Edgar Filing: Western Asset High Yield Defined Opportunity Fund Inc.

Western Asset High Yield Defined Opportunity Fund Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22444

Western Asset High Yield Defined

Opportunity Fund Inc.

(Exact name of registrant as specified in charter)

620 Eighth Avenue, 49^th Floor, New York, NY 10018

(Address of principal executive offices) (Zip code)

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

Registrant’s telephone number, including area code: (888) 777-0102

Date of fiscal year end: May 31

Date of reporting period: February 28, 2018

ITEM 1.

SCHEDULE OF INVESTMENTS.

WESTERN ASSET HIGH YIELD DEFINED

OPPORTUNITY FUND INC.

FORM N-Q

FEBRUARY 28, 2018

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CORPORATE BONDS & NOTES - 81.0%
CONSUMER DISCRETIONARY - 13.9%
Auto Components - 1.1%
Adient Global Holdings Ltd., Senior Notes		4.875	%		8/15/26		2,470,000	$	2,420,600	^(a)
ZF North America Capital Inc., Senior Notes		4.750	%		4/29/25		1,500,000		1,548,750	^(a)

Total Auto Components									3,969,350

Diversified Consumer Services - 1.5%
Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes		9.250	%		5/15/23		1,127,000		1,229,839	^(a)
Service Corp. International, Senior Notes		7.500	%		4/1/27		1,030,000		1,203,812
VOC Escrow Ltd., Senior Secured Notes		5.000	%		2/15/28		2,060,000		2,013,650	^(a)
Weight Watchers International Inc., Senior Notes		8.625	%		12/1/25		970,000		1,053,663	^(a)

Total Diversified Consumer Services									5,500,964

Hotels, Restaurants & Leisure - 2.7%
Bossier Casino Venture Holdco Inc., Senior Secured Bonds (14.000% PIK)		14.000	%		2/9/23		1,060,385		1,060,385	^(a)(b)(c)(d)
Carrols Restaurant Group Inc., Secured Notes		8.000	%		5/1/22		1,490,000		1,564,500
Downstream Development Authority of the Quapaw Tribe of Oklahoma, Senior Secured Notes		10.500	%		2/15/23		1,870,000		1,927,970	^(a)
Golden Nugget Inc., Senior Notes		8.750	%		10/1/25		500,000		527,500	^(a)
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes		4.625	%		4/1/25		1,000,000		1,006,250
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes		4.875	%		4/1/27		1,310,000		1,313,275
Scientific Games International Inc., Senior Notes		10.000	%		12/1/22		880,000		958,100
Scientific Games International Inc., Senior Secured Notes		7.000	%		1/1/22		273,000		287,332	^(a)
Silversea Cruise Finance Ltd., Senior Secured Notes		7.250	%		2/1/25		812,000		870,870	^(a)
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Senior Secured Notes		5.875	%		5/15/25		800,000		754,000	^(a)

Total Hotels, Restaurants & Leisure									10,270,182

Media - 7.0%
Altice Luxembourg SA, Senior Secured Notes		7.750	%		5/15/22		3,830,000		3,585,837	^(a)
AMC Entertainment Holdings Inc., Senior Subordinated Notes		6.125	%		5/15/27		640,000		625,600
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		4.908	%		7/23/25		1,010,000		1,039,838
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes		6.484	%		10/23/45		640,000		723,406
DISH DBS Corp., Senior Notes		7.875	%		9/1/19		200,000		211,500
DISH DBS Corp., Senior Notes		5.875	%		7/15/22		480,000		469,800
DISH DBS Corp., Senior Notes		5.000	%		3/15/23		375,000		345,938
DISH DBS Corp., Senior Notes		5.875	%		11/15/24		590,000		555,338
DISH DBS Corp., Senior Notes		7.750	%		7/1/26		1,950,000		1,928,062
Meredith Corp., Senior Notes		6.875	%		2/1/26		790,000		816,662	^(a)
SFR Group SA, Senior Secured Bonds		6.000	%		5/15/22		750,000		729,375	^(a)
SFR Group SA, Senior Secured Bonds		6.250	%		5/15/24		560,000		523,600	^(a)
SFR Group SA, Senior Secured Notes		7.375	%		5/1/26		9,300,000		9,012,165	^(a)
Time Warner Cable LLC, Senior Notes		8.250	%		4/1/19		550,000		580,726
Univision Communications Inc., Senior Secured Notes		6.750	%		9/15/22		554,000		574,083	^(a)
UPC Holding BV, Senior Secured Notes		5.500	%		1/15/28		2,080,000		1,960,400	^(a)
Virgin Media Finance PLC, Senior Notes		6.375	%		4/15/23		1,260,000		1,297,800	^(a)
Virgin Media Finance PLC, Senior Notes		6.000	%		10/15/24		1,500,000		1,520,625	^(a)

Total Media									26,500,755

Specialty Retail - 1.4%
American Greetings Corp., Senior Notes		7.875	%		2/15/25		1,230,000		1,263,825	^(a)
Hertz Corp., Senior Notes		5.875	%		10/15/20		1,580,000		1,581,975
PetSmart Inc., Senior Notes		8.875	%		6/1/25		1,180,000		758,150	^(a)
PetSmart Inc., Senior Secured Notes		5.875	%		6/1/25		2,000,000		1,570,000	^(a)

Total Specialty Retail									5,173,950

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Textiles, Apparel & Luxury Goods - 0.2%
Hanesbrands Inc., Senior Notes		4.875	%		5/15/26		900,000	$	888,750	^(a)

TOTAL CONSUMER DISCRETIONARY									52,303,951

CONSUMER STAPLES - 1.8%
Beverages - 0.4%
Carolina Beverage Group LLC/Carolina Beverage Group Finance Inc., Secured Notes		10.625	%		8/1/18		900,000		904,500	^(a)
Cott Holdings Inc., Senior Notes		5.500	%		4/1/25		420,000		419,412	^(a)

Total Beverages									1,323,912

Food & Staples Retailing - 0.1%
Beverages & More Inc., Senior Secured Notes		11.500	%		6/15/22		470,000		439,450	^(a)

Food Products - 0.7%
Marfrig Holding Europe BV, Senior Notes		8.000	%		6/8/23		2,000,000		2,071,500	^(a)
Pilgrim’s Pride Corp., Senior Notes		5.875	%		9/30/27		500,000		487,400	^(a)

Total Food Products									2,558,900

Household Products - 0.4%
Central Garden & Pet Co., Senior Notes		6.125	%		11/15/23		570,000		598,500
Central Garden & Pet Co., Senior Notes		5.125	%		2/1/28		590,000		575,250
Spectrum Brands Inc., Senior Notes		6.625	%		11/15/22		460,000		476,675

Total Household Products									1,650,425

Tobacco - 0.2%
Alliance One International Inc., Secured Notes		9.875	%		7/15/21		820,000		794,375

TOTAL CONSUMER STAPLES									6,767,062

ENERGY - 15.5%
Energy Equipment & Services - 1.2%
Ensco PLC, Senior Notes		7.750	%		2/1/26		350,000		331,625
KCA Deutag UK Finance PLC, Senior Secured Notes		7.250	%		5/15/21		440,000		431,200	^(a)
KCA Deutag UK Finance PLC, Senior Secured Notes		9.875	%		4/1/22		1,480,000		1,565,100	^(a)
Precision Drilling Corp., Senior Notes		7.125	%		1/15/26		1,010,000		1,021,363	^(a)
Transocean Inc., Senior Notes		9.000	%		7/15/23		440,000		476,850	^(a)
Transocean Inc., Senior Notes		6.800	%		3/15/38		920,000		745,200

Total Energy Equipment & Services									4,571,338

Oil, Gas & Consumable Fuels - 14.3%
Andeavor Logistics LP/Tesoro Logistics Finance Corp., Senior Notes		6.375	%		5/1/24		340,000		365,925
Berry Petroleum Co., Senior Notes		7.000	%		2/15/26		440,000		448,800	^(a)
Berry Petroleum Co. Escrow		—			—		1,571,000		0	*^(c)(d)(e)
Berry Petroleum Co. Escrow		—			—		640,000		0	*^(c)(d)(e)
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes		6.125	%		11/15/22		1,920,000		1,977,600	^(a)
Calumet Specialty Products Partners LP/Calumet Finance Corp., Senior Secured Notes		11.500	%		1/15/21		910,000		1,022,612	^(a)
Carrizo Oil & Gas Inc., Senior Notes		7.500	%		9/15/20		169,000		172,591
Carrizo Oil & Gas Inc., Senior Notes		8.250	%		7/15/25		450,000		482,625
Cheniere Corpus Christi Holdings LLC, Senior Secured Notes		5.875	%		3/31/25		1,110,000		1,177,987
Chesapeake Energy Corp., Senior Notes		6.875	%		11/15/20		1,960,000		2,048,200
Chesapeake Energy Corp., Senior Notes		4.875	%		4/15/22		3,320,000		3,129,100

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Oil, Gas & Consumable Fuels - (continued)
Chesapeake Energy Corp., Senior Notes		5.750	%		3/15/23		320,000	$	294,400
Chesapeake Energy Corp., Senior Notes		8.000	%		1/15/25		890,000		881,100	^(a)
Chesapeake Energy Corp., Senior Notes		8.000	%		6/15/27		360,000		346,050	^(a)
Continental Resources Inc., Senior Notes		3.800	%		6/1/24		1,490,000		1,452,750
Continental Resources Inc., Senior Notes		4.900	%		6/1/44		1,400,000		1,354,500
Covey Park Energy LLC/Covey Park Finance Corp., Senior Notes		7.500	%		5/15/25		760,000		775,200	^(a)
Ecopetrol SA, Senior Notes		5.875	%		5/28/45		1,500,000		1,510,125
EP Energy LLC/Everest Acquisition Finance Inc., Senior Notes		6.375	%		6/15/23		2,080,000		1,133,600
Extraction Oil & Gas Inc., Senior Notes		5.625	%		2/1/26		750,000		735,938	^(a)
Genesis Energy LP/Genesis Energy Finance Corp., Senior Bonds		5.625	%		6/15/24		980,000		945,700
Kinder Morgan Inc., Medium-Term Notes		7.750	%		1/15/32		810,000		1,033,574
Magnum Hunter Resources Corp. Escrow		—			—		3,530,000		0	*^(c)(d)(e)
MEG Energy Corp., Senior Notes		7.000	%		3/31/24		3,310,000		2,838,325	^(a)
NGL Energy Partners LP/NGL Energy Finance Corp., Senior Notes		7.500	%		11/1/23		850,000		856,375
NGPL PipeCo LLC, Senior Bonds		4.875	%		8/15/27		800,000		810,000	^(a)
NGPL PipeCo LLC, Senior Notes		4.375	%		8/15/22		540,000		540,675	^(a)
NGPL PipeCo LLC, Senior Secured Notes		7.768	%		12/15/37		790,000		971,700	^(a)
Oasis Petroleum Inc., Senior Notes		7.250	%		2/1/19		1,490,000		1,493,725
Oasis Petroleum Inc., Senior Notes		6.500	%		11/1/21		2,140,000		2,188,150
Oasis Petroleum Inc., Senior Notes		6.875	%		1/15/23		1,553,000		1,589,884
Petrobras Global Finance BV, Senior Notes		5.999	%		1/27/28		1,340,000		1,321,575	^(a)
Petrobras Global Finance BV, Senior Notes		6.750	%		1/27/41		4,540,000		4,396,990
Rockies Express Pipeline LLC, Senior Notes		7.500	%		7/15/38		570,000		698,250	^(a)
Rockies Express Pipeline LLC, Senior Notes		6.875	%		4/15/40		590,000		694,725	^(a)
Sanchez Energy Corp., Senior Notes		7.750	%		6/15/21		860,000		825,600
Sanchez Energy Corp., Senior Notes		6.125	%		1/15/23		4,020,000		3,035,100
Shelf Drilling Holdings Ltd., Senior Notes		8.250	%		2/15/25		980,000		988,575	^(a)
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Bonds		5.250	%		5/1/23		60,000		61,013
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Bonds		5.375	%		2/1/27		1,600,000		1,606,000
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		6.750	%		3/15/24		500,000		532,500
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes		5.000	%		1/15/28		650,000		633,750	^(a)
Whiting Petroleum Corp., Senior Notes		6.250	%		4/1/23		1,390,000		1,409,112
Williams Cos. Inc., Debentures		7.500	%		1/15/31		330,000		400,950
Williams Cos. Inc., Senior Notes		3.700	%		1/15/23		430,000		419,788
Williams Cos. Inc., Senior Notes		4.550	%		6/24/24		530,000		536,625
Williams Cos. Inc., Senior Notes		5.750	%		6/24/44		1,620,000		1,729,350
WPX Energy Inc., Senior Notes		7.500	%		8/1/20		270,000		290,250
WPX Energy Inc., Senior Notes		6.000	%		1/15/22		710,000		740,175
WPX Energy Inc., Senior Notes		8.250	%		8/1/23		460,000		523,250
WPX Energy Inc., Senior Notes		5.250	%		9/15/24		400,000		402,000

Total Oil, Gas & Consumable Fuels									53,822,789

TOTAL ENERGY									58,394,127

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
FINANCIALS - 13.1%
Banks - 6.9%
Bank of America Corp., Junior Subordinated Notes (6.500% to 10/23/24 then 3 mo. USD LIBOR + 4.174%)		6.500	%		10/23/24		1,120,000	$	1,229,424	^(f)(g)
Barclays Bank PLC, Subordinated Notes		10.179	%		6/12/21		1,550,000		1,847,657	^(a)
Barclays Bank PLC, Subordinated Notes		7.625	%		11/21/22		1,950,000		2,174,250
Barclays PLC, Junior Subordinated Bonds (8.250% to 12/15/18 then USD 5 year Swap Rate + 6.705%)		8.250	%		12/15/18		340,000		353,499	^(f)(g)
BNP Paribas SA, Junior Subordinated Notes (7.375% to 8/19/25 then USD 5 year Swap Rate + 5.150%)		7.375	%		8/19/25		810,000		902,137	^(a)(f)(g)
CIT Group Inc., Senior Notes		5.000	%		8/15/22		110,000		113,713
CIT Group Inc., Senior Notes		5.000	%		8/1/23		360,000		370,800
Citigroup Inc., Junior Subordinated Bonds (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%)		6.300	%		5/15/24		3,080,000		3,246,166	^(f)(g)
Credit Agricole SA, Junior Subordinated Notes (8.375% to 10/13/19 then 3 mo. USD LIBOR + 6.982%)		8.375	%		10/13/19		660,000		713,625	^(a)(f)(g)
Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year Swap Rate + 6.185%)		8.125	%		12/23/25		1,330,000		1,559,425	^(a)(f)(g)
HSBC Holdings PLC, Junior Subordinated Bonds (6.375% to 9/17/24 then USD 5 year ICE Swap Rate + 3.705%)		6.375	%		9/17/24		290,000		304,816	^(f)(g)
HSBC Holdings PLC, Junior Subordinated Bonds (6.375% to 3/30/25 then USD 5 year ICE Swap Rate + 4.368%)		6.375	%		3/30/25		860,000		908,375	^(f)(g)
Hunt Cos. Inc., Senior Secured Notes		6.250	%		2/15/26		620,000		608,375	^(a)
Intesa Sanpaolo SpA, Senior Notes		3.875	%		7/14/27		2,440,000		2,333,182	^(a)
JPMorgan Chase & Co., Junior Subordinated Notes (6.100% to 10/1/24 then 3 mo. USD LIBOR + 3.330%)		6.100	%		10/1/24		1,000,000		1,062,750	^(f)(g)
Royal Bank of Scotland Group PLC, Junior Subordinated Notes (8.625% to 8/15/21 then USD 5 year Swap Rate + 7.598%)		8.625	%		8/15/21		610,000		675,575	^(f)(g)
Royal Bank of Scotland Group PLC, Junior Subordinated Notes, Medium-Term Notes (4.013% to 9/30/27 then 3 mo. USD LIBOR + 2.320%)		4.013	%		9/30/27		7,000,000		7,131,250	^(f)(g)
Royal Bank of Scotland NV, Subordinated Bonds		7.750	%		5/15/23		350,000		410,587

Total Banks									25,945,606

Capital Markets - 0.7%
Credit Suisse Group Funding Guernsey Ltd., Senior Notes		4.875	%		5/15/45		460,000		488,254
Donnelley Financial Solutions Inc., Senior Notes		8.250	%		10/15/24		890,000		938,950
Goldman Sachs Group Inc., Subordinated Notes		5.150	%		5/22/45		1,080,000		1,167,665

Total Capital Markets									2,594,869

Consumer Finance - 0.9%
Navient Corp., Medium-Term Notes, Senior Notes		8.450	%		6/15/18		920,000		933,800
TMX Finance LLC/TitleMax Finance Corp., Senior Secured Notes		8.500	%		9/15/18		2,630,000		2,531,375	^(a)

Total Consumer Finance									3,465,175

Diversified Financial Services - 4.3%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Bonds		4.625	%		7/1/22		360,000		373,868
ASP AMC Merger Subordinated Inc., Senior Notes		8.000	%		5/15/25		1,650,000		1,575,750	^(a)
DAE Funding LLC, Senior Notes		5.000	%		8/1/24		4,893,000		4,795,140	^(a)
Interface Special Holdings Inc., Senior Notes (19.000% PIK)		19.000	%		11/1/23		864,426		867,667	^(a)(b)
International Lease Finance Corp., Senior Notes		6.250	%		5/15/19		130,000		134,883
International Lease Finance Corp., Senior Notes		8.250	%		12/15/20		3,140,000		3,541,537
International Lease Finance Corp., Senior Notes		5.875	%		8/15/22		310,000		338,849
Park Aerospace Holdings Ltd., Senior Notes		4.500	%		3/15/23		360,000		348,300	^(a)
Park Aerospace Holdings Ltd., Senior Notes		5.500	%		2/15/24		4,190,000		4,221,425	^(a)

Total Diversified Financial Services									16,197,419

Insurance - 0.3%
Fidelity & Guaranty Life Holdings Inc., Senior Notes		6.375	%		4/1/21		620,000		630,075	^(a)
Genworth Holdings Inc., Senior Notes		4.900	%		8/15/23		760,000		657,400

Total Insurance									1,287,475

TOTAL FINANCIALS									49,490,544

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
HEALTH CARE - 8.5%
Biotechnology - 0.2%
AMAG Pharmaceuticals Inc., Senior Notes		7.875	%		9/1/23		660,000		$	654,225	^(a)

Health Care Equipment & Supplies - 0.5%
DJO Finco Inc./DJO Finance LLC/DJO Finance Corp., Secured Notes		8.125	%		6/15/21		1,190,000			1,160,250	^(a)
IDH Finance PLC, Senior Secured Notes		6.250	%		8/15/22		620,000	^GBP		793,613	^(h)

Total Health Care Equipment & Supplies										1,953,863

Health Care Providers & Services - 4.9%
Air Medical Group Holdings Inc., Senior Notes		6.375	%		5/15/23		540,000			515,700	^(a)
BioScrip Inc., First Lien Notes (1 mo. USD LIBOR + 7.000%)		8.224	%		6/30/22		1,369,000			1,427,183	^(c)(d)(g)(i)
BioScrip Inc., Senior Notes		8.875	%		2/15/21		820,000			768,750
Centene Corp., Senior Notes		5.625	%		2/15/21		630,000			646,538
Centene Corp., Senior Notes		6.125	%		2/15/24		370,000			389,425
Centene Corp., Senior Notes		4.750	%		1/15/25		1,580,000			1,575,062
CHS/Community Health Systems Inc., Senior Notes		8.000	%		11/15/19		7,140,000			6,728,629
DaVita Inc., Senior Notes		5.750	%		8/15/22		1,400,000			1,442,000
DaVita Inc., Senior Notes		5.000	%		5/1/25		1,750,000			1,721,562
HCA Inc., Debentures		7.500	%		11/15/95		1,000,000			1,032,500
Polaris Intermediate Corp., Senior Notes (8.500% PIK)		8.500	%		12/1/22		750,000			766,875	^(a)(b)
Tenet Healthcare Corp., Senior Notes		8.125	%		4/1/22		1,540,000			1,630,475

Total Health Care Providers & Services										18,644,699

Pharmaceuticals - 2.9%
Endo Finance LLC/Endo Finco Inc., Senior Notes		7.250	%		1/15/22		3,230,000			2,713,200	^(a)
Valeant Pharmaceuticals International Inc., Senior Notes		5.375	%		3/15/20		890,000			891,112	^(a)
Valeant Pharmaceuticals International Inc., Senior Notes		7.000	%		10/1/20		310,000			314,263	^(a)
Valeant Pharmaceuticals International Inc., Senior Notes		6.375	%		10/15/20		280,000			282,450	^(a)
Valeant Pharmaceuticals International Inc., Senior Notes		7.500	%		7/15/21		780,000			786,825	^(a)
Valeant Pharmaceuticals International Inc., Senior Notes		6.750	%		8/15/21		460,000			450,225	^(a)
Valeant Pharmaceuticals International Inc., Senior Notes		7.250	%		7/15/22		1,890,000			1,849,837	^(a)
Valeant Pharmaceuticals International Inc., Senior Notes		5.875	%		5/15/23		840,000			749,700	^(a)
Valeant Pharmaceuticals International Inc., Senior Notes		6.125	%		4/15/25		2,380,000			2,097,375	^(a)
Valeant Pharmaceuticals International Inc., Senior Secured Notes		7.000	%		3/15/24		670,000			707,688	^(a)

Total Pharmaceuticals										10,842,675

TOTAL HEALTH CARE										32,095,462

INDUSTRIALS - 5.4%
Aerospace & Defense - 0.2%
Heligear Acquisition Co., Senior Secured Bonds		10.250	%		10/15/19		620,000			641,616	^(a)

Air Freight & Logistics - 0.5%
XPO Logistics Inc., Senior Notes		6.500	%		6/15/22		880,000			917,400	^(a)
XPO Logistics Inc., Senior Notes		6.125	%		9/1/23		810,000			843,413	^(a)

Total Air Freight & Logistics										1,760,813

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Airlines - 0.2%
Delta Air Lines Inc., Pass-Through Certificates, Secured Notes		8.021	%		8/10/22		741,403	$	834,286

Building Products - 0.1%
Jeld-Wen Inc., Senior Notes		4.875	%		12/15/27		530,000		515,425	^(a)

Commercial Services & Supplies - 1.1%
Brink’s Co., Senior Notes		4.625	%		10/15/27		880,000		836,000	^(a)
CD&R Waterworks Merger Subordinated LLC, Senior Notes		6.125	%		8/15/25		450,000		446,625	^(a)
Garda World Security Corp., Senior Notes		7.250	%		11/15/21		540,000		548,100	^(a)
GFL Environmental Inc., Senior Notes		9.875	%		2/1/21		1,000,000		1,057,500	^(a)
GFL Environmental Inc., Senior Notes		5.375	%		3/1/23		160,000		160,600	^(a)
Monitronics International Inc., Senior Notes		9.125	%		4/1/20		800,000		700,000
Waste Pro USA Inc., Senior Notes		5.500	%		2/15/26		540,000		544,050	^(a)

Total Commercial Services & Supplies									4,292,875

Construction & Engineering - 0.2%
Brundage-Bone Concrete Pumping Inc., Senior Secured Notes		10.375	%		9/1/23		860,000		915,900	^(a)

Machinery - 1.1%
BlueLine Rental Finance Corp./BlueLine Rental LLC, Senior Secured Notes		9.250	%		3/15/24		2,610,000		2,828,587	^(a)
Cleaver-Brooks Inc., Senior Secured Notes		7.875	%		3/1/23		750,000		793,125	^(a)
Park-Ohio Industries Inc., Senior Notes		6.625	%		4/15/27		639,000		670,950

Total Machinery									4,292,662

Marine - 0.4%
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S. Inc., Senior Secured Notes		8.125	%		11/15/21		1,670,000		1,373,575	^(a)

Road & Rail - 1.1%
Flexi-Van Leasing Inc., Secured Notes		10.000	%		2/15/23		1,000,000		997,500	^(a)
Flexi-Van Leasing Inc., Senior Notes		7.875	%		8/15/18		3,030,000		3,040,757	^(a)

Total Road & Rail									4,038,257

Trading Companies & Distributors - 0.3%
Ahern Rentals Inc., Secured Notes		7.375	%		5/15/23		370,000		360,750	^(a)
Beacon Escrow Corp., Senior Notes		4.875	%		11/1/25		940,000		921,482	^(a)

Total Trading Companies & Distributors									1,282,232

Transportation - 0.2%
Neovia Logistics Services LLC/Logistics Intermediate Finance Corp., Senior Notes (10.000% Cash or 10.750% PIK)		10.000	%		4/1/20		1,065,946		463,687	^(a)(b)
Neovia Logistics Services LLC/SPL Logistics Finance Corp., Senior Secured Notes		8.875	%		8/1/20		150,000		119,250	^(a)

Total Transportation									582,937

TOTAL INDUSTRIALS									20,530,578

INFORMATION TECHNOLOGY - 2.5%
Internet Software & Services - 0.7%
Match Group Inc., Senior Notes		6.375	%		6/1/24		490,000		531,650
Match Group Inc., Senior Notes		5.000	%		12/15/27		2,030,000		2,050,807	^(a)

Total Internet Software & Services									2,582,457

IT Services - 0.1%
Vantiv LLC/Vanity Issuer Corp., Senior Notes		4.375	%		11/15/25		453,000		440,543	^(a)

Semiconductors & Semiconductor Equipment - 0.5%
Broadcom Corp./Broadcom Cayman Finance Ltd., Senior Notes		3.125	%		1/15/25		2,000,000		1,882,543

Software - 0.2%
j2 Cloud Services LLC/j2 Global Co.-Obligor Inc., Senior Notes		6.000	%		7/15/25		850,000		884,000	^(a)

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
Technology Hardware, Storage & Peripherals - 1.0%
Dell International LLC/EMC Corp., Senior Notes		7.125	%		6/15/24		520,000	$	559,821	^(a)
Seagate HDD Cayman, Senior Bonds		4.750	%		6/1/23		720,000		727,920
Seagate HDD Cayman, Senior Bonds		4.750	%		1/1/25		2,350,000		2,280,847
Seagate HDD Cayman, Senior Bonds		4.875	%		6/1/27		210,000		201,076

Total Technology Hardware, Storage & Peripherals									3,769,664

TOTAL INFORMATION TECHNOLOGY									9,559,207

MATERIALS - 7.5%
Chemicals - 0.2%
Venator Finance Sarl/Venator Materials Corp., Senior Notes		5.750	%		7/15/25		690,000		705,525	^(a)

Containers & Packaging - 2.1%
ARD Securities Finance Sarl, Senior Secured Notes (8.750% PIK)		8.750	%		1/31/23		1,830,000		1,907,775	^(a)(b)
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA Inc., Senior Notes		7.250	%		5/15/24		830,000		892,250	^(a)
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA Inc., Senior Notes		6.000	%		2/15/25		2,180,000		2,239,950	^(a)
Pactiv LLC, Senior Bonds		8.375	%		4/15/27		2,280,000		2,599,200
Pactiv LLC, Senior Notes		7.950	%		12/15/25		410,000		462,788

Total Containers & Packaging									8,101,963

Metals & Mining - 5.2%
Alcoa Nederland Holding BV, Senior Notes		6.750	%		9/30/24		500,000		538,750	^(a)
Alcoa Nederland Holding BV, Senior Notes		7.000	%		9/30/26		1,130,000		1,226,050	^(a)
Anglo American Capital PLC, Senior Notes		3.625	%		5/14/20		430,000		432,515	^(a)
Anglo American Capital PLC, Senior Notes		4.125	%		4/15/21		250,000		254,921	^(a)
Anglo American Capital PLC, Senior Notes		4.875	%		5/14/25		860,000		892,651	^(a)
ArcelorMittal SA, Senior Notes		7.250	%		10/15/39		2,020,000		2,504,194
First Quantum Minerals Ltd., Senior Notes		7.250	%		4/1/23		510,000		530,400	^(a)
First Quantum Minerals Ltd., Senior Notes		7.500	%		4/1/25		1,110,000		1,147,462	^(a)
FMG Resources (August 2006) Pty Ltd., Senior Secured Notes		9.750	%		3/1/22		520,000		575,063	^(a)
Freeport-McMoRan Inc., Senior Notes		3.100	%		3/15/20		10,000		9,938
Freeport-McMoRan Inc., Senior Notes		4.000	%		11/14/21		450,000		450,000
Freeport-McMoRan Inc., Senior Notes		6.750	%		2/1/22		320,000		330,800
Freeport-McMoRan Inc., Senior Notes		3.550	%		3/1/22		310,000		302,343
Freeport-McMoRan Inc., Senior Notes		6.875	%		2/15/23		770,000		833,525
Freeport-McMoRan Inc., Senior Notes		3.875	%		3/15/23		380,000		369,550
Freeport-McMoRan Inc., Senior Notes		5.450	%		3/15/43		1,270,000		1,231,900
HudBay Minerals Inc., Senior Notes		7.250	%		1/15/23		500,000		533,750	^(a)
HudBay Minerals Inc., Senior Notes		7.625	%		1/15/25		670,000		731,975	^(a)
Midwest Vanadium Pty Ltd., Senior Secured Notes		11.500	%		2/15/18		1,202,654		14,312	*^(a)(j)
Mirabela Nickel Ltd., Subordinated Notes (1.000% PIK)		1.000	%		9/10/44		13,687		0	^{(a)(b)(c)(d)(e)}
Northwest Acquisitions ULC/Dominion Finco Inc., Secured Notes		7.125	%		11/1/22		560,000		579,544	^(a)
Teck Resources Ltd., Senior Notes		8.500	%		6/1/24		1,970,000		2,196,550	^(a)
Teck Resources Ltd., Senior Notes		6.250	%		7/15/41		260,000		289,250
Vale Overseas Ltd., Senior Notes		6.875	%		11/21/36		2,220,000		2,680,650
Vale Overseas Ltd., Senior Notes		6.875	%		11/10/39		750,000		913,125

Total Metals & Mining									19,569,218

TOTAL MATERIALS									28,376,706

REAL ESTATE - 0.3%
Equity Real Estate Investment Trusts (REITs) - 0.3%
CoreCivic Inc., Senior Notes		4.125	%		4/1/20		130,000		130,650
CoreCivic Inc., Senior Notes		4.625	%		5/1/23		170,000		170,000
GEO Group Inc., Senior Notes		6.000	%		4/15/26		810,000		811,255

TOTAL REAL ESTATE									1,111,905

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
TELECOMMUNICATION SERVICES - 9.6%
Diversified Telecommunication Services - 3.9%
CenturyLink Inc., Senior Notes		7.650	%		3/15/42		1,870,000	$	1,636,250
Cogent Communications Group Inc., Senior Secured Notes		5.375	%		3/1/22		800,000		837,000	^(a)
Intelsat Jackson Holdings SA, Senior Notes		7.250	%		10/15/20		1,570,000		1,469,912
Intelsat Jackson Holdings SA, Senior Secured Notes		8.000	%		2/15/24		1,530,000		1,610,325	^(a)
Telecom Italia Capital SpA, Senior Notes		6.000	%		9/30/34		1,500,000		1,578,750
Telecom Italia SpA, Senior Notes		5.303	%		5/30/24		1,930,000		2,007,200	^(a)
Windstream Services LLC/Windstream Finance Corp., Senior Notes		7.750	%		10/15/20		6,265,000		5,419,225

Total Diversified Telecommunication Services									14,558,662

Wireless Telecommunication Services - 5.7%
Altice Financing SA, Senior Secured Bonds		7.500	%		5/15/26		1,530,000		1,545,300	^(a)
CSC Holdings LLC, Senior Notes		10.125	%		1/15/23		200,000		224,000	^(a)
CSC Holdings LLC, Senior Notes		6.625	%		10/15/25		1,190,000		1,252,475	^(a)
CSC Holdings LLC, Senior Notes		10.875	%		10/15/25		899,000		1,063,067	^(a)
Sprint Capital Corp., Senior Notes		6.875	%		11/15/28		4,288,000		4,105,760
Sprint Capital Corp., Senior Notes		8.750	%		3/15/32		130,000		141,375
Sprint Communications Inc., Senior Notes		9.000	%		11/15/18		2,220,000		2,306,025	^(a)
Sprint Communications Inc., Senior Notes		7.000	%		8/15/20		420,000		440,475
Sprint Communications Inc., Senior Notes		11.500	%		11/15/21		1,452,000		1,720,620
Sprint Corp., Senior Notes		7.875	%		9/15/23		3,160,000		3,278,500
Sprint Corp., Senior Notes		7.625	%		3/1/26		930,000		928,931
VEON Holdings BV, Senior Notes		7.504	%		3/1/22		800,000		890,312	^(h)
VEON Holdings BV, Senior Notes		7.504	%		3/1/22		520,000		578,703	^(a)
Vimpel Communications Via VIP Finance Ireland Ltd. OJSC, Senior Notes		7.748	%		2/2/21		2,730,000		3,017,644	^(a)

Total Wireless Telecommunication Services									21,493,187

TOTAL TELECOMMUNICATION SERVICES									36,051,849

UTILITIES - 2.9%
Electric Utilities - 1.6%
FirstEnergy Corp., Notes		7.375	%		11/15/31		1,260,000		1,665,047
NRG REMA LLC, Pass-Through Certificates, Senior Secured Bonds		9.681	%		7/2/26		2,060,000		1,268,187
Pampa Energia SA, Senior Notes		7.500	%		1/24/27		1,920,000		2,016,000	^(a)
Red Oak Power LLC, Secured Notes		9.200	%		11/30/29		1,000,000		1,140,000

Total Electric Utilities									6,089,234

Gas Utilities - 0.7%
Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Notes		5.875	%		3/1/27		2,430,000		2,351,025

Independent Power and Renewable Electricity Producers - 0.6%
Mirant Mid Atlantic LLC, Pass-Through Certificates, Secured Bonds		10.060	%		12/30/28		2,279,849		2,291,248

TOTAL UTILITIES									10,731,507

TOTAL CORPORATE BONDS & NOTES (Cost - $286,307,399)									305,412,898

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†		VALUE
CONVERTIBLE BONDS & NOTES - 1.1%
CONSUMER DISCRETIONARY - 0.4%
Media - 0.4%
DISH Network Corp., Senior Bonds		3.375	%		8/15/26		920,000	$	927,880
DISH Network Corp., Senior Notes		2.375	%		3/15/24		660,000		596,384	^(a)

TOTAL CONSUMER DISCRETIONARY									1,524,264

FINANCIALS - 0.1%
Banks - 0.1%
JPMorgan Chase Financial Co., LLC, Senior Notes		0.250	%		5/1/23		180,000		187,265

HEALTH CARE - 0.1%
Pharmaceuticals - 0.1%
Jazz Investments I Ltd., Senior Notes		1.500	%		8/15/24		200,000		190,759	^(a)

INFORMATION TECHNOLOGY - 0.5%
Internet Software & Services - 0.3%
Nutanix Inc., Senior Notes		0.000	%		1/15/23		390,000		402,778	^(a)
Twitter Inc., Senior Bonds		1.000	%		9/15/21		810,000		770,391

Total Internet Software & Services									1,173,169

Software - 0.2%
Workday Inc., Senior Notes		0.250	%		10/1/22		760,000		823,936	^(a)

TOTAL INFORMATION TECHNOLOGY									1,997,105

TOTAL CONVERTIBLE BONDS & NOTES (Cost - $3,905,657)									3,899,393

SENIOR LOANS - 5.3%
CONSUMER DISCRETIONARY - 2.7%
Auto Components - 0.5%
American Axle & Manufacturing Inc., Term Loan B (1 mo. LIBOR + 2.250%)		3.880	%		4/6/24		1,985,000		1,993,933	^(g)(k)(l)

Media - 0.6%
Charter Communications Operating LLC, 2017 Term Loan B (1 mo. LIBOR + 2.000%)		3.650	%		4/30/25		2,190,000		2,198,212	^(g)(k)(l)

Specialty Retail - 1.6%
PetSmart Inc., Term Loan B2 (1 mo. LIBOR + 3.000%)		4.570	%		3/11/22		6,553,404		5,372,428	^(g)(k)(l)
Spencer Gifts LLC, Second Lien Term Loan (1 mo. LIBOR + 8.250%)		9.840	%		6/29/22		900,000		553,500	^(c)(g)(k)(l)

Total Specialty Retail									5,925,928

TOTAL CONSUMER DISCRETIONARY									10,118,073

ENERGY - 0.2%
Energy Equipment & Services - 0.1%
Hercules Offshore Inc. (wind-down lender claim)		—			—		233,605		198,564	*^(c)

Oil, Gas & Consumable Fuels - 0.1%
Chesapeake Energy Corp., Term Loan (3 mo. LIBOR + 7.500%)		9.444	%		8/23/21		590,000		627,612	^(g)(k)(l)

TOTAL ENERGY									826,176

INDUSTRIALS - 1.0%
Air Freight & Logistics - 0.3%
Avolon TLB Borrower 1 (Luxembourg) SARL, Term Loan B2 (1 mo. LIBOR + 2.250%)		3.840	%		4/3/22		997,494		997,494	^(g)(k)(l)

Airlines - 0.4%
United Airlines Inc., 2017 Repriced Term Loan (3 mo. LIBOR + 2.000%)		3.772	%		4/1/24		1,500,000		1,509,563	^(g)(k)(l)

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Trading Companies & Distributors - 0.3%
Beacon Roofing Supply Inc., 2017 Term Loan B (1 mo. LIBOR + 2.250%)		3.830	%		1/2/25		1,160,000		$	1,166,796	^(g)(k)(l)

TOTAL INDUSTRIALS										3,673,853

INFORMATION TECHNOLOGY - 0.4%
IT Services - 0.4%
First Data Corp., 2024 USD Term Loan (1 mo. LIBOR + 2.250%)		3.871	%		4/26/24		1,500,000			1,504,594	^(g)(k)(l)

MATERIALS - 0.2%
Containers & Packaging - 0.2%
Reynolds Group Holdings Inc., USD 2017 Term Loan (1 mo. LIBOR + 2.750%)		4.398	%		2/5/23		1,000,000			1,005,812	^(g)(k)(l)

TELECOMMUNICATION SERVICES - 0.7%
Diversified Telecommunication Services - 0.7%
CenturyLink Inc., 2017 Term Loan B (1 mo. LIBOR + 2.750%)		4.398	%		1/31/25		1,290,000			1,271,940	^(g)(k)(l)
Unitymedia Finance LLC, Term Loan B (1 mo. LIBOR + 2.250%)		3.838	%		9/30/25		1,300,000			1,300,464	^(g)(k)(l)

TOTAL TELECOMMUNICATION SERVICES										2,572,404

UTILITIES - 0.1%
Electric Utilities - 0.1%
Panda Temple Power LLC, Second Lien Term Loan		—			3/4/22		343,487			350,357	^(m)

TOTAL SENIOR LOANS (Cost - $20,941,160)										20,051,269

SOVEREIGN BONDS - 8.0%
Argentina - 2.8%
Provincia de Buenos Aires, Senior Notes		7.875	%		6/15/27		2,600,000			2,709,486	^(a)
Republic of Argentina, Bonds		21.200	%		9/19/18		690,000	^ARS		37,433
Republic of Argentina, Bonds (Argentina Central Bank 7 Day Repo Reference Rate)		27.278	%		6/21/20		23,920,000	^ARS		1,297,153	^(g)
Republic of Argentina, Bonds		18.200	%		10/3/21		39,600,000	^ARS		1,988,737
Republic of Argentina, Senior Bonds		5.625	%		1/26/22		560,000			571,760
Republic of Argentina, Senior Bonds		7.500	%		4/22/26		1,500,000			1,605,750
Republic of Argentina, Senior Notes		6.875	%		1/26/27		790,000			803,833
Republic of Argentina, Senior Notes		5.875	%		1/11/28		1,500,000			1,404,562

Total Argentina										10,418,714

Brazil - 1.0%
Federative Republic of Brazil, Notes		10.000	%		1/1/21		566,000	^BRL		181,268
Federative Republic of Brazil, Notes		10.000	%		1/1/23		8,700,000	^BRL		2,774,480
Federative Republic of Brazil, Notes		10.000	%		1/1/27		2,446,000	^BRL		772,661

Total Brazil										3,728,409

Ecuador - 0.9%
Republic of Ecuador, Senior Bonds		10.750	%		3/28/22		2,050,000			2,321,625	^(a)
Republic of Ecuador, Senior Bonds		8.750	%		6/2/23		800,000			854,000	^(h)
Republic of Ecuador, Senior Bonds		7.950	%		6/20/24		290,000			298,337	^(h)

Total Ecuador										3,473,962

Nigeria - 0.1%
Republic of Nigeria, Senior Notes		7.625	%		11/28/47		570,000			586,824	^(a)

Poland - 1.3%
Republic of Poland, Bonds		4.000	%		10/25/23		16,100,000	^PLN		5,017,580

Russia - 1.4%
Russian Federal Bond, Bonds		8.150	%		2/3/27		90,000,000	^RUB		1,736,695
Russian Federal Bond, Bonds		7.050	%		1/19/28		195,050,000	^RUB		3,497,502

Total Russia										5,234,197

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			MATURITY DATE		FACE AMOUNT†			VALUE
Uruguay - 0.5%
Republic of Uruguay, Senior Bonds		8.500	%		3/15/28		54,810,000	^UYU	$	1,831,297	^(h)

TOTAL SOVEREIGN BONDS (Cost - $29,592,281)										30,290,983

U.S. GOVERNMENT & AGENCY OBLIGATIONS - 1.0%
U.S. Government Obligations - 1.0%
U.S. Treasury Notes		2.000	%		1/31/20		1,250,000			1,244,238
U.S. Treasury Notes		1.125	%		2/28/21		1,500,000			1,443,252
U.S. Treasury Notes		2.000	%		10/31/22		500,000			486,016
U.S. Treasury Notes		2.125	%		12/31/22		500,000			488,203

TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $3,680,335)										3,661,709


						SHARES
COMMON STOCKS - 1.1%
CONSUMER DISCRETIONARY - 0.3%
Hotels, Restaurants & Leisure - 0.3%
Bossier Casino Venture Holdco Inc.							68,957			1,292,944	*^(c)(d)

ENERGY - 0.7%
Energy Equipment & Services - 0.0%
Hercules Offshore Inc. (Escrow)							46,103			13,001	*^(c)(d)

Oil, Gas & Consumable Fuels - 0.7%
Berry Petroleum Co.							87,245			836,095	*
Blue Ridge Mountain Resources Inc.							183,339			1,650,051	*
MWO Holdings LLC							442			0	*^(c)(d)(e)

Total Oil, Gas & Consumable Fuels										2,486,146

TOTAL ENERGY										2,499,147

INDUSTRIALS - 0.0%
Road & Rail - 0.0%
Jack Cooper Enterprises Inc.							2,532			0	*^(a)(c)(d)(e)

UTILITIES - 0.1%
Electric Utilities - 0.1%
Panda Temple Power LLC							24,398			414,766	*^(c)

TOTAL COMMON STOCKS (Cost - $8,243,676)										4,206,857

CONVERTIBLE PREFERRED STOCKS - 0.3%
ENERGY - 0.3%
Oil, Gas & Consumable Fuels - 0.3%
Berry Petroleum Co. (6.000% Cash or 6.000% PIK)		6.000	%				94,963			1,099,985	^(b)
Berry Petroleum Co. (6.000% Cash or 6.000% PIK)		6.000	%				1,423			16,483	^(b)(i)

TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $884,960)										1,116,468

PREFERRED STOCKS - 0.5%
FINANCIALS - 0.5%
Consumer Finance - 0.5%
GMAC Capital Trust I (3 mo. USD LIBOR + 5.785%)(Cost - $1,714,352)		7.624	%				76,500			1,973,700	^(g)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $355,269,820)										370,613,277

See Notes to Schedule of Investments.

WESTERN ASSET HIGH YIELD DEFINED OPPORTUNITY FUND INC.


Schedule of investments (unaudited) (cont’d)		February 28, 2018


SECURITY	RATE			SHARES		VALUE
SHORT-TERM INVESTMENTS - 0.6%
State Street Institutional U.S. Government Money Market Fund, Premier Class (Cost - $2,408,415)		1.320	%		2,408,415	$	2,408,415

TOTAL INVESTMENTS - 98.9% (Cost - $357,678,235)							373,021,692
Other Assets in Excess of Liabilities - 1.1%							4,101,023

TOTAL NET ASSETS - 100.0%						$	377,122,715

†	Face amount denominated in U.S. dollars, unless otherwise noted.

*	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 debt securities.

(c)	Security is valued using significant unobservable inputs (See Note 1).

(d)	Security is valued in good faith in accordance with procedures approved by the Board of Directors (See Note 1).

(e)	Value is less than $1.

(f)	Security has no maturity date. The date shown represents the next call date.

(g)

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.

(h)

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.

(i)	Restricted security (See Note 2).

(j)	The maturity principal is currently in default as of February 28, 2018.

(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)	Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.

(m)	All or a portion of this loan is unfunded as of February 28, 2018. The interest rate for fully unfunded term loans is to be determined.

Abbreviations used in this schedule:



ARS		— Argentine Peso
BRL		— Brazilian Real
GBP		— British Pound
LIBOR		— London Interbank Offered Rate
OJSC		— Open Joint Stock Company
PLN		— Polish Zloty
RUB		— Russian Ruble
UYU		— Uruguayan Peso

At February 28, 2018, the Fund had the following open forward foreign currency contracts:


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	495,287		USD	605,630	Barclays Bank PLC		4/19/18	$	836
EUR	100,000		USD	124,865	Barclays Bank PLC		4/19/18		(2,417	)
PLN	500,000		USD	150,080	Barclays Bank PLC		4/19/18		(3,865	)
USD	534,390		GBP	388,963	Barclays Bank PLC		4/19/18		(2,284	)

Total								$	(7,730	)

Abbreviations used in this table:



EUR		— Euro
GBP		— British Pound
PLN		— Polish Zloty
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.

Notes to Schedule of Investments (unaudited)

1. Organization and significant accounting policies

Western Asset High Yield Defined Opportunity Fund Inc. (the “Fund”) was incorporated in Maryland on July 20, 2010 and is registered as a non-diversified, limited-term, 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 intends to liquidate on or about September 30, 2025 and distribute substantially all of its net assets to stockholders, after making appropriate provisions for any liabilities of the Fund.

The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Prior to December 1, 2017, short-term fixed income securities that would mature in 60 days or less were valued at amortized cost, unless it was determined that using this method would not reflect an investment’s fair value. 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 of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

Notes to Schedule of Investments (unaudited) (continued)

GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:

•

Level 1 – quoted prices in active markets for identical investments

•

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•

Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:


ASSETS
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTAL
Long-Term Investments†:
Corporate Bonds & Notes:
Consumer Discretionary		—	$	51,243,566	$	1,060,385		$	52,303,951
Energy		—		58,394,127		0	*		58,394,127
Health Care		—		30,668,279		1,427,183			32,095,462
Materials		—		28,376,706		0	*		28,376,706
Other Corporate Bonds & Notes		—		134,242,652		—			134,242,652
Convertible Bonds & Notes		—		3,899,393		—			3,899,393
Senior Loans:
Consumer Discretionary		—		9,564,573		553,500			10,118,073
Energy		—		627,612		198,564			826,176
Other Senior Loans		—		9,107,020		—			9,107,020
Sovereign Bonds		—		30,290,983		—			30,290,983
U.S. Government & Agency Obligations		—		3,661,709		—			3,661,709
Common Stocks:
Consumer Discretionary		—		—		1,292,944			1,292,944
Energy	$	1,650,051		836,095		13,001			2,499,147
Industrials		—		—		0	*		0	*
Utilities		—		—		414,766			414,766
Convertible Preferred Stocks		—		1,116,468		—			1,116,468
Preferred Stocks		1,973,700		—		—			1,973,700

Total Long-Term Investments		3,623,751		362,029,183		4,960,343			370,613,277

Short-Term Investments†		2,408,415		—		—			2,408,415

Total Investments	$	6,032,166	$	362,029,183	$	4,960,343		$	373,021,692

Other Financial Instruments:
Forward Foreign Currency Contracts		—	$	836		—		$	836

Total	$	6,032,166	$	362,030,019	$	4,960,343		$	373,022,528


LIABILITIES
DESCRIPTION	QUOTED PRICES (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)			TOTAL
Other Financial Instruments:
Forward Foreign Currency Contracts		—	$	8,566		—		$	8,566

†	See Schedule of Investments for additional detailed categorizations.

*	Amount represents less than $1.

Notes to Schedule of Investments (unaudited) (continued)

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:


	CORPORATE BONDS & NOTES
INVESTMENTS IN SECURITIES	CONSUMER DISCRETIONARY			ENERGY			HEALTH CARE			INDUSTRIALS			MATERIALS
Balance as of May 31, 2017	$	1,215,851		$	174,306			—		$	697,876		$	0	*
Accrued premiums/discounts		23,835			—		$	1,501			1,675			—
Realized gain (loss)		—			(875,275	)		—			—			—
Change in unrealized appreciation
(depreciation)¹		(23,835	)		967,444			70,372			(306	)		—
Purchases		115,016			—			1,355,310			—			—
Sales		(270,482	)		(266,475	)		—			(699,245	)		—
Transfers into Level 3²		—			—			—			—			—
Transfers out of Level 3³		—			—			—			—			—

Balance as of February 28, 2018	$	1,060,385		$	0	*	$	1,427,183			—		$	0	*

Net change in unrealized appreciation (depreciation) for investments in securities still held at February 28, 2018¹	$	(23,835	)		—		$	70,372			—			—


	SENIOR LOANS									COMMON STOCKS
INVESTMENTS IN SECURITIES (cont'd)	CONSUMER DISCRETIONARY			ENERGY			HEALTH CARE			CONSUMER DISCRETIONARY			ENERGY
Balance as of May 31, 2017	$	675,000		$	355,959		$	1,036,933		$	507,524		$	1,003,064
Accrued premiums/discounts		424			1,294			316			—			—
Realized gain (loss)		—			5,370			5,986			—			—
Change in unrealized appreciation
(depreciation)¹		(121,924	)		(4,875	)		(16,568	)		785,420			(153,968	)
Purchases		—			7,512			—			—			—
Sales		—			(365,260	)		(1,026,667	)		—			—
Transfers into Level 3²		—			198,564			—			—			—
Transfers out of Level 3³		—			—			—			—			(836,095	)

Balance as of February 28, 2018	$	553,500		$	198,564			—		$	1,292,944		$	13,001

Net change in unrealized appreciation (depreciation) for investments in securities still held at February 28, 2018¹	$	(121,924	)		—			—		$	785,420		$	(73,991	)



	COMMON STOCKS												CONVERTIBLE PREFERRED STOCKS
INVESTMENTS IN SECURITIES (cont'd)	HEALTH CARE			INDUSTRIALS			MATERIALS			UTILITIES			ENERGY			TOTAL
Balance as of May 31, 2017	$	169,575		$	0	*	$	0	*		—		$	1,277,114		$	7,113,202
Accrued premiums/discounts		—			—			—			—			—			29,045
Realized gain (loss)		63,314			—			(225,819	)		—			—			(1,026,424	)
Change in unrealized appreciation
(depreciation)¹		(62,919	)		—			225,819		$	(121,894	)		(160,646	)		1,382,120
Purchases		—			—			—			536,660			—			2,014,498
Sales		(169,970	)		—			(0	)*		—			—			(2,798,099	)
Transfers into Level 3²		—			—			—			—			—			198,564
Transfers out of Level 3³		—			—			—			—			(1,116,468	)		(1,952,563	)

Balance as of February 28, 2018		—		$	0	*		—		$	414,766			—		$	4,960,343

Net change in unrealized appreciation (depreciation) for investments in securities still held at February 28, 2018¹		—			—			—		$	(121,894	)		—		$	514,148

Notes to Schedule of Investments (unaudited) (continued)

The Fund’s policy is to recognize transfers between levels as of the end of the reporting period.

*	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	Transferred into Level 3 as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable inputs.

³	Transferred out of Level 3 as a result of the availability of a quoted price in an active market for an identical investment or the availability of other significant observable inputs.

2. Restricted securities

The following Fund investments are restricted as to resale.


Security	Number of Shares/Face Amount		Acquisition Date		Cost		Value at 2/28/2018			Value Per Share/Unit		Percent of Net Assets
Berry Petroleum Co., Convertible Preferred Stock		1,423		2/17	$	14,230	$	16,483		$	11.58		0.00	%
BioScrip Inc., First Lien Notes, 8.224%, due 6/30/22	$	1,369,000		6/17		1,356,811		1,427,183	^(a)		104.25		0.38

					$	1,371,041	$	1,443,666					0.38	%

(a)	Security is valued in good faith in accordance with procedures approved by the Board of Directors.

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 Yield Defined Opportunity Fund Inc.


By		/s/ JANE TRUST
		Jane Trust
		Chief Executive Officer

Date:		April 23, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By		/s/ JANE TRUST
		Jane Trust
		Chief Executive Officer

Date:		April 23, 2018

By		/s/ RICHARD F. SENNETT
		Richard F. Sennett
		Principal Financial Officer

Date:		April 23, 2018