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 |
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Western Asset Investment Grade Defined Opportunity Trust Inc. |
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(Exact name of registrant as specified in charter) |
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55 Water Street, New York, NY |
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10041 |
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(Address of principal executive offices) |
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(Zip code) |
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Robert I. Frenkel, Esq. Legg Mason & Co., LLC 100 First Stamford Place Stamford, CT 06902 |
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(Name and address of agent for service) |
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Registrants telephone number, including area code: |
1-888-777-0102 |
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Date of fiscal year end: |
November 30 |
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Date of reporting period: |
August 31, 2009 |
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ITEM 1. SCHEDULE OF INVESTMENTS
WESTERN ASSET
INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
AUGUST 31, 2009
Western Asset Investment Grade Defined Opportunity Trust Inc.
Schedule of Investments (unaudited) |
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August 31, 2009 |
Face |
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Security |
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Value |
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CORPORATE BONDS & NOTES 89.7% |
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CONSUMER DISCRETIONARY 9.8% |
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Hotels, Restaurants & Leisure 0.9% |
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$ |
1,250,000 |
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Harrahs Operating Escrow LLC/Harrahs Escrow Corp., Senior Secured Notes, 11.250% due 6/1/17 (a) |
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$ |
1,278,125 |
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540,000 |
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Yum! Brands Inc., Senior Notes, 4.250% due 9/15/15 |
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548,948 |
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Total Hotels, Restaurants & Leisure |
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1,827,073 |
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Media 8.0% |
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Affinion Group Inc., Senior Notes: |
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1,750,000 |
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10.125% due 10/15/13 |
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1,747,812 |
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250,000 |
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10.125% due 10/15/13 (a) |
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249,688 |
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Comcast Corp.: |
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2,500,000 |
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6.400% due 5/15/38 |
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2,661,190 |
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1,500,000 |
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Senior Notes, 5.700% due 7/1/19 |
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1,585,882 |
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1,250,000 |
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DISH DBS Corp., Senior Notes, 7.875% due 9/1/19 (a) |
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1,239,063 |
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1,000,000 |
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Globo Communicacoes e Participacoes SA, Bonds, 7.250% due 4/26/22 (a) |
|
1,030,000 |
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2,400,000 |
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News America Inc., Senior Notes, 6.650% due 11/15/37 |
|
2,475,986 |
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1,760,000 |
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Omnicom Group Inc., Notes, 6.250% due 7/15/19 |
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1,869,590 |
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Time Warner Cable Inc.: |
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500,000 |
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Debentures, 7.300% due 7/1/38 |
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567,560 |
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1,100,000 |
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Senior Notes, 8.750% due 2/14/19 |
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1,356,407 |
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1,000,000 |
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Univision Communications Inc., Senior Secured Notes, 12.000% due 7/1/14 (a) |
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1,055,000 |
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1,000,000 |
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WPP Finance UK, Senior Notes, 8.000% due 9/15/14 |
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1,096,416 |
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Total Media |
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16,934,594 |
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Specialty Retail 0.4% |
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820,000 |
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Staples Inc., Senior Notes, 7.750% due 4/1/11 |
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871,691 |
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Textiles, Apparel & Luxury Goods 0.5% |
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1,000,000 |
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Oxford Industries Inc., Senior Secured Notes, 11.375% due 7/15/15 |
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1,045,000 |
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TOTAL CONSUMER DISCRETIONARY |
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20,678,358 |
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CONSUMER STAPLES 5.5% |
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Beverages 1.2% |
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1,000,000 |
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Anheuser-Busch InBev Worldwide Inc., Senior Notes, 7.750% due 1/15/19 (a) |
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1,172,902 |
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1,200,000 |
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Diageo Capital PLC, Notes, 5.750% due 10/23/17 |
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1,310,537 |
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Total Beverages |
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2,483,439 |
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Food & Staples Retailing 2.0% |
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600,000 |
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CVS Caremark Corp., Senior Notes, 6.600% due 3/15/19 |
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680,605 |
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2,135,000 |
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Safeway Inc., Senior Notes, 6.250% due 3/15/14 |
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2,349,877 |
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1,100,000 |
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Walgreen Co., Senior Notes, 5.250% due 1/15/19 |
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1,182,010 |
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Total Food & Staples Retailing |
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4,212,492 |
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Food Products 0.7% |
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1,500,000 |
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Smithfield Foods Inc., Senior Secured Notes, 10.000% due 7/15/14 (a) |
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1,537,500 |
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Tobacco 1.6% |
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1,200,000 |
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Philip Morris International Inc., Senior Notes, 6.875% due 3/17/14 |
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1,371,560 |
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2,000,000 |
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Reynolds American Inc., Senior Secured Notes, 7.625% due 6/1/16 |
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2,112,846 |
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Total Tobacco |
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3,484,406 |
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TOTAL CONSUMER STAPLES |
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11,717,837 |
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ENERGY 10.0% |
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Energy Equipment & Services 0.8% |
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1,500,000 |
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Southern Natural Gas Co., Senior Notes, 8.000% due 3/1/32 |
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1,745,199 |
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See Notes to Schedule of Investments.
1
Western Asset Investment Grade Defined Opportunity Trust Inc.
Schedule of Investments (unaudited) (continued) |
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August 31, 2009 |
Face |
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Security |
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Value |
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Oil, Gas & Consumable Fuels 9.2% |
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Anadarko Petroleum Corp., Senior Notes: |
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$ |
600,000 |
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5.950% due 9/15/16 |
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$ |
624,853 |
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1,100,000 |
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6.450% due 9/15/36 |
|
1,092,312 |
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1,500,000 |
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ConocoPhillips, Notes, 6.500% due 2/1/39 |
|
1,740,478 |
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1,000,000 |
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DCP Midstream LLC, Senior Notes, 9.750% due 3/15/19 (a) |
|
1,190,774 |
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1,000,000 |
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Devon Financing Corp. ULC, Debentures, 7.875% due 9/30/31 |
|
1,235,493 |
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2,000,000 |
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Enterprise Products Operating LP, Senior Notes, 9.750% due 1/31/14 |
|
2,409,712 |
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800,000 |
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EOG Resources Inc., Senior Notes, 6.875% due 10/1/18 |
|
938,586 |
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Hess Corp., Notes: |
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1,400,000 |
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8.125% due 2/15/19 |
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1,659,441 |
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440,000 |
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7.875% due 10/1/29 |
|
523,665 |
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800,000 |
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Kinder Morgan Energy Partners LP, Senior Notes, 5.950% due 2/15/18 |
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839,188 |
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1,000,000 |
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Pemex Project Funding Master Trust, Senior Bonds, 6.625% due 6/15/35 |
|
915,782 |
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1,000,000 |
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Quicksilver Resources Inc., Senior Notes, 11.750% due 1/1/16 |
|
1,065,000 |
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1,500,000 |
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Shell International Finance BV, Senior Notes, 6.375% due 12/15/38 |
|
1,778,976 |
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700,000 |
|
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Valero Energy Corp., Senior Notes, 9.375% due 3/15/19 |
|
808,550 |
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1,000,000 |
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Williams Cos. Inc., Senior Notes, 8.750% due 1/15/20 |
|
1,137,170 |
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XTO Energy Inc., Senior Notes: |
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500,000 |
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5.750% due 12/15/13 |
|
539,918 |
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900,000 |
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5.500% due 6/15/18 |
|
928,693 |
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Total Oil, Gas & Consumable Fuels |
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19,428,591 |
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TOTAL ENERGY |
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21,173,790 |
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FINANCIALS 30.7% |
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Capital Markets 7.4% |
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Bear Stearns Cos. Inc., Senior Notes: |
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|
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1,580,000 |
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5.500% due 8/15/11 |
|
1,659,720 |
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3,500,000 |
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7.250% due 2/1/18 |
|
3,997,689 |
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Goldman Sachs Group Inc., Senior Notes: |
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|
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4,250,000 |
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5.950% due 1/18/18 |
|
4,431,573 |
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500,000 |
|
|
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7.500% due 2/15/19 |
|
576,648 |
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|
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Morgan Stanley: |
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3,000,000 |
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5.050% due 1/21/11 |
|
3,099,405 |
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1,750,000 |
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Medium-Term Notes, 6.625% due 4/1/18 |
|
1,873,018 |
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Total Capital Markets |
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15,638,053 |
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Commercial Banks 5.9% |
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|
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240,000 |
|
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BankAmerica Institutional Capital A, Junior Subordinated Bonds, 8.070% due 12/31/26 (a) |
|
219,600 |
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||
250,000 |
|
|
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BankAmerica Institutional Capital B, Junior Subordinated Bonds, 7.700% due 12/31/26 (a) |
|
223,750 |
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||
|
|
|
|
BB&T Corp., Senior Notes: |
|
|
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370,000 |
|
|
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3.850% due 7/27/12 |
|
379,273 |
|
||
1,000,000 |
|
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|
5.700% due 4/30/14 |
|
1,070,952 |
|
||
560,000 |
|
|
|
Credit Suisse/New York, Senior Notes, 5.300% due 8/13/19 |
|
567,697 |
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||
|
|
|
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Royal Bank of Scotland Group PLC, Subordinated Notes: |
|
|
|
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120,000 |
|
|
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5.000% due 11/12/13 |
|
108,632 |
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||
40,000 |
|
|
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5.000% due 10/1/14 |
|
35,408 |
|
||
1,000,000 |
|
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RSHB Capital, Loan Participation Notes, Notes, 9.000% due 6/11/14 (a) |
|
1,067,400 |
|
||
2,100,000 |
|
|
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Svenska Handelsbanken AB, Senior Notes, 4.875% due 6/10/14 (a) |
|
2,200,783 |
|
||
390,000 |
|
|
|
Wachovia Capital Trust III, Junior Subordinated Bonds, 5.800% due 3/15/11 (b)(c) |
|
257,400 |
|
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6,000,000 |
|
|
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Wachovia Corp., Senior Notes, 5.750% due 2/1/18 |
|
6,311,466 |
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|
|
|
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Total Commercial Banks |
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12,442,361 |
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See Notes to Schedule of Investments.
2
Western Asset Investment Grade Defined Opportunity Trust Inc.
Schedule of Investments (unaudited) (continued) |
|
August 31, 2009 |
Face |
|
|
|
Security |
|
Value |
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Consumer Finance 2.7% |
|
|
|
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$ |
3,000,000 |
|
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American Express Co., Senior Notes, 8.125% due 5/20/19 |
|
$ |
3,363,147 |
|
1,250,000 |
|
|
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FMG Finance Pty Ltd., Senior Secured Notes, 10.625% due 9/1/16 (a) |
|
1,350,000 |
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1,000,000 |
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Ford Motor Credit Co., Senior Notes, 12.000% due 5/15/15 |
|
1,042,120 |
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|
|
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Total Consumer Finance |
|
5,755,267 |
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Diversified Financial Services 9.2% |
|
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3,750,000 |
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Bank of America Corp., Senior Notes, 7.625% due 6/1/19 |
|
4,135,984 |
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840,000 |
|
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Blackstone Holdings Finance Co. LLC, Senior Notes, 6.625% due 8/15/19 (a) |
|
847,894 |
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360,000 |
|
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Capital One Capital V, Junior Subordinated Notes, Cumulative Trust Preferred Securities, 10.250% due 8/15/39 |
|
366,916 |
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Citigroup Inc.: |
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2,250,000 |
|
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6.000% due 8/15/17 |
|
2,118,091 |
|
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2,000,000 |
|
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Notes, 6.875% due 3/5/38 |
|
1,811,628 |
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|
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Senior Notes: |
|
|
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300,000 |
|
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6.375% due 8/12/14 |
|
303,691 |
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500,000 |
|
|
|
8.500% due 5/22/19 |
|
547,457 |
|
||
1,350,000 |
|
|
|
8.125% due 7/15/39 |
|
1,391,618 |
|
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|
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General Electric Capital Corp., Senior Notes: |
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3,000,000 |
|
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5.250% due 10/19/12 |
|
3,142,512 |
|
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790,000 |
|
|
|
6.000% due 8/7/19 |
|
797,466 |
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1,500,000 |
|
|
|
6.875% due 1/10/39 |
|
1,492,321 |
|
||
1,500,000 |
|
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JPMorgan Chase & Co., Senior Notes, 6.400% due 5/15/38 |
|
1,662,153 |
|
||
1,000,000 |
|
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TNK-BP Finance SA, Senior Notes, 7.500% due 3/13/13 (a) |
|
1,005,000 |
|
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|
|
|
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Total Diversified Financial Services |
|
19,622,731 |
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Insurance 2.6% |
|
|
|
||||||
1,300,000 |
|
|
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ACE INA Holdings Inc., Senior Notes, 5.600% due 5/15/15 |
|
1,393,898 |
|
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|
|
|
|
Chubb Corp., Senior Notes: |
|
|
|
||
600,000 |
|
|
|
5.750% due 5/15/18 |
|
652,181 |
|
||
600,000 |
|
|
|
6.500% due 5/15/38 |
|
685,563 |
|
||
1,500,000 |
|
|
|
MetLife Inc., Senior Notes, 6.817% due 8/15/18 |
|
1,659,989 |
|
||
690,000 |
|
|
|
Nationwide Mutual Insurance Co., Notes, 9.375% due 8/15/39 (a) |
|
691,277 |
|
||
400,000 |
|
|
|
Travelers Cos. Inc., Senior Notes, 6.250% due 6/15/37 |
|
443,536 |
|
||
|
|
|
|
Total Insurance |
|
5,526,444 |
|
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Real Estate Investment Trusts (REITs) 1.2% |
|
|
|
||||||
505,000 |
|
|
|
Developers Diversified Realty Corp., Senior Notes, 4.625% due 8/1/10 |
|
488,167 |
|
||
1,500,000 |
|
|
|
Ventas Realty LP/Ventas Capital Corp., Senior Notes, 6.750% due 4/1/17 |
|
1,417,500 |
|
||
580,000 |
|
|
|
WEA Finance LLC, Senior Notes, 6.750% due 9/2/19 (a) |
|
572,311 |
|
||
|
|
|
|
Total Real Estate Investment Trusts (REITs) |
|
2,477,978 |
|
||
Thrifts & Mortgage Finance 1.7% |
|
|
|
||||||
3,500,000 |
|
|
|
Countrywide Financial Corp., Medium-Term Notes, 5.800% due 6/7/12 |
|
3,633,893 |
|
||
|
|
|
|
TOTAL FINANCIALS |
|
65,096,727 |
|
||
HEALTH CARE 6.2% |
|
|
|
||||||
Health Care Equipment & Supplies 0.9% |
|
|
|
||||||
1,000,000 |
|
|
|
Biomet Inc., Senior Toggle Notes, 10.375% due 10/15/17 (d) |
|
1,047,500 |
|
||
910,000 |
|
|
|
St. Jude Medical Inc., Senior Notes, 3.750% due 7/15/14 |
|
924,367 |
|
||
|
|
|
|
Total Health Care Equipment & Supplies |
|
1,971,867 |
|
||
Health Care Providers & Services 2.9% |
|
|
|
||||||
|
|
|
|
Humana Inc., Senior Notes: |
|
|
|
||
1,000,000 |
|
|
|
6.450% due 6/1/16 |
|
950,980 |
|
||
1,000,000 |
|
|
|
7.200% due 6/15/18 |
|
969,884 |
|
||
600,000 |
|
|
|
McKesson Corp., Senior Notes, 6.500% due 2/15/14 |
|
657,633 |
|
||
See Notes to Schedule of Investments.
3
Western Asset Investment Grade Defined Opportunity Trust Inc.
Schedule of Investments (unaudited) (continued) |
August 31, 2009 |
Face |
|
|
|
Security |
|
Value |
|
||
Health Care Providers & Services 2.9% (continued) |
|
|
|
||||||
$ |
1,000,000 |
|
|
|
Tenet Healthcare Corp., Senior Notes, 10.000% due 5/1/18 (a) |
|
$ |
1,082,500 |
|
1,300,000 |
|
|
|
UnitedHealth Group Inc., 4.875% due 2/15/13 |
|
1,343,587 |
|
||
1,200,000 |
|
|
|
WellPoint Inc., Notes, 5.250% due 1/15/16 |
|
1,216,873 |
|
||
|
|
|
|
Total Health Care Providers & Services |
|
6,221,457 |
|
||
Pharmaceuticals 2.4% |
|
|
|
||||||
1,500,000 |
|
|
|
GlaxoSmithKline Capital Inc., 5.650% due 5/15/18 |
|
1,639,315 |
|
||
560,000 |
|
|
|
Pfizer Inc., Senior Notes, 7.200% due 3/15/39 |
|
705,502 |
|
||
1,100,000 |
|
|
|
Roche Holdings Inc., Senior Notes, 6.000% due 3/1/19 (a) |
|
1,219,623 |
|
||
1,300,000 |
|
|
|
Wyeth, Notes, 5.950% due 4/1/37 |
|
1,420,691 |
|
||
|
|
|
|
Total Pharmaceuticals |
|
4,985,131 |
|
||
|
|
|
|
TOTAL HEALTH CARE |
|
13,178,455 |
|
||
INDUSTRIALS 3.9% |
|
|
|
||||||
Air Freight & Logistics 0.4% |
|
|
|
||||||
700,000 |
|
|
|
United Parcel Service Inc., Senior Notes, 6.200% due 1/15/38 |
|
794,666 |
|
||
Airlines 1.5% |
|
|
|
||||||
1,725,000 |
|
|
|
American Airlines Pass-Through Trust, Secured Notes, 7.858% due 4/1/13 |
|
1,647,375 |
|
||
1,500,000 |
|
|
|
Delta Air Lines Inc., Pass-Through Certificates, 7.570% due 11/18/10 |
|
1,462,500 |
|
||
|
|
|
|
Total Airlines |
|
3,109,875 |
|
||
Commercial Services & Supplies 0.6% |
|
|
|
||||||
340,000 |
|
|
|
Republic Services Inc., Senior Notes, 5.500% due 9/15/19 (a) |
|
337,569 |
|
||
1,000,000 |
|
|
|
RSC Equipment Rental Inc., Senior Secured Notes, 10.000% due 7/15/17 (a) |
|
1,050,000 |
|
||
|
|
|
|
Total Commercial Services & Supplies |
|
1,387,569 |
|
||
Industrial Conglomerates 0.9% |
|
|
|
||||||
1,800,000 |
|
|
|
United Technologies Corp., Senior Notes, 6.125% due 2/1/19 |
|
2,022,203 |
|
||
Road & Rail 0.5% |
|
|
|
||||||
1,000,000 |
|
|
|
Kansas City Southern de Mexico, Senior Notes, 12.500% due 4/1/16 (a) |
|
1,060,000 |
|
||
|
|
|
|
TOTAL INDUSTRIALS |
|
8,374,313 |
|
||
MATERIALS 6.3% |
|
|
|
||||||
Containers & Packaging 0.9% |
|
|
|
||||||
440,000 |
|
|
|
Ball Corp., Senior Notes, 7.125% due 9/1/16 |
|
442,200 |
|
||
1,300,000 |
|
|
|
Solo Cup Co., Senior Secured Notes, 10.500% due 11/1/13 (a) |
|
1,371,500 |
|
||
|
|
|
|
Total Containers & Packaging |
|
1,813,700 |
|
||
Metals & Mining 3.9% |
|
|
|
||||||
2,770,000 |
|
|
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes, 8.375% due 4/1/17 |
|
2,891,764 |
|
||
2,000,000 |
|
|
|
Rio Tinto Finance USA Ltd., Senior Notes, 9.000% due 5/1/19 |
|
2,399,602 |
|
||
2,100,000 |
|
|
|
Vale Overseas Ltd., Notes, 6.875% due 11/21/36 |
|
2,113,030 |
|
||
1,000,000 |
|
|
|
Xstrata Finance Canada Ltd., Senior Bonds, 5.800% due 11/15/16 (a) |
|
962,585 |
|
||
|
|
|
|
Total Metals & Mining |
|
8,366,981 |
|
||
Paper & Forest Products 1.5% |
|
|
|
||||||
1,120,000 |
|
|
|
PE Paper Escrow GmbH, Senior Secured Notes, 12.000% due 8/1/14 (a) |
|
1,150,106 |
|
||
2,000,000 |
|
|
|
Verso Paper Holdings LLC, Senior Secured Notes, 11.500% due 7/1/14 (a) |
|
1,970,000 |
|
||
|
|
|
|
Total Paper & Forest Products |
|
3,120,106 |
|
||
|
|
|
|
TOTAL MATERIALS |
|
13,300,787 |
|
||
TELECOMMUNICATION SERVICES 11.7% |
|
|
|
||||||
Diversified Telecommunication Services 9.5% |
|
|
|
||||||
|
|
|
|
AT&T Inc., Global Notes: |
|
|
|
||
2,250,000 |
|
|
|
5.600% due 5/15/18 |
|
2,380,552 |
|
||
2,000,000 |
|
|
|
6.550% due 2/15/39 |
|
2,189,738 |
|
||
See Notes to Schedule of Investments.
4
Western Asset Investment Grade Defined Opportunity Trust Inc.
Schedule of Investments (unaudited) (continued) |
August 31, 2009 |
Face |
|
|
|
Security |
|
Value |
|
||
Diversified Telecommunication Services 9.5% (continued) |
|
|
|
||||||
$ |
2,000,000 |
|
|
|
British Telecommunications PLC, Bonds, 9.625% due 12/15/30 |
|
$ |
2,521,386 |
|
800,000 |
|
|
|
Deutsche Telekom International Finance BV, Bonds, 8.750% due 6/15/30 |
|
1,067,498 |
|
||
1,500,000 |
|
|
|
Embarq Corp., Notes, 7.995% due 6/1/36 |
|
1,548,006 |
|
||
1,000,000 |
|
|
|
France Telecom SA, Senior Notes, 5.375% due 7/8/19 |
|
1,058,642 |
|
||
1,000,000 |
|
|
|
Intelsat Corp., Senior Notes, 9.250% due 8/15/14 |
|
1,020,000 |
|
||
1,000,000 |
|
|
|
Koninklijke KPN NV, Senior Notes, 8.375% due 10/1/30 |
|
1,280,616 |
|
||
500,000 |
|
|
|
Qwest Corp., Senior Notes, 7.875% due 9/1/11 |
|
512,500 |
|
||
1,200,000 |
|
|
|
SBC Communications Inc., Notes, 5.100% due 9/15/14 |
|
1,298,536 |
|
||
1,000,000 |
|
|
|
Telecom Italia Capital SA, Senior Notes, 7.721% due 6/4/38 |
|
1,171,187 |
|
||
410,000 |
|
|
|
Telefonica Emisiones SAU, Senior Notes, 7.045% due 6/20/36 |
|
487,859 |
|
||
1,500,000 |
|
|
|
Valor Telecommunications Enterprises LLC/Finance Corp., 7.750% due 2/15/15 |
|
1,514,260 |
|
||
1,460,000 |
|
|
|
Verizon Communications Inc., Senior Notes, 8.950% due 3/1/39 |
|
1,993,298 |
|
||
|
|
|
|
Total Diversified Telecommunication Services |
|
20,044,078 |
|
||
Wireless Telecommunication Services 2.2% |
|
|
|
||||||
1,000,000 |
|
|
|
Rogers Communications Inc., Senior Notes, 6.800% due 8/15/18 |
|
1,134,286 |
|
||
1,250,000 |
|
|
|
Sprint Capital Corp., Senior Notes, 8.750% due 3/15/32 |
|
1,043,750 |
|
||
2,000,000 |
|
|
|
Verizon Wireless Capital LLC, Senior Notes, 8.500% due 11/15/18 (a) |
|
2,523,452 |
|
||
|
|
|
|
Total Wireless Telecommunication Services |
|
4,701,488 |
|
||
|
|
|
|
TOTAL TELECOMMUNICATION SERVICES |
|
24,745,566 |
|
||
UTILITIES 5.6% |
|
|
|
||||||
Electric Utilities 4.3% |
|
|
|
||||||
|
|
|
|
Commonwealth Edison Co., First Mortgage Bonds: |
|
|
|
||
600,000 |
|
|
|
5.800% due 3/15/18 |
|
646,996 |
|
||
600,000 |
|
|
|
6.450% due 1/15/38 |
|
675,815 |
|
||
2,020,000 |
|
|
|
FirstEnergy Corp., Notes, 7.375% due 11/15/31 |
|
2,236,334 |
|
||
730,000 |
|
|
|
FirstEnergy Solutions Corp., Senior Notes, 4.800% due 2/15/15 (a) |
|
747,015 |
|
||
1,030,000 |
|
|
|
IPALCO Enterprises Inc., 7.250% due 4/1/16 (a) |
|
1,004,250 |
|
||
1,000,000 |
|
|
|
MidAmerican Energy Holdings Co., Senior Notes, 5.750% due 4/1/18 |
|
1,067,852 |
|
||
|
|
|
|
Pacific Gas & Electric Co., Senior Notes: |
|
|
|
||
800,000 |
|
|
|
8.250% due 10/15/18 |
|
1,010,192 |
|
||
1,000,000 |
|
|
|
5.800% due 3/1/37 |
|
1,063,062 |
|
||
500,000 |
|
|
|
Virginia Electric and Power Co., Senior Notes, 8.875% due 11/15/38 |
|
696,067 |
|
||
|
|
|
|
Total Electric Utilities |
|
9,147,583 |
|
||
Independent Power Producers & Energy Traders 0.5% |
|
|
|
||||||
1,100,000 |
|
|
|
AES Corp., Senior Notes, 8.000% due 6/1/20 |
|
1,034,000 |
|
||
Multi-Utilities 0.8% |
|
|
|
||||||
500,000 |
|
|
|
Dominion Resources Inc., Senior Notes, 8.875% due 1/15/19 |
|
629,485 |
|
||
1,000,000 |
|
|
|
MidAmerican Energy Holdings Co., Bonds, 6.125% due 4/1/36 |
|
1,063,604 |
|
||
|
|
|
|
Total Multi-Utilities |
|
1,693,089 |
|
||
|
|
|
|
TOTAL UTILITIES |
|
11,874,672 |
|
||
|
|
|
|
TOTAL CORPORATE BONDS & NOTES |
|
190,140,505 |
|
||
COLLATERALIZED SENIOR LOANS 5.3% |
|
|
|
||||||
CONSUMER DISCRETIONARY 1.1% |
|
|
|
||||||
Diversified Consumer Services 0.5% |
|
|
|
||||||
1,000,000 |
|
|
|
Thomson Learning, Term Loan B, 2.790% due 7/5/14 (b) |
|
970,000 |
|
||
Hotels, Restaurants & Leisure 0.6% |
|
|
|
||||||
549,197 |
|
|
|
Venetian Macau, Term Loan, 2.850% due 4/1/13 (b) |
|
505,555 |
|
||
See Notes to Schedule of Investments.
5
Western Asset Investment Grade Defined Opportunity Trust Inc.
Schedule of Investments (unaudited) (continued) |
August 31, 2009 |
Face |
|
|
|
Security |
|
Value |
|
||
Hotels, Restaurants & Leisure 0.6% (continued) |
|
|
|
||||||
$ |
950,803 |
|
|
|
Venetian Macau, Term Loan B, 2.850% due 4/1/13 (b) |
|
$ |
875,249 |
|
|
|
|
|
Total Hotels, Restaurants & Leisure |
|
1,380,804 |
|
||
|
|
|
|
TOTAL CONSUMER DISCRETIONARY |
|
2,350,804 |
|
||
FINANCIALS 0.4% |
|
|
|
|
|||||
Diversified Financial Services 0.4% |
|
|
|
||||||
992,749 |
|
|
|
CCM Merger Inc., 8.500% due 7/21/12 (b) |
|
933,184 |
|
||
HEALTH CARE 0.4% |
|
|
|
||||||
Health Care Equipment & Supplies 0.4% |
|
|
|
||||||
854,334 |
|
|
|
Fenwal Inc., 2.924% due 3/1/14 (b) |
|
745,406 |
|
||
145,666 |
|
|
|
Fenwal Inc., 2.924% due 3/1/14 (b) |
|
127,094 |
|
||
|
|
|
|
TOTAL HEALTH CARE |
|
872,500 |
|
||
INDUSTRIALS 0.8% |
|
|
|
|
|
||||
Airlines 0.4% |
|
|
|
|
|
||||
1,000,000 |
|
|
|
Delta Airlines, 2.277% due 4/30/12 (b) |
|
845,000 |
|
||
Commercial Services & Supplies 0.4% |
|
|
|
||||||
997,500 |
|
|
|
Nielsen Finance LLC, Term Loan, 4.050% due 6/10/14 (b) |
|
933,078 |
|
||
|
|
|
|
TOTAL INDUSTRIALS |
|
1,778,078 |
|
||
INFORMATION TECHNOLOGY 0.9% |
|
|
|
||||||
IT Services 0.4% |
|
|
|
|
|||||
997,462 |
|
|
|
First Data Corp., Term Loan, 3.035% due 10/15/14 (b) |
|
836,205 |
|
||
Semiconductors & Semiconductor Equipment 0.5% |
|
|
|
||||||
1,000,000 |
|
|
|
Freescale Semiconductor Inc., Term Loan, 12.500% due 12/15/14 (b) |
|
950,833 |
|
||
|
|
|
|
TOTAL INFORMATION TECHNOLOGY |
|
1,787,038 |
|
||
MATERIALS 0.9% |
|
|
|
|
|
||||
Chemicals 0.5% |
|
|
|
|
|
||||
1,000,000 |
|
|
|
Lyondell Chemical Co., Term Loan, 0.000% due 12/15/09 (b) |
|
1,040,875 |
|
||
Containers & Packaging 0.4% |
|
|
|
||||||
997,449 |
|
|
|
Berry Plastics Group Inc., Term Loan C, 2.296% due 4/3/15 (b) |
|
849,391 |
|
||
|
|
|
|
TOTAL MATERIALS |
|
1,890,266 |
|
||
TELECOMMUNICATION SERVICES 0.4% |
|
|
|
||||||
Diversified Telecommunication Services 0.4% |
|
|
|
||||||
1,000,000 |
|
|
|
Level 3 Communications Inc., Term Loan, 2.691% due 3/1/14 (b) |
|
861,964 |
|
||
UTILITIES 0.4% |
|
|
|
|
|||||
Independent Power Producers & Energy Traders 0.4% |
|
|
|
||||||
997,462 |
|
|
|
Energy Future Holdings, Term Loan, 3.785% due 10/10/14 (b) |
|
758,606 |
|
||
|
|
|
|
TOTAL COLLATERALIZED SENIOR LOANS |
|
11,232,440 |
|
||
SOVEREIGN BONDS 0.5% |
|
|
|
|
|||||
Russia 0.5% |
|
|
|
|
|
||||
960,000 |
|
|
|
Russian Federation, 7.500% due 3/31/30 (b) |
|
993,600 |
|
||
U.S. GOVERNMENT & AGENCY OBLIGATIONS 0.9% |
|
|
|
||||||
U.S. Government Agency 0.2% |
|
|
|
||||||
630,000 |
|
|
|
Federal National Mortgage Association (FNMA), Subordinated Debentures, zero coupon bond to yield 6.179% due 10/9/19 (e) |
|
348,816 |
|
||
U.S. Government Obligations 0.7% |
|
|
|
||||||
1,790,000 |
|
|
|
U.S. Treasury Bonds, 3.500% due 2/15/39 |
|
1,581,914 |
|
||
See Notes to Schedule of Investments.
6
Western Asset Investment Grade Defined Opportunity Trust Inc.
Schedule of Investments (unaudited) (continued) |
August 31, 2009 |
Face |
|
|
|
Security |
|
Value |
|
||
U.S. Government Obligations 0.7% (continued) |
|
|
|
||||||
$ |
5,000 |
|
|
|
U.S. Treasury Notes, 2.625% due 6/30/14 |
|
$ |
5,067 |
|
|
|
|
|
Total U.S. Government Obligations |
|
1,586,981 |
|
||
|
|
|
|
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS |
|
1,935,797 |
|
||
|
|
|
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
204,302,342 |
|
||
SHORT-TERM INVESTMENTS 3.0% |
|
|
|
||||||
U.S. Government Agencies 0.0% |
|
|
|
||||||
5,000 |
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes, 0.295% due 1/25/10 (e)(f)(g) |
|
4,997 |
|
||
30,000 |
|
|
|
Federal National Mortgage Association (FNMA), Discount Notes, 0.290% due 1/27/10 (e)(f)(g) |
|
29,982 |
|
||
|
|
|
|
Total U.S. Government Agencies |
|
34,979 |
|
||
Repurchase Agreement 3.0% |
|
|
|
|
|
||||
6,400,000 |
|
|
|
Goldman Sachs & Co. tri-party repurchase agreement dated 8/31/09, 0.190% due 9/1/09; Proceeds at maturity - $6,400,034; (Fully collateralized by U.S. government agency obligations, 2.200% due 4/23/12; Market value-$6,530,625) (Cost - $6,400,000) |
|
6,400,000 |
|
||
|
|
|
|
TOTAL SHORT-TERM INVESTMENTS |
|
6,434,979 |
|
||
|
|
|
|
TOTAL INVESTMENTS 99.4% (Cost $200,328,845#) |
|
210,737,321 |
|
||
|
|
|
|
Other Assets in Excess of Liabilities 0.6% |
|
1,197,032 |
|
||
|
|
|
|
TOTAL NET ASSETS 100.0% |
|
$ |
211,934,353 |
|
|
(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 that which is in effect at August 31, 2009. |
(c) |
|
Security has no maturity date. The date shown represents the next call date. |
(d) |
|
Payment-in-kind security for which part of the income earned may be paid as additional principal. |
(e) |
|
On September 7, 2008, the Federal Housing Finance Agency placed Fannie Mae and Freddie Mac into conservatorship. |
(f) |
|
All or a portion of this security is held at the broker as collateral for open futures contracts. |
(g) |
|
Rate shown represents yield-to-maturity. |
# |
|
Aggregate cost for federal income tax purposes is substantially the same. |
See Notes to Schedule of Investments.
7
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 June 25, 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 Funds primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Funds net assets to stockholders on or about December 2, 2024. As a secondary investment objective, the Fund will seek capital appreciation.
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. Debt securities are valued at the mean between the last quoted bid and asked prices provided by an independent pricing service that are based on transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and various other relationships between securities. Publicly traded foreign government debt securities are typically traded internationally in the over-the-counter market, and are valued at the mean between the last quoted bid and asked prices as of the close of business of that market. 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. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. When prices are not readily available, or are determined not to reflect fair value, 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 may value these securities at fair value as determined in accordance with the procedures approved by the Funds Board of Directors. Short-term obligations with maturities of 60 days or less are valued at amortized cost, which approximates fair value.
The Fund has adopted Statement of Financial Accounting Standards No. 157 (FAS 157). FAS 157 establishes a single definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Funds investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized 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 Funds own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach, income approach and/or cost approach, depending on the type of the security and the particular circumstance.
The following is a summary of the inputs used in valuing the Funds assets carried at fair value:
Description |
|
Quoted Prices |
|
Other
|
|
Significant |
|
Total |
|
||
Long-term investments |
|
|
|
$ |
204,302,342 |
|
|
|
$ |
204,302,342 |
|
Short-term investments |
|
|
|
6,434,979 |
|
|
|
6,434,979 |
|
||
Total investments |
|
|
|
|
210,737,321 |
|
|
|
|
210,737,321 |
|
Other financial instruments: |
|
|
|
(17,090 |
) |
|
|
(17,090 |
) |
||
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
$ |
210,720,231 |
|
|
|
$ |
210,720,231 |
|
See Schedule of Investments for additional detailed categorizations.
8
Notes to Schedule of Investments (unaudited) (continued)
(b) Repurchase Agreements. When entering into repurchase agreements, it is the Funds policy that its custodian or a third party custodian take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market daily to ensure the adequacy of the collateral. If the seller defaults, and the market value of the collateral declines 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 may use futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates or foreign currencies. 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 with a broker cash or cash equivalents in an amount equal to a certain percentage of the contract amount. This is known as the initial margin. 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. The daily changes in contract value are recorded as unrealized gains or losses and the Fund recognizes a realized gain or loss when the contract is closed.
Futures contracts involve, to varying degrees, risk of loss in excess of the amounts reflected in the financial statements. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(d) Credit and Market Risk. The Fund invests in high yield instruments that are subject to certain credit and market risks. The yields of high yield obligations reflect, among other things, perceived credit and market risks. The Funds investment in securities rated below investment grade typically involves 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.
(e) Security Transactions. Security transactions are accounted for on a trade date basis.
2. Investments
At August 31, 2009, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
Gross unrealized appreciation |
|
$ |
10,449,140 |
|
Gross unrealized depreciation |
|
(40,664 |
) |
|
Net unrealized appreciation |
|
$ |
10,408,476 |
|
At August 31, 2009, the Fund had the following open futures contracts:
|
|
Number of |
|
Expiration |
|
Basis |
|
Market |
|
Unrealized |
|
|||
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
|
|||
U.S. Treasury 2-Year Notes |
|
2 |
|
12/09 |
|
$ |
431,634 |
|
$ |
432,687 |
|
$ |
(1,053 |
) |
U.S. Treasury 5-Year Notes |
|
6 |
|
12/09 |
|
686,746 |
|
691,500 |
|
(4,754 |
) |
|||
U.S. Treasury 10-Year Notes |
|
7 |
|
12/09 |
|
816,016 |
|
820,531 |
|
(4,515 |
) |
|||
U.S. Treasury 30-Year Bonds |
|
3 |
|
12/09 |
|
352,482 |
|
359,250 |
|
(6,768 |
) |
|||
Net unrealized loss on open futures contracts |
|
|
|
|
|
|
|
|
|
$ |
(17,090 |
) |
||
3. Derivative Instruments and Hedging Activities
Financial Accounting Standards Board Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities, requires enhanced disclosure about an entitys derivative and hedging activities.
9
Notes to Schedule of Investments (unaudited) (continued)
The following is a summary of the Funds derivative instruments categorized by risk exposure at August 31, 2009.
|
|
Futures Contracts |
|
|
|
||
Primary Underlying Risk Disclosure |
|
Unrealized Appreciation |
|
Unrealized Depreciation |
|
Total |
|
Interest Rate Contracts |
|
|
|
$ (17,090 |
) |
$ (17,090 |
) |
10
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrants principal executive officer and principal financial officer have concluded that the registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are likely to materially affect the registrants 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.
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/ R. Jay Gerken |
|
R. Jay Gerken |
|
|
Chief Executive Officer |
|
|
|
|
|
Date: October 27, 2009 |
|
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/ R. Jay Gerken |
|
R. Jay Gerken |
|
|
Chief Executive Officer |
|
|
|
|
|
Date: October 27, 2009 |
|
By |
/s/ Kaprel Ozsolak |
|
Kaprel Ozsolak |
|
|
Chief Financial Officer |
|
|
|
|
|
Date: October 27, 2009 |
|