UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-22491

 

Legg Mason BW Global Income Opportunities Fund Inc.

(Exact name of registrant as specified in charter)

 

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

 

10018

(Address of principal executive offices)

 

(Zip code)

 

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

1-888-777-0102

 

 

Date of fiscal year end:

October 31

 

 

Date of reporting period:

July 31, 2013

 

 



 

ITEM 1.                 SCHEDULE OF INVESTMENTS.

 



 

LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

FORM N-Q

JULY 31, 2013

 


 

LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

Schedule of investments (unaudited)

July 31, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

SOVEREIGN BONDS — 75.2%

 

 

 

 

 

 

 

 

 

Brazil — 10.2%

 

 

 

 

 

 

 

 

 

Brazil Nota do Tesouro Nacional, Notes

 

10.000%

 

1/1/17

 

43,100,000

BRL

$

18,595,581

(a)

Brazil Nota do Tesouro Nacional, Notes

 

10.000%

 

1/1/21

 

55,485,000

BRL

23,385,443

(a)

Total Brazil

 

 

 

 

 

 

 

41,981,024

 

Colombia — 0.1%

 

 

 

 

 

 

 

 

 

Empresa de Telecomunicaciones de Bogota SA, Senior Notes

 

7.000%

 

1/17/23

 

672,000,000

COP

315,651

(b)

Hungary — 6.2%

 

 

 

 

 

 

 

 

 

Hungary Government Bond, Bonds

 

6.750%

 

11/24/17

 

920,000,000

HUF

4,312,980

 

Hungary Government Bond, Bonds

 

7.500%

 

11/12/20

 

3,353,500,000

HUF

16,262,809

 

Hungary Government Bond, Bonds

 

7.000%

 

6/24/22

 

1,072,000,000

HUF

4,980,375

 

Total Hungary

 

 

 

 

 

 

 

25,556,164

 

Italy — 10.0%

 

 

 

 

 

 

 

 

 

Italy Buoni Poliennali Del Tesoro

 

5.000%

 

8/1/39

 

30,575,000

EUR

40,875,568

(a)

Mexico — 18.1%

 

 

 

 

 

 

 

 

 

Mexican Bonos, Bonds

 

8.500%

 

5/31/29

 

224,690,000

MXN

20,654,662

(a)

Mexican Bonos, Bonds

 

8.500%

 

11/18/38

 

426,539,500

MXN

38,749,967

(a)

Mexican Bonos, Bonds

 

7.750%

 

11/13/42

 

180,200,000

MXN

15,154,266

 

Total Mexico

 

 

 

 

 

 

 

74,558,895

 

Poland — 4.8%

 

 

 

 

 

 

 

 

 

Republic of Poland, Bonds

 

5.250%

 

10/25/20

 

58,290,000

PLN

19,868,406

(a)

Portugal — 6.5%

 

 

 

 

 

 

 

 

 

Portugal Obrigacoes do Tesouro OT, Senior Bonds

 

4.350%

 

10/16/17

 

2,000,000

EUR

2,550,613

(b)

Portugal Obrigacoes do Tesouro OT, Senior Bonds

 

3.850%

 

4/15/21

 

3,440,000

EUR

3,946,608

(b)

Portugal Obrigacoes do Tesouro OT, Senior Bonds

 

4.950%

 

10/25/23

 

6,300,000

EUR

7,580,313

(a)(b)

Portugal Obrigacoes do Tesouro OT, Senior Bonds

 

4.100%

 

4/15/37

 

13,400,000

EUR

12,760,343

(b)

Total Portugal

 

 

 

 

 

 

 

26,837,877

 

South Africa — 11.1%

 

 

 

 

 

 

 

 

 

Republic of South Africa, Bonds

 

6.500%

 

2/28/41

 

608,800,000

ZAR

45,570,983

(a)

Turkey — 8.2%

 

 

 

 

 

 

 

 

 

Republic of Turkey, Bonds

 

9.000%

 

3/5/14

 

64,535,000

TRY

33,568,401

(a)

TOTAL SOVEREIGN BONDS (Cost — $326,002,127)

 

 

 

 

309,132,969

 

ASSET-BACKED SECURITIES — 5.6%

 

 

 

 

 

 

 

 

 

Carrington Mortgage Loan Trust, 2005-FRE1 A6

 

0.570%

 

12/25/35

 

200,000

 

181,224

(c)

JPMorgan Mortgage Acquisition Corp., 2006-CH2 AV3

 

0.290%

 

10/25/36

 

4,703,395

 

4,550,873

(c)

JPMorgan Mortgage Acquisition Corp., 2007-CH1 AF3

 

5.316%

 

11/25/36

 

1,571,256

 

1,588,539

 

Morgan Stanley Structured Trust, 2007-1 A1

 

0.270%

 

6/25/37

 

7,075,238

 

6,575,839

(c)

Novastar Home Equity Loan, 2003-1 A1

 

0.950%

 

5/25/33

 

1,589,017

 

1,434,673

(c)

Option One Mortgage Loan Trust, 2005-4 M1

 

0.630%

 

11/25/35

 

1,090,000

 

988,691

(c)

Structured Asset Securities Corp., 2007-MN1A A2

 

0.310%

 

1/25/37

 

1,843,782

 

1,774,817

(b)(c)

Wells Fargo Home Equity Trust, 2005-3 M3

 

0.650%

 

11/25/35

 

6,275,000

 

5,763,355

(c)

TOTAL ASSET-BACKED SECURITIES (Cost — $22,726,585)

 

 

 

22,858,011

 

COLLATERALIZED MORTGAGE OBLIGATIONS — 12.3%

 

 

 

 

 

 

Banc of America Mortgage Securities, 2005-7 1A3

 

5.500%

 

8/25/35

 

1,400,000

 

1,371,252

 

Bear Stearns ARM Trust, 2004-3 4A

 

4.645%

 

7/25/34

 

12,928,884

 

12,983,082

(c)

Chase Mortgage Finance Corp., 2005-A2 3A1

 

4.974%

 

1/25/36

 

468,671

 

433,331

(c)

Chase Mortgage Finance Corp., 2007-A1 1A4

 

2.895%

 

2/25/37

 

2,729,677

 

2,598,872

(c)

 

See Notes to Schedule of Investments.

 

1


 

LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

Schedule of investments (unaudited) (cont’d)

July 31, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

COLLATERALIZED MORTGAGE OBLIGATIONS — continued

 

 

 

Chase Mortgage Finance Corp., 2007-A1 2A2

 

2.719%

 

2/25/37

 

4,476,912

 

$

4,358,144

(c)

Chase Mortgage Finance Corp., 2007-A2 2A4

 

2.985%

 

7/25/37

 

2,370,950

 

2,223,442

(c)

Countrywide Alternative Loan Trust, 2003-11T1 A1

 

4.750%

 

7/25/18

 

1,066,512

 

1,105,139

 

Deutsche Alt-A Securities Inc. Mortgage Loan Trust, 2005-1 1A1

 

0.690%

 

2/25/35

 

1,314,828

 

1,200,548

(c)

Global Mortgage Securitization Ltd., 2005-A A2

 

0.460%

 

4/25/32

 

12,320,269

 

11,564,069

(c)

Residential Accredit Loans Inc., 2005-QS9 A6

 

5.500%

 

6/25/35

 

4,856,926

 

4,480,320

 

Residential Funding Mortgage Securities I, 2006-S11 A1

 

6.000%

 

11/25/36

 

2,255,067

 

2,098,822

 

Wachovia Bank Commercial Mortgage Trust, 2006-C26 AJ

 

5.997%

 

6/15/45

 

6,110,000

 

6,069,857

(c)

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $50,385,280)

50,486,878

 

SENIOR LOANS — 1.2%

 

 

 

 

 

 

 

 

 

TELECOMMUNICATION SERVICES — 1.2%

 

 

 

 

 

 

 

Wireless Telecommunication Services — 1.2%

 

 

 

 

 

 

 

 

 

Crown Castle International Corp., New Term Loan (Cost - $5,024,546)

 

3.250%

 

1/31/19

 

4,987,500

 

4,999,261

(d)

CORPORATE BONDS & NOTES — 30.4%

 

 

 

 

 

 

 

 

 

CONSUMER DISCRETIONARY — 3.9%

 

 

 

 

 

 

 

 

 

Auto Components — 0.2%

 

 

 

 

 

 

 

 

 

Icahn Enterprises LP/Icahn Enterprises Finance Corp., Senior Notes

 

6.000%

 

8/1/20

 

910,000

 

912,275

(b)

Diversified Consumer Services — 0.1%

 

 

 

 

 

 

 

 

 

StoneMor Partners LP/Cornerstone Family Services of WV, Senior Notes

 

7.875%

 

6/1/21

 

600,000

 

609,000

(a)(b)

Hotels, Restaurants & Leisure — 2.3%

 

 

 

 

 

 

 

 

 

Aramark Corp., Senior Notes

 

5.750%

 

3/15/20

 

695,000

 

726,275

(a)(b)

Arcos Dorados Holdings Inc., Senior Notes

 

10.250%

 

7/13/16

 

2,960,000

BRL

1,316,940

(a)(b)

Caesars Entertainment Operating Co. Inc., Senior Secured Notes

 

9.000%

 

2/15/20

 

1,550,000

 

1,468,625

(b)

Carrols Restaurant Group Inc., Senior Secured Notes

 

11.250%

 

5/15/18

 

350,000

 

395,500

(a)

Gtech SpA, Bonds

 

8.250%

 

3/31/66

 

2,340,000

EUR

3,303,815

(a)(b)(c)

Marina District Finance Co. Inc., Senior Secured Notes

 

9.500%

 

10/15/15

 

1,242,000

 

1,304,100

(a)

Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp., Senior Secured Notes

 

9.500%

 

6/15/19

 

716,000

 

780,440

(a)(b)

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

9,295,695

 

Media — 1.0%

 

 

 

 

 

 

 

 

 

Cablevision Systems Corp., Senior Notes

 

8.000%

 

4/15/20

 

1,250,000

 

1,418,750

(a)

DISH DBS Corp., Senior Notes

 

6.750%

 

6/1/21

 

600,000

 

639,000

(a)

DISH DBS Corp., Senior Notes

 

5.000%

 

3/15/23

 

890,000

 

838,825

(a)

Ottawa Holdings Pte Ltd., Senior Secured Notes

 

5.875%

 

5/16/18

 

750,000

 

615,000

(a)(b)

Sinclair Television Group Inc., Senior Notes

 

5.375%

 

4/1/21

 

400,000

 

393,000

 

Univision Communications Inc., Senior Secured Notes

 

6.750%

 

9/15/22

 

305,000

 

329,400

(a)(b)

Total Media

 

 

 

 

 

 

 

4,233,975

 

Specialty Retail — 0.3%

 

 

 

 

 

 

 

 

 

Edcon Pty Ltd., Senior Secured Notes

 

9.500%

 

3/1/18

 

720,000

EUR

886,013

(a)(b)

Edcon Pty Ltd., Senior Secured Notes

 

9.500%

 

3/1/18

 

325,000

 

303,063

(a)(b)

Total Specialty Retail

 

 

 

 

 

 

 

1,189,076

 

TOTAL CONSUMER DISCRETIONARY

 

 

 

 

 

 

 

16,240,021

 

CONSUMER STAPLES — 1.8%

 

 

 

 

 

 

 

 

 

Food & Staples Retailing — 0.3%

 

 

 

 

 

 

 

 

 

Bakkavor Finance 2 PLC, Senior Secured Notes

 

8.750%

 

6/15/20

 

610,000

GBP

960,516

(a)(b)

 

See Notes to Schedule of Investments.

 

2


 

LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

Schedule of investments (unaudited) (cont’d)

July 31, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Food Products — 0.7%

 

 

 

 

 

 

 

 

 

Agrokor DD, Senior Notes

 

8.875%

 

2/1/20

 

250,000

 

$

266,000

(a)(b)

Boparan Holdings Ltd., Senior Notes

 

9.875%

 

4/30/18

 

710,000

GBP

1,197,007

(a)(b)

JBS USA LLC/JBS USA Finance Inc., Senior Notes

 

8.250%

 

2/1/20

 

1,415,000

 

1,506,975

(a)(b)

Total Food Products

 

 

 

 

 

 

 

2,969,982

 

Tobacco — 0.8%

 

 

 

 

 

 

 

 

 

Alliance One International Inc., Secured Notes

 

9.875%

 

7/15/21

 

2,750,000

 

2,691,562

(b)

Vector Group Ltd., Senior Subordinated Secured Notes

 

7.750%

 

2/15/21

 

675,000

 

708,750

(a)

Total Tobacco

 

 

 

 

 

 

 

3,400,312

 

TOTAL CONSUMER STAPLES

 

 

 

 

 

 

 

7,330,810

 

ENERGY — 1.5%

 

 

 

 

 

 

 

 

 

Energy Equipment & Services — 0.1%

 

 

 

 

 

 

 

 

 

ION Geophysical Corp., Senior Secured Notes

 

8.125%

 

5/15/18

 

475,000

 

463,125

(a)(b)

Oil, Gas & Consumable Fuels — 1.4%

 

 

 

 

 

 

 

 

 

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., Senior Notes

 

9.625%

 

10/15/18

 

1,325,000

 

1,397,875

(a)

Bonanza Creek Energy Inc., Senior Notes

 

6.750%

 

4/15/21

 

940,000

 

968,200

 

Halcon Resources Corp., Senior Notes

 

8.875%

 

5/15/21

 

550,000

 

558,250

 

Infinis PLC, Senior Secured Notes

 

7.000%

 

2/15/19

 

630,000

GBP

984,743

(a)(b)

Penn Virginia Resource Partners LP/Penn Virginia Resource Finance Corp. II, Senior Notes

 

8.375%

 

6/1/20

 

685,000

 

731,238

(a)

Shelf Drilling Holdings Ltd., Senior Secured Notes

 

8.625%

 

11/1/18

 

970,000

 

1,037,900

(a)(b)

Total Oil, Gas & Consumable Fuels

 

 

 

 

 

 

 

5,678,206

 

TOTAL ENERGY

 

 

 

 

 

 

 

6,141,331

 

FINANCIALS — 13.6%

 

 

 

 

 

 

 

 

 

Capital Markets — 8.7%

 

 

 

 

 

 

 

 

 

Goldman Sachs Group Inc., Senior Notes

 

3.625%

 

1/22/23

 

5,000,000

 

4,796,860

(a)

Goldman Sachs Group Inc., Subordinated Notes

 

6.750%

 

10/1/37

 

13,045,000

 

13,767,328

(a)

Jefferies Finance LLC/JFIN Co.-Issuer Corp., Senior Notes

 

7.375%

 

4/1/20

 

2,100,000

 

2,131,500

(a)(b)

Merrill Lynch & Co. Inc., Subordinated Notes

 

7.750%

 

5/14/38

 

12,600,000

 

15,090,818

(a)

Total Capital Markets

 

 

 

 

 

 

 

35,786,506

 

Consumer Finance — 0.2%

 

 

 

 

 

 

 

 

 

TMX Finance LLC/TitleMax Finance Corp., Senior Secured Notes

 

8.500%

 

9/15/18

 

940,000

 

972,900

(b)

Diversified Financial Services — 2.9%

 

 

 

 

 

 

 

 

 

Cabot Financial Luxembourg SA, Senior Secured Notes

 

10.375%

 

10/1/19

 

600,000

GBP

1,013,153

(b)

Citigroup Inc., Senior Notes

 

8.125%

 

7/15/39

 

5,330,000

 

7,353,939

(a)

EC Finance PLC, Senior Secured Bonds

 

9.750%

 

8/1/17

 

900,000

EUR

1,287,113

(a)(b)

Speedy Cash Inc., Senior Secured Notes

 

10.750%

 

5/15/18

 

1,250,000

 

1,325,000

(a)(b)

Thomas Cook Finance PLC, Senior Notes

 

7.750%

 

6/15/20

 

740,000

EUR

1,005,379

(a)(b)

Total Diversified Financial Services

 

 

 

 

 

 

 

11,984,584

 

Insurance — 1.8%

 

 

 

 

 

 

 

 

 

Towergate Finance PLC, Senior Secured Notes

 

6.009%

 

2/15/18

 

4,300,000

GBP

6,542,685

(a)(b)(c)

Towergate Finance PLC, Senior Secured Notes

 

8.500%

 

2/15/18

 

460,000

GBP

741,762

(a)(b)

Total Insurance

 

 

 

 

 

 

 

7,284,447

 

TOTAL FINANCIALS

 

 

 

 

 

 

 

56,028,437

 

HEALTH CARE — 0.7%

 

 

 

 

 

 

 

 

 

Health Care Providers & Services — 0.4%

 

 

 

 

 

 

 

 

 

HCA Inc., Senior Notes

 

7.500%

 

2/15/22

 

700,000

 

791,000

(a)

Unilabs Subholding AB, Senior Secured Notes

 

8.500%

 

7/15/18

 

560,000

EUR

746,858

(b)

Total Health Care Providers & Services

 

 

 

 

 

 

 

1,537,858

 

 

See Notes to Schedule of Investments.

 

3


 

LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

Schedule of investments (unaudited) (cont’d)

July 31, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Pharmaceuticals — 0.3%

 

 

 

 

 

 

 

 

 

Sky Growth Acquisition Corp., Senior Notes

 

7.375%

 

10/15/20

 

1,150,000

 

$

1,201,750

(b)

TOTAL HEALTH CARE

 

 

 

 

 

 

 

2,739,608

 

INDUSTRIALS — 1.8%

 

 

 

 

 

 

 

 

 

Airlines — 0.2%

 

 

 

 

 

 

 

 

 

Heathrow Finance PLC, Senior Secured Notes

 

7.125%

 

3/1/17

 

645,000

GBP

1,055,268

(a)(b)

Building Products — 1.0%

 

 

 

 

 

 

 

 

 

Grohe Holding GmbH, Senior Secured Notes

 

8.750%

 

12/15/17

 

2,870,000

EUR

3,993,011

(a)(b)(c)

Commercial Services & Supplies — 0.5%

 

 

 

 

 

 

 

 

 

Safway Group Holding LLC/Safway Finance Corp., Secured Notes

 

7.000%

 

5/15/18

 

1,870,000

 

1,884,025

(a)(b)

Transportation — 0.1%

 

 

 

 

 

 

 

 

 

Aguila 3 SA, Senior Secured Notes

 

7.875%

 

1/31/18

 

420,000

CHF

471,533

(a)(b)

TOTAL INDUSTRIALS

 

 

 

 

 

 

 

7,403,837

 

INFORMATION TECHNOLOGY — 0.7%

 

 

 

 

 

 

 

 

 

Communications Equipment — 0.2%

 

 

 

 

 

 

 

 

 

Nokia Siemens Networks Finance BV, Senior Bonds

 

6.750%

 

4/15/18

 

500,000

EUR

692,314

(a)(b)

Computers & Peripherals — 0.2%

 

 

 

 

 

 

 

 

 

Seagate HDD Cayman, Senior Notes

 

4.750%

 

6/1/23

 

990,000

 

950,400

(a)(b)

Electronic Equipment, Instruments & Components — 0.1%

 

 

 

 

MMI International Ltd., Senior Secured Notes

 

8.000%

 

3/1/17

 

500,000

 

505,000

(a)(b)

Internet Software & Services — 0.2%

 

 

 

 

 

 

 

 

 

VeriSign Inc., Senior Notes

 

4.625%

 

5/1/23

 

800,000

 

772,000

(b)

TOTAL INFORMATION TECHNOLOGY

 

 

 

 

 

 

 

2,919,714

 

MATERIALS — 1.8%

 

 

 

 

 

 

 

 

 

Chemicals — 0.9%

 

 

 

 

 

 

 

 

 

Momentive Performance Materials Inc., Senior Secured Notes

 

8.875%

 

10/15/20

 

1,630,000

 

1,744,100

(a)

Tronox Finance LLC, Senior Notes

 

6.375%

 

8/15/20

 

1,765,000

 

1,698,812

(a)(b)

Total Chemicals

 

 

 

 

 

 

 

3,442,912

 

Construction Materials — 0.2%

 

 

 

 

 

 

 

 

 

Cemex SAB de CV, Senior Secured Notes

 

9.000%

 

1/11/18

 

790,000

 

863,075

(a)(b)

Containers & Packaging — 0.7%

 

 

 

 

 

 

 

 

 

Ardagh Glass Finance PLC, Senior Notes

 

7.125%

 

6/15/17

 

800,000

EUR

1,077,754

(b)

Viskase Cos. Inc., Senior Secured Notes

 

9.875%

 

1/15/18

 

1,800,000

 

1,917,000

(a)(b)

Total Containers & Packaging

 

 

 

 

 

 

 

2,994,754

 

TOTAL MATERIALS

 

 

 

 

 

 

 

7,300,741

 

TELECOMMUNICATION SERVICES — 3.7%

 

 

 

 

 

 

 

 

 

Diversified Telecommunication Services — 1.1%

 

 

 

 

 

 

 

 

 

Digicel Group Ltd., Senior Notes

 

8.250%

 

9/30/20

 

1,380,000

 

1,490,400

(a)(b)

Eileme 2 AB, Senior Notes

 

11.750%

 

1/31/20

 

960,000

EUR

1,500,635

(a)(b)

Primus Telecommunications Holding Inc., Senior Notes

 

10.000%

 

4/15/17

 

1,250,000

 

1,256,250

(a)(b)

Wind Acquisition Finance SA, Senior Secured Notes

 

7.250%

 

2/15/18

 

585,000

 

605,475

(a)(b)

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

4,852,760

 

Wireless Telecommunication Services — 2.6%

 

 

 

 

 

 

 

 

 

Eircom Finance Ltd., Senior Secured Notes

 

9.250%

 

5/15/20

 

410,000

EUR

512,717

(b)

Oi S.A., Senior Notes

 

5.750%

 

2/10/22

 

8,915,000

 

8,357,812

(a)(b)

SBA Communications Corp., Senior Notes

 

5.625%

 

10/1/19

 

80,000

 

81,000

 

SBA Telecommunications Inc., Senior Notes

 

5.750%

 

7/15/20

 

615,000

 

631,912

 

 

See Notes to Schedule of Investments.

 

4


 

LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

Schedule of investments (unaudited) (cont’d)

July 31, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT †

 

VALUE

 

Wireless Telecommunication Services — continued

 

 

 

 

 

 

Softbank Corp., Senior Notes

 

4.500%

 

4/15/20

 

1,085,000

 

$

1,050,009

(a)(b)

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

10,633,450

 

TOTAL TELECOMMUNICATION SERVICES

 

 

 

 

 

 

 

15,486,210

 

UTILITIES — 0.9%

 

 

 

 

 

 

 

 

 

Electric Utilities — 0.3%

 

 

 

 

 

 

 

 

 

Viridian Group FundCo II, Senior Secured Notes

 

11.125%

 

4/1/17

 

925,000

EUR

1,307,485

(a)(b)

Gas Utilities — 0.2%

 

 

 

 

 

 

 

 

 

AmeriGas Partners LP/AmeriGas Finance Corp., Senior Notes

 

6.500%

 

5/20/21

 

704,000

 

735,680

 

Independent Power Producers & Energy Traders — 0.4%

 

 

 

 

 

AES Corp., Senior Notes

 

7.375%

 

7/1/21

 

550,000

 

624,250

(a)

Mirant Americas Generation LLC, Senior Notes

 

8.500%

 

10/1/21

 

875,000

 

958,125

(a)

Total Independent Power Producers & Energy Traders

 

 

 

 

1,582,375

 

TOTAL UTILITIES

 

 

 

 

 

 

 

3,625,540

 

TOTAL CORPORATE BONDS & NOTES (Cost — $123,129,474)

 

 

 

125,216,249

 

MUNICIPAL BONDS — 0.5%

 

 

 

 

 

 

 

 

 

Georgia — 0.5%

 

 

 

 

 

 

 

 

 

Municipal Electric Authority, GA, Build America Bonds, Plant Vogtle Units 3&4 Project J

 

6.637%

 

4/1/57

 

1,230,000

 

1,313,825

(a)

Municipal Electric Authority, GA, Build America Bonds, Plant Vogtle Units 3&4 Project M

 

6.655%

 

4/1/57

 

915,000

 

966,450

(a)

TOTAL MUNICIPAL BONDS (Cost — $2,426,232)

 

 

 

2,280,275

 

NON-U.S. TREASURY INFLATION PROTECTED SECURITIES — 0.7%

 

 

 

 

Italy — 0.7%

 

 

 

 

 

 

 

 

 

Italy Buoni Poliennali Del Tesoro, Senior Notes (Cost - $2,056,986)

 

2.350%

 

9/15/35

 

2,384,720

EUR

2,749,933

(a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

SHARES

 

 

 

COMMON STOCKS — 0.3%

 

 

 

 

 

 

 

 

 

INFORMATION TECHNOLOGY — 0.3%

 

 

 

 

 

 

 

 

 

Computers & Peripherals — 0.3%

 

 

 

 

 

 

 

 

 

Apple Inc.(Cost - $1,366,562)

 

 

 

 

 

3,000

 

1,357,500

 

MASTER LIMITED PARTNERSHIPS — 1.3%

 

 

 

 

 

 

 

 

 

Industrials — 1.3%

 

 

 

 

 

 

 

 

 

StoneMor Partners LP(Cost - $4,904,417)

 

 

 

 

 

196,000

 

5,243,000

(a)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $538,022,209)

524,324,076

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

FACE
AMOUNT†

 

 

 

SHORT-TERM INVESTMENTS — 2.0%

 

 

 

 

 

 

 

 

 

Repurchase Agreements — 2.0%

 

 

 

 

 

 

 

 

 

State Street Bank & Trust Co. repurchase agreement dated 7/31/13; Proceeds at maturity - $8,301,002; (Fully collateralized by U.S. government agency obligations, 4.000% due 8/15/39; Market value - $8,467,668) (Cost - $8,301,000)

 

0.010%

 

8/1/13

 

8,301,000

 

8,301,000

 

TOTAL INVESTMENTS — 129.5% (Cost — $546,323,209#)

 

532,625,076

 

Liabilities in Excess of Other Assets — (29.5)%

 

 

 

 

 

 

 

(121,329,952

)

TOTAL NET ASSETS — 100.0%

 

 

 

 

 

 

 

$

411,295,124

 

 

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

(a)

All or a portion of this security is pledged as collateral pursuant to the loan agreement.

 

See Notes to Schedule of Investments.

 

5


 

LEGG MASON BW GLOBAL INCOME OPPORTUNITIES FUND INC.

 

Schedule of investments (unaudited) (cont’d)

July 31, 2013

 

(b)

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

(c)

Variable rate security. Interest rate disclosed is as of the most recent information available.

(d)

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

#

Aggregate cost for federal income tax purposes is substantially the same.

 

 

 

Abbreviations used in this schedule:

 

ARM

- Adjustable Rate Mortgage

 

BRL

- Brazilian Real

 

CHF

- Swiss Franc

 

COP

- Colombian Peso

 

EUR

- Euro

 

GBP

- British Pound

 

HUF

- Hungarian Forint

 

MXN

- Mexican Peso

 

PLN

- Polish Zloty

 

TRY

- Turkish Lira

 

ZAR

- South African Rand

 

Summary of Investments by Country

United States

 

28.9

%

Mexico

 

14.2

 

Brazil

 

9.7

 

Italy

 

8.9

 

South Africa

 

8.8

 

Turkey

 

6.3

 

Portugal

 

5.0

 

Hungary

 

4.8

 

Poland

 

4.0

 

United Kingdom

 

3.0

 

Cayman Islands

 

2.2

 

Germany

 

0.7

 

Luxembourg

 

0.5

 

Jamaica

 

0.3

 

Argentina

 

0.2

 

Japan

 

0.2

 

United Arab Emirates

 

0.2

 

Netherlands

 

0.1

 

Indonesia

 

0.1

 

Singapore

 

0.1

 

Colombia

 

0.1

 

Croatia

 

0.1

 

Short - Term Investments

 

1.6

 

 

 

100.0

%

 

* As a percentage of total investments.  Please note that the Fund holdings are as of July 31, 2013 and are subject to change.

 

See Notes to Schedule of Investments.

 

6


 

Notes to schedule of investments (unaudited)

 

1. Organization and significant accounting policies

 

Legg Mason BW Global Income Opportunities Fund Inc. (the “Fund”) was incorporated in Maryland on October 27, 2010 and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s primary investment objective is to provide current income. As a secondary investment objective, the Fund will seek capital appreciation. There can be no assurance the Fund will achieve its investment objectives.

 

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

 

(a) Investment valuation. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investment’s fair value. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.

 

The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North American Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the 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

 

7


 

Notes to schedule of investments (unaudited) (continued)

 

information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.

 

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

 

·                  Level 1—quoted prices in active markets for identical investments

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

·                  Level 3—significant unobservable inputs (including the 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†:

 

 

 

 

 

 

 

 

 

Sovereign bonds

 

 

$

309,132,969

 

 

$

309,132,969

 

Asset-backed securities

 

 

22,858,011

 

 

22,858,011

 

Collateralized mortgage obligations

 

 

50,486,878

 

 

50,486,878

 

Senior loans

 

 

4,999,261

 

 

4,999,261

 

Corporate bonds & notes

 

 

125,216,249

 

 

125,216,249

 

Municipal bonds

 

 

2,280,275

 

 

2,280,275

 

Non-U.S. Treasury inflation protected securities

 

 

2,749,933

 

 

2,749,933

 

Common stocks

 

$

1,357,500

 

 

 

1,357,500

 

Master limited partnerships

 

5,243,000

 

 

 

5,243,000

 

Total long-term investments

 

$

6,600,500

 

$

517,723,576

 

 

$

524,324,076

 

Short-term investments†

 

 

8,301,000

 

 

8,301,000

 

Total investments

 

$

6,600,500

 

$

526,024,576

 

 

$

532,625,076

 

Other financial instruments:

 

 

 

 

 

 

 

 

 

Forward foreign currency contracts

 

 

$

1,269,868

 

 

$

1,269,868

 

Total

 

$

6,600,500

 

$

527,294,444

 

 

$

533,894,944

 

 

LIABILITIES

Description

 

Quoted Prices
(Level 1)

 

Other Significant
Observable Inputs
(Level 2)

 

Significant
Unobservable
Inputs
(Level 3)

 

Total

 

Other financial instruments:

 

 

 

 

 

 

 

 

 

Futures contracts

 

$

25,596

 

 

 

$

25,596

 

Forward foreign currency contracts

 

 

$

10,505,706

 

 

10,505,706

 

Total

 

$

25,596

 

$

10,505,706

 

 

$

10,531,302

 

 

† See Schedule of Investments for additional detailed categorizations.

 

(b) Repurchase agreements. The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund’s holding period. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian, acting on the Fund’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase

 

8


 

Notes to schedule of investments (unaudited) (continued)

 

transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.

 

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

 

Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ‘‘initial margin’’ and subsequent payments (‘‘variation margin’’) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded.

 

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

 

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

 

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

 

 (e) Written options. When the Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the Fund’s basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased by the Fund from the exercise of the written put option to form the Fund’s basis in the underlying security purchased. The writer or buyer of an option traded on an exchange can liquidate the position before the exercise of the option by entering into a closing transaction. The cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Fund.

 

The risk in writing a covered call option is that the Fund may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the underlying security decreases and the option is exercised. The risk in writing an uncovered call option is that the Fund is exposed to the risk of loss if the market price of the underlying security increases. 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.

 

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

 

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of

 

9


 

Notes to schedule of investments (unaudited) (continued)

 

U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

 

(g) 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.

 

(h) 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.

 

Investments in securities that are collateralized by residential real estate mortgages are subject to certain credit and liquidity risks. When market conditions result in an increase in default rates of the underlying mortgages and the foreclosure values of underlying real estate properties are materially below the outstanding amount of these underlying mortgages, collection of the full amount of accrued interest and principal on these investments may be doubtful. Such market conditions may significantly impair the value and liquidity of these investments and may result in a lack of correlation between their credit ratings and values.

 

(i) 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 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.

 

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

 

The Fund has entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or NAV over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.

 

Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives while collateral terms are contract specific for over-the-counter traded derivatives. Securities pledged as collateral, if any, to cover the obligations of the Fund under derivative contracts, are noted in the Schedule of Investments.

 

As of July 31, 2013, the Fund held forward foreign currency contracts with credit related contingent features which had a liability position of $10,505,706. 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.

 

10


 

Notes to schedule of investments (unaudited) (continued)

 

(k) Security transactions.  Security transactions are accounted for on a trade date basis.

 

2.  Investments

 

At July 31, 2013, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

Gross unrealized appreciation

 

$

14,443,021

 

Gross unrealized depreciation

 

(28,141,154

)

Net unrealized depreciation

 

$

(13,698,133

)

 

At July 31, 2013, the Fund had the following open futures contracts:

 

 

 

NUMBER OF
CONTRACTS

 

EXPIRATION
DATE

 

BASIS
VALUE

 

MARKET
VALUE

 

UNREALIZED
LOSS

 

Contracts to Sell:

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury 10-Year Notes

 

24

 

9/13

 

$

3,008,904

 

$

3,034,500

 

$

(25,596

)

 

During the period ended July 31, 2013, written option transactions for the Fund were as follows:

 

 

 

Number of Contracts

 

Premiums

 

Written options, outstanding as of October 31, 2012

 

 

 

Options written

 

466

 

$

276,669

 

Options closed

 

(218

)

(161,316

)

Options exercised

 

(79

)

(10,367

)

Options expired

 

(169

)

(104,986

)

Written options, outstanding as of July 31, 2013

 

 

 

 

At July 31, 2013, the Fund had the following open forward foreign currency contracts:

 

FOREIGN CURRENCY

 

COUNTERPARTY

 

LOCAL
CURRENCY

 

MARKET
VALUE

 

SETTLEMENT
DATE

 

UNREALIZED
GAIN (LOSS)

 

Contracts to Buy:

 

 

 

 

 

 

 

 

 

 

 

Euro

 

Barclays Bank PLC

 

575,000

 

$

764,970

 

8/7/13

 

$

16,979

 

Euro

 

Citibank, N.A.

 

450,000

 

598,672

 

8/7/13

 

4,015

 

Euro

 

HSBC Bank USA, N.A.

 

3,700,000

 

4,922,415

 

8/7/13

 

82,319

 

Brazilian Real

 

HSBC Bank USA, N.A.

 

2,341,000

 

1,017,884

 

9/6/13

 

(119,629

)

Turkish Lira

 

Barclays Bank PLC

 

57,870,000

 

29,648,703

 

9/12/13

 

(493,491

)

Russian Ruble

 

JPMorgan Chase & Co.

 

362,000,000

 

10,895,301

 

9/16/13

 

(413,665

)

Brazilian Real

 

UBS AG

 

91,240,000

 

39,574,758

 

9/18/13

 

(5,674,201

)

Indian Rupee

 

Barclays Bank PLC

 

1,916,000,000

 

31,099,100

 

9/18/13

 

(1,474,854

)

South African Rand

 

HSBC Bank USA, N.A.

 

93,500,000

 

9,411,485

 

9/18/13

 

257,383

 

Euro

 

Citibank, N.A.

 

550,000

 

731,896

 

10/16/13

 

2,396

 

 

 

 

 

 

 

 

 

 

 

(7,812,748

)

Contracts to Sell:

 

 

 

 

 

 

 

 

 

 

 

Euro

 

Citibank, N.A.

 

5,190,000

 

6,904,685

 

8/7/13

 

(67,898

)

Euro

 

Citibank, N.A.

 

46,000,000

 

61,197,593

 

8/7/13

 

(601,793

)

Euro

 

Citibank, N.A.

 

450,000

 

598,672

 

8/7/13

 

1,434

 

Euro

 

HSBC Bank USA, N.A.

 

15,470,000

 

20,581,017

 

8/7/13

 

(362,578

)

Euro

 

HSBC Bank USA, N.A.

 

739,000

 

983,153

 

8/7/13

 

(26,412

)

Euro

 

HSBC Bank USA, N.A.

 

250,000

 

332,596

 

8/7/13

 

(1,073

)

Brazilian Real

 

HSBC Bank USA, N.A.

 

1,311,000

 

570,032

 

9/6/13

 

32,034

 

Brazilian Real

 

HSBC Bank USA, N.A.

 

1,460,000

 

634,818

 

9/6/13

 

36,137

 

Brazilian Real

 

HSBC Bank USA, N.A.

 

2,600,000

 

1,130,499

 

9/6/13

 

3,140

 

Turkish Lira

 

Barclays Bank PLC

 

15,890,000

 

8,140,969

 

9/12/13

 

160,097

 

Russian Ruble

 

JPMorgan Chase & Co.

 

362,000,000

 

10,895,301

 

9/16/13

 

352,874

 

British Pound

 

HSBC Bank USA, N.A.

 

3,590,000

 

5,459,503

 

9/17/13

 

116,054

 

British Pound

 

HSBC Bank USA, N.A.

 

4,020,000

 

6,113,427

 

9/17/13

 

129,955

 

British Pound

 

JPMorgan Chase & Co.

 

600,000

 

912,452

 

9/17/13

 

23,330

 

Brazilian Real

 

UBS AG

 

2,582,000

 

1,119,926

 

9/18/13

 

3,416

 

Brazilian Real

 

UBS AG

 

7,935,000

 

3,441,755

 

9/18/13

 

48,305

 

Polish Zloty

 

Citibank, N.A.

 

12,320,000

 

3,837,755

 

10/10/13

 

(190,897

)

Polish Zloty

 

Citibank, N.A.

 

11,500,000

 

3,582,320

 

10/10/13

 

(173,630

)

Polish Zloty

 

Citibank, N.A.

 

36,790,000

 

11,460,309

 

10/10/13

 

(574,213

)

Euro

 

JPMorgan Chase & Co.

 

5,785,000

 

7,698,218

 

10/16/13

 

(157,985

)

Euro

 

JPMorgan Chase & Co.

 

1,611,000

 

2,143,791

 

10/16/13

 

(43,996

)

Euro

 

JPMorgan Chase & Co.

 

4,519,000

 

6,013,526

 

10/16/13

 

(123,411

)

Swiss Franc

 

Barclays Bank PLC

 

417,000

 

450,953

 

10/28/13

 

(5,980

)

 

 

 

 

 

 

 

 

 

 

(1,423,090

)

Net unrealized loss on open forward foreign currency contracts

 

$

(9,235,838

)

 

11


 

Notes to schedule of investments (unaudited) (continued)

 

3. Derivative instruments and hedging activities

 

GAAP requires enhanced disclosure about an entity’s derivative and hedging activities.

 

The following is a summary of the Fund’s derivative instruments categorized by risk exposure at July 31, 2013.

 

 

 

Futures Contracts

 

Forward Foreign Currency Contracts

 

 

 

Primary Underlying
Risk

 

Unrealized
Depreciation

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

Total

 

Interest Rate Risk

 

$

(25,596

)

 

 

$

(25,596

)

Foreign Exchange Risk

 

 

$

1,269,868

 

$

(10,505,706

)

$

(9,235,838

)

Total

 

$

(25,596

)

$

1,269,868

 

$

(10,505,706

)

$

(9,261,434

)

 

During the period ended July 31, 2013, the volume of derivative activity for the Fund was as follows:

 

 

 

Average market value

 

Written options†

 

$

28,581

 

Futures contracts (to sell)

 

1,846,142

 

Forward foreign currency contracts (to buy)

 

152,131,204

 

Forward foreign currency contracts (to sell)

 

108,000,051

 

 

†At July 31, 2013, there were no open positions held in this derivative.

 

12


 

ITEM 2.                                                  CONTROLS AND PROCEDURES.

 

(a)                                 The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.

 

(b)                                 There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.

 

ITEM 3.                                                  EXHIBITS.

 

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.

 



 

SIGNATURES

 

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

 

Legg Mason BW Global Income Opportunities Fund Inc.

 

By

/s/ Kenneth D. Fuller

 

 

Kenneth D. Fuller

 

Chief Executive Officer

 

Date:  September 25, 2013

 

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/Kenneth D. Fuller

 

 

Kenneth D. Fuller

 

Chief Executive Officer

 

Date:  September 25, 2013

 

By

/s/ Richard F. Sennett

 

 

Richard F. Sennett

 

Principal Financial Officer

 

 

Date:  September 25, 2013