|
—
|
|
$21,514
|
|
During the period ended September 30, 2011, the volume of derivative activity for the Fund was as follows:
|
|
|
Average market
value
|
|
|
Purchased options†
|
|
$20,797
|
|
|
Written options†
|
|
90,878
|
|
|
Forward foreign currency contracts (to buy)†
|
|
37,014
|
|
|
Forward foreign currency contracts (to sell)
|
|
474,264
|
|
|
Futures contracts (to buy)†
|
|
249,313
|
|
|
Futures contracts (to sell)
|
|
2,028,339
|
|
†At September 30, 2011, there were no open positions held in this derivative.
16
ITEM 2.
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 registrant’s last fiscal quarter that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.
ITEM 3.
EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Western Asset High Income Fund Inc.
|
By
|
/s/ R. Jay Gerken
|
|
|
|
R. Jay Gerken
|
|
|
|
Chief Executive Officer
|
|
Date: November 28, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By
|
/s/ R. Jay Gerken
|
|
|
|
R. Jay Gerken
|
|
|
|
Chief Executive Officer
|
|
|
|
|
|
Date: November 28, 2011
|
|
|
|
|
|
By
|
/s/ Kaprel Ozsolak
|
|
|
|
Kaprel Ozsolak
|
|
|
|
Chief Financial Officer
|
|
|
|
|
|
|
Date: November 28, 2011
|
|
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