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) | ||||||||
| ||||||||
Registrants 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 |
|
FACE |
|
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.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
February 28, 2013
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
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.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
February 28, 2013
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
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.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
February 28, 2013
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
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.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
February 28, 2013
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
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.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
February 28, 2013
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
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.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
February 28, 2013
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
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.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (contd)
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.
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 Funds primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Funds net assets to stockholders on or about December 2, 2024. As a secondary investment objective, the Fund will seek capital appreciation. 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 investments 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 Funds 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 Funds 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 issuers 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.
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 1quoted prices in active markets for identical investments
· Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
· Level 3significant unobservable inputs (including the Funds 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 Funds assets and liabilities carried at fair value:
ASSETS | ||||||||||||
DESCRIPTION |
|
QUOTED |
|
OTHER |
|
SIGNIFICANT |
|
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 |
|
Notes to schedule of investments (unaudited) (continued)
LIABILITIES | |||||||||||||
DESCRIPTION |
|
QUOTED |
|
OTHER |
|
SIGNIFICANT |
|
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 Funds holding period. When entering into repurchase agreements, it is the Funds policy that its custodian or a third party custodian, acting on the Funds 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 Funds 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.
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 borrowers 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 Funds 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 Funds 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 Funds 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 Funds 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 |
|
Notes to schedule of investments (unaudited) (continued)
At February 28, 2013, the Fund had the following open futures contracts:
|
|
NUMBER OF |
|
EXPIRATION |
|
BASIS |
|
MARKET |
|
UNREALIZED |
| |||
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 |
|
MARKET |
|
SETTLEMENT |
|
UNREALIZED |
| ||
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 entitys derivative and hedging activities.
The following is a summary of the Funds derivative instruments categorized by risk exposure at February 28, 2013.
|
|
Futures Contracts |
|
Forward Foreign Currency Contracts |
|
|
| |||||||||
Primary Underlying |
|
Unrealized |
|
Unrealized |
|
Unrealized |
|
Unrealized |
|
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 | ||
Credit default swap contracts (to buy protection) |
|
$ |
26,667 |
|
At February 28, 2013, there were no open portions held in this derivative.
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants last fiscal quarter that have materially affected, or are likely to materially affect the registrants internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
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