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 811-22294
Western Asset Investment Grade Defined Opportunity Trust 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: November 30
Date of reporting period: August 31, 2015
| ITEM 1. | SCHEDULE OF INVESTMENTS. |
WESTERN ASSET INVESTMENT GRADE
DEFINED OPPORTUNITY TRUST INC.
FORM N-Q
AUGUST 31, 2015
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| Schedule of investments (unaudited) | August 31, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| CORPORATE BONDS & NOTES - 94.0% | ||||||||||||||||
| CONSUMER DISCRETIONARY - 12.0% | ||||||||||||||||
| Auto Components - 0.6% |
||||||||||||||||
| ZF North America Capital Inc., Senior Notes |
4.000 | % | 4/29/20 | $ | 570,000 | $ | 572,052 | (a) | ||||||||
| ZF North America Capital Inc., Senior Notes |
4.500 | % | 4/29/22 | 300,000 | 291,750 | (a) | ||||||||||
| ZF North America Capital Inc., Senior Notes |
4.750 | % | 4/29/25 | 590,000 | 561,237 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Auto Components |
1,425,039 | |||||||||||||||
|
|
|
|||||||||||||||
| Automobiles - 2.5% |
||||||||||||||||
| Ford Motor Co., Senior Bonds |
9.215 | % | 9/15/21 | 1,140,000 | 1,449,424 | |||||||||||
| Ford Motor Credit Co., LLC, Senior Notes |
8.125 | % | 1/15/20 | 640,000 | 765,873 | |||||||||||
| Ford Motor Credit Co., LLC, Senior Notes |
4.250 | % | 9/20/22 | 380,000 | 392,588 | |||||||||||
| General Motors Co., Senior Notes |
4.875 | % | 10/2/23 | 1,470,000 | 1,504,273 | |||||||||||
| General Motors Co., Senior Notes |
5.200 | % | 4/1/45 | 490,000 | 463,261 | |||||||||||
| General Motors Financial Co. Inc., Senior Notes |
4.375 | % | 9/25/21 | 930,000 | 940,155 | |||||||||||
|
|
|
|||||||||||||||
| Total Automobiles |
5,515,574 | |||||||||||||||
|
|
|
|||||||||||||||
| Hotels, Restaurants & Leisure - 0.3% |
||||||||||||||||
| Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Senior Notes |
5.625 | % | 10/15/21 | 170,000 | 178,075 | |||||||||||
| Wynn Macau Ltd., Senior Notes |
5.250 | % | 10/15/21 | 480,000 | 442,800 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Hotels, Restaurants & Leisure |
620,875 | |||||||||||||||
|
|
|
|||||||||||||||
| Media - 7.8% |
||||||||||||||||
| 21st Century Fox America Inc., Senior Notes |
6.650 | % | 11/15/37 | 2,400,000 | 2,829,358 | |||||||||||
| CCO Safari II LLC, Senior Secured Notes |
6.384 | % | 10/23/35 | 180,000 | 183,775 | (a) | ||||||||||
| CCO Safari II LLC, Senior Secured Notes |
6.484 | % | 10/23/45 | 940,000 | 958,745 | (a) | ||||||||||
| Comcast Corp., Bonds |
6.400 | % | 5/15/38 | 2,500,000 | 3,098,622 | |||||||||||
| Comcast Corp., Senior Notes |
5.700 | % | 7/1/19 | 1,500,000 | 1,693,431 | |||||||||||
| DISH DBS Corp., Senior Notes |
7.875 | % | 9/1/19 | 1,250,000 | 1,358,000 | |||||||||||
| DISH DBS Corp., Senior Notes |
5.875 | % | 11/15/24 | 700,000 | 639,625 | |||||||||||
| Time Warner Cable Inc., Debentures |
7.300 | % | 7/1/38 | 160,000 | 170,303 | |||||||||||
| Time Warner Cable Inc., Senior Bonds |
6.550 | % | 5/1/37 | 370,000 | 373,607 | |||||||||||
| Time Warner Cable Inc., Senior Notes |
8.750 | % | 2/14/19 | 1,390,000 | 1,643,810 | |||||||||||
| Time Warner Cable Inc., Senior Notes |
5.500 | % | 9/1/41 | 200,000 | 181,279 | |||||||||||
| Time Warner Entertainment Co., LP, Senior Notes |
8.375 | % | 7/15/33 | 370,000 | 441,538 | |||||||||||
| Time Warner Inc., Senior Notes |
4.900 | % | 6/15/42 | 250,000 | 244,468 | |||||||||||
| UBM PLC, Notes |
5.750 | % | 11/3/20 | 740,000 | 802,708 | (a) | ||||||||||
| Viacom Inc., Senior Debentures |
5.250 | % | 4/1/44 | 120,000 | 103,736 | |||||||||||
| Virgin Media Finance PLC, Senior Notes |
6.375 | % | 4/15/23 | 2,000,000 | 2,086,240 | (a) | ||||||||||
| WPP Finance 2010, Senior Notes |
5.625 | % | 11/15/43 | 260,000 | 270,911 | |||||||||||
|
|
|
|||||||||||||||
| Total Media |
17,080,156 | |||||||||||||||
|
|
|
|||||||||||||||
| Specialty Retail - 0.8% |
||||||||||||||||
| American Greetings Corp., Senior Notes |
7.375 | % | 12/1/21 | 280,000 | 295,750 | |||||||||||
| Gap Inc., Senior Notes |
5.950 | % | 4/12/21 | 1,240,000 | 1,374,632 | |||||||||||
|
|
|
|||||||||||||||
| Total Specialty Retail |
1,670,382 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER DISCRETIONARY |
26,312,026 | |||||||||||||||
|
|
|
|||||||||||||||
| CONSUMER STAPLES - 4.8% | ||||||||||||||||
| Beverages - 1.1% |
||||||||||||||||
| Anheuser-Busch InBev Worldwide Inc., Senior Notes |
7.750 | % | 1/15/19 | 450,000 | 530,404 | |||||||||||
| Constellation Brands Inc., Senior Notes |
4.250 | % | 5/1/23 | 140,000 | 141,190 | |||||||||||
| Pernod-Ricard SA, Senior Bonds |
5.750 | % | 4/7/21 | 590,000 | 662,135 | (a) | ||||||||||
| Pernod-Ricard SA, Senior Notes |
5.500 | % | 1/15/42 | 960,000 | 1,023,063 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Beverages |
2,356,792 | |||||||||||||||
|
|
|
|||||||||||||||
| Food & Staples Retailing - 0.4% |
||||||||||||||||
| CVS Health Corp., Senior Notes |
4.875 | % | 7/20/35 | 310,000 | 320,842 | |||||||||||
| CVS Health Corp., Senior Notes |
5.125 | % | 7/20/45 | 540,000 | 579,371 | |||||||||||
|
|
|
|||||||||||||||
| Total Food & Staples Retailing |
900,213 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
1
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| Schedule of investments (unaudited) (cont’d) | August 31, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Food Products - 0.6% |
||||||||||||||||
| Kraft Foods Group Inc., Senior Notes |
5.000 | % | 6/4/42 | $ | 280,000 | $ | 286,396 | |||||||||
| Kraft Heinz Foods Co., Senior Notes |
5.000 | % | 7/15/35 | 110,000 | 114,065 | (a) | ||||||||||
| Kraft Heinz Foods Co., Senior Notes |
5.200 | % | 7/15/45 | 560,000 | 590,840 | (a) | ||||||||||
| Mondelez International Inc., Senior Notes |
4.000 | % | 2/1/24 | 410,000 | 420,851 | |||||||||||
|
|
|
|||||||||||||||
| Total Food Products |
1,412,152 | |||||||||||||||
|
|
|
|||||||||||||||
| Tobacco - 2.7% |
||||||||||||||||
| Altria Group Inc., Senior Notes |
9.250 | % | 8/6/19 | 1,000,000 | 1,239,901 | |||||||||||
| Altria Group Inc., Senior Notes |
9.950 | % | 11/10/38 | 430,000 | 688,835 | |||||||||||
| Altria Group Inc., Senior Notes |
10.200 | % | 2/6/39 | 280,000 | 450,749 | |||||||||||
| Reynolds American Inc., Senior Notes |
8.125 | % | 6/23/19 | 540,000 | 637,364 | (a) | ||||||||||
| Reynolds American Inc., Senior Notes |
8.125 | % | 5/1/40 | 470,000 | 576,576 | (a) | ||||||||||
| Reynolds American Inc., Senior Notes |
7.000 | % | 8/4/41 | 510,000 | 586,462 | (a) | ||||||||||
| Reynolds American Inc., Senior Notes |
4.750 | % | 11/1/42 | 1,220,000 | 1,137,719 | |||||||||||
| Reynolds American Inc., Senior Notes |
5.850 | % | 8/15/45 | 520,000 | 561,980 | |||||||||||
|
|
|
|||||||||||||||
| Total Tobacco |
5,879,586 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONSUMER STAPLES |
10,548,743 | |||||||||||||||
|
|
|
|||||||||||||||
| ENERGY - 11.3% | ||||||||||||||||
| Energy Equipment & Services - 0.4% |
||||||||||||||||
| Ensco PLC, Senior Notes |
5.200 | % | 3/15/25 | 790,000 | 707,993 | |||||||||||
| Pride International Inc., Senior Notes |
7.875 | % | 8/15/40 | 150,000 | 144,980 | |||||||||||
|
|
|
|||||||||||||||
| Total Energy Equipment & Services |
852,973 | |||||||||||||||
|
|
|
|||||||||||||||
| Oil, Gas & Consumable Fuels - 10.9% |
||||||||||||||||
| Anadarko Petroleum Corp., Senior Notes |
5.950 | % | 9/15/16 | 340,000 | 354,866 | |||||||||||
| Apache Corp., Senior Notes |
6.000 | % | 1/15/37 | 150,000 | 157,099 | |||||||||||
| Apache Corp., Senior Notes |
5.100 | % | 9/1/40 | 280,000 | 261,353 | |||||||||||
| Apache Corp., Senior Notes |
5.250 | % | 2/1/42 | 160,000 | 152,397 | |||||||||||
| Apache Corp., Senior Notes |
4.750 | % | 4/15/43 | 670,000 | 613,026 | |||||||||||
| Columbia Pipeline Group Inc., Senior Notes |
5.800 | % | 6/1/45 | 340,000 | 327,626 | (a) | ||||||||||
| Comstock Resources Inc., Senior Secured Notes |
10.000 | % | 3/15/20 | 580,000 | 468,350 | (a) | ||||||||||
| ConocoPhillips, Notes |
6.500 | % | 2/1/39 | 1,500,000 | 1,813,899 | |||||||||||
| Devon Energy Corp., Senior Notes |
5.000 | % | 6/15/45 | 450,000 | 431,164 | |||||||||||
| Devon Financing Corp. LLC, Debentures |
7.875 | % | 9/30/31 | 1,080,000 | 1,348,623 | |||||||||||
| Ecopetrol SA, Senior Notes |
5.375 | % | 6/26/26 | 380,000 | 355,205 | |||||||||||
| Ecopetrol SA, Senior Notes |
5.875 | % | 5/28/45 | 284,000 | 230,040 | |||||||||||
| Energy Transfer Equity LP, Senior Notes |
7.500 | % | 10/15/20 | 420,000 | 452,033 | |||||||||||
| EOG Resources Inc., Senior Notes |
6.875 | % | 10/1/18 | 800,000 | 914,834 | |||||||||||
| Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas Inc., Senior Notes |
6.500 | % | 11/15/20 | 32,000 | 29,920 | |||||||||||
| Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas Inc., Senior Notes |
6.875 | % | 2/15/23 | 410,000 | 369,000 | |||||||||||
| Halcon Resources Corp., Secured Notes |
8.625 | % | 2/1/20 | 290,000 | 255,563 | (a) | ||||||||||
| Hess Corp., Notes |
8.125 | % | 2/15/19 | 1,400,000 | 1,632,523 | |||||||||||
| Hess Corp., Notes |
7.875 | % | 10/1/29 | 440,000 | 529,108 | |||||||||||
| Hess Corp., Senior Bonds |
6.000 | % | 1/15/40 | 520,000 | 520,867 | |||||||||||
| Kerr-McGee Corp., Notes |
6.950 | % | 7/1/24 | 1,320,000 | 1,560,169 | |||||||||||
| Kerr-McGee Corp., Notes |
7.875 | % | 9/15/31 | 710,000 | 886,632 | |||||||||||
| Kinder Morgan Energy Partners LP, Senior Notes |
5.950 | % | 2/15/18 | 800,000 | 859,037 | |||||||||||
| LUKOIL International Finance BV, Senior Notes |
4.563 | % | 4/24/23 | 940,000 | 824,286 | (a) | ||||||||||
| MEG Energy Corp., Senior Notes |
6.375 | % | 1/30/23 | 900,000 | 729,000 | (a) | ||||||||||
| Murray Energy Corp., Senior Secured Notes |
11.250 | % | 4/15/21 | 740,000 | 345,950 | (a) | ||||||||||
| Noble Energy Inc., Senior Notes |
6.000 | % | 3/1/41 | 660,000 | 645,988 | |||||||||||
| Noble Energy Inc., Senior Notes |
5.250 | % | 11/15/43 | 240,000 | 215,123 | |||||||||||
| Petrobras Global Finance BV, Senior Notes |
5.750 | % | 1/20/20 | 109,000 | 99,422 | |||||||||||
| Petrobras Global Finance BV, Senior Notes |
7.250 | % | 3/17/44 | 440,000 | 356,400 | |||||||||||
| Petroleos Mexicanos, Senior Bonds |
6.625 | % | 6/15/35 | 1,000,000 | 1,024,500 | |||||||||||
| Petroleos Mexicanos, Senior Notes |
5.500 | % | 1/21/21 | 250,000 | 268,750 | |||||||||||
| Petroleos Mexicanos, Senior Notes |
6.375 | % | 1/23/45 | 80,000 | 78,384 | |||||||||||
| Shell International Finance BV, Senior Notes |
4.375 | % | 5/11/45 | 590,000 | 585,906 | |||||||||||
See Notes to Schedule of Investments.
2
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| Schedule of investments (unaudited) (cont’d) | August 31, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Oil, Gas & Consumable Fuels - (continued) |
||||||||||||||||
| Transcontinental Gas Pipe Line Co., LLC, Senior Notes |
5.400 | % | 8/15/41 | $ | 10,000 | $ | 9,074 | |||||||||
| Transcontinental Gas Pipe Line Co., LLC, Senior Notes |
4.450 | % | 8/1/42 | 860,000 | 683,420 | |||||||||||
| Valero Energy Corp., Senior Notes |
9.375 | % | 3/15/19 | 700,000 | 854,055 | |||||||||||
| Williams Cos. Inc., Notes |
7.875 | % | 9/1/21 | 952,000 | 1,049,768 | |||||||||||
| Williams Cos. Inc., Senior Notes |
4.550 | % | 6/24/24 | 1,130,000 | 1,002,964 | |||||||||||
| Williams Cos. Inc., Senior Notes |
7.750 | % | 6/15/31 | 62,000 | 65,499 | |||||||||||
| Williams Cos. Inc., Senior Notes |
8.750 | % | 3/15/32 | 148,000 | 170,935 | |||||||||||
| Williams Partners LP, Senior Notes |
5.250 | % | 3/15/20 | 460,000 | 492,107 | |||||||||||
|
|
|
|||||||||||||||
| Total Oil, Gas & Consumable Fuels |
24,024,865 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL ENERGY |
24,877,838 | |||||||||||||||
|
|
|
|||||||||||||||
| FINANCIALS - 36.6% | ||||||||||||||||
| Banks - 15.9% |
||||||||||||||||
| Bank of America Corp., Junior Subordinated Bonds |
6.100 | % | 3/17/25 | 650,000 | 635,375 | (b)(c) | ||||||||||
| Bank of America Corp., Junior Subordinated Notes |
6.250 | % | 9/5/24 | 970,000 | 961,512 | (b)(c) | ||||||||||
| Bank of America Corp., Junior Subordinated Notes |
6.500 | % | 10/23/24 | 400,000 | 412,500 | (b)(c) | ||||||||||
| Bank of America Corp., Senior Notes |
7.625 | % | 6/1/19 | 2,760,000 | 3,265,397 | |||||||||||
| Bank of America Corp., Senior Notes |
5.875 | % | 2/7/42 | 1,340,000 | 1,577,660 | |||||||||||
| Bank of America Corp., Subordinated Notes |
7.750 | % | 5/14/38 | 670,000 | 904,142 | |||||||||||
| Barclays Bank PLC, Subordinated Notes |
7.625 | % | 11/21/22 | 630,000 | 719,381 | |||||||||||
| BNP Paribas SA, Junior Subordinated Notes |
7.375 | % | 8/19/25 | 330,000 | 338,333 | (a)(b)(c) | ||||||||||
| CIT Group Inc., Secured Notes |
6.625 | % | 4/1/18 | 480,000 | 514,800 | (a) | ||||||||||
| CIT Group Inc., Senior Notes |
5.000 | % | 8/1/23 | 350,000 | 355,250 | |||||||||||
| Citigroup Inc., Junior Subordinated Bonds |
6.300 | % | 5/15/24 | 470,000 | 456,488 | (b)(c) | ||||||||||
| Citigroup Inc., Junior Subordinated Bonds |
5.950 | % | 5/15/25 | 880,000 | 842,600 | (b)(c) | ||||||||||
| Citigroup Inc., Senior Notes |
6.000 | % | 8/15/17 | 2,250,000 | 2,429,437 | |||||||||||
| Citigroup Inc., Senior Notes |
8.500 | % | 5/22/19 | 500,000 | 604,260 | |||||||||||
| Citigroup Inc., Senior Notes |
8.125 | % | 7/15/39 | 1,350,000 | 1,965,537 | |||||||||||
| Citigroup Inc., Subordinated Notes |
6.675 | % | 9/13/43 | 630,000 | 783,667 | |||||||||||
| Cooperatieve Centrale Raiffeisen-Boerenleenbank BA of Netherlands, Subordinated Notes |
5.750 | % | 12/1/43 | 750,000 | 818,555 | |||||||||||
| Cooperatieve Centrale Raiffeisen-Boerenleenbank BA of Netherlands, Subordinated Notes |
5.250 | % | 8/4/45 | 560,000 | 576,729 | |||||||||||
| Credit Agricole SA, Junior Subordinated Notes |
8.375 | % | 10/13/19 | 500,000 | 574,375 | (a)(b)(c) | ||||||||||
| HSBC Holdings PLC, Junior Subordinated Bonds |
6.375 | % | 9/17/24 | 1,000,000 | 990,000 | (b)(c) | ||||||||||
| HSBC Holdings PLC, Junior Subordinated Bonds |
6.375 | % | 3/30/25 | 200,000 | 199,250 | (b)(c) | ||||||||||
| HSBC Holdings PLC, Subordinated Notes |
4.250 | % | 8/18/25 | 270,000 | 268,040 | |||||||||||
| JPMorgan Chase & Co., Junior Subordinated Bonds |
6.000 | % | 8/1/23 | 700,000 | 694,750 | (b)(c) | ||||||||||
| JPMorgan Chase & Co., Senior Notes |
6.400 | % | 5/15/38 | 1,500,000 | 1,883,452 | |||||||||||
| JPMorgan Chase & Co., Subordinated Notes |
5.625 | % | 8/16/43 | 760,000 | 822,163 | |||||||||||
| JPMorgan Chase & Co., Subordinated Notes |
4.950 | % | 6/1/45 | 150,000 | 150,779 | |||||||||||
| M&T Bank Corp., Junior Subordinated Bonds |
6.875 | % | 6/15/16 | 1,060,000 | 1,073,250 | (c) | ||||||||||
| Royal Bank of Scotland Group PLC, Junior Subordinated Bonds |
7.648 | % | 9/30/31 | 710,000 | 891,050 | (b)(c) | ||||||||||
| Royal Bank of Scotland Group PLC, Senior Notes |
6.400 | % | 10/21/19 | 1,170,000 | 1,310,788 | |||||||||||
| Royal Bank of Scotland Group PLC, Subordinated Notes |
6.100 | % | 6/10/23 | 1,540,000 | 1,656,041 | |||||||||||
| Royal Bank of Scotland Group PLC, Subordinated Notes |
6.000 | % | 12/19/23 | 150,000 | 160,432 | |||||||||||
| Royal Bank of Scotland NV, Subordinated Bonds |
7.750 | % | 5/15/23 | 820,000 | 952,582 | |||||||||||
| Standard Chartered PLC, Subordinated Notes |
5.700 | % | 3/26/44 | 410,000 | 423,125 | (a) | ||||||||||
| Wachovia Capital Trust III, Junior Subordinated Bonds |
5.570 | % | 10/1/15 | 410,000 | 404,773 | (b)(c) | ||||||||||
| Wachovia Corp., Senior Notes |
5.750 | % | 2/1/18 | 3,180,000 | 3,479,286 | |||||||||||
| Wells Fargo & Co., Junior Subordinated Bonds |
5.900 | % | 6/15/24 | 560,000 | 563,500 | (b)(c) | ||||||||||
| Wells Fargo & Co., Junior Subordinated Bonds |
5.875 | % | 6/15/25 | 300,000 | 307,500 | (b)(c) | ||||||||||
|
|
|
|||||||||||||||
| Total Banks |
34,966,759 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
3
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| Schedule of investments (unaudited) (cont’d) | August 31, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Capital Markets - 9.0% |
||||||||||||||||
| Bank of America Corp., Notes |
6.875 | % | 4/25/18 | $ | 990,000 | $ | 1,109,740 | |||||||||
| Bear Stearns Cos. LLC, Senior Notes |
7.250 | % | 2/1/18 | 1,570,000 | 1,758,139 | |||||||||||
| Credit Suisse Group AG, Junior Subordinated Notes |
6.250 | % | 12/18/24 | 1,540,000 | 1,483,309 | (a)(b)(c) | ||||||||||
| Goldman Sachs Group Inc., Senior Notes |
5.950 | % | 1/18/18 | 4,250,000 | 4,633,601 | |||||||||||
| Goldman Sachs Group Inc., Senior Notes |
7.500 | % | 2/15/19 | 500,000 | 584,205 | |||||||||||
| Goldman Sachs Group Inc., Senior Notes |
6.250 | % | 2/1/41 | 2,550,000 | 3,054,515 | |||||||||||
| Goldman Sachs Group Inc., Subordinated Notes |
5.150 | % | 5/22/45 | 70,000 | 69,460 | |||||||||||
| KKR Group Finance Co. III LLC, Senior Bonds |
5.125 | % | 6/1/44 | 1,340,000 | 1,293,387 | (a) | ||||||||||
| Morgan Stanley, Medium-Term Notes |
6.625 | % | 4/1/18 | 1,750,000 | 1,951,154 | |||||||||||
| Morgan Stanley, Senior Notes |
5.500 | % | 1/26/20 | 1,950,000 | 2,172,058 | |||||||||||
| Morgan Stanley, Senior Notes |
6.375 | % | 7/24/42 | 140,000 | 173,530 | |||||||||||
| Pershing Square Holdings Ltd., Senior Notes |
5.500 | % | 7/15/22 | 1,100,000 | 1,085,674 | (a) | ||||||||||
| UBS AG Stamford CT, Subordinated Notes |
7.625 | % | 8/17/22 | 330,000 | 384,517 | |||||||||||
|
|
|
|||||||||||||||
| Total Capital Markets |
19,753,289 | |||||||||||||||
|
|
|
|||||||||||||||
| Consumer Finance - 1.7% |
||||||||||||||||
| HSBC Finance Corp., Senior Notes |
6.676 | % | 1/15/21 | 1,620,000 | 1,887,075 | |||||||||||
| Navient Corp., Senior Notes |
7.250 | % | 1/25/22 | 1,430,000 | 1,351,350 | |||||||||||
| Navient Corp., Senior Notes |
6.125 | % | 3/25/24 | 480,000 | 409,200 | |||||||||||
|
|
|
|||||||||||||||
| Total Consumer Finance |
3,647,625 | |||||||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services - 5.5% |
||||||||||||||||
| Argos Merger Sub Inc., Senior Notes |
7.125 | % | 3/15/23 | 400,000 | 420,000 | (a) | ||||||||||
| Blackstone Holdings Finance Co., LLC, Senior Notes |
4.450 | % | 7/15/45 | 310,000 | 291,418 | (a) | ||||||||||
| Carlyle Holdings II Finance LLC, Senior Secured Notes |
5.625 | % | 3/30/43 | 360,000 | 384,019 | (a) | ||||||||||
| CME Group Inc., Senior Notes |
5.300 | % | 9/15/43 | 750,000 | 838,969 | |||||||||||
| General Electric Capital Corp., Junior Subordinated Bonds |
7.125 | % | 6/15/22 | 100,000 | 115,495 | (b)(c) | ||||||||||
| General Electric Capital Corp., Junior Subordinated Bonds |
6.250 | % | 12/15/22 | 1,000,000 | 1,083,750 | (b)(c) | ||||||||||
| General Electric Capital Corp., Senior Notes |
6.875 | % | 1/10/39 | 2,820,000 | 3,797,387 | |||||||||||
| General Electric Capital Corp., Subordinated Debentures |
6.375 | % | 11/15/67 | 210,000 | 224,700 | (b) | ||||||||||
| General Electric Capital Corp., Subordinated Notes |
5.300 | % | 2/11/21 | 130,000 | 146,648 | |||||||||||
| ILFC E-Capital Trust I, Junior Subordinated Notes |
4.690 | % | 12/21/65 | 800,000 | 754,000 | (a)(b) | ||||||||||
| International Lease Finance Corp., Senior Notes |
8.875 | % | 9/1/17 | 810,000 | 894,037 | |||||||||||
| International Lease Finance Corp., Senior Notes |
6.250 | % | 5/15/19 | 220,000 | 237,600 | |||||||||||
| International Lease Finance Corp., Senior Notes |
8.250 | % | 12/15/20 | 330,000 | 391,875 | |||||||||||
| International Lease Finance Corp., Senior Secured Notes |
6.750 | % | 9/1/16 | 670,000 | 697,771 | (a) | ||||||||||
| International Lease Finance Corp., Senior Secured Notes |
7.125 | % | 9/1/18 | 1,200,000 | 1,329,204 | (a) | ||||||||||
| ZFS Finance USA Trust II, Bonds |
6.450 | % | 12/15/65 | 500,000 | 510,000 | (a)(b) | ||||||||||
|
|
|
|||||||||||||||
| Total Diversified Financial Services |
12,116,873 | |||||||||||||||
|
|
|
|||||||||||||||
| Insurance - 4.0% |
||||||||||||||||
| American Equity Investment Life Holding Co., Senior Notes |
6.625 | % | 7/15/21 | 90,000 | 95,481 | |||||||||||
| American International Group Inc., Senior Notes |
6.400 | % | 12/15/20 | 1,000,000 | 1,173,016 | |||||||||||
| Aon PLC, Senior Notes |
4.750 | % | 5/15/45 | 160,000 | 154,467 | |||||||||||
| Delphi Financial Group Inc., Senior Notes |
7.875 | % | 1/31/20 | 290,000 | 343,401 | |||||||||||
| Fidelity & Guaranty Life Holdings Inc., Senior Notes |
6.375 | % | 4/1/21 | 330,000 | 344,850 | (a) | ||||||||||
| Liberty Mutual Group Inc., Junior Subordinated Bonds |
7.800 | % | 3/15/37 | 330,000 | 385,275 | (a) | ||||||||||
| Liberty Mutual Insurance Co., Subordinated Notes |
7.875 | % | 10/15/26 | 840,000 | 1,023,658 | (a) | ||||||||||
| MetLife Inc., Junior Subordinated Bonds |
5.250 | % | 6/15/20 | 520,000 | 518,700 | (b)(c) | ||||||||||
| MetLife Inc., Senior Notes |
6.817 | % | 8/15/18 | 1,300,000 | 1,485,552 | |||||||||||
| Nationwide Mutual Insurance Co., Notes |
9.375 | % | 8/15/39 | 520,000 | 778,962 | (a) | ||||||||||
| Teachers Insurance & Annuity Association of America, Notes |
6.850 | % | 12/16/39 | 1,050,000 | 1,314,672 | (a) | ||||||||||
See Notes to Schedule of Investments.
4
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| Schedule of investments (unaudited) (cont’d) | August 31, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Insurance - (continued) |
||||||||||||||||
| Teachers Insurance & Annuity Association of America, Subordinated Notes |
4.900 | % | 9/15/44 | $ | 660,000 | $ | 674,710 | (a) | ||||||||
| Travelers Cos. Inc., Senior Notes |
6.250 | % | 6/15/37 | 400,000 | 498,043 | |||||||||||
|
|
|
|||||||||||||||
| Total Insurance |
8,790,787 | |||||||||||||||
|
|
|
|||||||||||||||
| Real Estate Management & Development - 0.4% |
||||||||||||||||
| Communications Sales & Leasing Inc., Senior Notes |
8.250 | % | 10/15/23 | 180,000 | 164,250 | (a) | ||||||||||
| Communications Sales & Leasing Inc., Senior Secured Notes |
6.000 | % | 4/15/23 | 90,000 | 84,825 | (a) | ||||||||||
| Security Capital Group Inc., Senior Notes |
7.700 | % | 6/15/28 | 460,000 | 620,120 | |||||||||||
|
|
|
|||||||||||||||
| Total Real Estate Management & Development |
869,195 | |||||||||||||||
|
|
|
|||||||||||||||
| Thrifts & Mortgage Finance - 0.1% |
||||||||||||||||
| Quicken Loans Inc., Senior Notes |
5.750 | % | 5/1/25 | 240,000 | 234,900 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL FINANCIALS |
80,379,428 | |||||||||||||||
|
|
|
|||||||||||||||
| HEALTH CARE - 4.7% | ||||||||||||||||
| Biotechnology - 1.6% |
||||||||||||||||
| AbbVie Inc., Senior Notes |
4.400 | % | 11/6/42 | 320,000 | 296,603 | |||||||||||
| AbbVie Inc., Senior Subordinated Notes |
4.500 | % | 5/14/35 | 600,000 | 576,626 | |||||||||||
| AbbVie Inc., Senior Subordinated Notes |
4.700 | % | 5/14/45 | 700,000 | 679,099 | |||||||||||
| Amgen Inc., Senior Notes |
5.150 | % | 11/15/41 | 700,000 | 720,111 | |||||||||||
| Celgene Corp., Senior Notes |
5.000 | % | 8/15/45 | 610,000 | 617,924 | |||||||||||
| Gilead Sciences Inc., Senior Notes |
5.650 | % | 12/1/41 | 100,000 | 114,974 | |||||||||||
| Gilead Sciences Inc., Senior Notes |
4.500 | % | 2/1/45 | 710,000 | 705,705 | |||||||||||
|
|
|
|||||||||||||||
| Total Biotechnology |
3,711,042 | |||||||||||||||
|
|
|
|||||||||||||||
| Health Care Providers & Services - 1.5% |
||||||||||||||||
| Catholic Health Initiatives, Secured Bonds |
4.350 | % | 11/1/42 | 60,000 | 55,397 | |||||||||||
| Humana Inc., Senior Notes |
7.200 | % | 6/15/18 | 1,000,000 | 1,135,592 | |||||||||||
| UnitedHealth Group Inc., Senior Notes |
4.750 | % | 7/15/45 | 1,260,000 | 1,326,716 | |||||||||||
| Universal Hospital Services Inc., Secured Notes |
7.625 | % | 8/15/20 | 820,000 | 794,887 | |||||||||||
|
|
|
|||||||||||||||
| Total Health Care Providers & Services |
3,312,592 | |||||||||||||||
|
|
|
|||||||||||||||
| Pharmaceuticals - 1.6% |
||||||||||||||||
| Actavis Funding SCS, Senior Notes |
4.550 | % | 3/15/35 | 790,000 | 728,547 | |||||||||||
| Actavis Funding SCS, Senior Notes |
4.750 | % | 3/15/45 | 180,000 | 164,786 | |||||||||||
| Pfizer Inc., Senior Notes |
7.200 | % | 3/15/39 | 560,000 | 768,214 | |||||||||||
| Wyeth LLC, Notes |
5.950 | % | 4/1/37 | 1,100,000 | 1,306,074 | |||||||||||
| Zoetis Inc., Senior Notes |
4.700 | % | 2/1/43 | 270,000 | 235,748 | |||||||||||
|
|
|
|||||||||||||||
| Total Pharmaceuticals |
3,203,369 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL HEALTH CARE |
10,227,003 | |||||||||||||||
|
|
|
|||||||||||||||
| INDUSTRIALS - 4.1% | ||||||||||||||||
| Aerospace & Defense - 0.4% |
||||||||||||||||
| Exelis Inc., Senior Notes |
5.550 | % | 10/1/21 | 885,000 | 981,279 | |||||||||||
|
|
|
|||||||||||||||
| Air Freight & Logistics - 0.4% |
||||||||||||||||
| United Parcel Service Inc., Senior Notes |
6.200 | % | 1/15/38 | 700,000 | 894,125 | |||||||||||
|
|
|
|||||||||||||||
| Airlines - 1.7% |
||||||||||||||||
| Air Canada, Pass-Through Trust, Secured Notes |
6.625 | % | 5/15/18 | 480,000 | 500,352 | (a) | ||||||||||
| American Airlines, Pass-Through Trust, Senior Secured Bonds |
5.600 | % | 7/15/20 | 471,535 | 485,092 | (a) | ||||||||||
| Continental Airlines Inc., Pass-Through Certificates, Secured Notes |
9.250 | % | 5/10/17 | 190,570 | 207,959 | |||||||||||
| Continental Airlines Inc., Pass-Through Certificates, Secured Notes |
6.250 | % | 4/11/20 | 231,215 | 241,331 | |||||||||||
| Continental Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
6.545 | % | 2/2/19 | 167,715 | 181,762 | |||||||||||
| Continental Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
7.250 | % | 11/10/19 | 605,759 | 685,265 | |||||||||||
See Notes to Schedule of Investments.
5
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| Schedule of investments (unaudited) (cont’d) | August 31, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Airlines - (continued) |
||||||||||||||||
| Delta Air Lines Inc., Pass-Through Certificates, Secured Notes |
8.021 | % | 8/10/22 | $ | 133,608 | $ | 152,312 | |||||||||
| Delta Air Lines Inc., Pass-Through Certificates, Senior Secured Notes |
7.750 | % | 12/17/19 | 429,617 | 490,301 | |||||||||||
| United Airlines Inc., Pass-Through Certificates, Secured Notes |
9.750 | % | 1/15/17 | 98,592 | 106,110 | |||||||||||
| United Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
10.400 | % | 11/1/16 | 55,147 | 59,132 | |||||||||||
| US Airways, Pass-Through Trust, Senior Secured Bonds |
5.900 | % | 10/1/24 | 525,887 | 576,504 | |||||||||||
|
|
|
|||||||||||||||
| Total Airlines |
3,686,120 | |||||||||||||||
|
|
|
|||||||||||||||
| Commercial Services & Supplies - 0.8% |
||||||||||||||||
| Republic Services Inc., Senior Notes |
5.500 | % | 9/15/19 | 220,000 | 244,983 | |||||||||||
| Taylor Morrison Communities Inc./Monarch Communities Inc., Senior Notes |
5.250 | % | 4/15/21 | 900,000 | 909,000 | (a) | ||||||||||
| Waste Management Inc., Senior Notes |
7.750 | % | 5/15/32 | 500,000 | 681,222 | |||||||||||
|
|
|
|||||||||||||||
| Total Commercial Services & Supplies |
1,835,205 | |||||||||||||||
|
|
|
|||||||||||||||
| Machinery - 0.3% |
||||||||||||||||
| Caterpillar Inc., Senior Notes |
4.750 | % | 5/15/64 | 360,000 | 359,812 | |||||||||||
| Valmont Industries Inc., Senior Notes |
6.625 | % | 4/20/20 | 180,000 | 205,695 | |||||||||||
|
|
|
|||||||||||||||
| Total Machinery |
565,507 | |||||||||||||||
|
|
|
|||||||||||||||
| Road & Rail - 0.5% |
||||||||||||||||
| Burlington Northern Santa Fe LLC, Senior Notes |
4.900 | % | 4/1/44 | 760,000 | 777,267 | |||||||||||
| CSX Corp., Senior Notes |
3.950 | % | 5/1/50 | 300,000 | 261,119 | |||||||||||
| Florida East Coast Holdings Corp., Senior Notes |
9.750 | % | 5/1/20 | 40,000 | 36,200 | (a) | ||||||||||
| Florida East Coast Holdings Corp., Senior Secured Notes |
6.750 | % | 5/1/19 | 50,000 | 50,500 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Total Road & Rail |
1,125,086 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INDUSTRIALS |
9,087,322 | |||||||||||||||
|
|
|
|||||||||||||||
| INFORMATION TECHNOLOGY - 1.2% | ||||||||||||||||
| Communications Equipment - 0.5% |
||||||||||||||||
| Harris Corp., Senior Notes |
4.854 | % | 4/27/35 | 430,000 | 413,222 | |||||||||||
| Harris Corp., Senior Notes |
5.054 | % | 4/27/45 | 340,000 | 323,563 | |||||||||||
| QUALCOMM Inc., Senior Subordinated Notes |
4.800 | % | 5/20/45 | 490,000 | 424,884 | |||||||||||
|
|
|
|||||||||||||||
| Total Communications Equipment |
1,161,669 | |||||||||||||||
|
|
|
|||||||||||||||
| Electronic Equipment, Instruments & Components - 0.2% |
||||||||||||||||
| Interface Security Systems Holdings Inc./Interface Security Systems LLC, Senior Secured Notes |
9.250 | % | 1/15/18 | 340,000 | 346,800 | |||||||||||
|
|
|
|||||||||||||||
| IT Services - 0.0% |
||||||||||||||||
| First Data Corp., Senior Secured Notes |
6.750 | % | 11/1/20 | 91,000 | 96,005 | (a) | ||||||||||
|
|
|
|||||||||||||||
| Semiconductors & Semiconductor Equipment - 0.4% |
||||||||||||||||
| Intel Corp., Senior Notes |
4.900 | % | 7/29/45 | 520,000 | 536,610 | |||||||||||
| National Semiconductor Corp., Senior Notes |
6.600 | % | 6/15/17 | 360,000 | 393,977 | |||||||||||
|
|
|
|||||||||||||||
| Total Semiconductors & Semiconductor Equipment |
930,587 | |||||||||||||||
|
|
|
|||||||||||||||
| Software - 0.1% |
||||||||||||||||
| Activision Blizzard Inc., Senior Notes |
6.125 | % | 9/15/23 | 180,000 | 193,950 | (a) | ||||||||||
|
|
|
|||||||||||||||
| TOTAL INFORMATION TECHNOLOGY |
2,729,011 | |||||||||||||||
|
|
|
|||||||||||||||
| MATERIALS - 4.0% | ||||||||||||||||
| Chemicals - 0.1% |
||||||||||||||||
| Ecolab Inc., Senior Notes |
5.500 | % | 12/8/41 | 260,000 | 292,604 | |||||||||||
|
|
|
|||||||||||||||
| Metals & Mining - 3.7% |
||||||||||||||||
| Alcoa Inc., Senior Notes |
5.125 | % | 10/1/24 | 520,000 | 512,200 | |||||||||||
| Barrick Gold Corp., Senior Notes |
5.250 | % | 4/1/42 | 1,200,000 | 964,424 | |||||||||||
| Glencore Finance Canada Ltd., Senior Bonds |
5.800 | % | 11/15/16 | 1,200,000 | 1,229,012 | (a) | ||||||||||
| Rio Tinto Finance USA Ltd., Senior Notes |
9.000 | % | 5/1/19 | 2,000,000 | 2,454,856 | |||||||||||
See Notes to Schedule of Investments.
6
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| Schedule of investments (unaudited) (cont’d) | August 31, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| Metals & Mining - (continued) |
||||||||||||||||
| Southern Copper Corp., Senior Notes |
5.375 | % | 4/16/20 | $ | 260,000 | $ | 282,628 | |||||||||
| Steel Dynamics Inc., Senior Notes |
6.125 | % | 8/15/19 | 240,000 | 249,900 | |||||||||||
| Vale Overseas Ltd., Senior Notes |
6.875 | % | 11/21/36 | 2,100,000 | 1,797,600 | |||||||||||
| Vedanta Resources PLC, Senior Notes |
6.000 | % | 1/31/19 | 500,000 | 436,250 | (a) | ||||||||||
| Yamana Gold Inc., Senior Notes |
4.950 | % | 7/15/24 | 140,000 | 126,271 | |||||||||||
|
|
|
|||||||||||||||
| Total Metals & Mining |
8,053,141 | |||||||||||||||
|
|
|
|||||||||||||||
| Paper & Forest Products - 0.2% |
||||||||||||||||
| Fibria Overseas Finance Ltd., Senior Notes |
5.250 | % | 5/12/24 | 510,000 | 504,900 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL MATERIALS |
8,850,645 | |||||||||||||||
|
|
|
|||||||||||||||
| TELECOMMUNICATION SERVICES - 8.7% | ||||||||||||||||
| Diversified Telecommunication Services - 7.2% |
||||||||||||||||
| AT&T Inc., Global Notes |
5.600 | % | 5/15/18 | 1,500,000 | 1,635,943 | |||||||||||
| AT&T Inc., Senior Notes |
4.500 | % | 5/15/35 | 370,000 | 341,016 | |||||||||||
| AT&T Inc., Senior Notes |
5.550 | % | 8/15/41 | 440,000 | 443,755 | |||||||||||
| AT&T Inc., Senior Notes |
4.750 | % | 5/15/46 | 60,000 | 54,902 | |||||||||||
| British Telecommunications PLC, Bonds |
9.625 | % | 12/15/30 | 2,000,000 | 2,922,434 | |||||||||||
| Embarq Corp., Notes |
7.995 | % | 6/1/36 | 1,500,000 | 1,590,000 | |||||||||||
| Intelsat Jackson Holdings SA, Senior Notes |
7.500 | % | 4/1/21 | 1,250,000 | 1,215,625 | |||||||||||
| Koninklijke KPN NV, Senior Notes |
8.375 | % | 10/1/30 | 330,000 | 429,379 | |||||||||||
| Telecom Italia SpA, Senior Notes |
5.303 | % | 5/30/24 | 830,000 | 839,337 | (a) | ||||||||||
| Telefonica Emisiones SAU, Senior Notes |
7.045 | % | 6/20/36 | 140,000 | 171,814 | |||||||||||
| Turk Telekomunikasyon AS, Senior Notes |
4.875 | % | 6/19/24 | 400,000 | 382,360 | (a) | ||||||||||
| Verizon Communications Inc., Senior Notes |
5.150 | % | 9/15/23 | 2,460,000 | 2,701,392 | |||||||||||
| Verizon Communications Inc., Senior Notes |
6.550 | % | 9/15/43 | 1,473,000 | 1,750,852 | |||||||||||
| Verizon Communications Inc., Senior Notes |
5.012 | % | 8/21/54 | 1,508,000 | 1,386,217 | |||||||||||
|
|
|
|||||||||||||||
| Total Diversified Telecommunication Services |
15,865,026 | |||||||||||||||
|
|
|
|||||||||||||||
| Wireless Telecommunication Services - 1.5% |
||||||||||||||||
| America Movil SAB de CV, Senior Notes |
4.375 | % | 7/16/42 | 800,000 | 733,023 | |||||||||||
| Rogers Communications Inc., Senior Notes |
6.800 | % | 8/15/18 | 1,000,000 | 1,127,962 | |||||||||||
| Sprint Communications Inc., Senior Notes |
9.000 | % | 11/15/18 | 280,000 | 312,550 | (a) | ||||||||||
| Sprint Corp., Senior Notes |
7.875 | % | 9/15/23 | 700,000 | 674,625 | |||||||||||
| Telefonica Europe BV, Senior Notes |
8.250 | % | 9/15/30 | 390,000 | 523,247 | |||||||||||
|
|
|
|||||||||||||||
| Total Wireless Telecommunication Services |
3,371,407 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL TELECOMMUNICATION SERVICES |
19,236,433 | |||||||||||||||
|
|
|
|||||||||||||||
| UTILITIES - 6.6% | ||||||||||||||||
| Electric Utilities - 5.2% |
||||||||||||||||
| Berkshire Hathaway Energy Co., Bonds |
6.125 | % | 4/1/36 | 1,000,000 | 1,186,665 | |||||||||||
| Berkshire Hathaway Energy Co., Senior Notes |
5.750 | % | 4/1/18 | 1,000,000 | 1,097,968 | |||||||||||
| CenterPoint Energy Houston Electric LLC, Senior Secured Bonds |
4.500 | % | 4/1/44 | 530,000 | 550,100 | |||||||||||
| Commonwealth Edison Co., First Mortgage Bonds |
5.800 | % | 3/15/18 | 600,000 | 661,290 | |||||||||||
| Commonwealth Edison Co., First Mortgage Bonds |
6.450 | % | 1/15/38 | 600,000 | 776,139 | |||||||||||
| FirstEnergy Corp., Notes |
7.375 | % | 11/15/31 | 3,040,000 | 3,647,799 | |||||||||||
| NRG REMA LLC, Pass-Through Certificates, Senior Secured Bonds |
9.681 | % | 7/2/26 | 2,000,000 | 2,040,000 | |||||||||||
| Pacific Gas & Electric Co., Senior Notes |
8.250 | % | 10/15/18 | 600,000 | 715,140 | |||||||||||
| Virginia Electric and Power Co., Senior Notes |
8.875 | % | 11/15/38 | 500,000 | 779,649 | |||||||||||
|
|
|
|||||||||||||||
| Total Electric Utilities |
11,454,750 | |||||||||||||||
|
|
|
|||||||||||||||
| Gas Utilities - 0.8% |
||||||||||||||||
| Southern Natural Gas Co., LLC, Senior Notes |
8.000 | % | 3/1/32 | 1,500,000 | 1,768,653 | |||||||||||
|
|
|
|||||||||||||||
| Independent Power and Renewable Electricity Producers - 0.6% |
||||||||||||||||
| AES Corp., Senior Notes |
8.000 | % | 6/1/20 | 1,100,000 | 1,276,715 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL UTILITIES |
14,500,118 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS & NOTES (Cost - $192,714,198) |
206,748,567 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
7
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| Schedule of investments (unaudited) (cont’d) | August 31, 2015 |
| SECURITY |
RATE | MATURITY DATE |
FACE AMOUNT |
VALUE | ||||||||||||
| MUNICIPAL BONDS - 0.5% | ||||||||||||||||
| Alabama - 0.1% |
||||||||||||||||
| Jefferson County, AL, Sewer Revenue, Subordinated Lien Warrants |
6.000 | % | 10/1/42 | $ | 310,000 | $ | 346,565 | |||||||||
|
|
|
|||||||||||||||
| California - 0.1% |
||||||||||||||||
| University of California Revenue |
4.062 | % | 5/15/33 | 220,000 | 219,531 | |||||||||||
|
|
|
|||||||||||||||
| Illinois - 0.3% |
||||||||||||||||
| Chicago, IL, GO, Taxable Project |
7.781 | % | 1/1/35 | 20,000 | 20,336 | |||||||||||
| Illinois State, GO, Build America Bonds-Taxable |
6.725 | % | 4/1/35 | 530,000 | 549,128 | |||||||||||
|
|
|
|||||||||||||||
| Total Illinois |
569,464 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL MUNICIPAL BONDS |
1,135,560 | |||||||||||||||
|
|
|
|||||||||||||||
| SENIOR LOANS - 0.3% | ||||||||||||||||
| INDUSTRIALS - 0.3% | ||||||||||||||||
| Commercial Services & Supplies - 0.3% |
||||||||||||||||
| Nielsen Finance LLC, USD Term Loan B2 |
3.192 | % | 4/15/21 | 635,193 | 637,129 | (d)(e) | ||||||||||
|
|
|
|||||||||||||||
| SOVEREIGN BONDS - 0.8% | ||||||||||||||||
| Colombia - 0.2% |
||||||||||||||||
| Republic of Colombia, Senior Bonds |
5.625 | % | 2/26/44 | 431,000 | 420,764 | |||||||||||
|
|
|
|||||||||||||||
| Turkey - 0.6% |
||||||||||||||||
| Republic of Turkey, Senior Bonds |
4.250 | % | 4/14/26 | 520,000 | 487,879 | |||||||||||
| Republic of Turkey, Senior Notes |
4.875 | % | 4/16/43 | 840,000 | 741,258 | |||||||||||
|
|
|
|||||||||||||||
| Total Turkey |
1,229,137 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL SOVEREIGN BONDS |
1,649,901 | |||||||||||||||
|
|
|
|||||||||||||||
| SHARES | ||||||||||||||||
| COMMON STOCKS - 0.7% | ||||||||||||||||
| FINANCIALS - 0.7% | ||||||||||||||||
| Banks - 0.7% |
||||||||||||||||
| Citigroup Inc. |
29,728 | 1,589,853 | ||||||||||||||
|
|
|
|||||||||||||||
| CONVERTIBLE PREFERRED STOCKS - 0.5% | ||||||||||||||||
| HEALTH CARE - 0.5% | ||||||||||||||||
| Pharmaceuticals - 0.5% |
||||||||||||||||
| Allergan PLC |
5.500 | % | 1,000 | 1,026,940 | ||||||||||||
|
|
|
|||||||||||||||
| PREFERRED STOCKS - 1.5% | ||||||||||||||||
| FINANCIALS - 1.5% | ||||||||||||||||
| Capital Markets - 0.2% |
||||||||||||||||
| State Street Corp. |
5.900 | % | 16,755 | 436,132 | (b) | |||||||||||
|
|
|
|||||||||||||||
| Consumer Finance - 1.0% |
||||||||||||||||
| GMAC Capital Trust I |
8.125 | % | 85,800 | 2,190,474 | (b) | |||||||||||
|
|
|
|||||||||||||||
| Diversified Financial Services - 0.2% |
||||||||||||||||
| Citigroup Capital XIII |
7.875 | % | 17,525 | 447,764 | (b) | |||||||||||
|
|
|
|||||||||||||||
| Insurance - 0.1% |
||||||||||||||||
| Delphi Financial Group Inc. |
7.376 | % | 9,325 | 233,708 | (b) | |||||||||||
|
|
|
|||||||||||||||
| TOTAL PREFERRED STOCKS |
3,308,078 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL INVESTMENTS - 98.3% |
216,096,028 | |||||||||||||||
| Other Assets in Excess of Liabilities - 1.7% |
3,756,867 | |||||||||||||||
|
|
|
|||||||||||||||
| TOTAL NET ASSETS - 100.0% |
$ | 219,852,895 | ||||||||||||||
|
|
|
|||||||||||||||
See Notes to Schedule of Investments.
8
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| Schedule of investments (unaudited) (cont’d) | August 31, 2015 |
| (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, unless otherwise noted. |
| (b) | Variable rate security. Interest rate disclosed is as of the most recent information available. |
| (c) | Security has no maturity date. The date shown represents the next call date. |
| (d) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
| (e) | 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. |
| # | Aggregate cost for federal income tax purposes is substantially the same. |
Abbreviation used in this schedule:
| GO | — General Obligation | |
This Schedule of Investments is unaudited and is intended to provide information about the Fund’s portfolio holdings as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
9
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Western Asset Investment Grade Defined Opportunity Trust Inc. (the “Fund”) was incorporated in Maryland on April 24, 2009 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 and then to liquidate and distribute substantially all of the Fund’s net assets to stockholders on or about December 2, 2024. 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 Atlantic Fund Valuation Committee (formerly, 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 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.
10
Notes to Schedule of Investments (unaudited) (continued)
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| • | Level 1 – quoted prices in active markets for identical investments |
| • | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
| ASSETS |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Long-term investments†: |
||||||||||||||||
| Corporate bonds & notes: |
||||||||||||||||
| Utilities |
— | $ | 12,460,118 | $ | 2,040,000 | $ | 14,500,118 | |||||||||
| Other corporate bonds & notes |
— | 192,248,449 | — | 192,248,449 | ||||||||||||
| Municipal bonds |
— | 1,135,560 | — | 1,135,560 | ||||||||||||
| Senior loans |
— | 637,129 | — | 637,129 | ||||||||||||
| Sovereign bonds |
— | 1,649,901 | — | 1,649,901 | ||||||||||||
| Common stocks |
$ | 1,589,853 | — | — | 1,589,853 | |||||||||||
| Convertible preferred stocks |
1,026,940 | — | — | 1,026,940 | ||||||||||||
| Preferred stocks |
3,074,370 | 233,708 | — | 3,308,078 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total investments |
$ | 5,691,163 | $ | 208,364,865 | $ | 2,040,000 | $ | 216,096,028 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Other financial instruments: |
||||||||||||||||
| Futures contracts |
$ | 388,171 | — | — | $ | 388,171 | ||||||||||
| Forward foreign currency contracts |
— | $ | 135,039 | — | 135,039 | |||||||||||
| Centrally cleared interest rate swaps |
— | 109,341 | — | 109,341 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total other financial instruments |
$ | 388,171 | $ | 244,380 | — | $ | 632,551 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 6,079,334 | $ | 208,609,245 | $ | 2,040,000 | $ | 216,728,579 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES |
||||||||||||||||
| DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
| Other financial instruments: |
||||||||||||||||
| Futures contracts |
$ | 84,417 | — | — | $ | 84,417 | ||||||||||
| Forward foreign currency contracts |
— | $ | 195,407 | — | 195,407 | |||||||||||
| OTC credit default swaps on corporate issues - buy protection‡ |
— | 39,320 | — | 39,320 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 84,417 | $ | 234,727 | — | $ | 319,144 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| † | See Schedule of Investments for additional detailed categorizations. |
| ‡ | Values include any premiums paid or received with respect to swap contracts. |
2. Investments
At August 31, 2015, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
| Gross unrealized appreciation |
$ | 18,291,912 | ||
| Gross unrealized depreciation |
(4,043,707 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 14,248,205 | ||
|
|
|
11
Notes to Schedule of Investments (unaudited) (continued)
At August 31, 2015, the Fund had the following open futures contracts:
| Number of Contracts |
Expiration Date |
Basis Value |
Market Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||
| Contracts to Buy: | ||||||||||||||||||||
| U.S. Treasury 2-Year Notes |
8 | 12/15 | $ | 1,751,026 | $ | 1,747,750 | $ | (3,276 | ) | |||||||||||
| U.S. Treasury 5-Year Notes |
24 | 12/15 | 2,882,859 | 2,866,500 | (16,359 | ) | ||||||||||||||
| U.S. Treasury Ultra Long-Term Bonds |
17 | 12/15 | 2,757,688 | 2,692,906 | (64,782 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| (84,417 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Contracts to Sell: | ||||||||||||||||||||
| U.S. Treasury 10-Year Notes |
106 | 12/15 | 13,557,398 | 13,468,625 | 88,773 | |||||||||||||||
| U.S. Treasury Long-Term Bonds |
77 | 12/15 | 12,205,523 | 11,906,125 | 299,398 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 388,171 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation on open futures contracts | $ | 303,754 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
At August 31, 2015, the Fund had the following open forward foreign currency contracts:
| Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 2,329,809 | EUR | 2,110,000 | Bank of America N.A. | 10/16/15 | $ | (39,505 | ) | ||||||||||||||
| USD | 1,138,593 | EUR | 980,000 | Bank of America N.A. | 10/16/15 | 38,153 | ||||||||||||||||
| USD | 1,150,250 | JPY | 136,070,000 | Bank of America N.A. | 10/16/15 | 27,100 | ||||||||||||||||
| INR | 214,570,000 | USD | 3,339,611 | Citibank N.A. | 10/16/15 | (137,556 | ) | |||||||||||||||
| USD | 1,025,948 | EUR | 930,000 | Citibank N.A. | 10/16/15 | (18,346 | ) | |||||||||||||||
| USD | 3,270,000 | INR | 214,446,600 | Citibank N.A. | 10/16/15 | 69,786 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total |
|
$ | (60,368 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||
Abbreviations used in this table:
| EUR | — Euro | |
| INR | — Indian Rupee | |
| JPY | — Japanese Yen | |
| USD | — United States Dollar | |
At August 31, 2015, the Fund had the following open swap contracts:
| CENTRALLY CLEARED INTEREST RATE SWAPS |
||||||||||||||||||||
| CENTRAL COUNTERPARTY |
NOTIONAL AMOUNT |
TERMINATION DATE |
PAYMENTS MADE BY THE FUND† |
PAYMENTS RECEIVED BY THE FUND† |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED APPRECIATION |
||||||||||||||
| Chicago Mercantile Exchange | $ | 2,192,000 | 2/15/41 | 2.442% semi-annually | 3-Month LIBOR | $ | (10,091 | ) | $ | 109,341 | ||||||||||
| OTC CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION1 |
||||||||||||||||||||||||
| SWAP COUNTERPARTY |
NOTIONAL AMOUNT2 |
TERMINATION DATE |
IMPLIED CREDIT SPREAD AT AUGUST 31, 20153 |
PERIODIC PAYMENTS MADE BY THE FUND† |
MARKET VALUE |
UPFRONT PREMIUMS PAID (RECEIVED) |
UNREALIZED DEPRECIATION |
|||||||||||||||||
| Goldman Sachs Group Inc. (E.I. du Pont de Nemours & Co., 5.250%, due 12/15/16) | $ | 780,000 | 3/20/19 | 0.389% | 1.000% quarterly | $ | (16,713 | ) | $ | (15,788 | ) | $ | (925 | ) | ||||||||||
| Goldman Sachs Group Inc. (PPG Industries Inc., 6.650%, due 3/15/18) | 856,423 | 3/20/19 | 0.249% | 1.000% quarterly | (22,607 | ) | (16,158 | ) | (6,449 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| Total |
$ | 1,636,423 | $ | (39,320 | ) | $ | (31,946 | ) | $ | (7,374 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
| 1 | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or the underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or the underlying securities comprising the referenced index. |
| 2 | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| 3 | Implied credit spreads, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
| † | Percentage shown is an annual percentage rate. |
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.
Western Asset Investment Grade Defined Opportunity Trust Inc.
| By | /s/ JANE TRUST | |
| Jane Trust | ||
| Chief Executive Officer | ||
| Date: |
October 21, 2015 | |
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: |
October 21, 2015 | |
| By | /s/ RICHARD F. SENNETT | |
| Richard F. Sennett | ||
| Principal Financial Officer | ||
| Date: |
October 21, 2015 | |