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. | ||||||
|
(Exact name of registrant as specified in charter) | ||||||
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620 Eighth Avenue, New York, NY |
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10018 | ||||
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(Address of principal executive offices) |
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(Zip code) | ||||
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| ||||||
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Robert I. Frenkel, Esq. | ||||||
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(Name and address of agent for service) | ||||||
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Registrant’s telephone number, including area code: |
1-888-777-0102 |
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Date of fiscal year end: |
November 30 |
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|
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Date of reporting period: |
August 31, 2011 |
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ITEM 1. SCHEDULE OF INVESTMENTS
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
FORM N-Q
AUGUST 31, 2011
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited)
August 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
CORPORATE BONDS & NOTES — 93.4% |
|
|
|
|
|
|
|
|
| ||
|
CONSUMER DISCRETIONARY — 9.2% |
|
|
|
|
|
|
|
|
| ||
|
Automobiles — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
Ford Motor Credit Co., LLC, Senior Notes |
|
12.000% |
|
5/15/15 |
|
$ |
1,000,000 |
|
$ |
1,207,981 |
|
|
Ford Motor Credit Co., LLC, Senior Notes |
|
5.000% |
|
5/15/18 |
|
680,000 |
|
661,646 |
| ||
|
Ford Motor Credit Co., LLC, Senior Notes |
|
5.875% |
|
8/2/21 |
|
960,000 |
|
964,944 |
| ||
|
Total Automobiles |
|
|
|
|
|
|
|
2,834,571 |
| ||
|
Hotels, Restaurants & Leisure — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Caesars Entertainment Operating Co. Inc., Senior Secured Notes |
|
11.250% |
|
6/1/17 |
|
1,250,000 |
|
1,353,125 |
| ||
|
NCL Corp. Ltd., Senior Secured Notes |
|
11.750% |
|
11/15/16 |
|
320,000 |
|
360,000 |
| ||
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
1,713,125 |
| ||
|
Media — 6.1% |
|
|
|
|
|
|
|
|
| ||
|
Comcast Corp., Bonds |
|
6.400% |
|
5/15/38 |
|
2,500,000 |
|
2,802,100 |
| ||
|
Comcast Corp., Senior Notes |
|
5.700% |
|
7/1/19 |
|
1,500,000 |
|
1,754,706 |
| ||
|
DISH DBS Corp., Senior Notes |
|
7.875% |
|
9/1/19 |
|
1,250,000 |
|
1,334,375 |
| ||
|
Globo Communicacoes e Participacoes SA, Bonds |
|
7.250% |
|
4/26/22 |
|
1,000,000 |
|
1,055,000 |
(a) | ||
|
News America Inc., Senior Notes |
|
6.650% |
|
11/15/37 |
|
2,400,000 |
|
2,605,118 |
| ||
|
Time Warner Cable Inc., Debentures |
|
7.300% |
|
7/1/38 |
|
500,000 |
|
593,791 |
| ||
|
Time Warner Cable Inc., Senior Notes |
|
8.750% |
|
2/14/19 |
|
1,100,000 |
|
1,425,467 |
| ||
|
Time Warner Inc., Senior Notes |
|
4.750% |
|
3/29/21 |
|
700,000 |
|
753,183 |
| ||
|
United Business Media Ltd., Notes |
|
5.750% |
|
11/3/20 |
|
300,000 |
|
316,892 |
(a) | ||
|
WPP Finance UK, Senior Notes |
|
8.000% |
|
9/15/14 |
|
1,000,000 |
|
1,162,734 |
| ||
|
Total Media |
|
|
|
|
|
|
|
13,803,366 |
| ||
|
Specialty Retail — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Gap Inc., Senior Notes |
|
5.950% |
|
4/12/21 |
|
1,240,000 |
|
1,179,453 |
| ||
|
Textiles, Apparel & Luxury Goods — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Oxford Industries Inc., Senior Secured Notes |
|
11.375% |
|
7/15/15 |
|
1,000,000 |
|
1,115,000 |
| ||
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
20,645,515 |
| ||
|
CONSUMER STAPLES — 4.7% |
|
|
|
|
|
|
|
|
| ||
|
Beverages — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
|
7.750% |
|
1/15/19 |
|
450,000 |
|
593,135 |
| ||
|
Food & Staples Retailing — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
CVS Caremark Corp., Senior Notes |
|
6.600% |
|
3/15/19 |
|
600,000 |
|
727,638 |
| ||
|
Pernod-Ricard SA, Senior Bonds |
|
5.750% |
|
4/7/21 |
|
890,000 |
|
947,533 |
(a) | ||
|
Total Food & Staples Retailing |
|
|
|
|
|
|
|
1,675,171 |
| ||
|
Food Products — 1.2% |
|
|
|
|
|
|
|
|
| ||
|
Kraft Foods Inc., Senior Notes |
|
5.375% |
|
2/10/20 |
|
1,030,000 |
|
1,171,888 |
| ||
|
Ralcorp Holdings Inc., Senior Secured Notes |
|
4.950% |
|
8/15/20 |
|
600,000 |
|
608,861 |
| ||
|
Smithfield Foods Inc., Senior Secured Notes |
|
10.000% |
|
7/15/14 |
|
801,000 |
|
909,135 |
| ||
|
Total Food Products |
|
|
|
|
|
|
|
2,689,884 |
| ||
|
Tobacco — 2.5% |
|
|
|
|
|
|
|
|
| ||
|
Altria Group Inc., Senior Notes |
|
9.250% |
|
8/6/19 |
|
1,000,000 |
|
1,323,176 |
| ||
|
Altria Group Inc., Senior Notes |
|
4.750% |
|
5/5/21 |
|
220,000 |
|
229,074 |
| ||
|
Lorillard Tobacco Co., Senior Notes |
|
8.125% |
|
6/23/19 |
|
540,000 |
|
649,927 |
| ||
|
Lorillard Tobacco Co., Senior Notes |
|
8.125% |
|
5/1/40 |
|
470,000 |
|
534,434 |
| ||
|
Lorillard Tobacco Co., Senior Notes |
|
7.000% |
|
8/4/41 |
|
510,000 |
|
513,278 |
| ||
|
Reynolds American Inc., Senior Secured Notes |
|
7.625% |
|
6/1/16 |
|
2,000,000 |
|
2,412,492 |
| ||
|
Total Tobacco |
|
|
|
|
|
|
|
5,662,381 |
| ||
|
TOTAL CONSUMER STAPLES |
|
|
|
|
|
|
|
10,620,571 |
| ||
|
ENERGY — 13.3% |
|
|
|
|
|
|
|
|
| ||
|
Energy Equipment & Services — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Baker Hughes Inc., Senior Notes |
|
5.125% |
|
9/15/40 |
|
420,000 |
|
448,250 |
| ||
|
Ensco PLC, Senior Notes |
|
4.700% |
|
3/15/21 |
|
390,000 |
|
408,451 |
| ||
|
Total Energy Equipment & Services |
|
|
|
|
|
|
|
856,701 |
| ||
|
Oil, Gas & Consumable Fuels — 12.9% |
|
|
|
|
|
|
|
|
| ||
|
Anadarko Petroleum Corp., Senior Notes |
|
5.950% |
|
9/15/16 |
|
340,000 |
|
382,610 |
| ||
|
Anadarko Petroleum Corp., Senior Notes |
|
6.375% |
|
9/15/17 |
|
340,000 |
|
393,121 |
| ||
|
Anadarko Petroleum Corp., Senior Notes |
|
6.450% |
|
9/15/36 |
|
770,000 |
|
823,118 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Oil, Gas & Consumable Fuels — continued |
|
|
|
|
|
|
|
|
| ||
|
Apache Corp., Senior Notes |
|
5.100% |
|
9/1/40 |
|
$ |
140,000 |
|
$ |
150,487 |
|
|
Apache Corp., Senior Notes |
|
5.250% |
|
2/1/42 |
|
160,000 |
|
175,590 |
| ||
|
Arch Coal Inc., Senior Notes |
|
7.000% |
|
6/15/19 |
|
440,000 |
|
435,600 |
(a) | ||
|
ConocoPhillips, Notes |
|
6.500% |
|
2/1/39 |
|
1,500,000 |
|
1,900,416 |
| ||
|
DCP Midstream LLC, Senior Notes |
|
9.750% |
|
3/15/19 |
|
1,000,000 |
|
1,343,755 |
(a) | ||
|
Devon Financing Corp. ULC, Debentures |
|
7.875% |
|
9/30/31 |
|
1,080,000 |
|
1,459,004 |
| ||
|
Enterprise Products Operating LLC, Senior Notes |
|
5.700% |
|
2/15/42 |
|
460,000 |
|
466,818 |
| ||
|
Enterprise Products Operating LP, Senior Notes |
|
9.750% |
|
1/31/14 |
|
2,000,000 |
|
2,352,532 |
| ||
|
EOG Resources Inc., Senior Notes |
|
6.875% |
|
10/1/18 |
|
800,000 |
|
993,538 |
| ||
|
Hess Corp., Notes |
|
8.125% |
|
2/15/19 |
|
1,400,000 |
|
1,828,974 |
| ||
|
Hess Corp., Notes |
|
7.875% |
|
10/1/29 |
|
440,000 |
|
569,582 |
| ||
|
Hess Corp., Senior Bonds |
|
6.000% |
|
1/15/40 |
|
520,000 |
|
570,780 |
| ||
|
Kerr-McGee Corp., Notes |
|
6.950% |
|
7/1/24 |
|
1,320,000 |
|
1,555,145 |
| ||
|
Kinder Morgan Energy Partners LP, Senior Notes |
|
5.950% |
|
2/15/18 |
|
800,000 |
|
914,869 |
| ||
|
Noble Energy Inc., Senior Notes |
|
6.000% |
|
3/1/41 |
|
660,000 |
|
718,293 |
| ||
|
Pemex Project Funding Master Trust, Senior Bonds |
|
6.625% |
|
6/15/35 |
|
1,000,000 |
|
1,110,178 |
| ||
|
Petrobras International Finance Co., Senior Notes |
|
5.750% |
|
1/20/20 |
|
1,109,000 |
|
1,208,686 |
| ||
|
Petrobras International Finance Co., Senior Notes |
|
6.750% |
|
1/27/41 |
|
1,200,000 |
|
1,362,000 |
| ||
|
Petroleos Mexicanos, Senior Notes |
|
5.500% |
|
1/21/21 |
|
250,000 |
|
273,375 |
| ||
|
Quicksilver Resources Inc., Senior Notes |
|
11.750% |
|
1/1/16 |
|
1,000,000 |
|
1,107,500 |
| ||
|
Shell International Finance BV, Senior Notes |
|
6.375% |
|
12/15/38 |
|
1,500,000 |
|
1,925,708 |
| ||
|
Spectra Energy Partners LP, Senior Notes |
|
4.600% |
|
6/15/21 |
|
420,000 |
|
435,203 |
| ||
|
TNK-BP Finance SA, Senior Notes |
|
7.500% |
|
3/13/13 |
|
870,000 |
|
928,725 |
(a) | ||
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
5.400% |
|
8/15/41 |
|
10,000 |
|
9,856 |
(a) | ||
|
Valero Energy Corp., Senior Notes |
|
9.375% |
|
3/15/19 |
|
700,000 |
|
910,830 |
| ||
|
Williams Cos. Inc., Notes |
|
7.875% |
|
9/1/21 |
|
1,490,000 |
|
1,877,881 |
| ||
|
Williams Cos. Inc., Senior Notes |
|
7.750% |
|
6/15/31 |
|
100,000 |
|
120,118 |
| ||
|
Williams Cos. Inc., Senior Notes |
|
8.750% |
|
3/15/32 |
|
240,000 |
|
312,257 |
| ||
|
Williams Partners LP, Senior Notes |
|
5.250% |
|
3/15/20 |
|
460,000 |
|
501,359 |
| ||
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
29,117,908 |
| ||
|
TOTAL ENERGY |
|
|
|
|
|
|
|
29,974,609 |
| ||
|
FINANCIALS — 33.9% |
|
|
|
|
|
|
|
|
| ||
|
Capital Markets — 8.6% |
|
|
|
|
|
|
|
|
| ||
|
Bear Stearns Cos. LLC, Senior Notes |
|
7.250% |
|
2/1/18 |
|
1,570,000 |
|
1,856,120 |
| ||
|
Credit Suisse New York, Senior Notes |
|
5.300% |
|
8/13/19 |
|
560,000 |
|
587,128 |
| ||
|
GFI Group Inc., Senior Notes |
|
8.375% |
|
7/19/18 |
|
810,000 |
|
805,950 |
(a) | ||
|
Goldman Sachs Group Inc., Senior Notes |
|
5.950% |
|
1/18/18 |
|
4,250,000 |
|
4,528,298 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
7.500% |
|
2/15/19 |
|
500,000 |
|
572,020 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
5.375% |
|
3/15/20 |
|
470,000 |
|
478,351 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
5.250% |
|
7/27/21 |
|
870,000 |
|
883,708 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
6.250% |
|
2/1/41 |
|
2,550,000 |
|
2,516,707 |
| ||
|
Jefferies Group Inc., Senior Notes |
|
5.125% |
|
4/13/18 |
|
420,000 |
|
419,280 |
| ||
|
Merrill Lynch & Co. Inc., Notes |
|
6.875% |
|
4/25/18 |
|
990,000 |
|
1,028,801 |
| ||
|
Morgan Stanley, Medium-Term Notes |
|
6.625% |
|
4/1/18 |
|
1,750,000 |
|
1,877,645 |
| ||
|
Morgan Stanley, Senior Notes |
|
5.500% |
|
1/26/20 |
|
1,950,000 |
|
1,937,604 |
| ||
|
Morgan Stanley, Senior Notes |
|
5.500% |
|
7/24/20 |
|
200,000 |
|
195,934 |
| ||
|
State Street Corp., Junior Subordinated Notes |
|
4.956% |
|
3/15/18 |
|
1,330,000 |
|
1,441,519 |
| ||
|
UBS AG Stamford CT, Senior Notes |
|
4.875% |
|
8/4/20 |
|
250,000 |
|
251,246 |
| ||
|
Total Capital Markets |
|
|
|
|
|
|
|
19,380,311 |
| ||
|
Commercial Banks — 7.2% |
|
|
|
|
|
|
|
|
| ||
|
BankAmerica Institutional Capital A, Junior Subordinated Bonds |
|
8.070% |
|
12/31/26 |
|
240,000 |
|
240,000 |
(a) | ||
|
BankAmerica Institutional Capital B, Junior Subordinated Bonds |
|
7.700% |
|
12/31/26 |
|
250,000 |
|
246,875 |
(a) | ||
|
BBVA US Senior SAU, Senior Notes |
|
3.250% |
|
5/16/14 |
|
1,100,000 |
|
1,073,842 |
| ||
|
BNP Paribas, Senior Notes |
|
5.000% |
|
1/15/21 |
|
10,000 |
|
10,351 |
| ||
|
CIT Group Inc., Secured Notes |
|
5.250% |
|
4/1/14 |
|
630,000 |
|
612,675 |
(a) | ||
|
CIT Group Inc., Secured Notes |
|
6.625% |
|
4/1/18 |
|
480,000 |
|
482,400 |
(a) | ||
|
Commonwealth Bank of Australia, Senior Notes |
|
5.000% |
|
10/15/19 |
|
110,000 |
|
117,982 |
(a) | ||
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, Senior Notes |
|
5.250% |
|
5/24/41 |
|
1,210,000 |
|
1,282,118 |
| ||
|
HSBC Holdings PLC, Senior Notes |
|
5.100% |
|
4/5/21 |
|
230,000 |
|
247,215 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Commercial Banks — continued |
|
|
|
|
|
|
|
|
| ||
|
Intesa Sanpaolo SpA, Senior Notes |
|
6.500% |
|
2/24/21 |
|
$ |
1,350,000 |
|
$ |
1,281,903 |
(a) |
|
Lloyds TSB Bank PLC, Senior Notes |
|
6.375% |
|
1/21/21 |
|
630,000 |
|
658,409 |
| ||
|
Nordea Bank AB, Subordinated Notes |
|
4.875% |
|
5/13/21 |
|
870,000 |
|
795,518 |
(a) | ||
|
Royal Bank of Scotland Group PLC, Senior Notes |
|
6.400% |
|
10/21/19 |
|
1,170,000 |
|
1,181,312 |
| ||
|
Royal Bank of Scotland Group PLC, Subordinated Notes |
|
5.000% |
|
11/12/13 |
|
120,000 |
|
119,292 |
| ||
|
Royal Bank of Scotland Group PLC, Subordinated Notes |
|
5.000% |
|
10/1/14 |
|
740,000 |
|
713,672 |
| ||
|
Royal Bank of Scotland PLC, Senior Notes |
|
4.875% |
|
3/16/15 |
|
100,000 |
|
101,444 |
| ||
|
Santander US Debt SA Unipersonal, Senior Notes |
|
3.724% |
|
1/20/15 |
|
700,000 |
|
659,542 |
(a) | ||
|
Societe Generale, Senior Notes |
|
5.200% |
|
4/15/21 |
|
1,180,000 |
|
1,095,858 |
(a) | ||
|
Wachovia Capital Trust III, Junior Subordinated Bonds |
|
5.570% |
|
10/17/11 |
|
270,000 |
|
237,263 |
(b)(c) | ||
|
Wachovia Corp., Senior Notes |
|
5.750% |
|
2/1/18 |
|
4,400,000 |
|
5,040,671 |
| ||
|
Total Commercial Banks |
|
|
|
|
|
|
|
16,198,342 |
| ||
|
Consumer Finance — 3.8% |
|
|
|
|
|
|
|
|
| ||
|
Ally Financial Inc., Senior Notes |
|
8.000% |
|
3/15/20 |
|
1,500,000 |
|
1,518,750 |
| ||
|
American Express Co., Senior Notes |
|
8.125% |
|
5/20/19 |
|
2,760,000 |
|
3,551,745 |
| ||
|
HSBC Finance Corp., Senior Subordinated Notes |
|
6.676% |
|
1/15/21 |
|
1,620,000 |
|
1,568,597 |
(a) | ||
|
SLM Corp., Medium-Term Notes |
|
8.000% |
|
3/25/20 |
|
1,850,000 |
|
1,905,557 |
| ||
|
Total Consumer Finance |
|
|
|
|
|
|
|
8,544,649 |
| ||
|
Diversified Financial Services — 9.8% |
|
|
|
|
|
|
|
|
| ||
|
Bank of America Corp., Senior Notes |
|
7.625% |
|
6/1/19 |
|
2,760,000 |
|
3,122,391 |
| ||
|
Bank of America Corp., Senior Notes |
|
5.625% |
|
7/1/20 |
|
180,000 |
|
182,607 |
| ||
|
Bank of America Corp., Senior Notes |
|
5.000% |
|
5/13/21 |
|
1,380,000 |
|
1,353,447 |
| ||
|
Citigroup Inc., Senior Notes |
|
6.375% |
|
8/12/14 |
|
300,000 |
|
327,417 |
| ||
|
Citigroup Inc., Senior Notes |
|
6.000% |
|
8/15/17 |
|
2,250,000 |
|
2,442,726 |
| ||
|
Citigroup Inc., Senior Notes |
|
8.500% |
|
5/22/19 |
|
500,000 |
|
612,036 |
| ||
|
Citigroup Inc., Senior Notes |
|
6.875% |
|
3/5/38 |
|
2,000,000 |
|
2,131,654 |
| ||
|
Citigroup Inc., Senior Notes |
|
8.125% |
|
7/15/39 |
|
1,350,000 |
|
1,630,922 |
| ||
|
General Electric Capital Corp., Notes |
|
5.300% |
|
2/11/21 |
|
1,100,000 |
|
1,173,520 |
| ||
|
General Electric Capital Corp., Senior Notes |
|
6.000% |
|
8/7/19 |
|
790,000 |
|
890,315 |
| ||
|
General Electric Capital Corp., Senior Notes |
|
4.625% |
|
1/7/21 |
|
350,000 |
|
361,509 |
| ||
|
General Electric Capital Corp., Senior Notes |
|
6.875% |
|
1/10/39 |
|
2,540,000 |
|
2,932,003 |
| ||
|
International Lease Finance Corp., Senior Notes |
|
8.875% |
|
9/1/17 |
|
810,000 |
|
832,275 |
| ||
|
International Lease Finance Corp., Senior Notes |
|
6.250% |
|
5/15/19 |
|
220,000 |
|
199,403 |
| ||
|
International Lease Finance Corp., Senior Notes |
|
8.250% |
|
12/15/20 |
|
330,000 |
|
336,600 |
| ||
|
International Lease Finance Corp., Senior Secured Notes |
|
6.500% |
|
9/1/14 |
|
130,000 |
|
132,600 |
(a) | ||
|
International Lease Finance Corp., Senior Secured Notes |
|
6.750% |
|
9/1/16 |
|
670,000 |
|
680,050 |
(a) | ||
|
International Lease Finance Corp., Senior Secured Notes |
|
7.125% |
|
9/1/18 |
|
1,030,000 |
|
1,045,450 |
(a) | ||
|
JPMorgan Chase & Co., Senior Notes |
|
6.400% |
|
5/15/38 |
|
1,500,000 |
|
1,699,530 |
| ||
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
22,086,455 |
| ||
|
Insurance — 4.1% |
|
|
|
|
|
|
|
|
| ||
|
ACE INA Holdings Inc., Senior Notes |
|
5.600% |
|
5/15/15 |
|
1,300,000 |
|
1,434,549 |
| ||
|
American International Group Inc., Senior Notes |
|
6.400% |
|
12/15/20 |
|
1,500,000 |
|
1,580,742 |
| ||
|
Chubb Corp., Senior Notes |
|
6.500% |
|
5/15/38 |
|
600,000 |
|
703,313 |
| ||
|
Delphi Financial Group Inc., Senior Notes |
|
7.875% |
|
1/31/20 |
|
290,000 |
|
331,720 |
| ||
|
ING Capital Funding Trust III, Junior Subordinated Bonds |
|
3.846% |
|
12/31/11 |
|
410,000 |
|
354,398 |
(b)(c) | ||
|
MetLife Inc., Senior Notes |
|
6.817% |
|
8/15/18 |
|
1,300,000 |
|
1,540,352 |
| ||
|
Nationwide Mutual Insurance Co., Notes |
|
9.375% |
|
8/15/39 |
|
520,000 |
|
616,139 |
(a) | ||
|
Teachers Insurance & Annuity Association of America - College Retirement Equity Fund, Notes |
|
6.850% |
|
12/16/39 |
|
1,050,000 |
|
1,252,380 |
(a) | ||
|
Travelers Cos. Inc., Senior Notes |
|
6.250% |
|
6/15/37 |
|
400,000 |
|
451,329 |
| ||
|
Travelers Cos. Inc., Senior Notes |
|
5.350% |
|
11/1/40 |
|
860,000 |
|
866,538 |
| ||
|
Total Insurance |
|
|
|
|
|
|
|
9,131,460 |
| ||
|
Real Estate Investment Trusts (REITs) — 0.3% |
|
|
|
|
|
|
| ||||
|
WEA Finance LLC/WT Finance Aust Pty. Ltd., Senior Notes |
|
6.750% |
|
9/2/19 |
|
580,000 |
|
658,637 |
(a) | ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Real Estate Investment Trusts (REITs) — continued |
|
|
|
|
|
|
| ||||
|
Westfield America Trust, Senior Notes |
|
4.625% |
|
5/10/21 |
|
$ |
120,000 |
|
$ |
117,122 |
(a) |
|
Total Real Estate Investment Trusts (REITs) |
|
|
|
|
|
|
|
775,759 |
| ||
|
Thrifts & Mortgage Finance — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Santander Holdings USA Inc., Senior Notes |
|
4.625% |
|
4/19/16 |
|
270,000 |
|
268,845 |
| ||
|
TOTAL FINANCIALS |
|
|
|
|
|
|
|
76,385,821 |
| ||
|
HEALTH CARE — 4.8% |
|
|
|
|
|
|
|
|
| ||
|
Health Care Equipment & Supplies — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Biomet Inc., Senior Toggle Notes |
|
10.375% |
|
10/15/17 |
|
1,000,000 |
|
1,060,000 |
(d) | ||
|
Health Care Providers & Services — 3.0% |
|
|
|
|
|
|
|
|
| ||
|
CIGNA Corp., Senior Notes |
|
4.500% |
|
3/15/21 |
|
470,000 |
|
492,442 |
| ||
|
Highmark Inc., Senior Notes |
|
4.750% |
|
5/15/21 |
|
570,000 |
|
581,277 |
(a) | ||
|
Humana Inc., Senior Notes |
|
6.450% |
|
6/1/16 |
|
1,000,000 |
|
1,147,493 |
| ||
|
Humana Inc., Senior Notes |
|
7.200% |
|
6/15/18 |
|
1,000,000 |
|
1,195,722 |
| ||
|
InVentiv Health Inc., Senior Notes |
|
10.000% |
|
8/15/18 |
|
580,000 |
|
526,350 |
(a) | ||
|
Tenet Healthcare Corp., Senior Secured Notes |
|
10.000% |
|
5/1/18 |
|
1,000,000 |
|
1,105,000 |
| ||
|
Tenet Healthcare Corp., Senior Secured Notes |
|
8.875% |
|
7/1/19 |
|
430,000 |
|
457,950 |
| ||
|
WellPoint Inc., Notes |
|
5.250% |
|
1/15/16 |
|
1,200,000 |
|
1,351,386 |
| ||
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
6,857,620 |
| ||
|
Pharmaceuticals — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
Pfizer Inc., Senior Notes |
|
7.200% |
|
3/15/39 |
|
560,000 |
|
760,049 |
| ||
|
Roche Holdings Inc., Senior Notes |
|
6.000% |
|
3/1/19 |
|
550,000 |
|
664,198 |
(a) | ||
|
Wyeth, Notes |
|
5.950% |
|
4/1/37 |
|
1,300,000 |
|
1,504,420 |
| ||
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
2,928,667 |
| ||
|
TOTAL HEALTH CARE |
|
|
|
|
|
|
|
10,846,287 |
| ||
|
INDUSTRIALS — 4.0% |
|
|
|
|
|
|
|
|
| ||
|
Aerospace & Defense — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
L-3 Communications Corp., Senior Subordinated Notes |
|
6.375% |
|
10/15/15 |
|
460,000 |
|
469,200 |
| ||
|
Air Freight & Logistics — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
United Parcel Service Inc., Senior Notes |
|
6.200% |
|
1/15/38 |
|
700,000 |
|
880,284 |
| ||
|
Airlines — 1.8% |
|
|
|
|
|
|
|
|
| ||
|
Continental Airlines Inc., Pass-Through Certificates |
|
9.250% |
|
5/10/17 |
|
393,551 |
|
393,551 |
| ||
|
Continental Airlines Inc., Pass-Through Certificates |
|
6.545% |
|
2/2/19 |
|
240,805 |
|
250,437 |
| ||
|
Continental Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
|
7.250% |
|
11/10/19 |
|
771,053 |
|
809,605 |
| ||
|
Delta Air Lines, Pass-Through Trust, Senior Secured Notes |
|
7.750% |
|
12/17/19 |
|
775,908 |
|
814,703 |
| ||
|
Delta Air Lines Inc., Pass-Through Certificates, Secured Notes |
|
8.021% |
|
8/10/22 |
|
200,772 |
|
200,772 |
| ||
|
United Air Lines Inc., Senior Secured Notes |
|
9.875% |
|
8/1/13 |
|
480,000 |
|
496,800 |
(a) | ||
|
United Air Lines Inc., Senior Secured Notes |
|
12.000% |
|
11/1/13 |
|
570,000 |
|
592,800 |
(a) | ||
|
United Airlines, Pass-Through Trust, Pass-Through Certificates, Secured Notes |
|
9.750% |
|
1/15/17 |
|
222,336 |
|
252,351 |
| ||
|
United Airlines, Pass-Through Trust, Senior Secured Notes |
|
10.400% |
|
11/1/16 |
|
200,007 |
|
219,247 |
| ||
|
Total Airlines |
|
|
|
|
|
|
|
4,030,266 |
| ||
|
Commercial Services & Supplies — 1.2% |
|
|
|
|
|
|
|
|
| ||
|
Avery Dennison Corp., Senior Notes |
|
5.375% |
|
4/15/20 |
|
420,000 |
|
432,514 |
| ||
|
Republic Services Inc., Senior Notes |
|
5.500% |
|
9/15/19 |
|
220,000 |
|
252,958 |
| ||
|
Republic Services Inc., Senior Notes |
|
4.750% |
|
5/15/23 |
|
850,000 |
|
905,335 |
| ||
|
RSC Equipment Rental Inc./RSC Holdings III LLC, Senior Secured Notes |
|
10.000% |
|
7/15/17 |
|
1,000,000 |
|
1,080,000 |
(a) | ||
|
Total Commercial Services & Supplies |
|
|
|
|
|
|
|
2,670,807 |
| ||
|
Machinery — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Valmont Industries Inc., Senior Notes |
|
6.625% |
|
4/20/20 |
|
180,000 |
|
208,538 |
| ||
|
Road & Rail — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Kansas City Southern de Mexico, Senior Notes |
|
12.500% |
|
4/1/16 |
|
650,000 |
|
754,975 |
| ||
|
TOTAL INDUSTRIALS |
|
|
|
|
|
|
|
9,014,070 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
INFORMATION TECHNOLOGY — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Electronic Equipment, Instruments & Components — 0.3% |
|
|
|
|
|
|
| ||||
|
Corning Inc., Senior Notes |
|
5.750% |
|
8/15/40 |
|
$ |
630,000 |
|
$ |
667,051 |
|
|
IT Services — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Mantech International Corp., Senior Notes |
|
7.250% |
|
4/15/18 |
|
540,000 |
|
544,050 |
| ||
|
Semiconductors & Semiconductor Equipment — 0.2% |
|
|
|
|
|
|
| ||||
|
National Semiconductor Corp., Senior Notes |
|
6.600% |
|
6/15/17 |
|
360,000 |
|
440,457 |
| ||
|
TOTAL INFORMATION TECHNOLOGY |
|
|
|
|
|
|
|
1,651,558 |
| ||
|
MATERIALS — 6.7% |
|
|
|
|
|
|
|
|
| ||
|
Chemicals — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Potash Corp. of Saskatchewan Inc., Senior Notes |
|
5.625% |
|
12/1/40 |
|
530,000 |
|
587,738 |
| ||
|
Containers & Packaging — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Ball Corp., Senior Notes |
|
6.625% |
|
3/15/18 |
|
180,000 |
|
185,400 |
| ||
|
Solo Cup Co., Senior Secured Notes |
|
10.500% |
|
11/1/13 |
|
1,300,000 |
|
1,332,500 |
| ||
|
Total Containers & Packaging |
|
|
|
|
|
|
|
1,517,900 |
| ||
|
Metals & Mining — 4.5% |
|
|
|
|
|
|
|
|
| ||
|
Cliffs Natural Resources Inc., Senior Notes |
|
4.875% |
|
4/1/21 |
|
620,000 |
|
626,119 |
| ||
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes |
|
8.375% |
|
4/1/17 |
|
2,360,000 |
|
2,548,689 |
| ||
|
Novelis Inc., Senior Notes |
|
8.750% |
|
12/15/20 |
|
420,000 |
|
444,150 |
| ||
|
Rio Tinto Finance USA Ltd., Senior Notes |
|
9.000% |
|
5/1/19 |
|
2,000,000 |
|
2,733,558 |
| ||
|
Southern Copper Corp., Senior Notes |
|
5.375% |
|
4/16/20 |
|
260,000 |
|
279,872 |
| ||
|
Vale Overseas Ltd., Notes |
|
6.875% |
|
11/21/36 |
|
2,100,000 |
|
2,410,382 |
| ||
|
Xstrata Finance Canada Ltd., Senior Bonds |
|
5.800% |
|
11/15/16 |
|
1,000,000 |
|
1,101,880 |
(a) | ||
|
Total Metals & Mining |
|
|
|
|
|
|
|
10,144,650 |
| ||
|
Paper & Forest Products — 1.2% |
|
|
|
|
|
|
|
|
| ||
|
NewPage Corp., Senior Secured Notes |
|
11.375% |
|
12/31/14 |
|
500,000 |
|
442,500 |
† | ||
|
PE Paper Escrow GmbH, Senior Secured Notes |
|
12.000% |
|
8/1/14 |
|
1,030,000 |
|
1,117,550 |
(a) | ||
|
Verso Paper Holdings LLC, Senior Secured Notes |
|
11.500% |
|
7/1/14 |
|
1,170,000 |
|
1,246,050 |
| ||
|
Total Paper & Forest Products |
|
|
|
|
|
|
|
2,806,100 |
| ||
|
TOTAL MATERIALS |
|
|
|
|
|
|
|
15,056,388 |
| ||
|
TELECOMMUNICATION SERVICES — 9.1% |
|
|
|
|
|
|
|
|
| ||
|
Diversified Telecommunication Services — 5.9% |
|
|
|
|
|
|
| ||||
|
AT&T Inc., Global Notes |
|
5.600% |
|
5/15/18 |
|
1,500,000 |
|
1,735,279 |
| ||
|
AT&T Inc., Global Notes |
|
6.550% |
|
2/15/39 |
|
250,000 |
|
290,176 |
| ||
|
AT&T Inc., Senior Notes |
|
5.550% |
|
8/15/41 |
|
1,990,000 |
|
2,105,118 |
| ||
|
British Telecommunications PLC, Bonds |
|
9.875% |
|
12/15/30 |
|
2,000,000 |
|
2,926,618 |
| ||
|
Embarq Corp., Notes |
|
7.995% |
|
6/1/36 |
|
1,500,000 |
|
1,429,645 |
| ||
|
Koninklijke KPN NV, Senior Notes |
|
8.375% |
|
10/1/30 |
|
330,000 |
|
429,612 |
| ||
|
Telecom Italia Capital SA, Senior Notes |
|
7.721% |
|
6/4/38 |
|
1,000,000 |
|
974,803 |
| ||
|
Telefonica Emisiones SAU, Senior Notes |
|
5.877% |
|
7/15/19 |
|
1,150,000 |
|
1,155,788 |
| ||
|
Telefonica Emisiones SAU, Senior Notes |
|
5.134% |
|
4/27/20 |
|
230,000 |
|
219,011 |
| ||
|
Telefonica Emisiones SAU, Senior Notes |
|
5.462% |
|
2/16/21 |
|
980,000 |
|
949,563 |
| ||
|
Telefonica Emisiones SAU, Senior Notes |
|
7.045% |
|
6/20/36 |
|
410,000 |
|
409,796 |
| ||
|
Verizon Communications Inc., Senior Notes |
|
8.950% |
|
3/1/39 |
|
430,000 |
|
641,655 |
| ||
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
13,267,064 |
| ||
|
Wireless Telecommunication Services — 3.2% |
|
|
|
|
|
|
|
|
| ||
|
America Movil SAB de CV, Senior Notes |
|
6.125% |
|
3/30/40 |
|
1,400,000 |
|
1,568,619 |
| ||
|
Cellco Partnership/Verizon Wireless Capital LLC, Senior Notes |
|
8.500% |
|
11/15/18 |
|
2,000,000 |
|
2,692,052 |
| ||
|
Rogers Communications Inc., Senior Notes |
|
6.800% |
|
8/15/18 |
|
1,000,000 |
|
1,222,826 |
| ||
|
Sprint Capital Corp., Senior Notes |
|
8.750% |
|
3/15/32 |
|
1,790,000 |
|
1,843,700 |
| ||
|
Total Wireless Telecommunication Services |
|
|
|
|
|
|
|
7,327,197 |
| ||
|
TOTAL TELECOMMUNICATION SERVICES |
|
|
|
|
|
|
|
20,594,261 |
| ||
|
UTILITIES — 7.0% |
|
|
|
|
|
|
|
|
| ||
|
Electric Utilities — 5.3% |
|
|
|
|
|
|
|
|
| ||
|
Commonwealth Edison Co., First Mortgage Bonds |
|
5.800% |
|
3/15/18 |
|
600,000 |
|
699,076 |
| ||
|
Commonwealth Edison Co., First Mortgage Bonds |
|
6.450% |
|
1/15/38 |
|
600,000 |
|
731,867 |
| ||
|
FirstEnergy Corp., Notes |
|
7.375% |
|
11/15/31 |
|
2,230,000 |
|
2,600,896 |
| ||
|
IPALCO Enterprises Inc., Senior Secured Notes |
|
7.250% |
|
4/1/16 |
|
1,030,000 |
|
1,109,068 |
(a) | ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2011
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Electric Utilities — continued |
|
|
|
|
|
|
|
|
| ||
|
MidAmerican Energy Holdings Co., Bonds |
|
6.125% |
|
4/1/36 |
|
$ |
1,000,000 |
|
$ |
1,161,529 |
|
|
MidAmerican Energy Holdings Co., Senior Notes |
|
5.750% |
|
4/1/18 |
|
1,000,000 |
|
1,166,410 |
| ||
|
Pacific Gas & Electric Co., Senior Notes |
|
8.250% |
|
10/15/18 |
|
600,000 |
|
800,499 |
| ||
|
Pacific Gas & Electric Co., Senior Notes |
|
5.800% |
|
3/1/37 |
|
820,000 |
|
927,006 |
| ||
|
Reliant Energy Mid-Atlantic Power Holdings LLC, Senior Notes |
|
9.681% |
|
7/2/26 |
|
2,000,000 |
|
2,010,000 |
| ||
|
Virginia Electric and Power Co., Senior Notes |
|
8.875% |
|
11/15/38 |
|
500,000 |
|
786,469 |
| ||
|
Total Electric Utilities |
|
|
|
|
|
|
|
11,992,820 |
| ||
|
Gas Utilities — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
Southern Natural Gas Co., Senior Notes |
|
8.000% |
|
3/1/32 |
|
1,500,000 |
|
1,927,158 |
| ||
|
Independent Power Producers & Energy Traders — 0.5% |
|
|
|
|
|
|
| ||||
|
AES Corp., Senior Notes |
|
8.000% |
|
6/1/20 |
|
1,100,000 |
|
1,160,500 |
| ||
|
Multi-Utilities — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Dominion Resources Inc., Senior Notes |
|
8.875% |
|
1/15/19 |
|
500,000 |
|
663,600 |
| ||
|
TOTAL UTILITIES |
|
|
|
|
|
|
|
15,744,078 |
| ||
|
TOTAL CORPORATE BONDS & NOTES (Cost — $191,419,200) |
|
|
|
|
|
210,533,158 |
| ||||
|
COLLATERALIZED SENIOR LOANS — 2.8% |
|
|
|
|
|
|
|
|
| ||
|
CONSUMER DISCRETIONARY — 1.7% |
|
|
|
|
|
|
|
|
| ||
|
Hotels, Restaurants & Leisure — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
CCM Merger Inc., Term Loan B |
|
7.000% |
|
3/1/17 |
|
915,036 |
|
894,447 |
(e) | ||
|
VML U.S. Finance LLC, Term Loan B |
|
4.730% |
|
5/27/13 |
|
772,446 |
|
768,262 |
(e) | ||
|
VML U.S. Finance LLC, Term Loan B3 |
|
4.730% |
|
5/25/12 |
|
448,347 |
|
445,918 |
(e) | ||
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
2,108,627 |
| ||
|
Media — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Cengage Learning Acquisitions Inc., Term Loan |
|
2.500% |
|
7/3/14 |
|
979,644 |
|
818,492 |
(e) | ||
|
Nielsen Finance LLC, Term Loan B |
|
3.956% |
|
5/2/16 |
|
977,625 |
|
934,610 |
(e) | ||
|
Total Media |
|
|
|
|
|
|
|
1,753,102 |
| ||
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
3,861,729 |
| ||
|
HEALTH CARE — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Health Care Equipment & Supplies — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Fenwal Inc., First Lien Term Loan |
|
2.471 - 2.573% |
|
2/28/14 |
|
973,154 |
|
900,167 |
(e) | ||
|
INFORMATION TECHNOLOGY — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
IT Services — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
First Data Corp., Term Loan B |
|
4.217% |
|
3/23/18 |
|
401,246 |
|
338,719 |
(e) | ||
|
First Data Corp., Term Loan B2 |
|
2.967% |
|
9/24/14 |
|
486,648 |
|
431,697 |
(e) | ||
|
TOTAL INFORMATION TECHNOLOGY |
|
|
|
|
|
|
|
770,416 |
| ||
|
UTILITIES — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Electric Utilities — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Texas Competitive Electric Holdings Co. LLC, Term Loan |
|
4.706 - 4.772% |
|
10/10/17 |
|
944,308 |
|
696,428 |
(e) | ||
|
TOTAL COLLATERALIZED SENIOR LOANS (Cost — $6,174,235) |
|
|
|
6,228,740 |
| ||||||
|
MUNICIPAL BONDS — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Illinois — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Illinois State, GO |
|
5.665% |
|
3/1/18 |
|
530,000 |
|
568,706 |
| ||
|
Illinois State, GO |
|
5.877% |
|
3/1/19 |
|
530,000 |
|
567,259 |
| ||
|
TOTAL MUNICIPAL BONDS (Cost — $1,060,000) |
|
|
|
|
|
1,135,965 |
| ||||
|
SOVEREIGN BONDS — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
Russia — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
RSHB Capital, Loan Participation Notes, Senior Secured Notes |
|
9.000% |
|
6/11/14 |
|
1,000,000 |
|
1,122,500 |
(a) | ||
|
Russian Foreign Bond-Eurobond, Senior Bonds |
|
7.500% |
|
3/31/30 |
|
865,000 |
|
1,036,962 |
(a) | ||
|
TOTAL SOVEREIGN BONDS (Cost — $1,882,470) |
|
|
|
|
|
2,159,462 |
| ||||
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
SHARES |
|
|
| ||
|
CONVERTIBLE PREFERRED STOCKS — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
FINANCIALS — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Citigroup Inc. (Cost - $888,750) |
|
7.500% |
|
|
|
7,500 |
|
709,575 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2011
|
SECURITY |
|
RATE |
|
|
|
SHARES |
|
VALUE |
| ||
|
PREFERRED STOCKS — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
FINANCIALS — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
Commercial Banks — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Santander Finance Preferred SA Unipersonal |
|
10.500% |
|
|
|
7,725 |
|
$ |
211,510 |
| |
|
Consumer Finance — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
GMAC Capital Trust I |
|
8.125% |
|
|
|
82,100 |
|
1,752,835 |
(b) | ||
|
Diversified Financial Services — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Citigroup Capital XIII |
|
7.875% |
|
|
|
39,950 |
|
1,040,298 |
(b) | ||
|
TOTAL PREFERRED STOCKS (Cost — $3,295,468) |
|
|
|
|
|
3,004,643 |
| ||||
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $204,720,123) |
|
223,771,543 |
| ||||||||
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
MATURITY |
|
FACE |
|
|
| ||
|
SHORT-TERM INVESTMENTS — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
U.S. Government Agencies — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Federal Home Loan Mortgage Corp. (FHLMC), Discount Notes |
|
0.090 - 0.120% |
|
1/10/12 |
|
$ |
463,000 |
|
462,966 |
(f)(g) | |
|
Federal National Mortgage Association (FNMA), Discount Notes |
|
0.100% |
|
1/10/12 |
|
45,000 |
|
44,997 |
(f)(g) | ||
|
TOTAL SHORT-TERM INVESTMENTS (Cost — $507,789) |
|
|
|
|
|
507,963 |
| ||||
|
TOTAL INVESTMENTS — 99.5% (Cost — $205,227,912#) |
|
|
|
|
|
224,279,506 |
| ||||
|
Other Assets in Excess of Liabilities — 0.5% |
|
|
|
|
|
|
|
1,087,069 |
| ||
|
TOTAL NET ASSETS — 100.0% |
|
|
|
|
|
|
|
$ |
225,366,575 |
| |
(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) Payment-in-kind security for which part of the income earned may be paid as additional principal.
(e) Interest rates disclosed represent the effective rates on collateralized senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan.
(f) Rate shown represents yield-to-maturity.
(g) All or a portion of this security is held at the broker as collateral for open futures contracts.
† Subsequent to August 31, 2011, the issuer filed for bankruptcy.
# Aggregate cost for federal income tax purposes is substantially the same.
Abbreviation used in this schedule:
GO - General Obligation
See Notes to Schedule of Investments.
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 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 fair valuation techniques and methodologies. 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. 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. 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). 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 Fund has adopted Financial Accounting Standards Board Codification Topic 820 (“ASC Topic 820”). ASC Topic 820 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 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.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
|
ASSETS |
|
|
|
QUOTED |
|
OTHER |
|
SIGNIFICANT |
|
|
| ||
|
DESCRIPTION |
|
(LEVEL 1) |
|
(LEVEL 2) |
|
(LEVEL 3) |
|
TOTAL |
| ||
|
Long-term investments†: |
|
|
|
|
|
|
|
|
| ||
|
Corporate bonds & notes |
|
— |
|
$ |
210,533,158 |
|
— |
|
$ |
210,533,158 |
|
Notes to Schedule of Investments (unaudited) (continued)
|
ASSETS |
|
|
|
QUOTED |
|
OTHER |
|
SIGNIFICANT |
|
|
| |||
|
DESCRIPTION |
|
(LEVEL 1) |
|
(LEVEL 2) |
|
(LEVEL 3) |
|
TOTAL |
| |||
|
Collateralized senior loans |
|
— |
|
$ |
6,228,740 |
|
— |
|
$ |
6,228,740 |
| |
|
Municipal bonds |
|
— |
|
1,135,965 |
|
— |
|
1,135,965 |
| |||
|
Sovereign bonds |
|
— |
|
2,159,462 |
|
— |
|
2,159,462 |
| |||
|
Convertible preferred stocks |
|
$ |
709,575 |
|
— |
|
— |
|
709,575 |
| ||
|
Preferred stocks |
|
3,004,643 |
|
— |
|
— |
|
3,004,643 |
| |||
|
Total long-term investments |
|
$ |
3,714,218 |
|
$ |
220,057,325 |
|
— |
|
$ |
223,771,543 |
|
|
Short-term investments† |
|
— |
|
507,963 |
|
— |
|
507,963 |
| |||
|
Total investments |
|
$ |
3,714,218 |
|
$ |
220,565,288 |
|
— |
|
$ |
224,279,506 |
|
|
Other financial instruments: |
|
|
|
|
|
|
|
|
| |||
|
Futures contracts |
|
$ |
17,699 |
|
— |
|
— |
|
$ |
17,699 |
| |
|
Total |
|
$ |
3,731,917 |
|
$ |
220,565,288 |
|
— |
|
$ |
224,297,205 |
|
|
LIABILITIES |
|
|
|
QUOTED |
|
OTHER |
|
SIGNIFICANT |
|
|
| ||
|
DESCRIPTION |
|
(LEVEL 1) |
|
(LEVEL 2) |
|
(LEVEL 3) |
|
TOTAL |
| ||
|
Other financial instruments: |
|
|
|
|
|
|
|
|
| ||
|
Futures contracts |
|
$ |
(24,951 |
) |
— |
|
— |
|
$ |
(24,951 |
) |
†See Schedule of Investments for additional detailed categorizations.
(b) Repurchase agreements. The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund’s holding period. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian, acting on the Fund’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.
(c) Futures contracts. The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ‘‘initial margin’’ and subsequent payments (‘‘variation margin’’) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded.
Futures contracts involve, to varying degrees, risk of loss. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
Notes to Schedule of Investments (unaudited) (continued)
(d) Loan participations. The Fund may invest in loans arranged through private negotiation between one or more financial institutions. The Fund’s investment in any such loan may be in the form of a participation in or an assignment of the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement related to the loan, or any rights of off-set against the borrower and the Fund may not benefit directly from any collateral supporting the loan in which it has purchased the participation.
The Fund assumes the credit risk of the borrower, the lender that is selling the participation and any other persons interpositioned between the Fund and the borrower. In the event of the insolvency of the lender selling the participation, the Fund may be treated as a general creditor of the lender and may not benefit from any off-set between the lender and the borrower.
(e) 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.
(f) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund’s investment manager attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the investment manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
The Fund may enter into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or NAV over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.
As of August 31, 2011, the Fund did not have any open derivative transactions with credit related contingent features.
(g) Security transactions. Security transactions are accounted for on a trade date basis.
2. Investments
At August 31, 2011, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
Gross unrealized appreciation |
|
$ |
20,706,870 |
|
|
Gross unrealized depreciation |
|
(1,655,276 |
) | |
|
Net unrealized appreciation |
|
$ |
19,051,594 |
|
At August 31, 2011, the Fund had the following open futures contracts:
|
|
|
NUMBER OF |
|
EXPIRATION |
|
BASIS |
|
MARKET |
|
UNREALIZED |
| |||
|
Contracts to Buy: |
|
|
|
|
|
|
|
|
|
|
| |||
|
U.S. Treasury Ultra Long-Term Bonds |
|
14 |
|
12/11 |
|
$ |
2,025,280 |
|
$ |
2,004,188 |
|
$ |
(21,092 |
) |
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
| |||
|
U.S. Treasury 2-Year Notes |
|
6 |
|
12/11 |
|
1,322,324 |
|
1,323,000 |
|
(676 |
) | |||
|
U.S. Treasury 5-Year Notes |
|
25 |
|
12/11 |
|
3,060,489 |
|
3,063,672 |
|
(3,183 |
) | |||
|
U.S. Treasury 10-Year Notes |
|
172 |
|
12/11 |
|
22,196,488 |
|
22,193,375 |
|
3,113 |
| |||
Notes to Schedule of Investments (unaudited) (continued)
|
|
|
NUMBER OF |
|
EXPIRATION |
|
BASIS |
|
MARKET |
|
UNREALIZED |
| |||
|
U.S. Treasury 30-Year Bonds |
|
84 |
|
12/11 |
|
$ |
11,441,211 |
|
$ |
11,426,625 |
|
$ |
14,586 |
|
|
|
|
|
|
|
|
|
|
|
|
13,840 |
| |||
|
Net unrealized loss on open futures contracts |
|
|
|
|
|
|
|
|
|
$ |
(7,252 |
) | ||
3. Derivative instruments and hedging activities
Financial Accounting Standards Board Codification Topic 815 requires enhanced disclosure about an entity’s derivative and hedging activities.
The following is a summary of the Fund’s derivative instruments categorized by risk exposure at August 31, 2011.
|
|
|
Futures Contracts |
|
|
| |||||
|
Primary Underlying Risk Disclosure |
|
Unrealized |
|
Unrealized |
|
Total |
| |||
|
Interest Rate Contracts |
|
$ |
17,699 |
|
$ |
(24,951 |
) |
$ |
(7,252 |
) |
During the period ended August 31, 2011, the volume of derivative activity for the Fund was as follows:
|
|
|
Average |
| |
|
Futures contracts (to buy) |
|
$ |
2,505,438 |
|
|
Futures contracts (to sell) |
|
20,211,087 |
| |
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 26, 2011
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 26, 2011
|
By |
/s/ Kaprel Ozsolak |
|
|
|
Kaprel Ozsolak | |
|
|
Chief Financial Officer | |
Date: October 26, 2011