Western Asset High Yield Defined Opportunity Fund Inc.

01/25/2022 | Press release | Distributed by Public on 01/25/2022 13:47

Semi-Annual Report by Investment Company (Form N-CSRS)

Western Asset High Yield Defined Opportunity Fund Inc.

Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22444

Western Asset High Yield Defined Opportunity Fund Inc.

(Exact name of registrant as specified in charter)

620 Eighth Avenue, 47th Floor, New York, NY 10018

(Address of principal executive offices) (Zip code)

George P. Hoyt

Franklin Templeton

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: November 30, 2021

Table of Contents

ITEM 1.

REPORT TO STOCKHOLDERS.

The Semi-Annual Report to Stockholders is filed herewith.

Table of Contents

Semi-Annual Report November 30, 2021

WESTERN ASSET

HIGH YIELD DEFINED OPPORTUNITY FUND INC. (HYI)

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE

Table of Contents

What's inside
Letter from the chairman III
Performance review IV
Fund at a glance 1
Schedule of investments 2
Statement of assets and liabilities 20
Statement of operations 21
Statements of changes in net assets 22
Financial highlights 23
Notes to financial statements 25
Additional shareholder information 39
Dividend reinvestment plan 40

Fund objectives

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 has a limited term and as a fundamental policy intends to liquidate and distribute substantially all of its net assets to stockholders after making appropriate provisions for any liabilities of the Fund on or about September 30, 2025.

II Western Asset High Yield Defined Opportunity Fund Inc.

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Letter from the chairman

Dear Shareholder,

We are pleased to provide the semi-annual report of Western Asset High Yield Defined Opportunity Fund Inc. for the six-month reporting period ended November 30, 2021. Please read on for Fund performance information during the Fund's reporting period.

As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.franklintempleton.com. Here you can gain immediate access to market and investment information, including:

•

Fund prices and performance,

•

Market insights and commentaries from our portfolio managers, and

•

A host of educational resources.

We look forward to helping you meet your financial goals.

Sincerely,

Jane Trust, CFA

Chairman, President and Chief Executive Officer

December 31, 2021

Western Asset High Yield Defined Opportunity Fund Inc. III

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Performance review

For the six months ended November 30, 2021, Western Asset High Yield Defined Opportunity Fund Inc. returned -0.01% based on its net asset value ("NAV")i and 2.55% based on its New York Stock Exchange ("NYSE") market price per share. The Fund's unmanaged benchmarks, the Bloomberg U.S. Corporate High Yield - 2% Issuer Cap Index B Componentii and the Bloomberg U.S. Corporate High Yield - 2% Issuer Cap Index Caa Componentiii, returned 0.47% and 0.91%, respectively, over the same time frame. The Lipper High Yield Closed-End Funds Category Averageiv returned 1.52% for the same period. Please note that Lipper performance returns are based on each fund's NAV.

During this six-month period, the Fund made distributions to shareholders totaling $0.57 per share. As of November 30, 2021, the Fund estimates that 85% of the distributions were sourced from net investment income and 15% constituted a return of capital.* The performance table shows the Fund's six-month total return based on its NAV and market price as of November 30, 2021. Past performance is no guarantee of future results.

Performance Snapshot as of November 30, 2021

(unaudited)

Price Per Share

6-Month

Total Return**

$ 15.33 (NAV) -0.01 %†
$ 15.31 (Market Price) 2.55 %‡

All figures represent past performance and are not a guarantee of future results. Performance figures for periods shorter than one year represent cumulative figures and are not annualized.

** Total returns are based on changes in NAV or market price, respectively. Returns reflect the deduction of all Fund expenses, including management fees, operating expenses, and other Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors may pay on distributions or the sale of shares.

† Total return assumes the reinvestment of all distributions, including returns of capital, if any, at NAV.

‡ Total return assumes the reinvestment of all distributions, including returns of capital, if any, in additional shares in accordance with the Fund's Dividend Reinvestment Plan.

*

These estimates are not for tax purposes. The Fund will issue a Form 1099 with final composition of the distributions for tax purposes after year-end. A return of capital is not taxable and results in a reduction in the tax basis of a shareholder's investment. For more information about a distribution's composition, please refer to the Fund's distribution press release or, if applicable, the Section 19 notice located in the press release section of our website, www.franklintempleton.com.

IV Western Asset High Yield Defined Opportunity Fund Inc.

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Performance review (cont'd)

Looking for additional information?

The Fund is traded under the symbol "HYI" and its closing market price is available in most newspapers under the NYSE listings. The daily NAV is available online under the symbol "XHYIX" on most financial websites. Barron's and The Wall Street Journal's Monday edition both carry closed-end fund tables that provide additional information. In addition, the Fund issues a quarterly press release that can be found on most major financial websites as well as www.franklintempleton.com.

In a continuing effort to provide information concerning the Fund, shareholders may call 1-888-777-0102 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for the Fund's current NAV, market price and other information.

Thank you for your investment in Western Asset High Yield Defined Opportunity Fund Inc. As always, we appreciate that you have chosen us to manage your assets and we remain focused on achieving the Fund's investment goals.

Sincerely,

Jane Trust, CFA

Chairman, President and Chief Executive Officer

December 31, 2021

RISKS: The Fund is a non-diversified, limited term, closed-end management investment company designed primarily as a long-term investment and not as a trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty inherent in all investments, there can be no assurance that the Fund will achieve its investment objective. The Fund's common stock is traded on the New York Stock Exchange. Similar to stocks, the Fund's share price will fluctuate with market conditions and, at the time of sale, may be worth more or less than the original investment. Shares of closed-end funds often trade at a discount to their net asset value. Because the Fund is non-diversified, it may be more susceptible to economic, political or regulatory events than a diversified fund. The Fund's investments are subject to a number of risks, including credit risk, inflation risk and interest rate risk. As interest rates rise, bond prices fall, reducing the value of the Fund's share price. The Fund may invest in lower-rated high-yield bonds, commonly known as "junk bonds," which are subject to greater liquidity and credit risk (risk of default) than higher-rated obligations. The Fund is also permitted purchases of equity securities. Equity securities generally have greater price volatility than fixed income securities. Investments in foreign securities involve risks, including the possibility of losses due to changes in currency exchange rates and negative developments in the political, economic, or regulatory structure of specific countries or regions. These risks are greater in emerging markets. Emerging market countries tend to have economic, political and legal systems that are less

Western Asset High Yield Defined Opportunity Fund Inc. V

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developed and are less stable than those of more developed countries. The Fund may make significant investments in derivative instruments. Derivative instruments can be illiquid, may disproportionately increase losses, and may have a potentially large impact on Fund performance. The Fund may also invest in securities or engage in transactions that have the economic effects of leverage which can increase the risk and volatility of the Fund. The Fund may also invest in money market funds, including funds affiliated with the Fund's manager and subadvisers.

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.

i

Net asset value ("NAV") is calculated by subtracting total liabilities, including liabilities associated with financial leverage (if any), from the closing value of all securities held by the Fund (plus all other assets) and dividing the result (total net assets) by the total number of the common shares outstanding. The NAV fluctuates with changes in the market prices of securities in which the Fund has invested. However, the price at which an investor may buy or sell shares of the Fund is the Fund's market price as determined by supply of and demand for the Fund's shares.

ii

The Bloomberg U.S. Corporate High Yield - 2% Issuer Cap Index B Component is an index of the 2% Issuer Cap component of the broader Bloomberg U.S. Corporate High Yield Index and is comprised of B-rated securities included in this index.

iii

The Bloomberg U.S. Corporate High Yield - 2% Issuer Cap Index Caa Component is an index of the 2% Issuer Cap component of the broader Bloomberg U.S. Corporate High Yield Index and is comprised of Caa-rated securities included in this index.

iv

Lipper, Inc., a wholly-owned subsidiary of Refinitiv, provides independent insight on global collective investments. Returns are based on the six-month period ended November 30, 2021, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 10 funds in the Fund's Lipper category.

VI Western Asset High Yield Defined Opportunity Fund Inc.

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Fund at a glance† (unaudited)

Investment breakdown (%) as a percent of total investments

†

The bar graph above represents the composition of the Fund's investments as of November 30, 2021 and May 31, 2021 and does not include derivatives, such as futures contracts and forward foreign currency contracts. The Fund is actively managed. As a result, the composition of the Fund's investments is subject to change at any time.

‡

Represents less than 0.1%.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 1

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Schedule of investments (unaudited)

November 30, 2021

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)

Security Rate

Maturity

Date

Face

Amount†

Value
Corporate Bonds & Notes - 86.7%
Communication Services - 15.7%

Diversified Telecommunication Services - 3.4%

Altice France Holding SA, Senior Notes

6.000 % 2/15/28 2,740,000 $ 2,565,215 (a)

Altice France Holding SA, Senior Secured Notes

10.500 % 5/15/27 3,190,000 3,436,970 (a)

Altice France SA, Senior Secured Notes

8.125 % 2/1/27 1,700,000 1,815,116 (a)

Altice France SA, Senior Secured Notes

5.500 % 10/15/29 860,000 831,577 (a)

Frontier Communications Holdings LLC, Secured Notes

6.750 % 5/1/29 1,640,000 1,690,840 (a)

Intelsat Jackson Holdings SA, Senior Secured Notes

8.000 % 2/15/24 1,530,000 1,559,774 (a)

Total Diversified Telecommunication Services

11,899,492

Entertainment - 1.2%

Allen Media LLC/Allen Media Co-Issuer Inc., Senior Notes

10.500 % 2/15/28 990,000 1,057,231 (a)

Netflix Inc., Senior Notes

5.875 % 11/15/28 670,000 802,955

Netflix Inc., Senior Notes

6.375 % 5/15/29 1,750,000 2,173,850

Total Entertainment

4,034,036

Media - 7.1%

CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes

5.125 % 5/1/27 1,233,000 1,271,223 (a)

CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes

5.000 % 2/1/28 3,250,000 3,353,090 (a)

CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes

4.500 % 8/15/30 100,000 100,970 (a)

Clear Channel Outdoor Holdings Inc., Senior Notes

7.500 % 6/1/29 2,110,000 2,171,601 (a)

DIRECTV Holdings LLC/DIRECTV Financing Co. Inc., Senior Secured Notes

5.875 % 8/15/27 1,070,000 1,090,731 (a)

DISH DBS Corp., Senior Notes

5.875 % 11/15/24 5,737,000 5,812,901

DISH DBS Corp., Senior Notes

7.750 % 7/1/26 7,738,000 7,964,762

DISH DBS Corp., Senior Secured Notes

5.750 % 12/1/28 1,400,000 1,382,087 (a)

See Notes to Financial Statements.

2 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate

Maturity

Date

Face

Amount†

Value

Media - continued

Univision Communications Inc., Senior Secured Notes

9.500 % 5/1/25 1,060,000 $ 1,138,551 (a)

UPC Holding BV, Senior Secured Notes

5.500 % 1/15/28 540,000 553,808 (a)

Total Media

24,839,724

Wireless Telecommunication Services - 4.0%

CSC Holdings LLC, Senior Notes

5.375 % 2/1/28 2,080,000 2,127,372 (a)

CSC Holdings LLC, Senior Notes

6.500 % 2/1/29 800,000 846,896 (a)

Sprint Capital Corp., Senior Notes

6.875 % 11/15/28 4,288,000 5,300,654

Sprint Capital Corp., Senior Notes

8.750 % 3/15/32 130,000 192,377

Sprint Corp., Senior Notes

7.875 % 9/15/23 3,160,000 3,476,111

Sprint Corp., Senior Notes

7.625 % 3/1/26 530,000 626,725

VEON Holdings BV, Senior Notes

7.504 % 3/1/22 800,000 813,896 (b)

VEON Holdings BV, Senior Notes

7.504 % 3/1/22 520,000 529,032 (a)

Total Wireless Telecommunication Services

13,913,063

Total Communication Services

54,686,315
Consumer Discretionary - 17.5%

Auto Components - 2.9%

Adient Global Holdings Ltd., Senior Notes

4.875 % 8/15/26 3,780,000 3,789,337 (a)

Adient US LLC, Senior Secured Notes

9.000 % 4/15/25 570,000 604,887 (a)

American Axle & Manufacturing Inc., Senior Notes

6.500 % 4/1/27 1,980,000 2,056,725

American Axle & Manufacturing Inc., Senior Notes

5.000 % 10/1/29 660,000 627,277

Dornoch Debt Merger Sub Inc., Senior Notes

6.625 % 10/15/29 1,560,000 1,538,550 (a)

JB Poindexter & Co. Inc., Senior Notes

7.125 % 4/15/26 1,300,000 1,346,904 (a)

Total Auto Components

9,963,680

Automobiles - 1.8%

Ford Motor Co., Senior Notes

8.500 % 4/21/23 650,000 716,632

Ford Motor Co., Senior Notes

9.000 % 4/22/25 2,320,000 2,821,120

Ford Motor Credit Co. LLC, Senior Notes

4.250 % 9/20/22 200,000 204,510

Ford Motor Credit Co. LLC, Senior Notes

3.096 % 5/4/23 500,000 509,025

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 3

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Schedule of investments (unaudited) (cont'd)

November 30, 2021

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate

Maturity

Date

Face

Amount†

Value

Automobiles - continued

Mclaren Finance PLC, Senior Secured Notes

7.500 % 8/1/26 750,000 $ 761,437 (a)

PM General Purchaser LLC, Senior Secured Notes

9.500 % 10/1/28 1,340,000 1,375,175 (a)

Total Automobiles

6,387,899

Diversified Consumer Services - 1.4%

Garda World Security Corp., Senior Notes

9.500 % 11/1/27 776,000 810,439 (a)

Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes

6.250 % 1/15/28 840,000 854,700 (a)

Service Corp. International, Senior Notes

7.500 % 4/1/27 1,030,000 1,235,645

StoneMor Inc., Senior Secured Notes

8.500 % 5/15/29 2,060,000 2,125,116 (a)

Total Diversified Consumer Services

5,025,900

Hotels, Restaurants & Leisure - 10.0%

Caesars Entertainment Inc., Senior Notes

8.125 % 7/1/27 1,500,000 1,647,862 (a)

Carnival Corp., Senior Notes

7.625 % 3/1/26 470,000 482,925 (a)

Carnival Corp., Senior Notes

6.000 % 5/1/29 1,910,000 1,859,862 (a)

Carrols Restaurant Group Inc., Senior Notes

5.875 % 7/1/29 2,670,000 2,296,227 (a)

Full House Resorts Inc., Senior Secured Notes

8.250 % 2/15/28 1,540,000 1,605,311 (a)

Golden Nugget Inc., Senior Notes

6.750 % 10/15/24 500,000 503,150 (a)

IRB Holding Corp., Senior Secured Notes

7.000 % 6/15/25 620,000 655,814 (a)

NCL Corp. Ltd., Senior Secured Notes

12.250 % 5/15/24 1,614,000 1,909,604 (a)

NCL Corp. Ltd., Senior Secured Notes

10.250 % 2/1/26 808,000 926,639 (a)

Royal Caribbean Cruises Ltd., Senior Notes

5.500 % 4/1/28 830,000 809,067 (a)

Saga PLC, Senior Notes

3.375 % 5/12/24 1,920,000 GBP 2,407,579 (b)

Scientific Games International Inc., Senior Notes

7.000 % 5/15/28 1,000,000 1,063,750 (a)

Sizzling Platter LLC/Sizzling Platter Finance Corp., Senior Secured Notes

8.500 % 11/28/25 800,000 817,836 (a)

Viking Cruises Ltd., Senior Notes

5.875 % 9/15/27 3,230,000 3,004,352 (a)

Viking Cruises Ltd., Senior Notes

7.000 % 2/15/29 2,120,000 2,072,576 (a)

Viking Cruises Ltd., Senior Secured Notes

13.000 % 5/15/25 1,550,000 1,750,485 (a)

See Notes to Financial Statements.

4 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate

Maturity

Date

Face

Amount†

Value

Hotels, Restaurants & Leisure - continued

VOC Escrow Ltd., Senior Secured Notes

5.000 % 2/15/28 750,000 $ 720,821 (a)

Wheel Bidco Ltd., Senior Secured Notes

6.750 % 7/15/26 2,450,000 GBP 3,221,721 (a)

Wynn Macau Ltd., Senior Notes

5.500 % 1/15/26 1,300,000 1,218,783 (a)

Wynn Macau Ltd., Senior Notes

5.500 % 10/1/27 2,540,000 2,357,437 (a)

Wynn Macau Ltd., Senior Notes

5.625 % 8/26/28 950,000 876,214 (a)

Wynn Macau Ltd., Senior Notes

5.125 % 12/15/29 590,000 529,602 (a)

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Notes

7.750 % 4/15/25 1,460,000 1,523,306 (a)

Yum! Brands Inc., Senior Notes

7.750 % 4/1/25 330,000 348,201 (a)

Total Hotels, Restaurants & Leisure

34,609,124

Specialty Retail - 1.4%

Michaels Cos. Inc., Senior Notes

7.875 % 5/1/29 1,290,000 1,283,131 (a)

NMG Holding Co. Inc./Neiman Marcus Group LLC, Senior Secured Notes

7.125 % 4/1/26 490,000 513,496 (a)

Party City Holdings Inc., Senior Secured Notes

8.750 % 2/15/26 1,180,000 1,192,024 (a)

PetSmart Inc./PetSmart Finance Corp., Senior Notes

7.750 % 2/15/29 500,000 535,445 (a)

Sally Holdings LLC/Sally Capital Inc., Senior Notes

5.625 % 12/1/25 1,340,000 1,367,101

Total Specialty Retail

4,891,197

Total Consumer Discretionary

60,877,800
Consumer Staples - 1.5%

Beverages - 0.3%

Triton Water Holdings Inc., Senior Notes

6.250 % 4/1/29 1,080,000 1,050,678 (a)

Food Products - 0.9%

Kraft Heinz Foods Co., Senior Notes

5.200 % 7/15/45 400,000 510,073

Pilgrim's Pride Corp., Senior Notes

5.875 % 9/30/27 2,365,000 2,486,348 (a)

Total Food Products

2,996,421

Household Products - 0.3%

Spectrum Brands Inc., Senior Notes

5.750 % 7/15/25 915,000 932,993

Tobacco - 0.0%††

Vector Group Ltd., Senior Notes

10.500 % 11/1/26 170,000 175,268 (a)

Total Consumer Staples

5,155,360

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 5

Table of Contents

Schedule of investments (unaudited) (cont'd)

November 30, 2021

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate

Maturity

Date

Face

Amount†

Value
Energy - 15.9%

Oil, Gas & Consumable Fuels - 15.9%

Apache Corp., Senior Notes

5.100 % 9/1/40 760,000 $ 825,706

Berry Petroleum Co. LLC, Senior Notes

7.000 % 2/15/26 900,000 861,917 (a)

Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Notes

7.625 % 12/15/25 750,000 790,958 (a)

Continental Resources Inc., Senior Notes

3.800 % 6/1/24 180,000 187,857

Continental Resources Inc., Senior Notes

4.375 % 1/15/28 130,000 140,187

Continental Resources Inc., Senior Notes

4.900 % 6/1/44 550,000 611,020

Ecopetrol SA, Senior Notes

6.875 % 4/29/30 350,000 389,034

Ecopetrol SA, Senior Notes

5.875 % 5/28/45 1,500,000 1,401,060

Energy Transfer LP, Junior Subordinated Notes (6.500% to 11/15/26 then 5 year Treasury Constant Maturity Rate + 5.694%)

6.500 % 11/15/26 310,000 317,750 (c)(d)

Energy Transfer LP, Junior Subordinated Notes (6.625% to 2/15/28 then 3 mo.
USD LIBOR + 4.155%)

6.625 % 2/15/28 2,150,000 2,016,958 (c)(d)

Energy Transfer LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%)

6.750 % 5/15/25 1,590,000 1,623,788 (c)(d)

Energy Transfer LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%)

7.125 % 5/15/30 1,990,000 2,038,755 (c)(d)

EQM Midstream Partners LP, Senior Notes

6.000 % 7/1/25 370,000 394,013 (a)

EQM Midstream Partners LP, Senior Notes

6.500 % 7/1/27 330,000 357,161 (a)

EQT Corp., Senior Notes

3.900 % 10/1/27 1,590,000 1,659,594

EQT Corp., Senior Notes

5.000 % 1/15/29 870,000 954,260

EQT Corp., Senior Notes

7.500 % 2/1/30 150,000 189,526

Kinder Morgan Inc., Senior Notes

7.750 % 1/15/32 810,000 1,144,276

MEG Energy Corp., Senior Notes

7.125 % 2/1/27 770,000 788,557 (a)

NGPL PipeCo LLC, Senior Notes

7.768 % 12/15/37 790,000 1,127,880 (a)

See Notes to Financial Statements.

6 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

Table of Contents

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate

Maturity

Date

Face

Amount†

Value

Oil, Gas & Consumable Fuels - continued

Northern Oil and Gas Inc., Senior Notes

8.125 % 3/1/28 760,000 $ 788,941 (a)

Oasis Petroleum Inc., Senior Notes

6.375 % 6/1/26 1,400,000 1,441,335 (a)

Occidental Petroleum Corp., Senior Notes

6.950 % 7/1/24 420,000 462,970

Occidental Petroleum Corp., Senior Notes

2.900 % 8/15/24 690,000 692,829

Occidental Petroleum Corp., Senior Notes

5.875 % 9/1/25 530,000 570,635

Occidental Petroleum Corp., Senior Notes

5.550 % 3/15/26 440,000 471,372

Occidental Petroleum Corp., Senior Notes

6.200 % 3/15/40 540,000 641,258

PBF Holding Co. LLC/PBF Finance Corp., Senior Secured Notes

9.250 % 5/15/25 390,000 364,650 (a)

Petrobras Global Finance BV, Senior Notes

7.375 % 1/17/27 1,000,000 1,151,050

Petrobras Global Finance BV, Senior Notes

5.999 % 1/27/28 2,340,000 2,490,719

Petrobras Global Finance BV, Senior Notes

5.750 % 2/1/29 1,950,000 2,059,824

Petrobras Global Finance BV, Senior Notes

6.750 % 1/27/41 4,540,000 4,821,525

Range Resources Corp., Senior Notes

5.000 % 3/15/23 600,000 609,369

Range Resources Corp., Senior Notes

4.875 % 5/15/25 420,000 429,450

Range Resources Corp., Senior Notes

9.250 % 2/1/26 3,420,000 3,678,672

Range Resources Corp., Senior Notes

8.250 % 1/15/29 440,000 485,553 (a)

Rockies Express Pipeline LLC, Senior Notes

7.500 % 7/15/38 570,000 633,632 (a)

Rockies Express Pipeline LLC, Senior Notes

6.875 % 4/15/40 590,000 659,493 (a)

Summit Midstream Holdings LLC/ Summit Midstream Finance Corp., Secured Notes

8.500 % 10/15/26 550,000 555,211 (a)

Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes

6.500 % 7/15/27 560,000 596,462

Targa Resources Partners LP/Targa Resources Partners Finance Corp., Senior Notes

6.875 % 1/15/29 120,000 133,108

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 7

Table of Contents

Schedule of investments (unaudited) (cont'd)

November 30, 2021

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate

Maturity

Date

Face

Amount†

Value

Oil, Gas & Consumable Fuels - continued

Transportadora de Gas del Sur SA, Senior Notes

6.750 % 5/2/25 1,970,000 $ 1,804,165 (a)

Vesta Energy Corp.

10.000 % 10/15/25 820,000 CAD 616,228

Western Midstream Operating LP, Senior Notes

5.300 % 2/1/30 180,000 194,004

Western Midstream Operating LP, Senior Notes

5.300 % 3/1/48 540,000 626,362

Western Midstream Operating LP, Senior Notes

6.500 % 2/1/50 3,840,000 4,393,478

Williams Cos. Inc., Senior Notes

4.550 % 6/24/24 530,000 569,694

Williams Cos. Inc., Senior Notes

7.500 % 1/15/31 330,000 450,581

Williams Cos. Inc., Senior Notes

5.750 % 6/24/44 1,620,000 2,118,383

YPF SA, Senior Notes

8.500 % 7/28/25 3,610,000 2,752,625 (a)

Total Energy

55,083,835
Financials - 9.8%

Banks - 6.6%

Bank of America Corp., Junior Subordinated Notes (6.500% to 10/23/24 then 3 mo. USD LIBOR + 4.174%)

6.500 % 10/23/24 800,000 869,200 (c)(d)

Barclays Bank PLC, Subordinated Notes

7.625 % 11/21/22 476,000 503,466

Barclays PLC, Junior Subordinated Notes (8.000% to 6/15/24 then 5 year Treasury Constant Maturity Rate + 5.672%)

8.000 % 6/15/24 900,000 986,962 (c)(d)

BBVA Bancomer SA, Subordinated Notes (5.125% to 1/17/28 then 5 year Treasury Constant Maturity Rate + 2.650%)

5.125 % 1/18/33 2,760,000 2,816,994 (a)(d)

BNP Paribas SA, Junior Subordinated Notes (7.375% to 8/19/25 then USD 5 year ICE Swap Rate + 5.150%)

7.375 % 8/19/25 810,000 918,277 (a)(c)(d)

Citigroup Inc., Junior Subordinated Notes (5.950% to 5/15/25 then 3 mo.
USD LIBOR + 3.905%)

5.950 % 5/15/25 740,000 788,803 (c)(d)

Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo.
USD LIBOR + 3.423%)

6.300 % 5/15/24 3,950,000 4,132,688 (c)(d)

See Notes to Financial Statements.

8 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

Table of Contents

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate

Maturity

Date

Face

Amount†

Value

Banks - continued

Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%)

8.125 % 12/23/25 1,330,000 $ 1,570,024 (a)(c)(d)

HSBC Holdings PLC, Junior Subordinated Notes (6.000% to 5/22/27 then USD 5 year ICE Swap Rate + 3.746%)

6.000 % 5/22/27 300,000 318,750 (c)(d)

HSBC Holdings PLC, Junior Subordinated Notes (6.375% to 3/30/25 then USD 5 year ICE Swap Rate + 4.368%)

6.375 % 3/30/25 860,000 925,596 (c)(d)

HSBC Holdings PLC, Junior Subordinated Notes (6.375% to 9/17/24 then USD 5 year ICE Swap Rate + 3.705%)

6.375 % 9/17/24 290,000 308,850 (c)(d)

HSBC Holdings PLC, Junior Subordinated Notes (6.500% to 3/23/28 then USD 5 year ICE Swap Rate + 3.606%)

6.500 % 3/23/28 700,000 767,987 (c)(d)

Intesa Sanpaolo SpA, Subordinated Notes

5.017 % 6/26/24 2,590,000 2,767,689 (a)

Intesa Sanpaolo SpA, Subordinated Notes

5.710 % 1/15/26 2,410,000 2,673,170 (a)

TC Ziraat Bankasi AS, Senior Notes

5.125 % 9/29/23 1,080,000 1,072,548 (a)

UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap
Rate + 4.914%)

7.296 % 4/2/34 1,200,000 1,432,669 (a)(d)

Total Banks

22,853,673

Capital Markets - 1.1%

Credit Suisse Group AG, Junior Subordinated Notes (7.250% to 9/12/25 then USD 5 year ICE Swap Rate + 4.332%)

7.250 % 9/12/25 700,000 766,500 (a)(c)(d)

UBS Group AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%)

7.000 % 1/31/24 2,840,000 3,051,878 (a)(c)(d)

Total Capital Markets

3,818,378

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 9

Table of Contents

Schedule of investments (unaudited) (cont'd)

November 30, 2021

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate

Maturity

Date

Face

Amount†

Value

Consumer Finance - 0.4%

Navient Corp., Senior Notes

5.875 % 10/25/24 590,000 $ 617,913

Navient Corp., Senior Notes

6.750 % 6/15/26 700,000 757,813

Total Consumer Finance

1,375,726

Diversified Financial Services - 1.6%

ASP AMC Merger Sub Inc., Senior Notes

8.000 % 5/15/25 715,000 556,767 (a)

Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK)

6.500 % 9/15/24 4,096,619 3,979,722 (a)(e)

Huarong Finance 2019 Co. Ltd., Senior Notes

2.500 % 2/24/23 690,000 683,100 (b)

International Lease Finance Corp., Senior Notes

5.875 % 8/15/22 310,000 321,139

Total Diversified Financial Services

5,540,728

Thrifts & Mortgage Finance - 0.1%

NMI Holdings Inc., Senior Secured Notes

7.375 % 6/1/25 400,000 453,980 (a)

Total Financials

34,042,485
Health Care - 7.1%

Health Care Providers & Services - 2.3%

CHS/Community Health Systems Inc., Senior Secured Notes

8.000 % 3/15/26 1,920,000 2,008,886 (a)

HCA Inc., Senior Notes

7.500 % 11/15/95 1,000,000 1,480,380

Legacy LifePoint Health LLC, Senior Secured Notes

6.750 % 4/15/25 480,000 499,601 (a)

Magellan Health Inc., Senior Notes

4.900 % 9/22/24 1,350,000 1,453,964

Radiology Partners Inc., Senior Notes

9.250 % 2/1/28 540,000 551,372 (a)

Tenet Healthcare Corp., Secured Notes

6.250 % 2/1/27 1,000,000 1,037,400 (a)

Tenet Healthcare Corp., Senior Secured Notes

7.500 % 4/1/25 560,000 589,411 (a)

US Renal Care Inc., Senior Notes

10.625 % 7/15/27 460,000 471,355 (a)

Total Health Care Providers & Services

8,092,369

Pharmaceuticals - 4.8%

Bausch Health Americas Inc., Senior Notes

8.500 % 1/31/27 210,000 216,413 (a)

Bausch Health Cos. Inc., Senior Notes

6.125 % 4/15/25 2,684,000 2,714,410 (a)

Bausch Health Cos. Inc., Senior Notes

9.000 % 12/15/25 1,400,000 1,463,259 (a)

Cidron Aida Finco Sarl, Senior Secured Notes

6.250 % 4/1/28 810,000 GBP 1,061,392 (a)

See Notes to Financial Statements.

10 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)

Security Rate Maturity
Date 		Face
Amount† 		Value

Pharmaceuticals - continued

Endo Finance LLC/Endo Finco Inc., Senior Notes

7.250 % 1/15/22 1,615,000 $ 1,493,875 (a)

Endo Luxembourg Finance Co. I Sarl/ Endo US Inc., Senior Secured Notes

6.125 % 4/1/29 1,060,000 1,040,565 (a)

Teva Pharmaceutical Finance Co. BV, Senior Notes

2.950 % 12/18/22 1,840,000 1,836,762

Teva Pharmaceutical Finance Netherlands III BV, Senior Notes

2.800 % 7/21/23 4,480,000 4,490,819

Teva Pharmaceutical Finance

Netherlands III BV, Senior Notes

6.000 % 4/15/24 1,740,000 1,813,080

Teva Pharmaceutical Finance

Netherlands III BV, Senior Notes

3.150 % 10/1/26 530,000 496,880

Total Pharmaceuticals

16,627,455

Total Health Care

24,719,824
Industrials - 8.4%

Aerospace & Defense - 0.4%

TransDigm Inc., Senior Secured Notes

8.000 % 12/15/25 1,340,000 1,413,820 (a)

Airlines - 5.3%

American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes

5.750 % 4/20/29 850,000 888,250 (a)

Delta Air Lines Inc., Senior Notes

3.625 % 3/15/22 1,400,000 1,401,814

Delta Air Lines Inc., Senior Notes

3.800 % 4/19/23 3,230,000 3,292,393

Delta Air Lines Inc., Senior Notes

2.900 % 10/28/24 460,000 463,779

Delta Air Lines Inc., Senior Notes

7.375 % 1/15/26 370,000 428,369

Delta Air Lines Inc., Senior Secured Notes

7.000 % 5/1/25 3,220,000 3,701,809 (a)

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes

6.500 % 6/20/27 1,350,000 1,443,535 (a)

Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes

8.000 % 9/20/25 1,746,000 1,911,660 (a)

United Airlines Holdings Inc., Senior Notes

4.250 % 10/1/22 3,480,000 3,524,196

United Airlines Holdings Inc., Senior Notes

5.000 % 2/1/24 1,270,000 1,301,325

Total Airlines

18,357,130

Building Products - 0.2%

CP Atlas Buyer Inc., Senior Notes

7.000 % 12/1/28 820,000 788,668 (a)

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 11

Table of Contents

Schedule of investments (unaudited) (cont'd)

November 30, 2021

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)

Security Rate Maturity
Date 		Face
Amount† 		Value

Commercial Services & Supplies - 0.8%

CoreCivic Inc., Senior Notes

8.250 % 4/15/26 2,130,000 $ 2,197,084

CoreCivic Inc., Senior Notes

4.750 % 10/15/27 570,000 516,600

Total Commercial Services & Supplies

2,713,684

Construction & Engineering - 0.4%

Brundage-Bone Concrete Pumping Holdings Inc., Secured Notes

6.000 % 2/1/26 690,000 717,058 (a)

Empire Communities Corp., Senior Notes

7.000 % 12/15/25 650,000 666,894 (a)

Total Construction & Engineering

1,383,952

Machinery - 0.5%

Park-Ohio Industries Inc., Senior Notes

6.625 % 4/15/27 1,000,000 927,320

Titan International Inc., Senior Secured Notes

7.000 % 4/30/28 940,000 967,307

Total Machinery

1,894,627

Trading Companies & Distributors - 0.8%

Alta Equipment Group Inc., Secured Notes

5.625 % 4/15/26 750,000 767,872 (a)

Foundation Building Materials Inc., Senior Notes

6.000 % 3/1/29 530,000 507,184 (a)

United Rentals North America Inc., Senior Notes

5.500 % 5/15/27 655,000 681,315

United Rentals North America Inc., Senior Notes

4.875 % 1/15/28 610,000 639,774

Total Trading Companies & Distributors

2,596,145

Total Industrials

29,148,026
Information Technology - 3.0%

Communications Equipment - 1.2%

CommScope Inc., Senior Notes

8.250 % 3/1/27 4,270,000 4,192,137 (a)

CommScope Technologies LLC, Senior Notes

6.000 % 6/15/25 60,000 58,045 (a)

Total Communications Equipment

4,250,182

IT Services - 0.3%

Unisys Corp., Senior Secured Notes

6.875 % 11/1/27 770,000 822,987 (a)

Semiconductors & Semiconductor Equipment - 0.3%

Amkor Technology Inc., Senior Notes

6.625 % 9/15/27 1,000,000 1,059,755 (a)

Software - 0.0%††

Interface Special Holdings Inc., Senior Notes (19.000% PIK)

19.000 % 11/1/23 1,440,192 0 *(a)(e)(f)(g)(h)(i)

See Notes to Financial Statements.

12 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

Table of Contents

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)

Security Rate Maturity
Date 		Face
Amount† 		Value

Technology Hardware, Storage & Peripherals - 1.2%

Seagate HDD Cayman, Senior Notes

4.750 % 6/1/23 720,000 $ 753,836

Seagate HDD Cayman, Senior Notes

4.750 % 1/1/25 2,350,000 2,516,703

Seagate HDD Cayman, Senior Notes

4.875 % 6/1/27 210,000 228,312

Vericast Corp., Senior Secured Notes

11.000 % 9/15/26 650,000 683,313 (a)

Total Technology Hardware, Storage & Peripherals

4,182,164

Total Information Technology

10,315,088
Materials - 5.4%

Chemicals - 0.1%

Anagram International Inc./Anagram Holdings LLC, Secured Notes (5.000% Cash and 5.000% PIK or 10.000% Cash)

10.000 % 8/15/26 500,381 520,794 (a)(e)

Containers & Packaging - 1.4%

ARD Finance SA, Senior Secured Notes (6.500% Cash or 7.250% PIK)

6.500 % 6/30/27 3,495,000 3,580,750 (a)(e)

Pactiv LLC, Senior Notes

7.950 % 12/15/25 410,000 455,309

Trivium Packaging Finance BV, Senior Notes

8.500 % 8/15/27 780,000 816,874 (a)

Total Containers & Packaging

4,852,933

Metals & Mining - 3.9%

ArcelorMittal SA, Senior Notes

7.000 % 10/15/39 2,020,000 2,758,983

First Quantum Minerals Ltd., Senior Notes

7.250 % 4/1/23 3,270,000 3,335,449 (a)

First Quantum Minerals Ltd., Senior Notes

6.875 % 3/1/26 300,000 311,156 (a)

Freeport-McMoRan Inc., Senior Notes

3.550 % 3/1/22 310,000 310,000

Freeport-McMoRan Inc., Senior Notes

3.875 % 3/15/23 380,000 391,468

Freeport-McMoRan Inc., Senior Notes

4.550 % 11/14/24 410,000 439,286

Freeport-McMoRan Inc., Senior Notes

5.400 % 11/14/34 280,000 333,801

Freeport-McMoRan Inc., Senior Notes

5.450 % 3/15/43 1,120,000 1,382,511

Teck Resources Ltd., Senior Notes

6.000 % 8/15/40 260,000 335,302

Vale Overseas Ltd., Senior Notes

6.875 % 11/21/36 2,220,000 2,879,540

Vale Overseas Ltd., Senior Notes

6.875 % 11/10/39 750,000 987,859

Total Metals & Mining

13,465,355

Total Materials

18,839,082

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 13

Table of Contents

Schedule of investments (unaudited) (cont'd)

November 30, 2021

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate Maturity
Date 		Face
Amount† 		Value
Real Estate - 0.8%

Equity Real Estate Investment Trusts (REITs) - 0.6%

Diversified Healthcare Trust, Senior Notes

9.750 % 6/15/25 690,000 $ 746,721

GEO Group Inc., Senior Notes

5.875 % 10/15/24 900,000 812,070

GEO Group Inc., Senior Notes

6.000 % 4/15/26 750,000 646,808

Total Equity Real Estate Investment Trusts (REITs)

2,205,599

Real Estate Management & Development - 0.2%

China Aoyuan Group Ltd., Senior Secured Notes

7.950 % 2/19/23 200,000 52,750 (b)

China Aoyuan Group Ltd., Senior Secured Notes

7.950 % 6/21/24 400,000 106,000 (b)

China SCE Group Holdings Ltd., Senior Secured Notes

6.000 % 2/4/26 200,000 158,250 (b)

Yuzhou Group Holdings Co. Ltd., Senior Secured Notes

8.500 % 2/26/24 200,000 67,250 (b)

Yuzhou Group Holdings Co. Ltd., Senior Secured Notes

8.375 % 10/30/24 300,000 100,500 (b)

Total Real Estate Management & Development

484,750

Total Real Estate

2,690,349
Utilities - 1.6%

Electric Utilities - 1.0%

FirstEnergy Corp., Senior Notes

7.375 % 11/15/31 1,260,000 1,688,286

Pampa Energia SA, Senior Notes

7.375 % 7/21/23 1,200,000 1,155,594 (b)

Pampa Energia SA, Senior Notes

7.500 % 1/24/27 910,000 785,353 (a)

Total Electric Utilities

3,629,233

Gas Utilities - 0.6%

Suburban Propane Partners LP/ Suburban Energy Finance Corp., Senior Notes

5.875 % 3/1/27 1,930,000 1,983,307

Total Utilities

5,612,540

Total Corporate Bonds & Notes (Cost - $271,199,949)

301,170,704
Sovereign Bonds - 5.3%

Argentina - 0.9%

Argentine Republic Government International Bond, Senior Notes

1.000 % 7/9/29 164,491 54,820

See Notes to Financial Statements.

14 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate Maturity
Date 		Face
Amount† 		Value

Argentina - continued

Provincia de Cordoba, Senior Notes, Step bond (5.000% to 6/10/22 then 6.875%)

5.000 % 12/10/25 350,000 $ 267,050 (a)

Provincia de Cordoba, Senior Notes, Step bond (5.000% to 6/1/22 then 6.990%)

5.000 % 6/1/27 4,465,000 2,965,876 (a)

Total Argentina

3,287,746

Bahamas - 0.1%

Bahamas Government International Bond, Senior Notes

5.750 % 1/16/24 500,000 475,505 (a)

Ecuador - 0.1%

Ecuador Government International Bond, Senior Notes

0.000 % 7/31/30 599,000 332,451 (a)

Ecuador Government International Bond, Senior Notes, Step bond (5.000% to 7/31/22 then 5.500%)

5.000 % 7/31/30 173,000 143,376 (a)

Total Ecuador

475,827

Ghana - 0.2%

Ghana Government International Bond, Senior Notes

7.625 % 5/16/29 1,000,000 810,275 (a)

Indonesia - 0.7%

Indonesia Treasury Bond

7.000 % 5/15/22 31,811,000,000 IDR 2,257,720

Mexico - 1.4%

Mexican Bonos, Bonds

6.500 % 6/9/22 18,070,000 MXN 844,612

Mexican Bonos, Senior Notes

7.750 % 11/23/34 83,620,000 MXN 3,925,197

Total Mexico

4,769,809

Russia - 1.9%

Russian Federal Bond - OFZ

7.000 % 1/25/23 58,120,000 RUB 772,150

Russian Federal Bond - OFZ

7.750 % 9/16/26 183,580,000 RUB 2,415,261

Russian Federal Bond - OFZ

8.150 % 2/3/27 90,000,000 RUB 1,204,115

Russian Federal Bond - OFZ

6.900 % 5/23/29 161,930,000 RUB 2,025,930

Total Russia

6,417,456

Total Sovereign Bonds (Cost - $19,763,641)

18,494,338
Senior Loans - 2.2%
Communication Services - 1.0%

Media - 1.0%

DIRECTV Financing LLC, Closing Date Term Loan (the greater of 3 mo. USD LIBOR or 0.750% + 5.000%)

5.750 % 8/2/27 3,380,000 3,378,462 (d)(j)(k)

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 15

Table of Contents

Schedule of investments (unaudited) (cont'd)

November 30, 2021

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate Maturity
Date 		Face
Amount† 		Value
Industrials - 0.6%

Airlines - 0.6%

Delta Air Lines Inc., Initial Term Loan (the greater of 3 mo.
USD LIBOR or 1.000% + 3.750%)

4.750 % 10/20/27 960,000 $ 1,011,801 (d)(j)(k)

Mileage Plus Holdings LLC, Initial Term Loan (the greater of 3 mo.
USD LIBOR or 1.000% + 5.250%)

6.250 % 6/21/27 1,140,000 1,194,686 (d)(j)(k)

Total Industrials

2,206,487
Information Technology - 0.3%

Technology Hardware, Storage & Peripherals - 0.3%

Vericast Corp., 2021 Extended Term loan (the greater of 3 mo.
USD LIBOR or 1.000% + 7.750%)

8.750 % 6/16/26 1,174,180 1,084,226 (d)(j)(k)
Materials - 0.3%

Metals & Mining - 0.3%

Arctic Canadian Diamond Co. Ltd., Second Lien Term Loan (5.000% Cash and 12.500% PIK)

17.500 % 12/31/27 835,642 839,896 (e)(g)(h)(j)(k)

Total Senior Loans (Cost - $7,339,330)

7,509,071
Convertible Bonds & Notes - 1.2%
Communication Services - 0.9%

Media - 0.9%

DISH Network Corp., Senior Notes

3.375 % 8/15/26 3,340,000 3,087,002
Industrials - 0.3%

Airlines - 0.3%

Spirit Airlines Inc., Senior Notes

1.000 % 5/15/26 1,290,000 1,145,520

Total Convertible Bonds & Notes (Cost - $4,105,229)

4,232,522
Shares
Convertible Preferred Stocks - 0.3%
Energy - 0.3%

Oil, Gas & Consumable Fuels - 0.3%

Targa Resources Corp., Non Voting Shares (Cost - $913,500)

9.500 % 870 943,143

See Notes to Financial Statements.

16 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

Table of Contents

Western Asset High Yield Defined Opportunity Fund Inc.

(Percentages shown based on Fund net assets)
Security Rate Maturity
Date 		Face
Amount† 		Value
U.S. Government & Agency Obligations - 0.1%

U.S. Government Obligations - 0.1%

U.S. Treasury Notes (Cost - $487,671)

0.375 % 1/31/26 500,000 $ 485,508
Expiration
Date 		Warrants
Warrants - 0.0%††

EG Acquisition Corp., Class A Shares (Cost - $14,234)

5/28/28 14,866 9,516 *
Shares
Common Stocks - 0.0%††
Energy - 0.0%††

Energy Equipment & Services - 0.0%††

Hercules Offshore Inc. (Escrow)

46,103 5,379 *(g)(h)
Materials - 0.0%††

Metals & Mining - 0.0%††

Arctic Canadian Diamond Co. Ltd.

906 0 *(g)(h)(i)

Total Common Stocks (Cost - $1,565,879)

5,379

Total Investments before Short-Term Investments (Cost - $305,389,433)

332,850,181
Rate
Short-Term Investments - 3.5%

Western Asset Premier Institutional Government Reserves, Premium Shares
(Cost - $12,000,346)

0.010 % 12,000,346 12,000,346 (l)

Total Investments - 99.3% (Cost - $317,389,779)

344,850,527

Other Assets in Excess of Liabilities - 0.7%

2,570,361

Total Net Assets - 100.0%

$ 347,420,888

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 17

Table of Contents

Schedule of investments (unaudited) (cont'd)

November 30, 2021

Western Asset High Yield Defined Opportunity Fund Inc.

†

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

††

Represents less than 0.1%.

*

Non-income producing security.

(a)

Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.

(b)

Security is exempt from registration under Regulation S of the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors.

(c)

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

(d)

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.

(e)

Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash and/or additional securities.

(f)

The coupon payment on this security is currently in default as of November 30, 2021.

(g)

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

(h)

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

(i)

Value is less than $1.

(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)

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 November 30, 2021, the total market value of investments in Affiliated Companies was $12,000,346 and the cost was $12,000,346 (Note 7).

Abbreviation(s) used in this schedule:

CAD - Canadian Dollar
GBP - British Pound
ICE - Intercontinental Exchange
IDR - Indonesian Rupiah
LIBOR - London Interbank Offered Rate
MXN - Mexican Peso
OFZ - Obligatsyi Federal'novo Zaima (Russian Federal Loan Obligation)
PIK - Payment-In-Kind
RUB - Russian Ruble
USD - United States Dollar

See Notes to Financial Statements.

18 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

Table of Contents

Western Asset High Yield Defined Opportunity Fund Inc.

At November 30, 2021, the Fund had the following open futures contracts:

Number of
Contracts 		Expiration
Date 		Notional
Amount 		Market
Value

Unreaized

Depreciation

Contracts to Sell:
U.S. Treasury 10-Year Notes 168 3/22 $ 21,767,019 $ 21,976,500 $ (209,481)

At November 30, 2021, the Fund had the following open forward foreign currency contracts:

Currency
Purchased 		Currency
Sold 		Counterparty Settlement
Date 		Unrealized
Appreciation
(Depreciation)
EUR 82,963 USD 96,059 BNP Paribas SA 1/18/22 $ (1,798)
GBP 1,306,011 USD 1,779,038 Goldman Sachs Group Inc. 1/18/22 (40,617)
GBP 1,318,967 USD 1,783,481 Goldman Sachs Group Inc. 1/18/22 (27,814)
MXN 1,187,601 USD 56,416 Goldman Sachs Group Inc. 1/18/22 (1,562)
USD 323,692 CAD 406,679 Goldman Sachs Group Inc. 1/18/22 5,186
USD 3,016,310 GBP 2,200,000 Goldman Sachs Group Inc. 1/18/22 87,908
USD 6,764,194 GBP 4,956,754 Goldman Sachs Group Inc. 1/18/22 166,299
Total $ 187,602

Abbreviation(s) used in this table:

CAD - Canadian Dollar
EUR - Euro
GBP - British Pound
MXN - Mexican Peso
USD - United States Dollar

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 19

Table of Contents

Statement of assets and liabilities (unaudited)

November 30, 2021

Assets:

Investments in unaffiliated securities, at value (Cost - $305,389,433)

$ 332,850,181

Investments in affiliated securities, at value (Cost - $12,000,346)

12,000,346

Foreign currency, at value (Cost - $532,157)

511,829

Interest receivable

5,004,625

Receivable for securities sold

1,009,400

Deposits with brokers for open futures contracts

288,003

Unrealized appreciation on forward foreign currency contracts

259,393

Prepaid expenses

1,498

Total Assets

351,925,275
Liabilities:

Distributions payable

2,141,136

Payable for securities purchased

1,876,266

Investment management fee payable

231,962

Payable to broker - net variation margin on open futures contracts

89,250

Unrealized depreciation on forward foreign currency contracts

71,791

Directors' fees payable

11,313

Accrued expenses

82,669

Total Liabilities

4,504,387
Total Net Assets $ 347,420,888
Net Assets:

Par value ($0.001 par value; 22,657,524 shares issued and outstanding; 100,000,000 common shares authorized)

$ 22,658

Paid-in capital in excess of par value

423,366,530

Total distributable earnings (loss)

(75,968,300)
Total Net Assets $ 347,420,888
Shares Outstanding 22,657,524
Net Asset Value $15.33

See Notes to Financial Statements.

20 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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Statement of operations (unaudited)

For the Six Months Ended November 30, 2021

Investment Income:

Interest

$ 12,663,227

Dividends from unaffiliated investments

66,509

Dividends from affiliated investments

249

Less: Foreign taxes withheld

(109,619)

Total Investment Income

12,620,366
Expenses:

Investment management fee (Note 2)

1,439,961

Directors' fees

58,727

Transfer agent fees

52,994

Legal fees

30,521

Audit and tax fees

26,004

Fund accounting fees

21,812

Stock exchange listing fees

6,267

Shareholder reports

5,888

Custody fees

4,270

Insurance

2,934

Miscellaneous expenses

3,505

Total Expenses

1,652,883

Less: Fee waivers and/or expense reimbursements (Note 2)

(213)

Net Expenses

1,652,670
Net Investment Income 10,967,696

Realized and Unrealized Gain (Loss) on Investments, Futures Contracts,

Forward Foreign Currency Contracts and Foreign Currency Transactions (Notes 1, 3 and 4):

Net Realized Gain (Loss) From:

Investment transactions in unaffiliated securities

2,491,570

Futures contracts

427,632

Forward foreign currency contracts

(33,629)

Foreign currency transactions

2,809

Net Realized Gain

2,888,382

Change in Net Unrealized Appreciation (Depreciation) From:

Investments in unaffiliated securities

(13,728,766)

Futures contracts

(209,481)

Forward foreign currency contracts

313,462

Foreign currencies

(46,060)

Change in Net Unrealized Appreciation (Depreciation)

(13,670,845)
Net Loss on Investments, Futures Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions (10,782,463)
Increase in Net Assets From Operations $ 185,233

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 21

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Statements of changes in net assets

For the Six Months Ended November 30, 2021 (unaudited)

and the Year Ended May 31, 2021

November 30 May 31
Operations:

Net investment income

$ 10,967,696 $ 22,367,113

Net realized gain (loss)

2,888,382 (3,936,753)

Change in net unrealized appreciation (depreciation)

(13,670,845) 33,051,274

Increase in Net Assets From Operations

185,233 51,481,634
Distributions to Shareholders From (Note 1):

Total distributable earnings

(12,844,228) (21,422,628)

Return of capital

- (4,264,110)

Decrease in Net Assets From Distributions to Shareholders

(12,844,228) (25,686,738)
Fund Share Transactions:

Reinvestment of distributions (6,080 and 0 shares issued, respectively)

95,573 -

Increase in Net Assets From Fund Share Transactions

95,573 -

Increase (Decrease) in Net Assets

(12,563,422) 25,794,896
Net Assets:

Beginning of period

359,984,310 334,189,414

End of period

$ 347,420,888 $ 359,984,310

See Notes to Financial Statements.

22 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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Financial highlights

For a share of capital stock outstanding throughout each year ended May 31, unless otherwise noted:
20211,2 20211 20201 20191 20181 20171,3 20161,4
Net asset value, beginning of period $15.89 $14.75 $16.04 $16.18 $16.93 $16.46 $16.96
Income (loss) from operations:

Net investment income

0.48 0.99 1.13 1.14 1.10 0.88 1.28

Net realized and unrealized gain (loss)

(0.47) 1.28 (1.32) (0.22) (0.73) 0.53 (0.46)

Total income (loss) from operations

0.01 2.27 (0.19) 0.92 0.37 1.41 0.82
Less distributions from:

Net investment income

(0.57) 5 (0.94) (1.02) (1.06) (1.12) (0.94) (1.32)

Return of capital

- (0.19) (0.08) - - - -

Total distributions

(0.57) (1.13) (1.10) (1.06) (1.12) (0.94) (1.32)

Anti-dilutive impact of repurchase plan

- - 0.00 6,7 0.00 6,7 - - -
Net asset value, end of period $15.33 $15.89 $14.75 $16.04 $16.18 $16.93 $16.46
Market price, end of period $15.31 $15.48 $14.15 $14.46 $14.55 $15.44 $15.32

Total return, based on NAV8,9

(0.01) % 15.83 % (1.28) % 5.95 % 2.20 % 8.82 % 5.53 %

Total return, based on Market Price10

2.55 % 17.99 % 5.48 % 6.97 % 1.45 % 7.15 % 16.17 %
Net assets, end of period (millions) $347 $360 $334 $365 $369 $386 $375
Ratios to average net assets:

Gross expenses

0.92 % 11 0.93 % 0.91 % 0.90 % 0.92 % 0.91 % 11 0.91 %

Net expenses12

0.92 11,13 0.93 13 0.89 13 0.88 13 0.92 0.91 11 0.91

Net investment income

6.09 11 6.31 7.15 7.10 6.58 7.06 11 8.11
Portfolio turnover rate 17 % 48 % 64 % 89 % 88 % 62 % 70 %

See Notes to Financial Statements.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 23

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Financial highlights (cont'd)

1

Per share amounts have been calculated using the average shares method.

2

For the six months ended November 30, 2021 (unaudited).

3

For the period September 1, 2016 through May 31, 2017.

4

For the year ended August 31.

5

The actual source of the Fund's current fiscal year distributions may be from net investment income, return of capital or a combination of both. Shareholders will be informed of the tax characteristics of the distributions after the close of the fiscal year.

6

Amount represents less than $0.005 per share.

7

The repurchase plan was completed at an average repurchase price of $11.07 for 98,024 shares and $1,040,253 for the year ended May 31, 2020 and $13.14 for 33,902 shares and $445,351 for the year ended May 31, 2019.

8

Performance figures may reflect compensating balance arrangements, fee waivers and/or expense reimbursements. In the absence of compensating balance arrangements, fee waivers and/or expense reimbursements, the total return would have been lower. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

9

The total return calculation assumes that distributions are reinvested at NAV. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

10

The total return calculation assumes that distributions are reinvested in accordance with the Fund's dividend reinvestment plan. Past performance is no guarantee of future results. Total returns for periods of less than one year are not annualized.

11

Annualized.

12

The manager has agreed to waive the Fund's management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund.

13

Reflects fee waivers and/or expense reimbursements.

See Notes to Financial Statements.

24 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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Notes to financial statements (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"). Estimates and assumptions are required to be made regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. Subsequent events have been evaluated through the date the financial statements were issued.

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services 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. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. 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

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 25

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Notes to financial statements (unaudited) (cont'd)

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 Global 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.

26 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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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:

Information Technology

- $ 10,315,088 $ 0 * $ 10,315,088

Other Corporate Bonds & Notes

- 290,855,616 - 290,855,616

Sovereign Bonds

- 18,494,338 - 18,494,338

Senior Loans:

Materials

- - 839,896 839,896

Other Senior Loans

- 6,669,175 - 6,669,175

Convertible Bonds & Notes

- 4,232,522 - 4,232,522

Convertible Preferred Stocks

- 943,143 - 943,143

U.S. Government & Agency Obligations

- 485,508 - 485,508

Warrants

$ 9,516 - - 9,516

Common Stocks:

Energy

- - 5,379 5,379

Materials

- - 0 * 0 *
Total Long-Term Investments 9,516 331,995,390 845,275 332,850,181
Short-Term Investments† 12,000,346 - - 12,000,346
Total Investments $ 12,009,862 $ 331,995,390 $ 845,275 $ 344,850,527
Other Financial Instruments:

Forward Foreign Currency Contracts††

- $ 259,393 - $ 259,393
Total $ 12,009,862 $ 332,254,783 $ 845,275 $ 345,109,920
Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 27

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Notes to financial statements (unaudited) (cont'd)

LIABILITIES
Description

Quoted Prices

(Level 1)

Other Significant

Observable Inputs

(Level 2)

Significant

Unobservable

Inputs

(Level 3)

Total
Other Financial Instruments:

Futures Contracts††

$ 209,481 - - $ 209,481

Forward Foreign Currency Contracts††

- $ 71,791 - 71,791
Total $ 209,481 $ 71,791 - $ 281,272
†

See Schedule of Investments for additional detailed categorizations.

*

Amount represents less than $1.

††

Reflects the unrealized appreciation (depreciation) of the instruments.

(b) Futures contracts. The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

Upon entering into a futures contract, the Fund is required to deposit cash or securities with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ''initial margin'' and subsequent payments (''variation margin'') are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. The daily changes in contract value are recorded as unrealized appreciation or depreciation in the Statement of Operations and the Fund recognizes a realized gain or loss when the contract is closed.

Futures contracts involve, to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.

(c) Forward foreign currency contracts. The Fund enters into a forward foreign currency contract to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated securities or to facilitate settlement of a foreign currency denominated portfolio transaction. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price with delivery and settlement at a future date. The contract is marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. When a forward foreign currency contract is closed, through either delivery or offset by entering into another forward foreign currency contract, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it is closed.

Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected on the Statement of Assets and Liabilities. The Fund bears the risk of an

28 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.

(d) Foreign currency translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.

The Fund does not isolate that portion of the results of operations resulting from fluctuations in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.

Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, other than investments in securities, on the date of valuation, resulting from changes in exchange rates.

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

(e) Loan participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Fund's investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement related to the loan, or any rights of off-set against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation.

The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any off-set between the lender and the borrower.

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Notes to financial statements (unaudited) (cont'd)

(f) Credit and market risk. The Fund invests in high-yield and emerging market instruments that are subject to certain credit and market risks. The yields of high-yield and emerging market debt obligations reflect, among other things, perceived credit and market risks. The Fund's investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading. The consequences of political, social, economic or diplomatic changes may have disruptive effects on the market prices of investments held by the Fund. The Fund's investments in non-U.S. dollar denominated securities may also result in foreign currency losses caused by devaluations and exchange rate fluctuations.

(g) Foreign investment risks. The Fund's investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or may pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

(h) Counterparty risk and credit-risk-related contingent features of derivative instruments.The Fund may invest in certain securities or engage in other transactions where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund's subadviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the subadviser. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.

With exchange traded and centrally cleared derivatives, there is less counterparty risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default of the clearing broker or clearinghouse.

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The Fund has entered into master agreements, such as an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement, with certain of its derivative counterparties that govern over-the-counter ("OTC") derivatives and provide for general obligations, representations, agreements, collateral posting terms, netting provisions in the event of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund's net assets or net asset value per share over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.

Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and/or receivables with collateral held and/or posted and create one single net payment. However, absent an event of default by the counterparty or a termination of the agreement, the terms of the ISDA Master Agreements do not result in an offset of reported amounts of financial assets and financial liabilities in the Statement of Assets and Liabilities across transactions between the Fund and the applicable counterparty. The enforceability of the right to offset may vary by jurisdiction.

Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearinghouse for exchange traded derivatives while collateral terms are contract specific for OTC traded derivatives. Cash collateral that has been pledged to cover obligations of the Fund under derivative contracts, if any, will be reported separately in the Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Schedule of Investments.

As of November 30, 2021, the Fund held forward foreign currency contracts with credit related contingent features which had a liability position of $71,791. If a contingent feature in the master agreements would have been triggered, the Fund would have been required to pay this amount to its derivatives counterparties.

(i) Security transactions and investment income.Security transactions are accounted for on a trade date basis. Interest income (including interest income from payment-in-kind securities), adjusted for amortization of premium and accretion of discount, is recorded on the accrual basis. Paydown gains and losses on mortgage- and asset-backed securities are recorded as adjustments to interest income. Dividend income is recorded on the ex-dividend date for dividends received in cash and/or securities. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults or a credit event occurs that impacts the issuer, the Fund may halt any additional

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Notes to financial statements (unaudited) (cont'd)

interest income accruals and consider the realizability of interest accrued up to the date of default or credit event.

(j) Distributions to shareholders.Distributions from net investment income of the Fund, if any, are declared quarterly and paid on a monthly basis. The actual source of the Fund's current fiscal year's distributions may be from net investment income, return of capital or a combination of both. Shareholders will be informed of the tax characteristics of the distributions after the close of the fiscal year. Distributions of net realized gains, if any, are declared at least annually. Distributions to shareholders of the Fund are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.

(k) Compensating balance arrangements.The Fund has an arrangement with its custodian bank whereby a portion of the custodian's fees is paid indirectly by credits earned on the Fund's cash on deposit with the bank.

(l) Federal and other taxes.It is the Fund's policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986 (the "Code"), as amended, applicable to regulated investment companies. Accordingly, the Fund intends to distribute its taxable income and net realized gains, if any, to shareholders in accordance with timing requirements imposed by the Code. Therefore, no federal or state income tax provision is required in the Fund's financial statements.

Management has analyzed the Fund's tax positions taken on income tax returns for all open tax years and has concluded that as of May 31, 2021, no provision for income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

(m) Reclassification.GAAP requires that certain components of net assets be reclassified to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.

2. Investment management agreement and other transactions with affiliates

Legg Mason Partners Fund Advisor, LLC ("LMPFA") is the Fund's investment manager. Western Asset Management Company, LLC ("Western Asset") is the Fund's subadviser. Western Asset Management Company Pte. Ltd. ("Western Asset Singapore"), Western Asset Management Company Ltd ("Western Asset Japan") and Western Asset Management Company Limited ("Western Asset Limited") serve as additional subadvisers to the Fund, under additional subadvisory agreements with Western Asset. LMPFA,

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Western Asset, Western Asset Singapore, Western Asset Japan and Western Asset Limited are indirect, wholly-owned subsidiaries of Franklin Resources, Inc. ("Franklin Resources").

LMPFA provides administrative and certain oversight services to the Fund. The Fund pays LMPFA an investment management fee, calculated daily and paid monthly, at an annual rate of 0.80% of the Fund's average daily net assets.

LMPFA delegates to Western Asset the day-to-day portfolio management of the Fund. Western Asset Singapore, Western Asset Japan and Western Asset Limited provide certain subadvisory services to the Fund relating to currency transactions and investments in non-U.S. dollar denominated debt securities. For its services, LMPFA pays Western Asset a fee monthly, at an annual rate equal to 70% of the net management fee it receives from the Fund. In turn, Western Asset pays Western Asset Singapore, Western Asset Japan and Western Asset Limited a monthly subadvisory fee in an amount equal to 100% of the management fee paid to Western Asset on the assets that Western Asset allocates to each such non-U.S. subadviser to manage.

The manager has agreed to waive the Fund's management fee to an extent sufficient to offset the net management fee payable in connection with any investment in an affiliated money market fund.

During the six months ended November 30, 2021, fees waived and/or expenses reimbursed amounted to $213, all of which was an affiliated money market fund waiver.

All officers and one Director of the Fund are employees of Franklin Resources or its affiliates and do not receive compensation from the Fund.

3. Investments

During the six months ended November 30, 2021, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) and U.S. Government & Agency Obligations were as follows:

Investments

U.S. Government &

Agency Obligations

Purchases $ 59,191,410 $ 487,324
Sales 75,587,611 -
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Notes to financial statements (unaudited) (cont'd)

At November 30, 2021, the aggregate cost of investments and the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

Cost

Gross

Unrealized

Appreciation

Gross

Unrealized

Depreciation

Net

Unrealized

Appreciation

(Depreciation)

Securities $ 317,389,779 $ 34,151,201 $ (6,690,453) $ 27,460,748
Futures contracts - - (209,481) (209,481)
Forward foreign currency contracts - 259,393 (71,791) 187,602

4. Derivative instruments and hedging activities

Below is a table, grouped by derivative type, that provides information about the fair value and the location of derivatives within the Statement of Assets and Liabilities at November 30, 2021.

ASSET DERIVATIVES1

Foreign

Exchange Risk

Forward foreign currency contracts $ 259,393
LIABILITY DERIVATIVES1

Interest

Rate Risk

Foreign

Exchange Risk

Total
Futures contracts2 $ 209,481 - $ 209,481
Forward foreign currency contracts - $ 71,791 71,791
Total $ 209,481 $ 71,791 $ 281,272
1

Generally, the balance sheet location for asset derivatives is receivables/net unrealized appreciation and for liability derivatives is payables/net unrealized depreciation.

2

Includes cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. Only net variation margin is reported within the receivables and/or payables on the Statement of Assets and Liabilities.

34 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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The following tables provide information about the effect of derivatives and hedging activities on the Fund's Statement of Operations for the six months ended November 30, 2021. The first table provides additional detail about the amounts and sources of gains (losses) realized on derivatives during the period. The second table provides additional information about the change in unrealized appreciation (depreciation) resulting from the Fund's derivatives and hedging activities during the period.

AMOUNT OF REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED

Interest

Rate Risk

Foreign

Exchange Risk

Total
Futures contracts $ 427,632 - $ 427,632
Forward foreign currency contracts - $ (33,629) (33,629)
Total $ 427,632 $ (33,629) $ 394,003
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED

Interest

Rate Risk

Foreign

Exchange Risk

Total
Futures contracts $ (209,481) - $ (209,481)
Forward foreign currency contracts - $ 313,462 313,462
Total $ (209,481) $ 313,462 $ 103,981

During the six months ended November 30, 2021, the volume of derivative activity for the Fund was as follows:

Average Market

Value

Futures contracts (to sell) $ 15,864,750
Forward foreign currency contracts (to buy) 1,226,993
Forward foreign currency contracts (to sell) 6,061,084

The following table presents the Fund's OTC derivative assets and liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement and net of the related collateral pledged (received) by the Fund as of November 30, 2021.

Counterparty

Gross Assets

Subject to

Master

Agreements1

Gross

Liabilities

Subject to

Master

Agreements1

Net Assets

(Liabilities)

Subject to

Master

Agreements

Collateral

Pledged

(Received)

Net
Amount2
BNP Paribas SA - $ (1,798) $ (1,798) - $ (1,798)
Goldman Sachs Group Inc. $ 259,393 (69,993) 189,400 - 189,400
Total $ 259,393 $ (71,791) $ 187,602 - $ 187,602
1

Absent an event of default or early termination, derivative assets and liabilities are presented gross and not offset in the Statement of Assets and Liabilities.

2

Represents the net amount receivable (payable) from (to) the counterparty in the event of default.

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 35

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Notes to financial statements (unaudited) (cont'd)

5. Distributions subsequent to November 30, 2021

The following distributions have been declared by the Fund's Board of Directors and are payable subsequent to the period end of this report:

Record Date Payable Date Amount
11/22/2021 12/1/2021 $ 0.0945
12/23/2021 12/31/2021 $ 0.0945
1/24/2022 2/1/2022 $ 0.0945
2/18/2022 3/1/2022 $ 0.0945

6. Stock repurchase program

On November 16, 2015, the Fund announced that the Fund's Board of Directors (the "Board") had authorized the Fund to repurchase in the open market up to approximately 10% of the Fund's outstanding common stock when the Fund's shares are trading at a discount to net asset value. The Board has directed management of the Fund to repurchase shares of common stock at such times and in such amounts as management reasonably believes may enhance stockholder value. The Fund is under no obligation to purchase shares at any specific discount levels or in any specific amounts. During the six months ended November 30, 2021, the Fund did not repurchase any shares.

Since the commencement of the stock repurchase program through November 30, 2021, the Fund repurchased 131,926 shares or 0.58% of its common shares outstanding for a total amount of $1,485,604.

7. Transactions with affiliated company

As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the six months ended November 30, 2021. The following transactions were effected in such company for the six months ended November 30, 2021.

Affiliate

Value at

May 31,

Purchased Sold
2021 Cost Shares Cost Shares
Western Asset Premier Institutional Government Reserves, Premium Shares $ 1,285,530 $ 50,438,110 50,438,110 $ 39,723,294 39,723,294
36 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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(cont'd)

Realized

Gain (Loss)

Dividend
Income

Net Increase

(Decrease) in

Unrealized

Appreciation

(Depreciation)

Affiliate

Value at

November 30, 2021

Western Asset Premier Institutional Government Reserves, Premium Shares - $ 249 - $ 12,000,346

8. Deferred capital losses

As of May 31, 2021, the Fund had deferred capital losses of $99,253,957, which have no expiration date, that will be available to offset future taxable capital gains.

9. Recent accounting pronouncement

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04,Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs are effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of these ASUs will not have a material impact on the financial statements.

10. Other matters

The outbreak of the respiratory illness COVID-19 (commonly referred to as "coronavirus") has continued to rapidly spread around the world, causing considerable uncertainty for the global economy and financial markets. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The COVID-19 pandemic could adversely affect the value and liquidity of the Fund's investments and negatively impact the Fund's performance. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to the Fund by its service providers.

***

The Fund's investments, payment obligations, and financing terms may be based on floating rates, such as the London Interbank Offered Rate, or "LIBOR," which is the offered rate for short-term Eurodollar deposits between major international banks. On March 5, 2021, the ICE Benchmark Administration, the administrator of LIBOR, stated that it will cease the

Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report 37

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Notes to financial statements (unaudited) (cont'd)

publication of (i) the overnight and one-, three-, six- and twelve-month USD LIBOR settings immediately following the LIBOR publication on Friday, June 30, 2023 and (ii) all other LIBOR settings, including the one-week and two-month USD LIBOR settings, immediately following the LIBOR publication on Friday, December 31, 2021. There remains uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the Fund's transactions and the financial markets generally. As such, the potential effect of a transition away from LIBOR on the Fund or the Fund's investments cannot yet be determined.

38 Western Asset High Yield Defined Opportunity Fund Inc. 2021 Semi-Annual Report

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Additional shareholder information (unaudited)

Results of annual meeting of shareholders

The Annual Meeting of Shareholders of Western Asset High Yield Defined Opportunity Fund Inc. was held on October 22, 2021 for the purpose of considering and voting upon the proposals presented at the Meeting. The following table provides information concerning the matters voted upon at the Meeting:

Election of directors

Nominees For Withheld Abstain
Carol L. Colman 18,653,376 641,092 245,516
Daniel P. Cronin 19,025,690 261,252 253,042
Paolo M. Cucchi 18,438,778 811,912 289,294

At November 30, 2021, in addition to Carol L. Colman, Daniel P. Cronin and Paolo M. Cucchi, the other Directors of the Fund were as follows:

Robert D. Agdern

William R. Hutchinson

Nisha Kumar

Eileen A. Kamerick

Jane Trust

Ratification of Selection of Independent Registered Public Accountants

To ratify the selection of PricewaterhouseCoopers LLP ("PwC") as independent registered public accountants of the Fund for the fiscal year ended May 31, 2022.

For Against Abstain

Broker

Non-Votes

19,230,058 84,287 225,639 0
Western Asset High Yield Defined Opportunity Fund Inc. 39

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Dividend reinvestment plan (unaudited)

Unless you elect to receive distributions in cash (i.e., opt-out), all dividends, including any capital gain dividends and return of capital distributions, on your Common Stock will be automatically reinvested by Computershare Trust Company, N.A., as agent for the stockholders (the "Plan Agent"), in additional shares of Common Stock under the Fund's Dividend Reinvestment Plan (the "Plan"). You may elect not to participate in the Plan by contacting the Plan Agent. If you do not participate, you will receive all cash distributions paid by check mailed directly to you by Computershare Trust Company, N.A., as dividend paying agent.

If you participate in the Plan, the number of shares of Common Stock you will receive will be determined as follows:

(1) If the market price of the Common Stock (plus $0.03 per share commission) on the payment date (or, if the payment date is not a NYSE trading day, the immediately preceding trading day) is equal to or exceeds the net asset value per share of the Common Stock at the close of trading on the NYSE on the payment date, the Fund will issue new Common Stock at a price equal to the greater of (a) the net asset value per share at the close of trading on the NYSE on the payment date or (b) 95% of the market price per share of the Common Stock on the payment date.

(2) If the net asset value per share of the Common Stock exceeds the market price of the Common Stock (plus $0.03 per share commission) at the close of trading on the NYSE on the payment date, the Plan Agent will receive the dividend or distribution in cash and will buy Common Stock in the open market, on the NYSE or elsewhere, for your account as soon as practicable commencing on the trading day following the payment date and terminating no later than the earlier of (a) 30 days after the dividend or distribution payment date, or (b) the payment date for the next succeeding dividend or distribution to be made to the stockholders; except when necessary to comply with applicable provisions of the federal securities laws. If during this period: (i) the market price (plus $0.03 per share commission) rises so that it equals or exceeds the net asset value per share of the Common Stock at the close of trading on the NYSE on the payment date before the Plan Agent has completed the open market purchases or (ii) if the Plan Agent is unable to invest the full amount eligible to be reinvested in open market purchases, the Plan Agent will cease purchasing Common Stock in the open market and the Fund shall issue the remaining Common Stock at a price per share equal to the greater of (a) the net asset value per share at the close of trading on the NYSE on the day prior to the issuance of shares for reinvestment or (b) 95% of the then current market price per share.

Common Stock in your account will be held by the Plan Agent in non-certificated form. Any proxy you receive will include all shares of Common Stock you have received under the Plan. You may withdraw from the Plan (i.e., opt-out) by notifying the Plan Agent in writing at 462 South 4th Street, Suite 1600, Louisville, KY 40202 or by calling the Plan Agent at 1-888-888-0151. Such withdrawal will be effective immediately if notice is received by the Plan Agent not less than ten business days prior to any dividend or distribution record date;

40 Western Asset High Yield Defined Opportunity Fund Inc.

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otherwise such withdrawal will be effective as soon as practicable after the Plan Agent's investment of the most recently declared dividend or distribution on the Common Stock.

Plan participants who sell their shares will be charged a service charge (currently $5.00 per transaction) and the Plan Agent is authorized to deduct brokerage charges actually incurred from the proceeds (currently $0.05 per share commission). There is no service charge for reinvestment of your dividends or distributions in Common Stock. However, all participants will pay a pro rata share of brokerage commissions incurred by the Plan Agent when it makes open market purchases. Because all dividends and distributions will be automatically reinvested in additional shares of Common Stock, this allows you to add to your investment through dollar cost averaging, which may lower the average cost of your Common Stock over time. Dollar cost averaging is a technique for lowering the average cost per share over time if the Fund's net asset value declines. While dollar cost averaging has definite advantages, it cannot assure profit or protect against loss in declining markets.

Automatically reinvesting dividends and distributions does not mean that you do not have to pay income taxes due upon receiving dividends and distributions. Investors will be subject to income tax on amounts reinvested under the Plan.

The Fund reserves the right to amend or terminate the Plan if, in the judgment of the Board of Directors, the change is warranted. The Plan may be terminated, amended or supplemented by the Fund upon notice in writing mailed to stockholders at least 30 days prior to the record date for the payment of any dividend or distribution by the Fund for which the termination or amendment is to be effective. Upon any termination, you will be sent cash for any fractional share of Common Stock in your account. You may elect to notify the Plan Agent in advance of such termination to have the Plan Agent sell part or all of your Common Stock on your behalf. Additional information about the Plan and your account may be obtained from the Plan Agent at 462 South 4th Street, Suite 1600, Louisville, KY 40202 or by calling the Plan Agent at 1-888-888-0151.

Western Asset High Yield Defined Opportunity Fund Inc. 41

Table of Contents

Western Asset

High Yield Defined Opportunity Fund Inc.

Directors

Robert D. Agdern

Carol L. Colman

Daniel P. Cronin

Paolo M. Cucchi

William R. Hutchinson

Eileen A. Kamerick

Nisha Kumar

Jane Trust

Chairman

Officers

Jane Trust

President and Chief Executive Officer

Christopher Berarducci

Treasurer and Principal Financial Officer

Fred Jensen

Chief Compliance Officer

Jenna Bailey

Identity Theft Prevention Officer

George P. Hoyt

Secretary and Chief Legal Officer

Thomas C. Mandia

Assistant Secretary

Jeanne M. Kelly

Senior Vice President

Western Asset High Yield Defined Opportunity Fund Inc.

620 Eighth Avenue

47th Floor

New York, NY 10018

Investment manager

Legg Mason Partners Fund Advisor, LLC

Subadvisers

Western Asset Management Company, LLC

Western Asset Management Company Limited

Western Asset Management Company Ltd

Western Asset Management Company Pte. Ltd.

Custodian

The Bank of New York Mellon

Transfer agent

Computershare Inc.

462 South 4th Street, Suite 1600

Louisville, KY 40202

Independent registered public accounting firm

PricewaterhouseCoopers LLP

Baltimore, MD

Legal counsel

Simpson Thacher & Bartlett LLP

900 G Street NW

Washington, DC 20001

New York Stock Exchange Symbol

HYI

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Legg Mason Funds Privacy and Security Notice

Your Privacy and the Security of Your Personal Information is Very Important to the Legg Mason Funds

This Privacy and Security Notice (the "Privacy Notice") addresses the Legg Mason Funds' privacy and data protection practices with respect to nonpublic personal information the Funds receive. The Legg Mason Funds include any funds sold by the Funds' distributor, Franklin Distributors, LLC, as well as Legg Mason-sponsored closed-end funds. The provisions of this Privacy Notice apply to your information both while you are a shareholder and after you are no longer invested with the Funds.

The Type of Nonpublic Personal Information the Funds Collect About You

The Funds collect and maintain nonpublic personal information about you in connection with your shareholder account. Such information may include, but is not limited to:

•

Personal information included on applications or other forms;

•

Account balances, transactions, and mutual fund holdings and positions;

•

Bank account information, legal documents, and identity verification documentation;

•

Online account access user IDs, passwords, security challenge question responses; and

•

Information received from consumer reporting agencies regarding credit history and creditworthiness (such as the amount of an individual's total debt, payment history, etc.).

How the Funds Use Nonpublic Personal Information About You

The Funds do not sell or share your nonpublic personal information with third parties or with affiliates for their marketing purposes, or with other financial institutions or affiliates for joint marketing purposes, unless you have authorized the Funds to do so. The Funds do not disclose any nonpublic personal information about you except as may be required to perform transactions or services you have authorized or as permitted or required by law.

The Funds may disclose information about you to:

•

Employees, agents, and affiliates on a "need to know" basis to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;

•

Service providers, including the Funds' affiliates, who assist the Funds as part of the ordinary course of business (such as printing, mailing services, or processing or servicing your account with us) or otherwise perform services on the Funds' behalf, including companies that may perform statistical analysis, market research and marketing services solely for the Funds;

•

Permit access to transfer, whether in the United States or countries outside of the United States to such Funds' employees, agents and affiliates and service providers as required to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;

•

The Funds' representatives such as legal counsel, accountants and auditors to enable the Funds to conduct ordinary business, or to comply with obligations to government regulators;

•

Fiduciaries or representatives acting on your behalf, such as an IRA custodian or trustee of a grantor trust.

NOT PART OF THE SEMI-ANNUAL REPORT

Table of Contents

Legg Mason Funds Privacy and Security Notice (cont'd)

Except as otherwise permitted by applicable law, companies acting on the Funds' behalf, including those outside the United States, are contractually obligated to keep nonpublic personal information the Funds provide to them confidential and to use the information the Funds share only to provide the services the Funds ask them to perform. The Funds may disclose nonpublic personal information about you when necessary to enforce their rights or protect against fraud, or as permitted or required by applicable law, such as in connection with a law enforcement or regulatory request, subpoena, or similar legal process. In the event of a corporate action or in the event a Fund service provider changes, the Funds may be required to disclose your nonpublic personal information to third parties. While it is the Funds' practice to obtain protections for disclosed information in these types of transactions, the Funds cannot guarantee their privacy policy will remain unchanged.

Keeping You Informed of the Funds' Privacy and Security Practices

The Funds will notify you annually of their privacy policy as required by federal law. While the Funds reserve the right to modify this policy at any time they will notify you promptly if this privacy policy changes.

The Funds' Security Practices

The Funds maintain appropriate physical, electronic and procedural safeguards designed to guard your nonpublic personal information. The Funds' internal data security policies restrict access to your nonpublic personal information to authorized employees, who may use your nonpublic personal information for Fund business purposes only.

Although the Funds strive to protect your nonpublic personal information, they cannot ensure or warrant the security of any information you provide or transmit to them, and you do so at your own risk. In the event of a breach of the confidentiality or security of your nonpublic personal information, the Funds will attempt to notify you as necessary, so you can take appropriate protective steps. If you have consented to the Funds using electronic communications or electronic delivery of statements, they may notify you under such circumstances using the most current email address you have on record with them.

In order for the Funds to provide effective service to you, keeping your account information accurate is very important. If you believe that your account information is incomplete, not accurate or not current, if you have questions about the Funds' privacy practices, or our use of your nonpublic personal information, write the Funds using the contact information on your account statements, email the Funds by clicking on the Contact Us section of the Funds' website at www.franklintempleton.com, or contact the Fund at 1-888-777-0102.

Revised April 2018

Legg Mason California Consumer Privacy Act Policy

Although much of the personal information we collect is "nonpublic personal information" subject to federal law, residents of California may, in certain circumstances, have additional rights under the California Consumer Privacy Act ("CCPA"). For example, if you are a broker,

NOT PART OF THE SEMI-ANNUAL REPORT

Table of Contents

Legg Mason Funds Privacy and Security Notice (cont'd)

dealer, agent, fiduciary, or representative acting by or on behalf of, or for, the account of any other person(s) or household, or a financial advisor, or if you have otherwise provided personal information to us separate from the relationship we have with personal investors, the provisions of this Privacy Policy apply to your personal information (as defined by the CCPA).

•

In addition to the provisions of the Legg Mason Funds Security and Privacy Notice, you may have the right to know the categories and specific pieces of personal information we have collected about you.

•

You also have the right to request the deletion of the personal information collected or maintained by the Funds.

If you wish to exercise any of the rights you have in respect of your personal information, you should advise the Funds by contacting them as set forth below. The rights noted above are subject to our other legal and regulatory obligations and any exemptions under the CCPA. You may designate an authorized agent to make a rights request on your behalf, subject to the identification process described below. We do not discriminate based on requests for information related to our use of your personal information, and you have the right not to receive discriminatory treatment related to the exercise of your privacy rights.

We may request information from you in order to verify your identity or authority in making such a request. If you have appointed an authorized agent to make a request on your behalf, or you are an authorized agent making such a request (such as a power of attorney or other written permission), this process may include providing a password/passcode, a copy of government issued identification, affidavit or other applicable documentation, i.e. written permission. We may require you to verify your identity directly even when using an authorized agent, unless a power of attorney has been provided. We reserve the right to deny a request submitted by an agent if suitable and appropriate proof is not provided.

For the 12-month period prior to the date of this Privacy Policy, the Legg Mason Funds have not sold any of your personal information; nor do we have any plans to do so in the future.

Contact Information

Address: Data Privacy Officer, 100 International Dr., Baltimore, MD 21202

Email: [email protected]

Phone: 1-800-396-4748

Revised October 2020

NOT PART OF THE SEMI-ANNUAL REPORT

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Western Asset High Yield Defined Opportunity Fund Inc.

Western Asset High Yield Defined Opportunity Fund Inc.

620 Eighth Avenue

47th Floor

New York, NY 10018

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that from time to time the Fund may purchase, at market prices, shares of its stock.

The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission ("SEC") for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund's Forms N-PORT are available on the SEC's website at www.sec.gov. To obtain information on Form N-PORT, shareholders can call the Fund at 1-888-777-0102.

Information on how the Fund voted proxies relating to portfolio securities during the prior 12-month period ended June 30th of each year and a description of the policies and procedures that the Fund uses to determine how to vote proxies related to portfolio transactions are available (1) without charge, upon request, by calling 1-888-777-0102, (2) at www.franklintempleton.com and (3) on the SEC's website at www.sec.gov.

This report is transmitted to the shareholders of Western Asset High Yield Defined Opportunity Fund Inc. for their information. This is not a prospectus, circular or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.

Computershare Inc.

462 South 4th Street, Suite 1600

Louisville, KY 40202

WASX013399 1/22 SR21-4322

Table of Contents

ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Included herein under Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. INVESTMENT PROFESSIONALS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable.
ITEM 11. 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 second fiscal quarter of the period covered by this report that have materially affected, or are likely to materially affect the registrant's internal control over financial reporting.

Table of Contents

ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a) (1) Not applicable.
Exhibit 99.CODE ETH
(a) (2) Certifications pursuant to section 302 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.CERT
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto.
Exhibit 99.906CERT

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this Report to be signed on its behalf by the undersigned, there unto duly authorized.

Western Asset High Yield Defined Opportunity Fund Inc.

By:

/s/ Jane Trust

Jane Trust
Chief Executive Officer
Date: January 24, 2022

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: January 24, 2022
By:

/s/ Christopher Berarducci

Christopher Berarducci
Principal Financial Officer
Date: January 24, 2022