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)

 

55 Water Street, New York, NY

 

10041

(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, 2009

 

 



 

ITEM 1.                  SCHEDULE OF INVESTMENTS

 



 

WESTERN ASSET

INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

FORM N-Q

AUGUST 31, 2009

 



 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

Schedule of Investments  (unaudited)

 

August 31, 2009

 

Face
Amount

 

 

 

Security

 

Value

 

CORPORATE BONDS & NOTES — 89.7%

 

 

 

CONSUMER DISCRETIONARY — 9.8%

 

 

 

Hotels, Restaurants & Leisure — 0.9%

 

 

 

$

1,250,000

 

 

 

Harrahs Operating Escrow LLC/Harrahs Escrow Corp., Senior Secured Notes, 11.250% due 6/1/17 (a)

 

$

1,278,125

 

540,000

 

 

 

Yum! Brands Inc., Senior Notes, 4.250% due 9/15/15

 

548,948

 

 

 

 

 

Total Hotels, Restaurants & Leisure

 

1,827,073

 

Media — 8.0%

 

 

 

 

 

 

 

Affinion Group Inc., Senior Notes:

 

 

 

1,750,000

 

 

 

10.125% due 10/15/13

 

1,747,812

 

250,000

 

 

 

10.125% due 10/15/13 (a)

 

249,688

 

 

 

 

 

Comcast Corp.:

 

 

 

2,500,000

 

 

 

6.400% due 5/15/38

 

2,661,190

 

1,500,000

 

 

 

Senior Notes, 5.700% due 7/1/19

 

1,585,882

 

1,250,000

 

 

 

DISH DBS Corp., Senior Notes, 7.875% due 9/1/19 (a)

 

1,239,063

 

1,000,000

 

 

 

Globo Communicacoes e Participacoes SA, Bonds, 7.250% due 4/26/22 (a)

 

1,030,000

 

2,400,000

 

 

 

News America Inc., Senior Notes, 6.650% due 11/15/37

 

2,475,986

 

1,760,000

 

 

 

Omnicom Group Inc., Notes, 6.250% due 7/15/19

 

1,869,590

 

 

 

 

 

Time Warner Cable Inc.:

 

 

 

500,000

 

 

 

Debentures, 7.300% due 7/1/38

 

567,560

 

1,100,000

 

 

 

Senior Notes, 8.750% due 2/14/19

 

1,356,407

 

1,000,000

 

 

 

Univision Communications Inc., Senior Secured Notes, 12.000% due 7/1/14 (a)

 

1,055,000

 

1,000,000

 

 

 

WPP Finance UK, Senior Notes, 8.000% due 9/15/14

 

1,096,416

 

 

 

 

 

Total Media

 

16,934,594

 

Specialty Retail — 0.4%

 

 

 

820,000

 

 

 

Staples Inc., Senior Notes, 7.750% due 4/1/11

 

871,691

 

Textiles, Apparel & Luxury Goods — 0.5%

 

 

 

1,000,000

 

 

 

Oxford Industries Inc., Senior Secured Notes, 11.375% due 7/15/15

 

1,045,000

 

 

 

 

 

TOTAL CONSUMER DISCRETIONARY

 

20,678,358

 

CONSUMER STAPLES — 5.5%

 

 

 

Beverages — 1.2%

 

 

 

1,000,000

 

 

 

Anheuser-Busch InBev Worldwide Inc., Senior Notes, 7.750% due 1/15/19 (a)

 

1,172,902

 

1,200,000

 

 

 

Diageo Capital PLC, Notes, 5.750% due 10/23/17

 

1,310,537

 

 

 

 

 

Total Beverages

 

2,483,439

 

Food & Staples Retailing — 2.0%

 

 

 

600,000

 

 

 

CVS Caremark Corp., Senior Notes, 6.600% due 3/15/19

 

680,605

 

2,135,000

 

 

 

Safeway Inc., Senior Notes, 6.250% due 3/15/14

 

2,349,877

 

1,100,000

 

 

 

Walgreen Co., Senior Notes, 5.250% due 1/15/19

 

1,182,010

 

 

 

 

 

Total Food & Staples Retailing

 

4,212,492

 

Food Products — 0.7%

 

 

 

1,500,000

 

 

 

Smithfield Foods Inc., Senior Secured Notes, 10.000% due 7/15/14 (a)

 

1,537,500

 

Tobacco — 1.6%

 

 

 

1,200,000

 

 

 

Philip Morris International Inc., Senior Notes, 6.875% due 3/17/14

 

1,371,560

 

2,000,000

 

 

 

Reynolds American Inc., Senior Secured Notes, 7.625% due 6/1/16

 

2,112,846

 

 

 

 

 

Total Tobacco

 

3,484,406

 

 

 

 

 

TOTAL CONSUMER STAPLES

 

11,717,837

 

ENERGY — 10.0%

 

 

 

Energy Equipment & Services — 0.8%

 

 

 

1,500,000

 

 

 

Southern Natural Gas Co., Senior Notes, 8.000% due 3/1/32

 

1,745,199

 

 

See Notes to Schedule of Investments.

 

1



 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

Schedule of Investments  (unaudited) (continued)

 

August 31, 2009

 

Face
Amount

 

 

 

Security

 

Value

 

Oil, Gas & Consumable Fuels — 9.2%

 

 

 

 

 

 

 

Anadarko Petroleum Corp., Senior Notes:

 

 

 

$

600,000

 

 

 

5.950% due 9/15/16

 

$

624,853

 

1,100,000

 

 

 

6.450% due 9/15/36

 

1,092,312

 

1,500,000

 

 

 

ConocoPhillips, Notes, 6.500% due 2/1/39

 

1,740,478

 

1,000,000

 

 

 

DCP Midstream LLC, Senior Notes, 9.750% due 3/15/19 (a)

 

1,190,774

 

1,000,000

 

 

 

Devon Financing Corp. ULC, Debentures, 7.875% due 9/30/31

 

1,235,493

 

2,000,000

 

 

 

Enterprise Products Operating LP, Senior Notes, 9.750% due 1/31/14

 

2,409,712

 

800,000

 

 

 

EOG Resources Inc., Senior Notes, 6.875% due 10/1/18

 

938,586

 

 

 

 

 

Hess Corp., Notes:

 

 

 

1,400,000

 

 

 

8.125% due 2/15/19

 

1,659,441

 

440,000

 

 

 

7.875% due 10/1/29

 

523,665

 

800,000

 

 

 

Kinder Morgan Energy Partners LP, Senior Notes, 5.950% due 2/15/18

 

839,188

 

1,000,000

 

 

 

Pemex Project Funding Master Trust, Senior Bonds, 6.625% due 6/15/35

 

915,782

 

1,000,000

 

 

 

Quicksilver Resources Inc., Senior Notes, 11.750% due 1/1/16

 

1,065,000

 

1,500,000

 

 

 

Shell International Finance BV, Senior Notes, 6.375% due 12/15/38

 

1,778,976

 

700,000

 

 

 

Valero Energy Corp., Senior Notes, 9.375% due 3/15/19

 

808,550

 

1,000,000

 

 

 

Williams Cos. Inc., Senior Notes, 8.750% due 1/15/20

 

1,137,170

 

 

 

 

 

XTO Energy Inc., Senior Notes:

 

 

 

500,000

 

 

 

5.750% due 12/15/13

 

539,918

 

900,000

 

 

 

5.500% due 6/15/18

 

928,693

 

 

 

 

 

Total Oil, Gas & Consumable Fuels

 

19,428,591

 

 

 

 

 

TOTAL ENERGY

 

21,173,790

 

FINANCIALS — 30.7%

 

 

 

Capital Markets — 7.4%

 

 

 

 

 

 

 

Bear Stearns Cos. Inc., Senior Notes:

 

 

 

1,580,000

 

 

 

5.500% due 8/15/11

 

1,659,720

 

3,500,000

 

 

 

7.250% due 2/1/18

 

3,997,689

 

 

 

 

 

Goldman Sachs Group Inc., Senior Notes:

 

 

 

4,250,000

 

 

 

5.950% due 1/18/18

 

4,431,573

 

500,000

 

 

 

7.500% due 2/15/19

 

576,648

 

 

 

 

 

Morgan Stanley:

 

 

 

3,000,000

 

 

 

5.050% due 1/21/11

 

3,099,405

 

1,750,000

 

 

 

Medium-Term Notes, 6.625% due 4/1/18

 

1,873,018

 

 

 

 

 

Total Capital Markets

 

15,638,053

 

Commercial Banks — 5.9%

 

 

 

240,000

 

 

 

BankAmerica Institutional Capital A, Junior Subordinated Bonds, 8.070% due 12/31/26 (a)

 

219,600

 

250,000

 

 

 

BankAmerica Institutional Capital B, Junior Subordinated Bonds, 7.700% due 12/31/26 (a)

 

223,750

 

 

 

 

 

BB&T Corp., Senior Notes:

 

 

 

370,000

 

 

 

3.850% due 7/27/12

 

379,273

 

1,000,000

 

 

 

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

 

 

 

 

 

Royal Bank of Scotland Group PLC, Subordinated Notes:

 

 

 

120,000

 

 

 

5.000% due 11/12/13

 

108,632

 

40,000

 

 

 

5.000% due 10/1/14

 

35,408

 

1,000,000

 

 

 

RSHB Capital, Loan Participation Notes, Notes, 9.000% due 6/11/14 (a)

 

1,067,400

 

2,100,000

 

 

 

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

 

6,000,000

 

 

 

Wachovia Corp., Senior Notes, 5.750% due 2/1/18

 

6,311,466

 

 

 

 

 

Total Commercial Banks

 

12,442,361

 

 

See Notes to Schedule of Investments.

 

2



 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

Schedule of Investments  (unaudited) (continued)

 

August 31, 2009

 

Face
Amount

 

 

 

Security

 

Value

 

Consumer Finance — 2.7%

 

 

 

$

3,000,000

 

 

 

American Express Co., Senior Notes, 8.125% due 5/20/19

 

$

3,363,147

 

1,250,000

 

 

 

FMG Finance Pty Ltd., Senior Secured Notes, 10.625% due 9/1/16 (a)

 

1,350,000

 

1,000,000

 

 

 

Ford Motor Credit Co., Senior Notes, 12.000% due 5/15/15

 

1,042,120

 

 

 

 

 

Total Consumer Finance

 

5,755,267

 

Diversified Financial Services — 9.2%

 

 

 

3,750,000

 

 

 

Bank of America Corp., Senior Notes, 7.625% due 6/1/19

 

4,135,984

 

840,000

 

 

 

Blackstone Holdings Finance Co. LLC, Senior Notes, 6.625% due 8/15/19 (a)

 

847,894

 

360,000

 

 

 

Capital One Capital V, Junior Subordinated Notes, Cumulative Trust Preferred Securities, 10.250% due 8/15/39

 

366,916

 

 

 

 

 

Citigroup Inc.:

 

 

 

2,250,000

 

 

 

6.000% due 8/15/17

 

2,118,091

 

2,000,000

 

 

 

Notes, 6.875% due 3/5/38

 

1,811,628

 

 

 

 

 

Senior Notes:

 

 

 

300,000

 

 

 

6.375% due 8/12/14

 

303,691

 

500,000

 

 

 

8.500% due 5/22/19

 

547,457

 

1,350,000

 

 

 

8.125% due 7/15/39

 

1,391,618

 

 

 

 

 

General Electric Capital Corp., Senior Notes:

 

 

 

3,000,000

 

 

 

5.250% due 10/19/12

 

3,142,512

 

790,000

 

 

 

6.000% due 8/7/19

 

797,466

 

1,500,000

 

 

 

6.875% due 1/10/39

 

1,492,321

 

1,500,000

 

 

 

JPMorgan Chase & Co., Senior Notes, 6.400% due 5/15/38

 

1,662,153

 

1,000,000

 

 

 

TNK-BP Finance SA, Senior Notes, 7.500% due 3/13/13 (a)

 

1,005,000

 

 

 

 

 

Total Diversified Financial Services

 

19,622,731

 

Insurance — 2.6%

 

 

 

1,300,000

 

 

 

ACE INA Holdings Inc., Senior Notes, 5.600% due 5/15/15

 

1,393,898

 

 

 

 

 

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

 

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
Amount

 

 

 

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
Amount

 

 

 

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
(Cost — $180,491,601)

 

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
Amount

 

 

 

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
(Cost — $10,623,869)

 

11,232,440

 

SOVEREIGN BONDS — 0.5%

 

 

 

 

Russia — 0.5%

 

 

 

 

 

960,000

 

 

 

Russian Federation, 7.500% due 3/31/30 (b)
(Cost - $950,709)

 

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
Amount

 

 

 

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
(Cost — $1,827,708)

 

1,935,797

 

 

 

 

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost — $193,893,887)

 

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
(Cost — $34,958)

 

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
(Cost — $6,434,958)

 

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 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.

 

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 Fund’s 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 Fund’s 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 Fund’s 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 Fund’s assets carried at fair value:

 

Description

 

Quoted Prices
(Level 1)

 

Other
Significant
Observable
Inputs
(Level 2)

 

Significant
Unobservable
Inputs
(Level 3)

 

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:
Futures contracts

 

 

(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 Fund’s 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 Fund’s 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
Contracts

 

Expiration
Date

 

Basis
Value

 

Market
Value

 

Unrealized
Loss

 

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 entity’s derivative and hedging activities.

 

9



 

Notes to Schedule of Investments (unaudited) (continued)

 

The following is a summary of the Fund’s 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 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/ 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