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

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number

811-22294

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

(Exact name of registrant as specified in charter)

 

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

 

10018

(Address of principal executive offices)

 

(Zip code)

 

Robert I. Frenkel, Esq.

Legg Mason & Co., LLC

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

 

Registrant’s telephone number, including area code:

1-888-777-0102

 

 

Date of fiscal year end:

November 30

 

 

Date of reporting period:

February 28, 2013

 

 



 

ITEM 1.                 SCHEDULE OF INVESTMENTS.

 



 

WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

FORM N-Q

FEBRUARY 28, 2013

 

 


 

WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited)

February 28, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT

 

VALUE

 

CORPORATE BONDS & NOTES — 93.7%

 

 

 

 

 

 

 

 

 

CONSUMER DISCRETIONARY — 9.2%

 

 

 

 

 

 

 

 

 

Automobiles — 1.2%

 

 

 

 

 

 

 

 

 

Ford Motor Co., Senior Notes

 

4.750%

 

1/15/43

 

$

550,000

 

$

525,130

 

Ford Motor Credit Co., LLC, Senior Notes

 

12.000%

 

5/15/15

 

1,000,000

 

1,221,250

 

Ford Motor Credit Co., LLC, Senior Notes

 

8.125%

 

1/15/20

 

640,000

 

808,682

 

Ford Motor Credit Co., LLC, Senior Notes

 

4.250%

 

9/20/22

 

380,000

 

392,558

 

Total Automobiles

 

 

 

 

 

 

 

2,947,620

 

Hotels, Restaurants & Leisure — 0.7%

 

 

 

 

 

 

 

 

 

Caesars Entertainment Operating Co. Inc., Senior Secured Notes

 

11.250%

 

6/1/17

 

1,250,000

 

1,335,937

 

NCL Corp. Ltd., Senior Secured Notes

 

11.750%

 

11/15/16

 

320,000

 

364,800

 

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

1,700,737

 

Household Durables — 0.0%

 

 

 

 

 

 

 

 

 

NVR Inc., Senior Notes

 

3.950%

 

9/15/22

 

20,000

 

20,528

 

Internet & Catalog Retail — 0.4%

 

 

 

 

 

 

 

 

 

QVC Inc., Senior Secured Notes

 

5.125%

 

7/2/22

 

840,000

 

889,877

 

Media — 6.2%

 

 

 

 

 

 

 

 

 

Comcast Corp., Bonds

 

6.400%

 

5/15/38

 

2,500,000

 

3,214,482

 

Comcast Corp., Senior Notes

 

5.700%

 

7/1/19

 

1,500,000

 

1,828,320

 

DISH DBS Corp., Senior Notes

 

7.875%

 

9/1/19

 

1,250,000

 

1,485,938

 

Interpublic Group of Cos. Inc., Senior Notes

 

2.250%

 

11/15/17

 

560,000

 

554,879

 

Lynx I Corp., Senior Secured Notes

 

5.375%

 

4/15/21

 

460,000

 

473,800

(a)

News America Inc., Senior Notes

 

6.650%

 

11/15/37

 

2,400,000

 

2,996,364

 

Time Warner Cable Inc., Debentures

 

7.300%

 

7/1/38

 

500,000

 

628,361

 

Time Warner Cable Inc., Senior Notes

 

8.750%

 

2/14/19

 

1,100,000

 

1,454,024

 

Time Warner Inc., Senior Notes

 

4.900%

 

6/15/42

 

250,000

 

256,561

 

UBM PLC, Notes

 

5.750%

 

11/3/20

 

830,000

 

903,459

(a)

WPP Finance UK, Senior Notes

 

8.000%

 

9/15/14

 

1,000,000

 

1,101,777

 

Total Media

 

 

 

 

 

 

 

14,897,965

 

Specialty Retail — 0.7%

 

 

 

 

 

 

 

 

 

American Greetings Corp., Senior Notes

 

7.375%

 

12/1/21

 

280,000

 

284,550

 

Gap Inc., Senior Notes

 

5.950%

 

4/12/21

 

1,240,000

 

1,404,692

 

Total Specialty Retail

 

 

 

 

 

 

 

1,689,242

 

TOTAL CONSUMER DISCRETIONARY

 

 

 

 

 

 

 

22,145,969

 

CONSUMER STAPLES — 4.9%

 

 

 

 

 

 

 

 

 

Beverages — 1.2%

 

 

 

 

 

 

 

 

 

Anheuser-Busch InBev Worldwide Inc., Senior Notes

 

7.750%

 

1/15/19

 

450,000

 

596,020

 

Pernod-Ricard SA, Senior Bonds

 

5.750%

 

4/7/21

 

890,000

 

1,062,276

(a)

Pernod-Ricard SA, Senior Notes

 

5.500%

 

1/15/42

 

960,000

 

1,096,713

(a)

Total Beverages

 

 

 

 

 

 

 

2,755,009

 

Food & Staples Retailing — 0.0%

 

 

 

 

 

 

 

 

 

Safeway Inc., Senior Notes

 

4.750%

 

12/1/21

 

70,000

 

72,980

 

Food Products — 0.5%

 

 

 

 

 

 

 

 

 

Kraft Foods Group Inc., Senior Notes

 

5.000%

 

6/4/42

 

540,000

 

591,753

 

Mondelez International Inc., Senior Notes

 

5.375%

 

2/10/20

 

491,000

 

586,409

 

Total Food Products

 

 

 

 

 

 

 

1,178,162

 

Tobacco — 3.2%

 

 

 

 

 

 

 

 

 

Altria Group Inc., Senior Notes

 

9.250%

 

8/6/19

 

1,000,000

 

1,394,612

 

Altria Group Inc., Senior Notes

 

2.850%

 

8/9/22

 

360,000

 

353,757

 

Lorillard Tobacco Co., Senior Notes

 

8.125%

 

6/23/19

 

540,000

 

691,429

 

Lorillard Tobacco Co., Senior Notes

 

8.125%

 

5/1/40

 

470,000

 

631,868

 

Lorillard Tobacco Co., Senior Notes

 

7.000%

 

8/4/41

 

510,000

 

620,727

 

Philip Morris International Inc., Senior Notes

 

2.625%

 

3/6/23

 

480,000

 

473,831

 

Reynolds American Inc., Senior Notes

 

4.750%

 

11/1/42

 

1,220,000

 

1,198,395

 

 

See Notes to Schedule of Investments.

 

1


 

WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)

February 28, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT

 

VALUE

 

Tobacco — continued

 

 

 

 

 

 

 

 

 

 

 

Reynolds American Inc., Senior Secured Notes

 

7.625%

 

6/1/16

 

$

2,000,000

 

$

2,384,186

 

Total Tobacco

 

 

 

 

 

 

 

7,748,805

 

TOTAL CONSUMER STAPLES

 

 

 

 

 

 

 

11,754,956

 

ENERGY — 12.1%

 

 

 

 

 

 

 

 

 

Oil, Gas & Consumable Fuels — 12.1%

 

 

 

 

 

 

 

 

 

Anadarko Petroleum Corp., Senior Notes

 

5.950%

 

9/15/16

 

340,000

 

391,252

 

Apache Corp., Senior Notes

 

5.100%

 

9/1/40

 

140,000

 

152,403

 

Apache Corp., Senior Notes

 

5.250%

 

2/1/42

 

160,000

 

178,373

 

Arch Coal Inc., Senior Notes

 

7.000%

 

6/15/19

 

440,000

 

381,700

 

ConocoPhillips, Notes

 

6.500%

 

2/1/39

 

1,500,000

 

2,070,239

 

DCP Midstream LLC, Senior Notes

 

9.750%

 

3/15/19

 

1,000,000

 

1,322,467

(a)

Devon Energy Corp., Senior Notes

 

3.250%

 

5/15/22

 

20,000

 

20,058

 

Devon Financing Corp. ULC, Debentures

 

7.875%

 

9/30/31

 

1,080,000

 

1,504,446

 

Enterprise Products Operating LLC, Senior Notes

 

9.750%

 

1/31/14

 

2,000,000

 

2,163,478

 

EOG Resources Inc., Senior Notes

 

6.875%

 

10/1/18

 

800,000

 

1,020,324

 

Hess Corp., Notes

 

8.125%

 

2/15/19

 

1,400,000

 

1,804,978

 

Hess Corp., Notes

 

7.875%

 

10/1/29

 

440,000

 

568,896

 

Hess Corp., Senior Bonds

 

6.000%

 

1/15/40

 

520,000

 

574,738

 

Kerr-McGee Corp., Notes

 

6.950%

 

7/1/24

 

1,320,000

 

1,643,919

 

Kerr-McGee Corp., Notes

 

7.875%

 

9/15/31

 

710,000

 

933,824

 

Kinder Morgan Energy Partners LP, Senior Notes

 

5.950%

 

2/15/18

 

800,000

 

955,251

 

Noble Energy Inc., Senior Notes

 

6.000%

 

3/1/41

 

660,000

 

800,693

 

Pemex Project Funding Master Trust, Senior Bonds

 

6.625%

 

6/15/35

 

1,000,000

 

1,205,000

 

Petrobras International Finance Co., Senior Notes

 

5.750%

 

1/20/20

 

1,109,000

 

1,236,607

 

Petrobras International Finance Co., Senior Notes

 

6.750%

 

1/27/41

 

1,730,000

 

2,004,677

 

Petroleos Mexicanos, Senior Notes

 

5.500%

 

1/21/21

 

250,000

 

287,000

 

Quicksilver Resources Inc., Senior Notes

 

11.750%

 

1/1/16

 

1,000,000

 

1,010,000

 

Shell International Finance BV, Senior Notes

 

6.375%

 

12/15/38

 

1,500,000

 

2,080,844

 

TNK-BP Finance SA, Senior Notes

 

7.500%

 

3/13/13

 

870,000

 

873,306

(a)

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

 

5.400%

 

8/15/41

 

10,000

 

11,466

 

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

 

4.450%

 

8/1/42

 

860,000

 

862,357

 

Valero Energy Corp., Senior Notes

 

9.375%

 

3/15/19

 

700,000

 

963,147

 

Williams Cos. Inc., Notes

 

7.875%

 

9/1/21

 

952,000

 

1,218,241

 

Williams Cos. Inc., Senior Notes

 

7.750%

 

6/15/31

 

62,000

 

78,089

 

Williams Cos. Inc., Senior Notes

 

8.750%

 

3/15/32

 

148,000

 

202,505

 

Williams Partners LP, Senior Notes

 

5.250%

 

3/15/20

 

460,000

 

526,298

 

TOTAL ENERGY

 

 

 

 

 

 

 

29,046,576

 

FINANCIALS — 35.0%

 

 

 

 

 

 

 

 

 

Capital Markets — 8.6%

 

 

 

 

 

 

 

 

 

Bear Stearns Cos. LLC, Senior Notes

 

7.250%

 

2/1/18

 

1,570,000

 

1,959,355

 

Goldman Sachs Group Inc., Senior Notes

 

5.950%

 

1/18/18

 

4,250,000

 

4,976,219

 

Goldman Sachs Group Inc., Senior Notes

 

7.500%

 

2/15/19

 

500,000

 

632,960

 

Goldman Sachs Group Inc., Senior Notes

 

5.375%

 

3/15/20

 

470,000

 

541,120

 

Goldman Sachs Group Inc., Senior Notes

 

5.250%

 

7/27/21

 

870,000

 

991,901

 

Goldman Sachs Group Inc., Senior Notes

 

6.250%

 

2/1/41

 

2,550,000

 

3,104,773

 

Merrill Lynch & Co. Inc., Notes

 

6.875%

 

4/25/18

 

990,000

 

1,201,506

 

Morgan Stanley, Medium-Term Notes

 

6.625%

 

4/1/18

 

1,750,000

 

2,084,763

 

Morgan Stanley, Senior Notes

 

5.500%

 

1/26/20

 

1,950,000

 

2,222,370

 

Morgan Stanley, Senior Notes

 

5.500%

 

7/24/20

 

200,000

 

229,713

 

Morgan Stanley, Senior Notes

 

6.375%

 

7/24/42

 

140,000

 

171,644

 

State Street Corp., Junior Subordinated Notes

 

4.956%

 

3/15/18

 

1,330,000

 

1,515,523

 

UBS AG Stamford CT, Subordinated Notes

 

7.625%

 

8/17/22

 

330,000

 

368,920

 

Vesey Street Investment Trust I, Senior Notes

 

4.404%

 

9/1/16

 

540,000

 

584,618

 

Total Capital Markets

 

 

 

 

 

 

 

20,585,385

 

Commercial Banks — 7.8%

 

 

 

 

 

 

 

 

 

Barclays Bank PLC, Subordinated Notes

 

7.625%

 

11/21/22

 

560,000

 

560,000

 

BB&T Corp., Senior Notes

 

3.375%

 

9/25/13

 

60,000

 

61,018

 

BBVA US Senior SAU, Senior Notes

 

4.664%

 

10/9/15

 

830,000

 

860,565

 

 

See Notes to Schedule of Investments.

 

2


 

WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)

February 28, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT

 

VALUE

 

Commercial Banks — continued

 

 

 

 

 

 

 

 

 

 

 

BNP Paribas SA, Senior Notes

 

3.250%

 

3/3/23

 

$

690,000

 

$

682,273

 

CIT Group Inc., Secured Notes

 

5.250%

 

4/1/14

 

630,000

 

655,987

(a)

CIT Group Inc., Secured Notes

 

6.625%

 

4/1/18

 

480,000

 

547,200

(a)

Credit Agricole SA, Subordinated Notes

 

8.375%

 

10/13/19

 

500,000

 

547,500

(a)(b)(c)

Intesa Sanpaolo SpA, Senior Notes

 

3.625%

 

8/12/15

 

2,140,000

 

2,157,492

(a)

Intesa Sanpaolo SpA, Senior Notes

 

3.875%

 

1/16/18

 

1,040,000

 

1,023,118

 

M&T Bank Corp., Junior Subordinated Notes

 

6.875%

 

6/15/16

 

1,250,000

 

1,313,309

(a)(c)

Royal Bank of Scotland Group PLC, Junior Subordinated Bonds

 

7.648%

 

9/30/31

 

580,000

 

617,700

(b)(c)

Royal Bank of Scotland Group PLC, Senior Notes

 

6.400%

 

10/21/19

 

1,170,000

 

1,402,225

 

Royal Bank of Scotland Group PLC, Subordinated Notes

 

5.000%

 

10/1/14

 

790,000

 

817,609

 

Royal Bank of Scotland Group PLC, Subordinated Notes

 

6.125%

 

12/15/22

 

1,000,000

 

1,052,993

 

Standard Chartered PLC, Subordinated Notes

 

3.950%

 

1/11/23

 

440,000

 

440,697

(a)

Wachovia Capital Trust III, Junior Subordinated Bonds

 

5.570%

 

4/22/13

 

410,000

 

411,025

(b)(c)

Wachovia Corp., Medium-Term Notes

 

5.500%

 

5/1/13

 

20,000

 

20,162

 

Wachovia Corp., Senior Notes

 

5.750%

 

2/1/18

 

4,400,000

 

5,256,522

 

Wells Fargo & Co., Subordinated Notes

 

3.450%

 

2/13/23

 

390,000

 

395,811

 

Total Commercial Banks

 

 

 

 

 

 

 

18,823,206

 

Consumer Finance — 2.0%

 

 

 

 

 

 

 

 

 

American Express Co., Senior Notes

 

2.650%

 

12/2/22

 

1,374,000

 

1,345,800

 

HSBC Finance Corp., Senior Notes

 

6.676%

 

1/15/21

 

1,620,000

 

1,940,904

 

SLM Corp., Senior Notes

 

7.250%

 

1/25/22

 

1,430,000

 

1,582,295

 

Total Consumer Finance

 

 

 

 

 

 

 

4,868,999

 

Diversified Financial Services — 12.4%

 

 

 

 

 

 

 

 

 

Bank of America Corp., Senior Notes

 

7.625%

 

6/1/19

 

2,760,000

 

3,525,105

 

Bank of America Corp., Senior Notes

 

5.625%

 

7/1/20

 

180,000

 

210,936

 

Bank of America Corp., Senior Notes

 

3.300%

 

1/11/23

 

710,000

 

709,210

 

Bank of America Corp., Senior Notes

 

5.875%

 

2/7/42

 

1,340,000

 

1,635,600

 

Citigroup Inc., Junior Subordinated Notes

 

5.950%

 

1/30/23

 

1,310,000

 

1,336,200

(b)(c)

Citigroup Inc., Senior Notes

 

6.375%

 

8/12/14

 

300,000

 

322,739

 

Citigroup Inc., Senior Notes

 

6.000%

 

8/15/17

 

2,250,000

 

2,637,477

 

Citigroup Inc., Senior Notes

 

8.500%

 

5/22/19

 

500,000

 

671,056

 

Citigroup Inc., Senior Notes

 

6.875%

 

3/5/38

 

2,000,000

 

2,674,378

 

Citigroup Inc., Senior Notes

 

8.125%

 

7/15/39

 

1,350,000

 

2,010,988

 

Citigroup Inc., Subordinated Notes

 

4.050%

 

7/30/22

 

900,000

 

936,207

 

General Electric Capital Corp., Junior Subordinated Bonds

 

7.125%

 

6/15/22

 

100,000

 

115,683

(b)(c)

General Electric Capital Corp., Junior Subordinated Bonds

 

6.250%

 

12/15/22

 

1,000,000

 

1,099,859

(b)(c)

General Electric Capital Corp., Notes

 

5.300%

 

2/11/21

 

210,000

 

242,061

 

General Electric Capital Corp., Senior Notes

 

3.100%

 

1/9/23

 

620,000

 

615,663

 

General Electric Capital Corp., Senior Notes

 

6.875%

 

1/10/39

 

3,200,000

 

4,233,146

 

General Electric Capital Corp., Subordinated Debentures

 

6.375%

 

11/15/67

 

100,000

 

106,000

(b)

ILFC E-Capital Trust I

 

4.540%

 

12/21/65

 

800,000

 

692,000

(a)(b)

International Lease Finance Corp., Senior Notes

 

8.875%

 

9/1/17

 

810,000

 

976,050

 

International Lease Finance Corp., Senior Notes

 

6.250%

 

5/15/19

 

220,000

 

242,043

 

International Lease Finance Corp., Senior Notes

 

8.250%

 

12/15/20

 

330,000

 

405,075

 

International Lease Finance Corp., Senior Secured Notes

 

6.750%

 

9/1/16

 

670,000

 

760,450

(a)

International Lease Finance Corp., Senior Secured Notes

 

7.125%

 

9/1/18

 

1,030,000

 

1,208,963

(a)

JPMorgan Chase & Co., Senior Notes

 

6.400%

 

5/15/38

 

1,500,000

 

1,969,662

 

ZFS Finance USA Trust II, Bonds

 

6.450%

 

12/15/65

 

500,000

 

535,000

(a)(b)

Total Diversified Financial Services

 

 

 

 

 

 

 

29,871,551

 

Insurance — 3.8%

 

 

 

 

 

 

 

 

 

American International Group Inc., Senior Notes

 

6.400%

 

12/15/20

 

1,000,000

 

1,245,794

 

Delphi Financial Group Inc., Senior Notes

 

7.875%

 

1/31/20

 

290,000

 

357,715

 

 

See Notes to Schedule of Investments.

 

3


 

WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)

February 28, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT

 

VALUE

 

Insurance — continued

 

 

 

 

 

 

 

 

 

 

 

ING Capital Funding Trust III, Junior Subordinated Bonds

 

3.911%

 

6/30/13

 

$

410,000

 

$

387,450

(b)(c)

ING US Inc., Senior Notes

 

5.500%

 

7/15/22

 

1,350,000

 

1,493,089

(a)

Liberty Mutual Group Inc., Junior Subordinated Bonds

 

7.800%

 

3/15/37

 

120,000

 

138,900

(a)

Liberty Mutual Insurance Co., Subordinated Notes

 

7.875%

 

10/15/26

 

840,000

 

1,077,476

(a)

MetLife Inc., Senior Notes

 

6.817%

 

8/15/18

 

1,300,000

 

1,628,581

 

Nationwide Mutual Insurance Co., Notes

 

9.375%

 

8/15/39

 

520,000

 

764,347

(a)

Teachers Insurance & Annuity Association of America - College Retirement Equity Fund, Notes

 

6.850%

 

12/16/39

 

1,050,000

 

1,410,950

(a)

Travelers Cos. Inc., Senior Notes

 

6.250%

 

6/15/37

 

400,000

 

535,694

 

Total Insurance

 

 

 

 

 

 

 

9,039,996

 

Real Estate Investment Trusts (REITs) — 0.3%

 

 

 

 

 

 

 

 

 

WEA Finance LLC/WT Finance Aust Pty. Ltd., Senior Notes

 

6.750%

 

9/2/19

 

580,000

 

719,132(a)

 

Thrifts & Mortgage Finance — 0.1%

 

 

 

 

 

 

 

 

 

Santander Holdings USA Inc., Senior Notes

 

4.625%

 

4/19/16

 

270,000

 

289,621

 

TOTAL FINANCIALS

 

 

 

 

 

 

 

84,197,890

 

HEALTH CARE — 5.2%

 

 

 

 

 

 

 

 

 

Biotechnology — 0.7%

 

 

 

 

 

 

 

 

 

Amgen Inc., Senior Notes

 

5.150%

 

11/15/41

 

1,020,000

 

1,121,261

 

Gilead Sciences Inc., Senior Notes

 

5.650%

 

12/1/41

 

480,000

 

591,413

 

Total Biotechnology

 

 

 

 

 

 

 

1,712,674

 

Health Care Providers & Services — 3.0%

 

 

 

 

 

 

 

 

 

Catholic Health Initiatives, Secured Bonds

 

1.600%

 

11/1/17

 

110,000

 

111,685

 

Catholic Health Initiatives, Secured Bonds

 

2.950%

 

11/1/22

 

320,000

 

322,247

 

Catholic Health Initiatives, Secured Bonds

 

4.350%

 

11/1/42

 

60,000

 

60,678

 

Highmark Inc., Senior Notes

 

4.750%

 

5/15/21

 

570,000

 

568,317

(a)

Humana Inc., Senior Notes

 

6.450%

 

6/1/16

 

1,000,000

 

1,147,572

 

Humana Inc., Senior Notes

 

7.200%

 

6/15/18

 

1,000,000

 

1,225,601

 

Humana Inc., Senior Notes

 

4.625%

 

12/1/42

 

370,000

 

357,904

 

Tenet Healthcare Corp., Senior Secured Notes

 

8.875%

 

7/1/19

 

430,000

 

486,975

 

Tenet Healthcare Corp., Senior Secured Notes

 

4.500%

 

4/1/21

 

770,000

 

761,338

(a)

UnitedHealth Group Inc., Senior Notes

 

3.950%

 

10/15/42

 

200,000

 

189,520

 

UnitedHealth Group Inc., Senior Notes

 

4.250%

 

3/15/43

 

600,000

 

594,649

 

WellPoint Inc., Notes

 

5.250%

 

1/15/16

 

1,200,000

 

1,337,240

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

7,163,726

 

Health Care Technology — 0.2%

 

 

 

 

 

 

 

 

 

Merge Healthcare Inc., Senior Secured Notes

 

11.750%

 

5/1/15

 

430,000

 

461,981

 

Pharmaceuticals — 1.3%

 

 

 

 

 

 

 

 

 

AbbVie Inc., Senior Notes

 

4.400%

 

11/6/42

 

450,000

 

459,537

(a)

Pfizer Inc., Senior Notes

 

7.200%

 

3/15/39

 

560,000

 

834,629

 

Wyeth, Notes

 

5.950%

 

4/1/37

 

1,100,000

 

1,422,856

 

Zoetis Inc., Senior Notes

 

3.250%

 

2/1/23

 

200,000

 

201,604

(a)

Zoetis Inc., Senior Notes

 

4.700%

 

2/1/43

 

270,000

 

277,717

(a)

Total Pharmaceuticals

 

 

 

 

 

 

 

3,196,343

 

TOTAL HEALTH CARE

 

 

 

 

 

 

 

12,534,724

 

INDUSTRIALS — 4.7%

 

 

 

 

 

 

 

 

 

Aerospace & Defense — 0.4%

 

 

 

 

 

 

 

 

 

Exelis Inc., Senior Notes

 

5.550%

 

10/1/21

 

885,000

 

939,914

 

Air Freight & Logistics — 0.4%

 

 

 

 

 

 

 

 

 

United Parcel Service Inc., Senior Notes

 

6.200%

 

1/15/38

 

700,000

 

947,498

 

Airlines — 1.6%

 

 

 

 

 

 

 

 

 

Continental Airlines Inc., Pass-Through Certificates

 

9.250%

 

5/10/17

 

319,047

 

357,332

 

Continental Airlines Inc., Pass-Through Certificates

 

6.545%

 

2/2/19

 

203,045

 

223,349

 

 

See Notes to Schedule of Investments.

 

4


 

WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)

February 28, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT

 

VALUE

 

Airlines — continued

 

 

 

 

 

 

 

 

 

 

 

Continental Airlines Inc., Pass-Through Certificates, Secured Notes

 

6.250

%

4/11/20

 

$

290,000

 

$

304,500

 

Continental Airlines Inc., Pass-Through Certificates, Senior Secured Notes

 

6.125

%

4/29/18

 

240,000

 

239,400

 

Continental Airlines Inc., Pass-Through Certificates, Senior Secured Notes

 

7.250

%

11/10/19

 

710,030

 

823,635

 

Delta Air Lines Inc., Pass-Through Certificates, Secured Notes

 

8.021

%

8/10/22

 

171,916

 

188,041

 

Delta Air Lines Inc., Pass-Through Certificates, Senior Secured Notes

 

7.750

%

12/17/19

 

636,567

 

735,235

 

United Air Lines Inc., Pass-Through Trust, Pass-Through Certificates, Secured Notes

 

9.750

%

1/15/17

 

185,618

 

214,852

 

United Air Lines Inc., Pass-Through Trust, Pass-Through Certificates, Senior Secured Notes

 

10.400

%

11/1/16

 

139,868

 

161,548

 

US Airways, Pass-Through Trust, Senior Secured Bonds

 

5.900

%

10/1/24

 

610,000

 

680,150

 

Total Airlines

 

 

 

 

 

 

 

3,928,042

 

Commercial Services & Supplies — 0.4%

 

 

 

 

 

 

 

 

 

Republic Services Inc., Senior Notes

 

5.500

%

9/15/19

 

220,000

 

262,048

 

Waste Management Inc., Senior Notes

 

7.750

%

5/15/32

 

500,000

 

692,734

 

Total Commercial Services & Supplies

 

 

 

 

 

 

 

954,782

 

Electrical Equipment — 0.7%

 

 

 

 

 

 

 

 

 

Eaton Corp., Senior Notes

 

4.150

%

11/2/42

 

1,830,000

 

1,786,276

(a)

Industrial Conglomerates — 0.8%

 

 

 

 

 

 

 

 

 

General Electric Co., Senior Notes

 

4.125

%

10/9/42

 

1,840,000

 

1,846,841

 

Machinery — 0.1%

 

 

 

 

 

 

 

 

 

Valmont Industries Inc., Senior Notes

 

6.625

%

4/20/20

 

180,000

 

213,408

 

Road & Rail — 0.3%

 

 

 

 

 

 

 

 

 

Kansas City Southern de Mexico SA de CV, Senior Notes

 

12.500

%

4/1/16

 

650,000

 

706,063

 

TOTAL INDUSTRIALS

 

 

 

 

 

 

 

11,322,824

 

INFORMATION TECHNOLOGY — 1.2%

 

 

 

 

 

 

 

 

 

Computers & Peripherals — 0.6%

 

 

 

 

 

 

 

 

 

Hewlett-Packard Co., Senior Notes

 

1.250

%

9/13/13

 

50,000

 

50,116

 

Hewlett-Packard Co., Senior Notes

 

4.650

%

12/9/21

 

1,400,000

 

1,439,182

 

Total Computers & Peripherals

 

 

 

 

 

 

 

1,489,298

 

IT Services — 0.3%

 

 

 

 

 

 

 

 

 

First Data Corp., Senior Secured Notes

 

6.750

%

11/1/20

 

140,000

 

144,375

(a)

Mantech International Corp., Senior Notes

 

7.250

%

4/15/18

 

540,000

 

576,450

 

Total IT Services

 

 

 

 

 

 

 

720,825

 

Semiconductors & Semiconductor Equipment — 0.2%

 

 

 

 

 

 

 

National Semiconductor Corp., Senior Notes

 

6.600

%

6/15/17

 

360,000

 

440,699

 

Software — 0.1%

 

 

 

 

 

 

 

 

 

Interface Security Systems Holdings Inc./Interface Security Systems LLC, Senior Secured Notes

 

9.250

%

1/15/18

 

320,000

 

327,200

(a)

TOTAL INFORMATION TECHNOLOGY

 

 

 

 

 

 

 

2,978,022

 

MATERIALS — 6.4%

 

 

 

 

 

 

 

 

 

Chemicals — 0.4%

 

 

 

 

 

 

 

 

 

Dow Chemical Co., Senior Notes

 

4.375

%

11/15/42

 

330,000

 

317,349

 

Ecolab Inc., Senior Notes

 

5.500

%

12/8/41

 

260,000

 

305,298

 

Potash Corp. of Saskatchewan Inc., Senior Notes

 

5.625

%

12/1/40

 

250,000

 

297,283

 

Total Chemicals

 

 

 

 

 

 

 

919,930

 

Containers & Packaging — 0.9%

 

 

 

 

 

 

 

 

 

Rock-Tenn Co., Senior Notes

 

3.500

%

3/1/20

 

680,000

 

692,341

(a)

Rock-Tenn Co., Senior Notes

 

4.900

%

3/1/22

 

790,000

 

848,609

(a)

 

See Notes to Schedule of Investments.

 

5


 

WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)

February 28, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT

 

VALUE

 

Containers & Packaging — continued

 

 

 

 

 

 

 

 

 

 

 

Rock-Tenn Co., Senior Notes

 

4.000

%

3/1/23

 

$

560,000

 

$

563,930

(a)

Total Containers & Packaging

 

 

 

 

 

 

 

2,104,880

 

Metals & Mining — 5.1%

 

 

 

 

 

 

 

 

 

Barrick Gold Corp., Senior Notes

 

5.250

%

4/1/42

 

1,380,000

 

1,442,742

 

Cliffs Natural Resources Inc., Senior Notes

 

3.950

%

1/15/18

 

180,000

 

186,209

 

Cliffs Natural Resources Inc., Senior Notes

 

5.900

%

3/15/20

 

290,000

 

317,643

 

Cliffs Natural Resources Inc., Senior Notes

 

4.800

%

10/1/20

 

570,000

 

585,899

 

Cliffs Natural Resources Inc., Senior Notes

 

4.875

%

4/1/21

 

820,000

 

842,662

 

FMG Resources (August 2006) Pty Ltd., Senior Notes

 

7.000

%

11/1/15

 

1,260,000

 

1,326,150

(a)

Freeport-McMoRan Copper & Gold Inc., Senior Notes

 

2.375

%

3/15/18

 

150,000

 

149,985

(a)

Freeport-McMoRan Copper & Gold Inc., Senior Notes

 

3.100

%

3/15/20

 

170,000

 

169,935

(a)

Freeport-McMoRan Copper & Gold Inc., Senior Notes

 

5.450

%

3/15/43

 

210,000

 

209,042

(a)

Rio Tinto Finance USA Ltd., Senior Notes

 

9.000

%

5/1/19

 

2,000,000

 

2,786,262

 

Southern Copper Corp., Senior Notes

 

5.375

%

4/16/20

 

260,000

 

296,343

 

Steel Dynamics Inc., Senior Notes

 

6.125

%

8/15/19

 

240,000

 

258,000

(a)

Vale Overseas Ltd., Notes

 

6.875

%

11/21/36

 

2,100,000

 

2,487,744

 

Xstrata Finance Canada Ltd., Senior Bonds

 

5.800

%

11/15/16

 

1,200,000

 

1,374,319

(a)

Total Metals & Mining

 

 

 

 

 

 

 

12,432,935

 

TOTAL MATERIALS

 

 

 

 

 

 

 

15,457,745

 

TELECOMMUNICATION SERVICES — 7.5%

 

 

 

 

 

 

 

 

 

Diversified Telecommunication Services — 4.8%

 

 

 

 

 

 

 

 

 

AT&T Inc., Global Notes

 

5.600

%

5/15/18

 

1,500,000

 

1,791,522

 

AT&T Inc., Global Notes

 

6.550

%

2/15/39

 

250,000

 

315,254

 

AT&T Inc., Senior Notes

 

5.550

%

8/15/41

 

1,330,000

 

1,505,645

 

British Telecommunications PLC, Bonds

 

9.625

%

12/15/30

 

2,000,000

 

3,114,934

 

CC Holdings GS V LLC, Senior Secured Notes

 

2.381

%

12/15/17

 

610,000

 

614,781

(a)

Embarq Corp., Notes

 

7.995

%

6/1/36

 

1,500,000

 

1,595,797

 

Koninklijke KPN NV, Senior Notes

 

8.375

%

10/1/30

 

330,000

 

436,754

 

Telecom Italia Capital SpA, Senior Notes

 

7.721

%

6/4/38

 

1,000,000

 

1,052,112

 

Telefonica Emisiones SAU, Senior Notes

 

3.729

%

4/27/15

 

390,000

 

401,836

 

Telefonica Emisiones SAU, Senior Notes

 

5.877

%

7/15/19

 

400,000

 

436,872

 

Telefonica Emisiones SAU, Senior Notes

 

7.045

%

6/20/36

 

210,000

 

223,146

 

Verizon Communications Inc., Senior Notes

 

3.850

%

11/1/42

 

160,000

 

144,684

 

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

11,633,337

 

Wireless Telecommunication Services — 2.7%

 

 

 

 

 

 

 

 

 

America Movil SAB de CV, Senior Notes

 

6.125

%

3/30/40

 

1,400,000

 

1,698,686

 

Cellco Partnership/Verizon Wireless Capital LLC, Senior Notes

 

8.500

%

11/15/18

 

2,000,000

 

2,710,828

 

Rogers Communications Inc., Senior Notes

 

6.800

%

8/15/18

 

1,000,000

 

1,262,516

 

Sprint Nextel Corp., Senior Notes

 

9.000

%

11/15/18

 

280,000

 

347,900

(a)

Telefonica Europe BV

 

8.250

%

9/15/30

 

390,000

 

457,837

 

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

6,477,767

 

TOTAL TELECOMMUNICATION SERVICES

 

 

 

 

 

 

 

18,111,104

 

UTILITIES — 7.5%

 

 

 

 

 

 

 

 

 

Electric Utilities — 5.8%

 

 

 

 

 

 

 

 

 

Commonwealth Edison Co., First Mortgage Bonds

 

5.800

%

3/15/18

 

600,000

 

725,237

 

Commonwealth Edison Co., First Mortgage Bonds

 

6.450

%

1/15/38

 

600,000

 

808,953

 

Duke Energy Indiana Inc., Senior Notes

 

5.000

%

9/15/13

 

30,000

 

30,707

 

Electricite de France S.A., Subordinated Notes

 

5.250

%

1/29/23

 

350,000

 

345,232

(a)(b)(c)

FirstEnergy Corp., Notes

 

7.375

%

11/15/31

 

2,590,000

 

3,083,620

 

FirstEnergy Corp., Senior Notes

 

4.250

%

3/15/23

 

600,000

 

599,556

 

GenOn REMA LLC, Pass-Through Certificates

 

9.681

%

7/2/26

 

2,000,000

 

2,180,000

 

IPALCO Enterprises Inc., Senior Secured Notes

 

7.250

%

4/1/16

 

1,030,000

 

1,158,750

(a)

MidAmerican Energy Holdings Co., Bonds

 

6.125

%

4/1/36

 

1,000,000

 

1,259,710

 

 

See Notes to Schedule of Investments.

 

6


 

WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)

February 28, 2013

 

SECURITY

 

RATE

 

MATURITY
DATE

 

FACE
AMOUNT

 

VALUE

 

Electric Utilities — continued

 

 

 

 

 

 

 

 

 

 

 

MidAmerican Energy Holdings Co., Senior Notes

 

5.750%

 

4/1/18

 

$

1,000,000

 

$

1,206,977

 

Pacific Gas & Electric Co., Senior Notes

 

8.250%

 

10/15/18

 

600,000

 

812,259

 

Pacific Gas & Electric Co., Senior Notes

 

5.800%

 

3/1/37

 

820,000

 

1,019,559

 

Virginia Electric and Power Co., Senior Notes

 

8.875%

 

11/15/38

 

500,000

 

850,992

 

Total Electric Utilities

 

 

 

 

 

 

 

14,081,552

 

Gas Utilities — 0.9%

 

 

 

 

 

 

 

 

 

Southern Natural Gas Co., Senior Notes

 

8.000%

 

3/1/32

 

1,500,000

 

2,134,779

 

Independent Power Producers & Energy Traders — 0.5%

 

 

 

 

 

 

 

AES Corp., Senior Notes

 

8.000%

 

6/1/20

 

1,100,000

 

1,284,250

 

Multi-Utilities — 0.3%

 

 

 

 

 

 

 

 

 

Dominion Resources Inc., Senior Notes

 

8.875%

 

1/15/19

 

500,000

 

683,655

 

TOTAL UTILITIES

 

 

 

 

 

 

 

18,184,236

 

TOTAL CORPORATE BONDS & NOTES (Cost — $194,929,073)

 

 

 

225,734,046

 

COLLATERALIZED SENIOR LOANS — 1.5%

 

 

 

 

 

 

 

 

 

CONSUMER DISCRETIONARY — 0.6%

 

 

 

 

 

 

 

 

 

Hotels, Restaurants & Leisure — 0.4%

 

 

 

 

 

 

 

 

 

CCM Merger Inc., New Term Loan B

 

6.000%

 

3/1/17

 

851,473

 

860,343

(d)

Media — 0.2%

 

 

 

 

 

 

 

 

 

Cengage Learning Acquisitions Inc., Extended Term Loan

 

5.710%

 

7/5/17

 

675,065

 

513,893

(d)

TOTAL CONSUMER DISCRETIONARY

 

 

 

 

 

 

 

1,374,236

 

INDUSTRIALS — 0.8%

 

 

 

 

 

 

 

 

 

Commercial Services & Supplies — 0.8%

 

 

 

 

 

 

 

 

 

Nielsen Finance LLC, Term Loan B

 

3.949%

 

5/2/16

 

962,813

 

965,219

(d)

Nielsen Finance LLC, Term Loan E

 

—    

 

5/2/16

 

981,712

 

988,052

(e)

TOTAL INDUSTRIALS

 

 

 

 

 

 

 

1,953,271

 

INFORMATION TECHNOLOGY — 0.1%

 

 

 

 

 

 

 

 

 

IT Services — 0.1%

 

 

 

 

 

 

 

 

 

First Data Corp., Extended Term Loan B

 

4.202%

 

3/23/18

 

401,246

 

397,198

(d)

TOTAL COLLATERALIZED SENIOR LOANS (Cost — $3,697,307)

 

 

3,724,705

 

MUNICIPAL BONDS — 0.2%

 

 

 

 

 

 

 

 

 

Pennsylvania — 0.2%

 

 

 

 

 

 

 

 

 

Philadelphia, PA, Authority For Industrial Development, City Service Agreement Revenue, Taxable (Cost - $380,000)

 

3.964%

 

4/15/26

 

380,000

 

380,528

 

SOVEREIGN BONDS — 0.8%

 

 

 

 

 

 

 

 

 

Russia — 0.8%

 

 

 

 

 

 

 

 

 

RSHB Capital, Loan Participation Notes, Senior Secured Notes

 

9.000%

 

6/11/14

 

1,000,000

 

1,083,950

(a)

Russian Foreign Bond - Eurobond, Senior Bonds

 

7.500%

 

3/31/30

 

775,000

 

966,510

(a)

TOTAL SOVEREIGN BONDS (Cost — $1,793,771)

 

 

 

 

 

2,050,460

 

U.S. GOVERNMENT & AGENCY OBLIGATIONS — 0.3%

 

 

 

 

 

 

 

 

U.S. Government Obligations — 0.3%

 

 

 

 

 

 

 

 

 

U.S. Treasury Bonds

 

2.750%

 

8/15/42

 

490,000

 

456,772

 

U.S. Treasury Notes

 

0.875%

 

1/31/18

 

20,000

 

20,122

 

U.S. Treasury Notes

 

2.000%

 

2/15/23

 

210,000

 

212,166

 

TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $680,123)

 

 

689,060

 

 

See Notes to Schedule of Investments.

 

7


 

WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)

February 28, 2013

 

SECURITY

 

 

 

 

 

SHARES

 

VALUE

 

COMMON STOCKS — 0.4%

 

 

 

 

 

 

 

 

 

FINANCIALS — 0.4%

 

 

 

 

 

 

 

 

 

Diversified Financial Services — 0.4%

 

 

 

 

 

 

 

 

 

Citigroup Inc. (Cost - $888,750)

 

 

 

 

 

20,943

 

$

878,978

 

 

 

 

 

 

 

 

 

 

 

 

 

RATE

 

 

 

 

 

 

 

PREFERRED STOCKS — 1.3%

 

 

 

 

 

 

 

 

 

FINANCIALS — 1.3%

 

 

 

 

 

 

 

 

 

Consumer Finance — 1.1%

 

 

 

 

 

 

 

 

 

GMAC Capital Trust I

 

8.125%

 

 

 

98,600

 

2,616,844

(b)

Diversified Financial Services — 0.2%

 

 

 

 

 

 

 

 

 

Citigroup Capital XIII

 

7.875%

 

 

 

17,525

 

495,081

(b)

TOTAL PREFERRED STOCKS (Cost — $2,834,793)

 

 

 

 

 

3,111,925

 

TOTAL INVESTMENTS — 98.2% (Cost — $205,203,817#)

 

 

 

 

 

236,569,702

 

Other Assets in Excess of Liabilities — 1.8%

 

 

 

 

 

 

 

4,250,262

 

TOTAL NET ASSETS — 100.0%

 

 

 

 

 

 

 

$

240,819,964

 

 

(a)

 

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

(b)

 

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

(c)

 

Security has no maturity date. The date shown represents the next call date.

(d)

 

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

(e)

 

All or a portion of this loan is unfunded as of February 28, 2013. The interest rate for fully unfunded term loans is to be determined.

#

 

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

 

See Notes to Schedule of Investments.

 

8

 


 

Notes to schedule of investments (unaudited)

 

1. Organization and significant accounting policies

 

Western Asset Investment Grade Defined Opportunity Trust Inc. (the “Fund”) was incorporated in Maryland on April 24, 2009 and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Fund’s net assets to stockholders on or about December 2, 2024. As a secondary investment objective, the Fund will seek capital appreciation. There can be no assurance the Fund will achieve its investment objectives.

 

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

 

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

 

The Board of Directors is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North American Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the Board of Directors, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Board of Directors. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.

 

The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances.  Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.

 

For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Directors quarterly.

 

The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities.

 

9


 

Notes to schedule of investments (unaudited) (continued)

 

The income approach uses valuation techniques to discount estimated future cash flows to present value.

 

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

 

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

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

·                  Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

 

The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:

 

ASSETS

DESCRIPTION

 

QUOTED
PRICES
(LEVEL 1)

 

OTHER
SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)

 

SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)

 

TOTAL

 

Long-term investments†:

 

 

 

 

 

 

 

 

 

Corporate bonds & notes

 

 

$

225,734,046

 

 

$

225,734,046

 

Collateralized senior loans

 

 

3,724,705

 

 

3,724,705

 

Municpal bonds

 

 

380,528

 

 

380,528

 

Sovereign bonds

 

 

2,050,460

 

 

2,050,460

 

U.S. government & agency obligations

 

 

689,060

 

 

689,060

 

Common stocks

 

$

878,978

 

 

 

878,978

 

Preferred stocks

 

3,111,925

 

 

 

3,111,925

 

Total long-term investments

 

$

3,990,903

 

$

232,578,799

 

 

$

236,569,702

 

Other financial instruments:

 

 

 

 

 

 

 

 

 

Futures contracts

 

$

750

 

 

 

$

750

 

Forward foreign currency contracts

 

 

$

163,172

 

 

163,172

 

Total other financial instruments

 

$

750

 

$

163,172

 

 

$

163,922

 

Total

 

$

3,991,653

 

$

232,741,971

 

 

$

236,733,624

 

 

10


 

Notes to schedule of investments (unaudited) (continued)

 

LIABILITIES

DESCRIPTION

 

QUOTED
PRICES
(LEVEL 1)

 

OTHER
SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)

 

SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)

 

TOTAL

 

Other financial instruments:

 

 

 

 

 

 

 

 

 

Futures contracts

 

$

169,823

 

 

 

$

169,823

 

Forward foreign currency contracts

 

 

$

36,642

 

 

36,642

 

Total

 

$

169,823

 

$

36,642

 

$

 

$

206,465

 

†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, margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded.

 

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

 

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

 

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

 

(e) 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.

 

11


 

Notes to schedule of investments (unaudited) (continued)

 

(f) Unfunded loan commitments. The Fund may enter into certain credit agreements all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. The commitments are disclosed in the accompanying Schedule of Investments. At February 28, 2013, the Fund had sufficient cash and/or securities to cover these commitments.

 

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

 

Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.

 

(h) 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 investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.

 

(i) Foreign investment risks. The Fund’s investments in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies, may require settlement in foreign currencies or pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.

 

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

 

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

 

As of February 28, 2013, the Fund held forward foreign currency contracts with credit related contingent features which had a liability position of $36,642. If a contingent feature in the master agreements would have been triggered, the Fund would have been required to pay this amount to its derivatives counterparties.

 

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

 

2.  Investments

 

At February 28, 2013, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:

 

Gross unrealized appreciation

 

$

31,914,658

 

Gross unrealized depreciation

 

(548,773

)

Net unrealized appreciation

 

$

31,365,885

 

 

12


 

Notes to schedule of investments (unaudited) (continued)

 

At February 28, 2013, the Fund had the following open futures contracts:

 

 

 

NUMBER OF
CONTRACTS

 

EXPIRATION
DATE

 

BASIS
VALUE

 

MARKET
VALUE

 

UNREALIZED
GAIN (LOSS)

 

Contracts to Buy:

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury 5-Year Notes

 

19

 

6/13

 

$

2,354,952

 

$

2,355,702

 

$

750

 

U.S. Treasury Ultra Long-Term Bonds

 

10

 

6/13

 

1,586,126

 

1,580,000

 

(6,126

)

 

 

 

 

 

 

 

 

 

 

(5,376

)

Contracts to Sell:

 

 

 

 

 

 

 

 

 

 

 

U.S. Treasury 2-Year Notes

 

4

 

6/13

 

881,675

 

881,875

 

(200

)

U.S. Treasury 10-Year Notes

 

49

 

3/13

 

6,451,278

 

6,502,453

 

(51,175

)

U.S. Treasury 10-Year Notes

 

93

 

6/13

 

12,211,807

 

12,233,859

 

(22,052

)

U.S. Treasury 30-Year Bonds

 

131

 

6/13

 

18,745,074

 

18,835,344

 

(90,270

)

 

 

 

 

 

 

 

 

 

 

(163,697

)

Net unrealized loss on open futures contracts

 

 

 

 

 

 

 

$

(169,073

)

 

At February 28, 2013, the Fund had the following open forward foreign currency contracts:

 

FOREIGN CURRENCY

 

COUNTERPARTY

 

LOCAL
CURRENCY

 

MARKET
VALUE

 

SETTLEMENT
DATE

 

UNREALIZED
GAIN (LOSS)

 

Contracts to Buy:

 

 

 

 

 

 

 

 

 

 

 

Japanese Yen

 

Citibank, N.A.

 

324,780,000

 

$

3,505,699

 

5/16/13

 

$

13,741

 

Contracts to Sell:

 

 

 

 

 

 

 

 

 

 

 

Euro

 

Citibank, N.A.

 

2,226,145

 

2,907,938

 

5/16/13

 

106,489

 

Japanese Yen

 

Citibank, N.A.

 

324,780,000

 

3,505,699

 

5/16/13

 

(36,642

)

British Pound

 

Barclays Bank PLC

 

617,000

 

935,765

 

4/25/13

 

42,942

 

 

 

 

 

 

 

 

 

 

 

112,789

 

Net unrealized gain on open forward foreign currency contracts

 

 

 

 

 

$

126,530

 

 

3. Derivative instruments and hedging activities

 

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

 

The following is a summary of the Fund’s derivative instruments categorized by risk exposure at February 28, 2013.

 

 

 

Futures Contracts

 

Forward Foreign Currency Contracts

 

 

 

Primary Underlying
Risk

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

Unrealized
Appreciation

 

Unrealized
Depreciation

 

Total

 

Interest Rate Risk

 

$

750

 

$

(169,823

)

 

 

$

(169,073

)

Foreign Exchange Risk

 

 

 

$

163,172

 

$

(36,642

)

126,530

 

Total

 

$

750

 

$

(169,823

)

$

163,172

 

$

(36,642

)

$

(42,543

)

 

During the period ended February 28, 2013, the volume of derivative activity for the Fund was as follows:

 

 

 

Average market
value

Futures contracts (to buy)

 

$

4,652,969

 

Futures contracts (to sell)

 

34,082,066

 

Forward foreign currency contracts (to buy)

 

876,425

 

Forward foreign currency contracts (to sell)

 

6,559,262

 

 

 

 

Average
Notional Balance

Credit default swap contracts (to buy protection)†

 

$

26,667

 

 

†    At February 28, 2013, there were no open portions held in this derivative.

 

13

 


 

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:  April 25, 2013

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By

/s/ R. Jay Gerken

 

 

R. Jay Gerken

 

 

Chief Executive Officer

 

 

 

 

Date:

  April 25, 2013

 

 

 

 

By

/s/ Richard F. Sennett

 

 

Richard F. Sennett

 

 

Principal Financial Officer

 

 

Date:   April 25, 2013