Schedule of Investments (unaudited)
February 28, 2026
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 Western Asset High Yield Opportunity Fund Inc.

(Percentages shown based on Fund net assets) 
Security
 
Rate
Maturity
Date
Face
Amount†
Value
Corporate Bonds & Notes — 85.1%
Communication Services — 16.2%
Diversified Telecommunication Services — 3.6%
Altice Financing SA, Senior Secured Notes
5.000%
1/15/28
1,380,000
 
 $973,750
 (a)
Altice Financing SA, Senior Secured Notes
5.750%
8/15/29
1,580,000
 
1,096,105
 (a)
Altice France Lux 3/Altice Holdings 1, Senior Notes
10.000%
1/15/33
936,000
 
880,690
 (a)
Altice France SA, Senior Secured Notes
6.500%
4/15/32
1,051,830
 
1,008,348
 (a)
Altice France SA, Senior Secured Notes
6.875%
7/15/32
221,036
 
212,453
 (a)
Level 3 Financing Inc., Senior Notes
8.500%
1/15/36
820,000
 
854,653
 (a)
Level 3 Financing Inc., Senior Secured Notes
6.875%
6/30/33
10,000
 
10,364
 (a)
WULF Compute LLC, Senior Secured Notes
7.750%
10/15/30
380,000
 
402,714
 (a)
Total Diversified Telecommunication Services
5,439,077
Entertainment — 0.6%
Allen Media LLC/Allen Media Co-Issuer Inc., Senior Notes
10.500%
2/15/28
990,000
 
409,553
 (a)
Discovery Global Holdings Inc., Senior Notes
5.050%
3/15/42
650,000
 
458,250
 
Total Entertainment
867,803
Media — 8.3%
AMC Networks Inc., Senior Secured Notes
10.250%
1/15/29
370,000
 
397,015
 (a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
4.250%
1/15/34
260,000
 
226,659
 (a)
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes
7.375%
2/1/36
1,550,000
 
1,574,244
 (a)
Charter Communications Operating LLC/Charter Communications
Operating Capital Corp., Senior Secured Notes
6.700%
12/1/55
540,000
 
527,101
 
Clear Channel Outdoor Holdings Inc., Senior Secured Notes
7.125%
2/15/31
390,000
 
412,435
 (a)
DirecTV Financing LLC, Senior Secured Notes
8.875%
2/1/30
830,000
 
831,322
 (a)
DirecTV Financing LLC/DirecTV Financing Co-Obligor Inc., Senior
Secured Notes
10.000%
2/15/31
230,000
 
235,411
 (a)
DISH DBS Corp., Senior Notes
7.375%
7/1/28
1,360,000
 
1,313,486
 
DISH DBS Corp., Senior Secured Notes
5.750%
12/1/28
810,000
 
786,243
 (a)
DISH Network Corp., Senior Secured Notes
11.750%
11/15/27
110,000
 
113,941
 (a)
EchoStar Corp., Senior Secured Notes
10.750%
11/30/29
4,405,100
 
4,812,679
 
EchoStar Corp., Senior Secured Notes (6.750% Cash or 6.750% PIK)
6.750%
11/30/30
13,247
 
13,433
 (b)
Getty Images Inc., Senior Secured Notes
11.250%
2/21/30
80,000
 
70,862
 (a)
Getty Images Inc., Senior Secured Notes
10.500%
11/15/30
250,000
 
221,496
 (a)
iHeartCommunications Inc., Senior Secured Notes
9.125%
5/1/29
262,500
 
233,475
 (a)
Sirius XM Radio LLC, Senior Notes
3.875%
9/1/31
260,000
 
238,627
 (a)
Versant Media Group Inc., Senior Secured Notes
7.250%
1/30/31
290,000
 
296,969
 (a)
VZ Secured Financing BV, Senior Secured Notes
7.500%
1/15/33
210,000
 
206,551
 (a)
Total Media
12,511,949
Wireless Telecommunication Services — 3.7%
CSC Holdings LLC, Senior Notes
11.750%
1/31/29
2,310,000
 
1,647,465
 (a)
CSC Holdings LLC, Senior Notes
4.125%
12/1/30
240,000
 
146,644
 (a)
CSC Holdings LLC, Senior Notes
4.625%
12/1/30
1,610,000
 
597,399
 (a)
CSC Holdings LLC, Senior Notes
4.500%
11/15/31
850,000
 
510,868
 (a)
Sprint Capital Corp., Senior Notes
6.875%
11/15/28
2,148,000
 
2,304,677
 
Sprint Capital Corp., Senior Notes
8.750%
3/15/32
130,000
 
158,946
 
Vmed O2 UK Financing I PLC, Senior Secured Notes
4.750%
7/15/31
340,000
 
303,052
 (a)
Total Wireless Telecommunication Services
5,669,051
 
Total Communication Services
24,487,880
See Notes to Schedule of Investments.
1
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
February 28, 2026
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Consumer Discretionary — 17.4%
Automobile Components — 3.4%
American Axle & Manufacturing Inc., Senior Notes
5.000%
10/1/29
20,000
 
 $19,555
 
American Axle & Manufacturing Inc., Senior Notes
7.750%
10/15/33
640,000
 
650,884
 (a)
Clarios Global LP/Clarios US Finance Co., Senior Secured Notes
6.750%
2/15/30
520,000
 
544,939
 (a)
Dornoch Debt Merger Sub Inc., Senior Notes
6.625%
10/15/29
950,000
 
859,004
 (a)
Garrett Motion Holdings Inc./Garrett LX I Sarl, Senior Notes
7.750%
5/31/32
230,000
 
243,240
 (a)
JB Poindexter & Co. Inc., Senior Notes
8.750%
12/15/31
810,000
 
839,654
 (a)
ZF North America Capital Inc., Senior Notes
7.500%
3/24/31
380,000
 
391,856
 (a)
ZF North America Capital Inc., Senior Notes
6.875%
4/23/32
1,630,000
 
1,636,205
 (a)
Total Automobile Components
5,185,337
Automobiles — 1.7%
PM General Purchaser LLC, Senior Secured Notes
9.500%
10/1/28
2,800,000
 
2,622,088
 (a)
Diversified Consumer Services — 0.7%
Carriage Services Inc., Senior Notes
4.250%
5/15/29
340,000
 
327,644
 (a)
Service Corp. International, Senior Notes
7.500%
4/1/27
740,000
 
762,702
 
Total Diversified Consumer Services
1,090,346
Hotels, Restaurants & Leisure — 7.0%
Carnival PLC, Senior Notes
1.000%
10/28/29
1,310,000
 EUR
1,443,902
 
Full House Resorts Inc., Senior Secured Notes
8.250%
2/15/28
1,310,000
 
1,139,700
 (a)
Melco Resorts Finance Ltd., Senior Notes
5.375%
12/4/29
670,000
 
655,025
 (a)
Melco Resorts Finance Ltd., Senior Notes
6.500%
9/24/33
200,000
 
199,660
 (a)
NCL Corp. Ltd., Senior Notes
7.750%
2/15/29
1,239,000
 
1,324,718
 (a)
NCL Finance Ltd., Senior Notes
6.125%
3/15/28
20,000
 
20,544
 (a)
Pinnacle Bidco PLC, Senior Secured Notes
10.000%
10/11/28
500,000
 GBP
710,295
 (a)
Rivers Enterprise Borrower LLC, Senior Secured Notes
6.250%
10/15/30
580,000
 
592,905
 (a)
Viking Cruises Ltd., Senior Notes
9.125%
7/15/31
1,720,000
 
1,830,863
 (a)
Viking Ocean Cruises Ship VII Ltd., Senior Secured Notes
5.625%
2/15/29
60,000
 
60,160
 (a)
Wynn Macau Ltd., Senior Notes
5.625%
8/26/28
880,000
 
879,552
 (a)
Wynn Macau Ltd., Senior Notes
5.125%
12/15/29
700,000
 
695,998
 (a)
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes
7.125%
2/15/31
920,000
 
993,991
 (a)
Total Hotels, Restaurants & Leisure
10,547,313
Household Durables — 0.5%
Dream Finders Homes Inc., Senior Notes
6.875%
9/15/30
430,000
 
440,009
 (a)
Newell Brands Inc., Senior Notes
8.500%
6/1/28
220,000
 
231,691
 (a)
Total Household Durables
671,700
Specialty Retail — 4.1%
Gee Automotive Holdings LLC, Senior Notes
7.250%
3/1/31
360,000
 
366,114
 (a)
Global Auto Holdings Ltd./AAG FH UK Ltd., Senior Notes
11.500%
8/15/29
1,090,000
 
1,117,152
 (a)
Michaels Cos. Inc., Secured Notes
11.000%
3/15/34
1,410,000
 
1,319,130
 (a)(c)
Michaels Cos. Inc., Senior Notes
7.875%
5/1/29
490,000
 
492,534
 (a)
Michaels Cos. Inc., Senior Secured Notes
5.250%
5/1/28
1,040,000
 
1,040,508
 (a)
Michaels Cos. Inc., Senior Secured Notes
8.500%
3/15/33
220,000
 
214,191
 (a)(c)
Petco Health & Wellness Co. Inc., Senior Secured Notes
8.250%
2/1/31
370,000
 
361,612
 (a)
Sally Holdings LLC/Sally Capital Inc., Senior Notes
6.750%
3/1/32
740,000
 
768,718
 
Upbound Group Inc., Senior Notes
6.375%
2/15/29
530,000
 
525,104
 (a)
Total Specialty Retail
6,205,063
 
Total Consumer Discretionary
26,321,847
See Notes to Schedule of Investments.
2
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Consumer Staples — 0.7%
Beverages — 0.5%
Primo Water Holdings Inc./Triton Water Holdings Inc., Senior Notes
6.250%
4/1/29
760,000
 
 $761,779
 (a)
Food Products — 0.2%
TKC Holdings Inc., Senior Secured Notes
8.500%
8/15/30
390,000
 
399,412
 (a)
 
Total Consumer Staples
1,161,191
Energy — 11.5%
Energy Equipment & Services — 1.1%
Nabors Industries Inc., Senior Notes
8.875%
8/15/31
770,000
 
798,124
 (a)
Noble Finance II LLC, Senior Notes
8.000%
4/15/30
380,000
 
395,722
 (a)
WBI Operating LLC, Senior Notes
6.500%
10/15/33
400,000
 
406,730
 (a)
Total Energy Equipment & Services
1,600,576
Oil, Gas & Consumable Fuels — 10.4%
Chord Energy Corp., Senior Notes
6.000%
10/1/30
300,000
 
306,591
 (a)
Chord Energy Corp., Senior Notes
6.750%
3/15/33
750,000
 
779,475
 (a)
Crescent Energy Finance LLC, Senior Notes
9.250%
2/15/28
332,000
 
341,851
 (a)
Crescent Energy Finance LLC, Senior Notes
7.375%
1/15/33
1,380,000
 
1,371,940
 (a)
Ecopetrol SA, Senior Notes
5.875%
5/28/45
990,000
 
745,941
 
Granite Ridge Resources Inc., Senior Notes
8.875%
11/5/29
910,000
 
877,581
 (a)
Howard Midstream Energy Partners LLC, Senior Notes
6.625%
1/15/34
350,000
 
361,919
 (a)
Northern Oil & Gas Inc., Senior Notes
7.875%
10/15/33
480,000
 
491,031
 (a)
Occidental Petroleum Corp., Senior Notes
6.200%
3/15/40
540,000
 
563,205
 
Petroleos del Peru SA, Senior Notes
4.750%
6/19/32
560,000
 
410,077
 (a)
Rockies Express Pipeline LLC, Senior Notes
6.750%
3/15/33
10,000
 
10,577
 (a)
Rockies Express Pipeline LLC, Senior Notes
7.500%
7/15/38
570,000
 
623,850
 (a)
Rockies Express Pipeline LLC, Senior Notes
6.875%
4/15/40
180,000
 
185,510
 (a)
Summit Midstream Holdings LLC, Senior Secured Notes
8.625%
10/31/29
150,000
 
157,094
 (a)
Sunoco LP, Junior Subordinated Notes (7.875% to 9/18/30 then 5 year
Treasury Constant Maturity Rate + 4.230%)
7.875%
9/18/30
786,000
 
813,074
 (a)(d)(e)
Sunoco LP, Senior Notes
5.625%
3/15/31
390,000
 
393,536
 (a)
Venture Global LNG Inc., Junior Subordinated Notes (9.000% to
9/30/29 then 5 year Treasury Constant Maturity Rate + 5.440%)
9.000%
9/30/29
2,130,000
 
1,864,412
 (a)(d)(e)
Venture Global LNG Inc., Senior Secured Notes
7.000%
1/15/30
270,000
 
274,046
 (a)
Venture Global LNG Inc., Senior Secured Notes
9.875%
2/1/32
240,000
 
254,442
 (a)
Venture Global Plaquemines LNG LLC, Senior Secured Notes
6.500%
6/15/34
100,000
 
105,046
 (a)
Venture Global Plaquemines LNG LLC, Senior Secured Notes
7.750%
5/1/35
460,000
 
521,995
 (a)
Venture Global Plaquemines LNG LLC, Senior Secured Notes
6.750%
1/15/36
290,000
 
309,084
 (a)
Vermilion Energy Inc., Senior Notes
6.875%
5/1/30
390,000
 
395,761
 (a)
Vermilion Energy Inc., Senior Notes
7.250%
2/15/33
160,000
 
156,596
 (a)
Western Midstream Operating LP, Senior Notes
4.050%
2/1/30
180,000
 
177,869
 
Western Midstream Operating LP, Senior Notes
5.300%
3/1/48
540,000
 
477,473
 
Western Midstream Operating LP, Senior Notes
5.250%
2/1/50
920,000
 
799,513
 
Williams Cos. Inc., Senior Notes
7.500%
1/15/31
330,000
 
377,323
 
Williams Cos. Inc., Senior Notes
5.750%
6/24/44
1,620,000
 
1,650,215
 
Total Oil, Gas & Consumable Fuels
15,797,027
 
Total Energy
17,397,603
See Notes to Schedule of Investments.
3
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
February 28, 2026
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Financials — 7.5%
Banks — 2.4%
BNP Paribas SA, Junior Subordinated Notes (7.750% to 8/16/29 then
5 year Treasury Constant Maturity Rate + 4.899%)
7.750%
8/16/29
810,000
 
 $862,683
 (a)(d)(e)
Citigroup Inc., Junior Subordinated Notes (6.625% to 2/15/31 then 5
year Treasury Constant Maturity Rate + 3.001%)
6.625%
2/15/31
270,000
 
279,295
 (d)(e)
Citigroup Inc., Junior Subordinated Notes (6.950% to 2/15/30 then 5
year Treasury Constant Maturity Rate + 2.726%)
6.950%
2/15/30
230,000
 
237,006
 (d)(e)
Lloyds Banking Group PLC, Junior Subordinated Notes (8.000% to
3/27/30 then 5 year Treasury Constant Maturity Rate + 3.913%)
8.000%
9/27/29
2,030,000
 
2,206,649
 (d)(e)
Total Banks
3,585,633
Capital Markets — 0.7%
Credit Suisse AG AT1 Claim
—
—
6,220,000
 
0
 *(f)(g)(h)
StoneX Escrow Issuer LLC, Secured Notes
6.875%
7/15/32
140,000
 
145,391
 (a)
StoneX Group Inc., Secured Notes
7.875%
3/1/31
370,000
 
393,047
 (a)
UBS Group AG, Junior Subordinated Notes (9.250% to 11/13/28 then
5 year Treasury Constant Maturity Rate + 4.745%)
9.250%
11/13/28
540,000
 
589,038
 (a)(d)(e)
Total Capital Markets
1,127,476
Consumer Finance — 0.8%
EZCORP Inc., Senior Notes
7.375%
4/1/32
360,000
 
386,438
 (a)
Midcap Financial Issuer Trust, Junior Subordinated Notes (3 mo. Term
SOFR + 3.750%)
7.422%
1/15/56
760,000
 
749,103
 (a)(e)
Total Consumer Finance
1,135,541
Financial Services — 1.3%
Capstone Borrower Inc., Senior Secured Notes
8.000%
6/15/30
140,000
 
121,889
 (a)
Jane Street Group/JSG Finance Inc., Senior Secured Notes
7.125%
4/30/31
730,000
 
759,938
 (a)
VFH Parent LLC/Valor Co-Issuer Inc., Senior Secured Notes
7.500%
6/15/31
370,000
 
386,171
 (a)
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior
Notes
7.875%
5/1/27
510,000
 
511,660
 (a)
VistaJet Malta Finance PLC/Vista Management Holding Inc., Senior
Notes
6.375%
2/1/30
270,000
 
251,477
 (a)
Total Financial Services
2,031,135
Insurance — 1.5%
Acrisure LLC/Acrisure Finance Inc., Senior Secured Notes
6.750%
7/1/32
150,000
 
147,233
 (a)
APH Somerset Investor 2 LLC/APH2 Somerset Investor 2 LLC/APH3
Somerset Investor 2 LLC, Senior Notes
7.875%
11/1/29
740,000
 
717,589
 (a)
Asurion LLC/Asurion Co-Issuer Inc., Senior Secured Notes
8.000%
12/31/32
1,070,000
 
1,124,750
 (a)
Asurion LLC/Asurion Co-Issuer Inc., Senior Secured Notes
8.375%
2/1/34
280,000
 
278,820
 (a)
Total Insurance
2,268,392
Mortgage Real Estate Investment Trusts (REITs) — 0.8%
Apollo Commercial Real Estate Finance Inc., Senior Secured Notes
4.625%
6/15/29
230,000
 
229,027
 (a)
Arbor Realty SR Inc., Senior Notes
8.500%
12/15/28
580,000
 
564,760
 (a)
Starwood Property Trust Inc., Senior Notes
7.250%
4/1/29
370,000
 
388,169
 (a)
Total Mortgage Real Estate Investment Trusts (REITs)
1,181,956
 
Total Financials
11,330,133
Health Care — 8.3%
Health Care Providers & Services — 5.2%
CHS/Community Health Systems Inc., Secured Notes
6.875%
4/15/29
690,000
 
667,221
 (a)
CHS/Community Health Systems Inc., Secured Notes
6.125%
4/1/30
170,000
 
150,474
 (a)
See Notes to Schedule of Investments.
4
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Health Care Providers & Services — continued
CHS/Community Health Systems Inc., Senior Secured Notes
4.750%
2/15/31
1,510,000
 
 $1,386,612
 (a)
CHS/Community Health Systems Inc., Senior Secured Notes
10.875%
1/15/32
1,368,000
 
1,484,247
 (a)
CHS/Community Health Systems Inc., Senior Secured Notes
9.750%
1/15/34
420,000
 
443,129
 (a)
HCA Inc., Senior Notes
7.500%
11/15/95
1,000,000
 
1,087,812
 
LifePoint Health Inc., Senior Notes
10.000%
6/1/32
210,000
 
219,293
 (a)
LifePoint Health Inc., Senior Secured Notes
9.875%
8/15/30
10,000
 
10,682
 (a)
LifePoint Health Inc., Senior Secured Notes
11.000%
10/15/30
470,000
 
511,065
 (a)
Sotera Health Holdings LLC, Senior Secured Notes
7.375%
6/1/31
370,000
 
389,783
 (a)
TEAM Services Holding Inc., Senior Secured Notes
9.000%
2/15/33
340,000
 
332,847
 (a)
Tenet Healthcare Corp., Senior Notes
6.125%
10/1/28
882,000
 
884,552
 
Tenet Healthcare Corp., Senior Notes
6.875%
11/15/31
250,000
 
273,568
 
U.S. Renal Care Inc., Senior Secured Notes
10.625%
6/28/28
161,000
 
134,435
 (a)
Total Health Care Providers & Services
7,975,720
Health Care Technology — 0.5%
AthenaHealth Group Inc., Senior Notes
6.500%
2/15/30
770,000
 
724,732
 (a)
Pharmaceuticals — 2.6%
1261229 BC Ltd., Senior Secured Notes
10.000%
4/15/32
1,178,000
 
1,219,239
 (a)
Bausch Health Cos. Inc., Senior Notes
6.250%
2/15/29
140,000
 
110,775
 (a)
Bausch Health Cos. Inc., Senior Secured Notes
4.875%
6/1/28
294,000
 
273,880
 (a)
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
5.125%
5/9/29
1,610,000
 
1,628,805
 
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes
4.100%
10/1/46
920,000
 
707,723
 
Total Pharmaceuticals
3,940,422
 
Total Health Care
12,640,874
Industrials — 9.8%
Aerospace & Defense — 1.5%
Bombardier Inc., Senior Notes
7.500%
2/1/29
290,000
 
301,731
 (a)
Bombardier Inc., Senior Notes
7.250%
7/1/31
1,540,000
 
1,640,351
 (a)
TransDigm Inc., Senior Secured Notes
7.125%
12/1/31
370,000
 
388,256
 (a)
Total Aerospace & Defense
2,330,338
Building Products — 0.2%
Masterbrand Inc., Senior Notes
7.000%
7/15/32
230,000
 
231,666
 (a)
Commercial Services & Supplies — 4.0%
CoreCivic Inc., Senior Notes
4.750%
10/15/27
20,000
 
20,019
 
CoreCivic Inc., Senior Notes
8.250%
4/15/29
1,420,000
 
1,477,604
 
GEO Group Inc., Senior Notes
10.250%
4/15/31
690,000
 
741,347
 
GEO Group Inc., Senior Secured Notes
8.625%
4/15/29
360,000
 
375,412
 
Madison IAQ LLC, Senior Notes
5.875%
6/30/29
560,000
 
559,107
 (a)
Neptune Bidco US Inc., Senior Secured Notes
10.375%
5/15/31
750,000
 
757,608
 (a)
Neptune Bidco US Inc., Senior Secured Notes
9.500%
2/15/33
210,000
 
205,808
 (a)
RB Global Holdings Inc., Senior Notes
7.750%
3/15/31
730,000
 
759,868
 (a)
RR Donnelley & Sons Co., Secured Notes
10.875%
8/1/29
100,000
 
102,479
 (a)
RR Donnelley & Sons Co., Senior Secured Notes
9.500%
8/1/29
940,000
 
969,515
 (a)
Total Commercial Services & Supplies
5,968,767
Construction & Engineering — 1.1%
Arcosa Inc., Senior Notes
6.875%
8/15/32
210,000
 
220,462
 (a)
Tutor Perini Corp., Senior Notes
11.875%
4/30/29
1,350,000
 
1,481,547
 (a)
Total Construction & Engineering
1,702,009
See Notes to Schedule of Investments.
5
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
February 28, 2026
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Ground Transportation — 0.9%
Carriage Purchaser Inc., Senior Notes
7.875%
10/15/29
1,460,000
 
 $1,425,239
 (a)
Machinery — 0.7%
Columbus McKinnon Corp., Senior Secured Notes
7.125%
2/1/33
160,000
 
164,601
 (a)
Park-Ohio Industries Inc., Senior Secured Notes
8.500%
8/1/30
510,000
 
529,914
 (a)
Titan International Inc., Senior Secured Notes
7.000%
4/30/28
380,000
 
381,789
 
Total Machinery
1,076,304
Passenger Airlines — 0.9%
American Airlines Inc., Senior Secured Notes
7.250%
2/15/28
670,000
 
683,232
 (a)
JetBlue Airways Corp./JetBlue Loyalty LP, Senior Secured Notes
9.875%
9/20/31
610,000
 
620,462
 (a)
Total Passenger Airlines
1,303,694
Trading Companies & Distributors — 0.5%
Herc Holdings Inc., Senior Notes
7.000%
6/15/30
250,000
 
262,136
 (a)
Herc Holdings Inc., Senior Notes
7.250%
6/15/33
500,000
 
528,858
 (a)
Total Trading Companies & Distributors
790,994
 
Total Industrials
14,829,011
Information Technology — 4.8%
Communications Equipment — 0.5%
Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes
9.000%
9/15/29
750,000
 
796,817
 (a)
Electronic Equipment, Instruments & Components — 0.8%
EquipmentShare.com Inc., Secured Notes
8.625%
5/15/32
570,000
 
610,409
 (a)
EquipmentShare.com Inc., Secured Notes
8.000%
3/15/33
540,000
 
574,282
 (a)
Total Electronic Equipment, Instruments & Components
1,184,691
IT Services — 1.1%
APLD ComputeCo LLC, Senior Secured Notes
9.250%
12/15/30
280,000
 
294,107
 (a)
CoreWeave Inc., Senior Notes
9.250%
6/1/30
950,000
 
931,465
 (a)
Shift4 Payments LLC/Shift4 Payments Finance Sub Inc., Senior Notes
6.750%
8/15/32
370,000
 
362,462
 (a)
Total IT Services
1,588,034
Semiconductors & Semiconductor Equipment — 0.3%
Qnity Electronics Inc., Senior Notes
6.250%
8/15/33
450,000
 
467,797
 (a)
Software — 1.9%
Cloud Software Group Inc., Secured Notes
9.000%
9/30/29
370,000
 
362,728
 (a)
Cloud Software Group Inc., Senior Secured Notes
8.250%
6/30/32
2,180,000
 
2,183,690
 (a)
Cloud Software Group Inc., Senior Secured Notes
6.625%
8/15/33
270,000
 
254,953
 (a)
Total Software
2,801,371
Technology Hardware, Storage & Peripherals — 0.2%
Black Pearl Compute LLC, Senior Secured Notes
6.125%
2/15/31
140,000
 
143,458
 (a)
Diebold Nixdorf Inc., Senior Secured Notes
7.750%
3/31/30
220,000
 
232,589
 (a)
Total Technology Hardware, Storage & Peripherals
376,047
 
Total Information Technology
7,214,757
Materials — 4.0%
Chemicals — 0.6%
Celanese US Holdings LLC, Senior Notes
7.000%
2/15/31
160,000
 
164,892
 
Cerdia Finanz GmbH, Senior Secured Notes
9.375%
10/3/31
600,000
 
615,000
 (a)
Orbia Advance Corp. SAB de CV, Senior Notes
2.875%
5/11/31
220,000
 
182,739
 (i)
Total Chemicals
962,631
Containers & Packaging — 0.5%
Canpack SA/Canpack US LLC, Senior Notes
3.875%
11/15/29
810,000
 
775,458
 (a)
See Notes to Schedule of Investments.
6
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Metals & Mining — 2.9%
Capstone Copper Corp., Senior Notes
6.750%
3/31/33
370,000
 
 $382,638
 (a)
First Quantum Minerals Ltd., Senior Notes
8.625%
6/1/31
1,000,000
 
1,049,324
 (a)
First Quantum Minerals Ltd., Senior Notes
8.000%
3/1/33
1,180,000
 
1,261,262
 (a)
First Quantum Minerals Ltd., Senior Notes
7.250%
2/15/34
320,000
 
335,304
 (a)
First Quantum Minerals Ltd., Senior Notes
6.375%
2/15/36
210,000
 
210,841
 (a)
Freeport-McMoRan Inc., Senior Notes
5.450%
3/15/43
1,120,000
 
1,108,756
 
Total Metals & Mining
4,348,125
 
Total Materials
6,086,214
Real Estate — 3.4%
Diversified REITs — 1.4%
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes
5.000%
10/15/27
310,000
 
303,947
 
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes
3.692%
6/5/28
100,000
 GBP
122,134
 
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes
4.625%
8/1/29
640,000
 
553,527
 
MPT Operating Partnership LP/MPT Finance Corp., Senior Secured
Notes
8.500%
2/15/32
510,000
 
546,211
 (a)
Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC, Senior Notes
8.625%
6/15/32
500,000
 
507,529
 (a)
Total Diversified REITs
2,033,348
Health Care REITs — 0.4%
Diversified Healthcare Trust, Senior Notes
4.375%
3/1/31
346,000
 
313,215
 
Diversified Healthcare Trust, Senior Secured Notes
7.250%
10/15/30
320,000
 
333,163
 (a)
Total Health Care REITs
646,378
Real Estate Management & Development — 0.7%
Add Hero Holdings Ltd., Senior Secured Notes (7.500% Cash or
8.500% PIK)
8.500%
9/30/29
108,284
 
5,663
 (b)(i)
Add Hero Holdings Ltd., Senior Secured Notes (8.000% Cash or
9.000% PIK)
9.000%
9/30/30
88,190
 
1,323
 (b)(i)
Add Hero Holdings Ltd., Senior Secured Notes (8.800% Cash or
9.800% PIK)
9.800%
9/30/31
116,412
 
1,601
 (b)(i)
China Aoyuan Group Ltd., Senior Notes, Step bond (0.000% to
9/30/31 then 1.000%)
0.000%
3/30/2173
152,810
 
1,146
 (d)(i)
China Aoyuan Group Ltd., Senior Secured Notes (5.500% PIK)
5.500%
9/30/31
42,580
 
319
 (b)(i)
Country Garden Holdings Co. Ltd., Senior Secured Notes (2.500%
Cash or 5.000% PIK)
5.000%
12/31/32
634,367
 
88,811
 (b)(i)
Cushman & Wakefield US Borrower LLC, Senior Secured Notes
8.875%
9/1/31
210,000
 
222,405
 (a)
Five Point Operating Co. LP, Senior Notes
8.000%
10/1/30
740,000
 
766,851
 (a)
Total Real Estate Management & Development
1,088,119
Specialized REITs — 0.9%
Iron Mountain Inc., Senior Notes
7.000%
2/15/29
510,000
 
523,710
 (a)
Millrose Properties Inc., Senior Notes
6.375%
8/1/30
610,000
 
626,165
 (a)
Millrose Properties Inc., Senior Notes
6.250%
9/15/32
180,000
 
182,406
 (a)
Total Specialized REITs
1,332,281
 
Total Real Estate
5,100,126
Utilities — 1.5%
Electric Utilities — 1.1%
Alpha Generation LLC, Senior Notes
6.750%
10/15/32
220,000
 
229,024
 (a)
NRG Energy Inc., Senior Notes
6.000%
1/15/36
830,000
 
845,174
 (a)
Talen Energy Supply LLC, Senior Notes
6.500%
2/1/36
250,000
 
257,186
 (a)
See Notes to Schedule of Investments.
7
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
February 28, 2026
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Electric Utilities — continued
Vistra Operations Co. LLC, Senior Notes
7.750%
10/15/31
360,000
 
 $380,603
 (a)
Total Electric Utilities
1,711,987
Independent Power and Renewable Electricity Producers — 0.4%
Lightning Power LLC, Senior Secured Notes
7.250%
8/15/32
510,000
 
541,779
 (a)
 
Total Utilities
2,253,766
Total Corporate Bonds & Notes (Cost — $122,363,672)
128,823,402
Senior Loans — 7.8%
Communication Services — 1.0%
Interactive Media & Services — 0.4%
X Corp., Term Loan B3
9.500%
10/26/29
550,000
 
577,913
 (j)(k)
Media — 0.6%
iHeartCommunications Inc., Refinanced Term Loan B (1 mo. Term
SOFR + 5.889%)
9.562%
5/1/29
1,143,629
 
993,047
 (e)(j)(k)
 
Total Communication Services
1,570,960
Consumer Discretionary — 1.1%
Automobile Components — 0.3%
ABC Technologies Inc., Term Loan B
11.922-11.923%
1/2/40
528,858
 
528,858
 (e)(f)(g)(j)(k)
First Brands Group LLC, 2022 Incremental Term Loan (1 mo. Term
SOFR + 7.114%)
10.786%
3/30/27
266,320
 
1,011
 (e)(j)(k)
First Brands Group LLC, DIP Roll Up Term Loan (1 mo. Term SOFR +
7.000%)
10.671%
6/29/26
338,958
 
1,652
 (e)(j)(k)
First Brands Group LLC, USD DIP Term Loan (1 mo. Term SOFR +
10.000%)
13.671%
6/29/26
117,500
 
23,084
 (e)(j)(k)
Total Automobile Components
554,605
Diversified Consumer Services — 0.4%
WW International Inc., Take-Back Term Loan (3 mo. Term SOFR +
6.800%)
10.489%
6/24/30
666,836
 
572,645
 (e)(j)(k)(l)
Specialty Retail — 0.4%
Kodiak BP LLC, Initial Term Loan (1 mo. Term SOFR + 3.750%)
7.423%
12/4/31
230,000
 
230,307
 (e)(j)(k)
Petco Health & Wellness Co. Inc., 2026 Term Loan (1 mo. Term SOFR +
4.250%)
7.923%
1/22/31
350,000
 
337,312
 (e)(j)(k)
Total Specialty Retail
567,619
 
Total Consumer Discretionary
1,694,869
Consumer Staples — 0.3%
Beverages — 0.3%
Triton Water Holdings Inc., 2025 Refinancing Term Loan (3 mo. Term
SOFR + 2.250%)
5.922%
3/31/28
465,486
 
465,882
 (e)(j)(k)
 
Financials — 0.7%
Banks — 0.3%
Ascensus Group Holdings Inc., 2024 Term Loan B (1 mo. Term SOFR +
3.000%)
6.673%
11/24/32
490,842
 
480,205
 (e)(j)(k)
Consumer Finance — 0.1%
Blackhawk Network Holdings Inc., Term Loan B2 (1 mo. Term SOFR +
3.500%)
7.173%
3/12/29
205,471
 
204,290
 (e)(j)(k)
Financial Services — 0.1%
Nexus Buyer LLC, Amendment No. 10 Term Loan (1 mo. Term SOFR +
4.000%)
7.673%
7/31/31
99,750
 
95,910
 (e)(j)(k)
See Notes to Schedule of Investments.
8
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Insurance — 0.2%
Broadstreet Partners Inc., 2024 Term Loan B
—
6/13/31
230,000
 
 $220,848
 (l)
 
Total Financials
1,001,253
Health Care — 1.0%
Health Care Providers & Services — 0.8%
LifePoint Health Inc., Term Loan B (3 mo. Term SOFR + 3.750%)
7.422%
5/16/31
884,303
 
886,111
 (e)(j)(k)
Team Services Holding Inc., Term Loan
—
1/31/33
370,000
 
349,650
 (l)
Total Health Care Providers & Services
1,235,761
Health Care Technology — 0.2%
AthenaHealth Group Inc., Initial Term Loan (1 mo. Term SOFR +
2.750%)
6.423%
2/15/29
230,000
 
224,633
 (e)(j)(k)
 
Total Health Care
1,460,394
Industrials — 1.2%
Building Products — 0.3%
ACProducts Holdings Inc., Initial Term Loan (3 mo. Term SOFR +
4.512%)
8.184%
5/17/28
489,744
 
393,876
 (e)(j)(k)
Electrical Equipment — 0.1%
Osmose Utilities Services Inc., First Lien Initial Term Loan
—
6/23/28
130,000
 
126,141
 (l)
Passenger Airlines — 0.8%
Spirit Airlines LLC, Contingent DIP Facility
—
1/1/30
315,701
 
51,301
 *(m)
Spirit Airlines LLC, New Money Term Loan (1 mo. Term SOFR +
8.000%)
11.660%
1/2/40
254,925
 
248,552
 (e)(j)(k)
Spirit Airlines LLC, Roll Up Term Loan
—
10/14/26
828,641
 
725,061
 (l)
Spirit Airlines LLC, Second New Money Term Loan (1 mo. Term SOFR
+ 8.000%)
11.660%
7/14/26
63,223
 
61,643
 (e)(j)(k)
Spirit Airlines LLC, Third DIP New Money Term Loan (1 mo. Term SOFR
+ 8.000%)
11.660%
7/14/26
124,868
 
121,746
 (e)(j)(k)
Total Passenger Airlines
1,208,303
 
Total Industrials
1,728,320
Information Technology — 2.0%
Semiconductors & Semiconductor Equipment — 0.6%
VCI Asset Holdings 2 LLC, Initial Term Loan (6 mo. Term SOFR +
7.750%)
11.500%
2/6/31
850,000
 
866,999
 (e)(f)(g)(j)(k)(l)
Software — 1.4%
Cloudera Inc., Term Loan
—
10/8/28
190,000
 
168,558
 (l)
DCert Buyer Inc., Second Lien Initial Term Loan (1 mo. Term SOFR +
7.000%)
10.673%
2/19/29
500,000
 
404,585
 (e)(j)(k)
Modena Buyer LLC, Initial Term Loan (3 mo. Term SOFR + 4.250%)
7.917%
7/1/31
553,000
 
489,601
 (e)(j)(k)
X.Ai Corp., Initial Term Loan
12.500%
6/30/28
945,250
 
1,072,367
 (j)(k)
Total Software
2,135,111
Technology Hardware, Storage & Peripherals — 0.0%††
Vericast Corp., 2024 Extended Term Loan (3 mo. Term SOFR + 7.750%)
11.622%
6/14/30
32,063
 
31,042
 (e)(j)(k)
 
Total Information Technology
3,033,152
Materials — 0.5%
Chemicals — 0.2%
Hexion Holdings Corp., 2024 Refinancing Term Loan (1 mo. Term SOFR
+ 4.000%)
7.677%
3/15/29
363,932
 
357,823
 (e)(j)(k)(l)
See Notes to Schedule of Investments.
9
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
February 28, 2026
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
Maturity
Date
Face
Amount†
Value
 
Metals & Mining — 0.3%
Arctic Canadian Diamond Co. Ltd., Second Lien Term Loan (3 mo.
CORRA + 2.000%)
4.258%
6/30/26
940,350
 
 $445,160
 (e)(f)(g)(j)(k)
 
Total Materials
802,983
Total Senior Loans (Cost — $12,559,649)
11,757,813
Sovereign Bonds — 2.1%
Angola — 0.5%
 
Angolan Government International Bond, Senior Notes
8.000%
11/26/29
800,000
 
798,053
 (a)
Argentina — 0.3%
Provincia de Buenos Aires, Senior Notes
6.625%
9/1/37
45,920
 
36,524
 (a)
Provincia de Cordoba, Senior Notes
6.875%
2/1/29
410,000
 
401,800
 (a)
Total Argentina
438,324
Bahamas — 1.0%
 
Bahamas Government International Bond, Senior Notes
6.950%
11/20/29
1,500,000
 
1,536,000
 (a)
Dominican Republic — 0.3%
Dominican Republic International Bond, Senior Notes
13.625%
2/3/33
21,000,000
 DOP
437,746
 (i)
 
Total Sovereign Bonds (Cost — $2,676,711)
3,210,123
 
 
 
 
Shares
 
Common Stocks — 0.9%
Communication Services — 0.6%
Diversified Telecommunication Services — 0.6%
Altice France Luxco
48,656
912,195
 *(n)
 
Consumer Discretionary — 0.2%
Diversified Consumer Services — 0.2%
WW International Inc.
14,615
310,715
 *
 
Industrials — 0.0%††
Passenger Airlines — 0.0%††
Spirit Airlines LLC
14,655
7,035
 *(f)(o)
Spirit Aviation Holdings Inc.
8,907
4,275
 *
 
Total Industrials
11,310
Information Technology — 0.1%
Semiconductors & Semiconductor Equipment — 0.1%
VCI Asset Holdings 2 LLC
157,687
157,687
 *(f)(g)
 
Materials — 0.0%††
Metals & Mining — 0.0%††
Arctic Canadian Diamond Co. Ltd.
906
14,165
 *(f)(g)
 
Real Estate — 0.0%††
Real Estate Management & Development — 0.0%††
China Aoyuan Group Ltd.
38,203
370
 *(f)
Country Garden Holdings Co. Ltd.
5,250
237
 *(f)
 
Total Real Estate
607
Total Common Stocks (Cost — $965,987)
1,406,679
 
See Notes to Schedule of Investments.
10
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
 
Shares
Value
Preferred Stocks — 0.7%
Financials — 0.7%
Mortgage Real Estate Investment Trusts (REITs) — 0.7%
AGNC Investment Corp., Non Voting Shares (3 mo. Term SOFR +
4.959%)
8.615%
23,049
 $575,073
 (e)
Chimera Investment Corp., Non Voting Shares (3 mo. Term SOFR +
5.005%)
8.690%
7,274
159,955
 (e)
MFA Financial Inc., Non Voting Shares (3 mo. Term SOFR + 5.607%)
9.279%
13,294
303,901
 (e)
 
Total Preferred Stocks (Cost — $1,072,218)
1,038,929
 
 
 
Maturity
Date
Face
Amount†
 
Collateralized Mortgage Obligations(p) — 0.3%
LHOME Mortgage Trust, 2025-RTL1 M1 (Cost — $379,998)
7.023%
1/25/40
380,000
386,250
 (a)(e)
 
Convertible Bonds & Notes — 0.2%
Industrials — 0.1%
Aerospace & Defense — 0.1%
AeroVironment Inc., Senior Notes
0.000%
7/15/30
37,000
 
42,458
 
Voyager Technologies Inc., Senior Notes
0.750%
11/15/30
40,000
 
45,500
 (a)
 
Total Industrials
87,958
Real Estate — 0.1%
Real Estate Management & Development — 0.1%
China Aoyuan Group Ltd., Senior Notes
0.000%
9/30/28
13,656
 
171
 (i)
Country Garden Holdings Co. Ltd., Senior Notes
0.000%
12/31/31
1,314,242
 
160,365
 (i)
 
Total Real Estate
160,536
Total Convertible Bonds & Notes (Cost — $258,382)
248,494
 
 
 
Expiration
Date 
Rights
 
Rights — 0.0%††
Communication Services — 0.0%††
Diversified Telecommunication Services — 0.0%††
Altice France Luxco (Cost — $0)
—
3,913
62,996
 *
 
 
 
 
Warrants
 
Warrants — 0.0%††
Industrials — 0.0%††
Passenger Airlines — 0.0%††
Spirit Airlines LLC
3/12/30
797
 
382
 *(f)
Spirit Airlines LLC
3/12/30
33,991
 
16,316
 *(f)
Spirit Airlines LLC
3/12/30
16,644
 
7,989
 *(a)(f)(o)
 
Total Warrants (Cost — $679,506)
24,687
Total Investments before Short-Term Investments (Cost — $140,956,123)
146,959,373
See Notes to Schedule of Investments.
11
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
Schedule of Investments (unaudited) (cont’d)
February 28, 2026
 Western Asset High Yield Opportunity Fund Inc.
(Percentages shown based on Fund net assets)
Security
 
Rate
 
Shares
Value
Short-Term Investments — 3.1%
Western Asset Premier Institutional Government Reserves, Premium
Shares (Cost — $4,612,673)  
3.603%
4,612,673
 
 $4,612,673
 (q)(r)
Total Investments — 100.2% (Cost — $145,568,796)
151,572,046
Liabilities in Excess of Other Assets — (0.2)%
(266,556
)
Total Net Assets — 100.0%
$151,305,490
 
†
Face amount denominated in U.S. dollars, unless otherwise noted.
††
Represents less than 0.1%.
*
Non-income producing security.
(a)
Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.
(b)
Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities.
(c)
Securities traded on a when-issued or delayed delivery basis.
(d)
Security has no maturity date. The date shown represents the next call date.
(e)
Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
(f)
Security is fair valued in accordance with procedures approved by the Board of Directors (Note 1).
(g)
Security is valued using significant unobservable inputs (Note 1).
(h)
Value is less than $1.
(i)
Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of
the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the
Board of Directors.
(j)
Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.
(k)
Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower
prior to the disposition of a senior loan.
(l)
All or a portion of this loan has not settled as of February 28, 2026. Interest rates are not effective until settlement date. Interest rates shown, if any, are for
the settled portion of the loan.
(m)
The coupon payment on this security is currently in default as of February 28, 2026.
(n)
All or a portion of this security is pledged as collateral pursuant to the loan agreement.
(o)
Restricted security (Note 3).
(p)
Collateralized mortgage obligations are secured by an underlying pool of mortgages or mortgage pass-through certificates that are structured to direct
payments on underlying collateral to different series or classes of the obligations. The interest rate may change positively or inversely in relation to one or
more interest rates, financial indices or other financial indicators and may be subject to an upper and/or lower limit.
(q)
Rate shown is one-day yield as of the end of the reporting period.
(r)
In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding
voting securities of an issuer, or a company which is under common ownership or control with the Fund. At February 28, 2026, the total market value of
investments in Affiliated Companies was $4,612,673 and the cost was $4,612,673 (Note 2).
 
Abbreviation(s) used in this schedule:
CORRA
—
Canadian Overnight Repo Rate Average
DIP
—
Debtor-in-possession
DOP
—
Dominican Peso
EUR
—
Euro
GBP
—
British Pound
PIK
—
Payment-In-Kind
SOFR
—
Secured Overnight Financing Rate
USD
—
United States Dollar
See Notes to Schedule of Investments.
12
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
 Western Asset High Yield Opportunity Fund Inc.
At February 28, 2026, the Fund had the following open forward foreign currency contracts: 
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized
Appreciation
GBP
657,846
USD
886,400
BNP Paribas SA
4/16/26
 $294
EUR
1,667,930
USD
1,957,230
Citibank N.A.
4/16/26
18,542
GBP
86,000
USD
114,976
Morgan Stanley & Co. Inc.
4/16/26
941
Net unrealized appreciation on open forward foreign currency contracts
$19,777
 
Abbreviation(s) used in this table:
EUR
—
Euro
GBP
—
British Pound
USD
—
United States Dollar
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
13
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset High Yield Opportunity Fund Inc. (formerly Western Asset High Yield Defined Opportunity Fund Inc.) (the “Fund”) was incorporated in Maryland on July 20, 2010, 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’s primary investment objective is to provide high income. As a secondary investment objective, the Fund will seek capital appreciation. The Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in a portfolio of high-yield corporate fixed income securities with varying maturities. Corporate securities include those securities that are issued or originated by U.S. or foreign public or private corporations and other business entities.
The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (“ASC 946”). The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”), including, but not limited to, ASC 946.
(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services typically use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors (the “Board”).  
Pursuant to policies adopted by the Board, the Fund’s manager has been designated as the valuation designee and is responsible for the oversight of the daily valuation process. The Fund’s manager is assisted by the Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Fund’s manager and the Board. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other
14
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
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 — unadjusted quoted prices in active markets for identical investments
•
Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
•
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets carried at fair value:
 
ASSETS
Description
Quoted Prices
(Level 1)
Other Significant
Observable Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Total
Long-Term Investments†:
Corporate Bonds & Notes:
Financials
—
 $11,330,133
 $0
*
 $11,330,133
Other Corporate Bonds & Notes
—
117,493,269
—
117,493,269
Senior Loans:
Consumer Discretionary
—
1,166,011
528,858
1,694,869
Information Technology
—
2,166,153
866,999
3,033,152
Materials
—
357,823
445,160
802,983
Other Senior Loans
—
6,226,809
—
6,226,809
Sovereign Bonds
—
3,210,123
—
3,210,123
Common Stocks:
Consumer Discretionary
 $310,715
—
—
310,715
Industrials
4,275
7,035
—
11,310
Information Technology
—
—
157,687
157,687
Materials
—
—
14,165
14,165
Other Common Stocks
—
912,802
—
912,802
Preferred Stocks
1,038,929
—
—
1,038,929
Collateralized Mortgage Obligations
—
386,250
—
386,250
Convertible Bonds & Notes
—
248,494
—
248,494
Rights
—
62,996
—
62,996
Warrants
—
24,687
—
24,687
Total Long-Term Investments
1,353,919
143,592,585
2,012,869
146,959,373
Short-Term Investments†
4,612,673
—
—
4,612,673
Total Investments
$5,966,592
$143,592,585
$2,012,869
$151,572,046
Other Financial Instruments:
Forward Foreign Currency Contracts††
—
 $19,777
—
 $19,777
Total
$5,966,592
$143,612,362
$2,012,869
$151,591,823
 
†
See Schedule of Investments for additional detailed categorizations.
*
Amount represents less than $1.
††
Reflects the unrealized appreciation (depreciation) of the instruments.
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Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
Notes to Schedule of Investments (unaudited) (cont’d)
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value: 
 
Investments in
Securities
Balance
as of
May 31, 2025
Accrued
premiums/
discounts
Realized
gain
(loss)
Change in
unrealized
appreciation
(depreciation)1
Purchases
Corporate Bonds &
Notes:
Financials
 $0
*
—
—
—
—
Health Care
0
*
—
 $607
—
—
Senior Loans:
Consumer
Discretionary
—
 $1,264
—
 $17,861
 $509,733
Information
Technology
—
—
—
19,875
847,124
Materials
894,767
—
—
(494,013
)
44,406
Common Stocks:
Information
Technology
—
—
—
—
157,687
Materials
18,905
—
—
(4,740
)
—
Total
$913,672
$1,264
$607
$(461,017
)
$1,558,950

 
Investments in
Securities (cont’d)
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance
as of
February 28, 2026
Net change
in unrealized
appreciation
(depreciation) for
investments
in securities
still held at
February 28, 20261
Corporate Bonds &
Notes:
Financials
—
—
—
 $0
*
—
Health Care
 $(607
)
—
—
0
*
—
Senior Loans:
Consumer
Discretionary
—
—
—
528,858
 $17,861
Information
Technology
—
—
—
866,999
19,875
Materials
—
—
—
445,160
(494,013
)
Common Stocks:
Information
Technology
—
—
—
157,687
—
Materials
—
—
—
14,165
(4,740
)
Total
$(607
)
—
—
$2,012,869
$(461,017
)
 
*
Amount represents less than $1.
1
Change in unrealized appreciation (depreciation) includes net unrealized appreciation (depreciation) resulting from changes in investment values during the
reporting period and the reversal of previously recorded unrealized appreciation (depreciation) when gains or losses are realized.
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended February 28, 2026. The following transactions were
16
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report
effected in such company for the period ended February 28, 2026.
 
 
Affiliate
Value at

May 31,
2025
Purchased
Sold
Cost
Shares
Proceeds
Shares
Western Asset Premier
Institutional Government
Reserves, Premium
Shares
 $4,739,340
 $51,128,287
51,128,287
 $51,254,954
51,254,954

 
(cont’d)
Realized
Gain (Loss)
Dividend
Income
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
Affiliate
Value at
February 28,
2026
Western Asset Premier
Institutional Government
Reserves, Premium Shares
—
 $77,769
—
 $4,612,673
3. Restricted securities
The following Fund investments are restricted as to resale and, in the absence of readily ascertainable market values, are fair valued in accordance with procedures approved by the Board.
 
Security
Number of
Shares/
Warrants
Acquisition
Date
Cost
Fair Value
at 2/28/2026
Value Per
Share/Warrant
Percent of
Net Assets
Spirit Airlines LLC, Common Shares
14,655
3/25
 $178,401
 $7,035
 $0.48
0.00
 %(a)
Spirit Airlines LLC, Warrants
16,644
3/25
202,613
7,989
(b)
0.48
0.01
Total
$381,014
$15,024
0.01
%
 
(a)
Amount represents less than 0.005%.
(b)
Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board.
17
Western Asset High Yield Opportunity Fund Inc. 2026 Quarterly Report