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. | ||||||||
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(Exact name of registrant as specified in charter) | ||||||||
|
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620 Eighth Avenue, 49th Floor, New York, NY |
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10018 | ||||||
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(Address of principal executive offices) |
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(Zip code) | ||||||
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| ||||||||
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Robert I. Frenkel, Esq. Legg Mason & Co., LLC 100 First Stamford Place Stamford, CT 06902 | ||||||||
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(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: |
1-888-777-0102 |
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Date of fiscal year end: |
November 30 |
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Date of reporting period: |
August 31, 2013 |
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ITEM 1. SCHEDULE OF INVESTMENTS.
WESTERN ASSET INVESTMENT GRADE
DEFINED OPPORTUNITY TRUST INC.
FORM N-Q
AUGUST 31, 2013
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited)
August 31, 2013
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
CORPORATE BONDS & NOTES — 93.2% |
|
|
|
|
|
|
|
|
| ||
|
CONSUMER DISCRETIONARY — 10.3% |
|
|
|
|
|
|
|
|
| ||
|
Automobiles — 1.9% |
|
|
|
|
|
|
|
|
| ||
|
Ford Motor Co., Senior Bonds |
|
9.215% |
|
9/15/21 |
|
$ |
1,140,000 |
|
$ |
1,438,757 |
|
|
Ford Motor Co., Senior Notes |
|
4.750% |
|
1/15/43 |
|
550,000 |
|
488,964 |
| ||
|
Ford Motor Credit Co., LLC, Senior Notes |
|
12.000% |
|
5/15/15 |
|
1,000,000 |
|
1,173,895 |
| ||
|
Ford Motor Credit Co., LLC, Senior Notes |
|
8.125% |
|
1/15/20 |
|
640,000 |
|
780,541 |
| ||
|
Ford Motor Credit Co., LLC, Senior Notes |
|
4.250% |
|
9/20/22 |
|
380,000 |
|
370,956 |
| ||
|
Total Automobiles |
|
|
|
|
|
|
|
4,253,113 |
| ||
|
Hotels, Restaurants & Leisure — 0.6% |
|
|
|
|
|
|
|
|
| ||
|
Caesars Entertainment Operating Co. Inc., Senior Secured Notes |
|
11.250% |
|
6/1/17 |
|
1,250,000 |
|
1,290,625 |
| ||
|
Internet & Catalog Retail — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
QVC Inc., Senior Secured Notes |
|
5.125% |
|
7/2/22 |
|
670,000 |
|
667,642 |
| ||
|
QVC Inc., Senior Secured Notes |
|
4.375% |
|
3/15/23 |
|
350,000 |
|
327,911 |
| ||
|
Total Internet & Catalog Retail |
|
|
|
|
|
|
|
995,553 |
| ||
|
Media — 6.7% |
|
|
|
|
|
|
|
|
| ||
|
Comcast Corp., Bonds |
|
6.400% |
|
5/15/38 |
|
2,500,000 |
|
2,977,030 |
| ||
|
Comcast Corp., Senior Notes |
|
5.700% |
|
7/1/19 |
|
1,500,000 |
|
1,745,051 |
| ||
|
DISH DBS Corp., Senior Notes |
|
7.875% |
|
9/1/19 |
|
1,250,000 |
|
1,415,625 |
| ||
|
Lynx I Corp., Senior Secured Notes |
|
5.375% |
|
4/15/21 |
|
460,000 |
|
450,800 |
(a) | ||
|
News America Inc., Senior Notes |
|
6.650% |
|
11/15/37 |
|
2,400,000 |
|
2,773,627 |
| ||
|
Time Warner Cable Inc., Debentures |
|
7.300% |
|
7/1/38 |
|
500,000 |
|
521,705 |
| ||
|
Time Warner Cable Inc., Senior Notes |
|
8.750% |
|
2/14/19 |
|
1,390,000 |
|
1,649,962 |
| ||
|
Time Warner Inc., Senior Notes |
|
4.900% |
|
6/15/42 |
|
250,000 |
|
237,421 |
| ||
|
UBM PLC, Notes |
|
5.750% |
|
11/3/20 |
|
830,000 |
|
829,247 |
(a) | ||
|
Viacom Inc., Senior Notes |
|
5.850% |
|
9/1/43 |
|
700,000 |
|
713,859 |
| ||
|
Virgin Media Secured Finance PLC, Senior Secured Notes |
|
6.500% |
|
1/15/18 |
|
910,000 |
|
953,225 |
| ||
|
WPP Finance UK, Senior Notes |
|
8.000% |
|
9/15/14 |
|
1,000,000 |
|
1,070,137 |
| ||
|
Total Media |
|
|
|
|
|
|
|
15,337,689 |
| ||
|
Specialty Retail — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
American Greetings Corp., Senior Notes |
|
7.375% |
|
12/1/21 |
|
280,000 |
|
274,400 |
| ||
|
Gap Inc., Senior Notes |
|
5.950% |
|
4/12/21 |
|
1,240,000 |
|
1,377,872 |
| ||
|
Total Specialty Retail |
|
|
|
|
|
|
|
1,652,272 |
| ||
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
23,529,252 |
| ||
|
CONSUMER STAPLES — 4.3% |
|
|
|
|
|
|
|
|
| ||
|
Beverages — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
|
7.750% |
|
1/15/19 |
|
450,000 |
|
563,653 |
| ||
|
Pernod-Ricard SA, Senior Bonds |
|
5.750% |
|
4/7/21 |
|
590,000 |
|
657,224 |
(a) | ||
|
Pernod-Ricard SA, Senior Notes |
|
5.500% |
|
1/15/42 |
|
960,000 |
|
983,665 |
(a) | ||
|
Total Beverages |
|
|
|
|
|
|
|
2,204,542 |
| ||
|
Food Products — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Kraft Foods Group Inc., Senior Notes |
|
5.000% |
|
6/4/42 |
|
540,000 |
|
531,860 |
| ||
|
Mondelez International Inc., Senior Notes |
|
5.375% |
|
2/10/20 |
|
491,000 |
|
549,461 |
| ||
|
Total Food Products |
|
|
|
|
|
|
|
1,081,321 |
| ||
|
Tobacco — 2.8% |
|
|
|
|
|
|
|
|
| ||
|
Altria Group Inc., Senior Notes |
|
9.250% |
|
8/6/19 |
|
1,000,000 |
|
1,314,215 |
| ||
|
Lorillard Tobacco Co., Senior Notes |
|
8.125% |
|
6/23/19 |
|
540,000 |
|
651,058 |
| ||
|
Lorillard Tobacco Co., Senior Notes |
|
8.125% |
|
5/1/40 |
|
470,000 |
|
535,902 |
| ||
|
Lorillard Tobacco Co., Senior Notes |
|
7.000% |
|
8/4/41 |
|
510,000 |
|
527,195 |
| ||
|
Reynolds American Inc., Senior Notes |
|
4.750% |
|
11/1/42 |
|
1,220,000 |
|
1,070,162 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2013
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Tobacco — continued |
|
|
|
|
|
|
|
|
| ||
|
Reynolds American Inc., Senior Secured Notes |
|
7.625% |
|
6/1/16 |
|
$ |
2,000,000 |
|
$ |
2,315,640 |
|
|
Total Tobacco |
|
|
|
|
|
|
|
6,414,172 |
| ||
|
TOTAL CONSUMER STAPLES |
|
|
|
|
|
|
|
9,700,035 |
| ||
|
ENERGY — 11.4% |
|
|
|
|
|
|
|
|
| ||
|
Energy Equipment & Services — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Atwood Oceanics Inc., Senior Notes |
|
6.500% |
|
2/1/20 |
|
290,000 |
|
311,750 |
| ||
|
Oil, Gas & Consumable Fuels — 11.3% |
|
|
|
|
|
|
|
|
| ||
|
Anadarko Petroleum Corp., Senior Notes |
|
5.950% |
|
9/15/16 |
|
340,000 |
|
381,593 |
| ||
|
Apache Corp., Senior Notes |
|
5.100% |
|
9/1/40 |
|
140,000 |
|
141,438 |
| ||
|
Apache Corp., Senior Notes |
|
5.250% |
|
2/1/42 |
|
160,000 |
|
164,792 |
| ||
|
Apache Corp., Senior Notes |
|
4.750% |
|
4/15/43 |
|
840,000 |
|
813,999 |
| ||
|
Arch Coal Inc., Senior Notes |
|
7.000% |
|
6/15/19 |
|
440,000 |
|
356,400 |
| ||
|
ConocoPhillips, Notes |
|
6.500% |
|
2/1/39 |
|
1,500,000 |
|
1,903,159 |
| ||
|
DCP Midstream LLC, Senior Notes |
|
9.750% |
|
3/15/19 |
|
1,000,000 |
|
1,268,265 |
(a) | ||
|
Devon Financing Corp. LLC, Debentures |
|
7.875% |
|
9/30/31 |
|
1,080,000 |
|
1,396,282 |
| ||
|
Energy Transfer Equity LP, Senior Notes |
|
7.500% |
|
10/15/20 |
|
420,000 |
|
459,900 |
| ||
|
Enterprise Products Operating LLC, Senior Notes |
|
9.750% |
|
1/31/14 |
|
2,000,000 |
|
2,071,734 |
| ||
|
EOG Resources Inc., Senior Notes |
|
6.875% |
|
10/1/18 |
|
800,000 |
|
972,016 |
| ||
|
Hess Corp., Notes |
|
8.125% |
|
2/15/19 |
|
1,400,000 |
|
1,745,736 |
| ||
|
Hess Corp., Notes |
|
7.875% |
|
10/1/29 |
|
440,000 |
|
551,619 |
| ||
|
Hess Corp., Senior Bonds |
|
6.000% |
|
1/15/40 |
|
520,000 |
|
557,437 |
| ||
|
Kerr-McGee Corp., Notes |
|
6.950% |
|
7/1/24 |
|
1,320,000 |
|
1,560,438 |
| ||
|
Kerr-McGee Corp., Notes |
|
7.875% |
|
9/15/31 |
|
710,000 |
|
903,197 |
| ||
|
Kinder Morgan Energy Partners LP, Senior Notes |
|
5.950% |
|
2/15/18 |
|
800,000 |
|
916,762 |
| ||
|
Noble Energy Inc., Senior Notes |
|
6.000% |
|
3/1/41 |
|
660,000 |
|
751,562 |
| ||
|
Pacific Rubiales Energy Corp., Senior Notes |
|
5.125% |
|
3/28/23 |
|
160,000 |
|
142,400 |
(a) | ||
|
Pemex Project Funding Master Trust, Senior Bonds |
|
6.625% |
|
6/15/35 |
|
1,000,000 |
|
1,032,500 |
| ||
|
Petrobras Global Finance BV, Senior Notes |
|
4.375% |
|
5/20/23 |
|
440,000 |
|
389,397 |
| ||
|
Petrobras International Finance Co., Senior Notes |
|
5.750% |
|
1/20/20 |
|
1,109,000 |
|
1,128,068 |
| ||
|
Petrobras International Finance Co., Senior Notes |
|
6.750% |
|
1/27/41 |
|
1,730,000 |
|
1,615,848 |
| ||
|
Petroleos Mexicanos, Senior Notes |
|
5.500% |
|
1/21/21 |
|
250,000 |
|
266,000 |
| ||
|
Plains Exploration & Production Co., Senior Notes |
|
6.500% |
|
11/15/20 |
|
50,000 |
|
53,286 |
| ||
|
Plains Exploration & Production Co., Senior Notes |
|
6.875% |
|
2/15/23 |
|
630,000 |
|
671,460 |
| ||
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
5.400% |
|
8/15/41 |
|
10,000 |
|
10,398 |
| ||
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
4.450% |
|
8/1/42 |
|
860,000 |
|
784,391 |
| ||
|
Valero Energy Corp., Senior Notes |
|
9.375% |
|
3/15/19 |
|
700,000 |
|
905,360 |
| ||
|
Williams Cos. Inc., Notes |
|
7.875% |
|
9/1/21 |
|
952,000 |
|
1,133,617 |
| ||
|
Williams Cos. Inc., Senior Notes |
|
7.750% |
|
6/15/31 |
|
62,000 |
|
71,089 |
| ||
|
Williams Cos. Inc., Senior Notes |
|
8.750% |
|
3/15/32 |
|
148,000 |
|
184,305 |
| ||
|
Williams Partners LP, Senior Notes |
|
5.250% |
|
3/15/20 |
|
460,000 |
|
492,630 |
| ||
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
25,797,078 |
| ||
|
TOTAL ENERGY |
|
|
|
|
|
|
|
26,108,828 |
| ||
|
FINANCIALS — 35.9% |
|
|
|
|
|
|
|
|
| ||
|
Capital Markets — 9.6% |
|
|
|
|
|
|
|
|
| ||
|
Bank of New York Mellon Corp., Junior Subordinated Notes |
|
4.500% |
|
6/20/23 |
|
460,000 |
|
412,850 |
(b)(c) | ||
|
Bear Stearns Cos. LLC, Senior Notes |
|
7.250% |
|
2/1/18 |
|
1,570,000 |
|
1,868,201 |
| ||
|
Deutsche Bank AG, Subordinated Notes |
|
4.296% |
|
5/24/28 |
|
1,190,000 |
|
1,070,197 |
(b) | ||
|
Goldman Sachs Group Inc., Senior Notes |
|
5.950% |
|
1/18/18 |
|
4,250,000 |
|
4,759,218 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
7.500% |
|
2/15/19 |
|
500,000 |
|
597,185 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
5.375% |
|
3/15/20 |
|
470,000 |
|
512,034 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
5.250% |
|
7/27/21 |
|
870,000 |
|
931,158 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
6.250% |
|
2/1/41 |
|
2,550,000 |
|
2,854,098 |
| ||
|
Merrill Lynch & Co. Inc., Notes |
|
6.875% |
|
4/25/18 |
|
990,000 |
|
1,152,482 |
| ||
|
Merrill Lynch & Co. Inc., Subordinated Notes |
|
7.750% |
|
5/14/38 |
|
670,000 |
|
809,056 |
| ||
|
Morgan Stanley, Medium-Term Notes |
|
6.625% |
|
4/1/18 |
|
1,750,000 |
|
2,007,621 |
| ||
|
Morgan Stanley, Senior Notes |
|
5.500% |
|
1/26/20 |
|
1,950,000 |
|
2,137,149 |
| ||
|
Morgan Stanley, Senior Notes |
|
5.500% |
|
7/24/20 |
|
200,000 |
|
218,975 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2013
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Capital Markets — continued |
|
|
|
|
|
|
|
|
| ||
|
Morgan Stanley, Senior Notes |
|
6.375% |
|
7/24/42 |
|
$ |
140,000 |
|
$ |
156,084 |
|
|
State Street Corp., Junior Subordinated Notes |
|
4.956% |
|
3/15/18 |
|
1,330,000 |
|
1,454,062 |
| ||
|
UBS AG Stamford CT, Subordinated Notes |
|
7.625% |
|
8/17/22 |
|
330,000 |
|
362,769 |
| ||
|
Vesey Street Investment Trust I, Senior Notes |
|
4.404% |
|
9/1/16 |
|
540,000 |
|
575,351 |
| ||
|
Total Capital Markets |
|
|
|
|
|
|
|
21,878,490 |
| ||
|
Commercial Banks — 6.3% |
|
|
|
|
|
|
|
|
| ||
|
Barclays Bank PLC, Subordinated Notes |
|
7.625% |
|
11/21/22 |
|
360,000 |
|
352,350 |
| ||
|
CIT Group Inc., Secured Notes |
|
5.250% |
|
4/1/14 |
|
630,000 |
|
643,387 |
(a) | ||
|
CIT Group Inc., Secured Notes |
|
6.625% |
|
4/1/18 |
|
480,000 |
|
520,800 |
(a) | ||
|
CIT Group Inc., Senior Notes |
|
5.000% |
|
8/1/23 |
|
350,000 |
|
328,404 |
| ||
|
Credit Agricole SA, Subordinated Notes |
|
8.375% |
|
10/13/19 |
|
500,000 |
|
547,500 |
(a)(b)(c) | ||
|
M&T Bank Corp., Junior Subordinated Notes |
|
6.875% |
|
6/15/16 |
|
520,000 |
|
527,984 |
(a)(c) | ||
|
Royal Bank of Scotland Group PLC, Junior Subordinated Bonds |
|
7.648% |
|
9/30/31 |
|
580,000 |
|
571,300 |
(b)(c) | ||
|
Royal Bank of Scotland Group PLC, Senior Notes |
|
6.400% |
|
10/21/19 |
|
1,170,000 |
|
1,314,275 |
| ||
|
Royal Bank of Scotland Group PLC, Subordinated Notes |
|
5.000% |
|
10/1/14 |
|
790,000 |
|
806,800 |
| ||
|
Royal Bank of Scotland Group PLC, Subordinated Notes |
|
6.100% |
|
6/10/23 |
|
1,860,000 |
|
1,793,075 |
| ||
|
Royal Bank of Scotland NV, Subordinated Notes |
|
7.750% |
|
5/15/23 |
|
820,000 |
|
853,034 |
| ||
|
Wachovia Capital Trust III, Junior Subordinated Bonds |
|
5.570% |
|
10/17/13 |
|
410,000 |
|
389,500 |
(b)(c) | ||
|
Wachovia Corp., Senior Notes |
|
5.750% |
|
2/1/18 |
|
4,400,000 |
|
5,045,854 |
| ||
|
Wells Fargo & Co., Subordinated Notes |
|
4.125% |
|
8/15/23 |
|
690,000 |
|
677,334 |
| ||
|
Total Commercial Banks |
|
|
|
|
|
|
|
14,371,597 |
| ||
|
Consumer Finance — 1.6% |
|
|
|
|
|
|
|
|
| ||
|
General Motors Financial Co. Inc., Senior Notes |
|
3.250% |
|
5/15/18 |
|
230,000 |
|
221,375 |
(a) | ||
|
General Motors Financial Co. Inc., Senior Notes |
|
4.250% |
|
5/15/23 |
|
270,000 |
|
243,675 |
(a) | ||
|
HSBC Finance Corp., Senior Notes |
|
6.676% |
|
1/15/21 |
|
1,620,000 |
|
1,831,752 |
| ||
|
SLM Corp., Senior Notes |
|
7.250% |
|
1/25/22 |
|
1,430,000 |
|
1,469,325 |
| ||
|
Total Consumer Finance |
|
|
|
|
|
|
|
3,766,127 |
| ||
|
Diversified Financial Services — 14.4% |
|
|
|
|
|
|
|
|
| ||
|
Bank of America Corp., Junior Subordinated Notes |
|
5.200% |
|
6/1/23 |
|
1,390,000 |
|
1,240,575 |
(b)(c) | ||
|
Bank of America Corp., Senior Notes |
|
7.625% |
|
6/1/19 |
|
2,760,000 |
|
3,325,974 |
| ||
|
Bank of America Corp., Senior Notes |
|
5.625% |
|
7/1/20 |
|
180,000 |
|
198,385 |
| ||
|
Bank of America Corp., Senior Notes |
|
5.875% |
|
2/7/42 |
|
1,340,000 |
|
1,494,903 |
| ||
|
Citigroup Inc., Junior Subordinated Bonds |
|
5.350% |
|
5/15/23 |
|
930,000 |
|
828,921 |
(b)(c) | ||
|
Citigroup Inc., Senior Notes |
|
6.375% |
|
8/12/14 |
|
300,000 |
|
316,138 |
| ||
|
Citigroup Inc., Senior Notes |
|
6.000% |
|
8/15/17 |
|
2,250,000 |
|
2,549,218 |
| ||
|
Citigroup Inc., Senior Notes |
|
8.500% |
|
5/22/19 |
|
500,000 |
|
634,571 |
| ||
|
Citigroup Inc., Senior Notes |
|
6.875% |
|
3/5/38 |
|
2,000,000 |
|
2,503,222 |
| ||
|
Citigroup Inc., Senior Notes |
|
8.125% |
|
7/15/39 |
|
1,350,000 |
|
1,864,145 |
| ||
|
Citigroup Inc., Subordinated Notes |
|
4.050% |
|
7/30/22 |
|
780,000 |
|
752,009 |
| ||
|
Citigroup Inc., Subordinated Notes |
|
3.500% |
|
5/15/23 |
|
500,000 |
|
451,718 |
| ||
|
General Electric Capital Corp., Junior Subordinated Bonds |
|
7.125% |
|
6/15/22 |
|
100,000 |
|
110,429 |
(b)(c) | ||
|
General Electric Capital Corp., Junior Subordinated Bonds |
|
6.250% |
|
12/15/22 |
|
1,000,000 |
|
1,019,130 |
(b)(c) | ||
|
General Electric Capital Corp., Notes |
|
5.300% |
|
2/11/21 |
|
130,000 |
|
140,648 |
| ||
|
General Electric Capital Corp., Senior Notes |
|
6.875% |
|
1/10/39 |
|
3,260,000 |
|
3,965,986 |
| ||
|
General Electric Capital Corp., Subordinated Debentures |
|
6.375% |
|
11/15/67 |
|
1,300,000 |
|
1,376,375 |
(b) | ||
|
ILFC E-Capital Trust I, Junior Subordinated Notes |
|
4.960% |
|
12/21/65 |
|
800,000 |
|
688,000 |
(a)(b) | ||
|
ING US Inc., Junior Subordinated Notes |
|
5.650% |
|
5/15/53 |
|
440,000 |
|
409,415 |
(b) | ||
|
ING US Inc., Senior Notes |
|
5.500% |
|
7/15/22 |
|
1,260,000 |
|
1,349,823 |
| ||
|
International Lease Finance Corp., Senior Notes |
|
8.875% |
|
9/1/17 |
|
810,000 |
|
926,437 |
| ||
|
International Lease Finance Corp., Senior Notes |
|
6.250% |
|
5/15/19 |
|
220,000 |
|
227,700 |
| ||
|
International Lease Finance Corp., Senior Notes |
|
8.250% |
|
12/15/20 |
|
330,000 |
|
367,950 |
| ||
|
International Lease Finance Corp., Senior Secured Notes |
|
6.750% |
|
9/1/16 |
|
670,000 |
|
735,325 |
(a) | ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2013
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Diversified Financial Services — continued |
|
|
|
|
|
|
|
|
| ||
|
International Lease Finance Corp., Senior Secured Notes |
|
7.125% |
|
9/1/18 |
|
$ |
1,200,000 |
|
$ |
1,338,000 |
(a) |
|
JPMorgan Chase & Co., Junior Subordinated Bonds |
|
5.150% |
|
5/1/23 |
|
700,000 |
|
619,500 |
(b)(c) | ||
|
JPMorgan Chase & Co., Senior Notes |
|
6.400% |
|
5/15/38 |
|
1,500,000 |
|
1,786,218 |
| ||
|
JPMorgan Chase & Co., Subordinated Notes |
|
5.625% |
|
8/16/43 |
|
980,000 |
|
983,524 |
| ||
|
ZFS Finance USA Trust II, Bonds |
|
6.450% |
|
12/15/65 |
|
500,000 |
|
536,250 |
(a)(b) | ||
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
32,740,489 |
| ||
|
Insurance — 3.4% |
|
|
|
|
|
|
|
|
| ||
|
American Equity Investment Life Holding Co., Senior Notes |
|
6.625% |
|
7/15/21 |
|
180,000 |
|
186,750 |
| ||
|
American International Group Inc., Senior Notes |
|
6.400% |
|
12/15/20 |
|
1,000,000 |
|
1,169,144 |
| ||
|
Delphi Financial Group Inc., Senior Notes |
|
7.875% |
|
1/31/20 |
|
290,000 |
|
340,486 |
| ||
|
Fidelity & Guaranty Life Holdings Inc., Senior Notes |
|
6.375% |
|
4/1/21 |
|
330,000 |
|
334,125 |
(a) | ||
|
ING Capital Funding Trust III, Junior Subordinated Bonds |
|
3.874% |
|
12/31/13 |
|
410,000 |
|
400,263 |
(b)(c) | ||
|
Liberty Mutual Group Inc., Junior Subordinated Bonds |
|
7.800% |
|
3/15/37 |
|
120,000 |
|
135,600 |
(a) | ||
|
Liberty Mutual Insurance Co., Subordinated Notes |
|
7.875% |
|
10/15/26 |
|
840,000 |
|
998,503 |
(a) | ||
|
MetLife Inc., Senior Notes |
|
6.817% |
|
8/15/18 |
|
1,300,000 |
|
1,569,390 |
| ||
|
Nationwide Mutual Insurance Co., Notes |
|
9.375% |
|
8/15/39 |
|
520,000 |
|
731,197 |
(a) | ||
|
Teachers Insurance & Annuity Association of America - College Retirement Equity Fund, Notes |
|
6.850% |
|
12/16/39 |
|
1,050,000 |
|
1,300,120 |
(a) | ||
|
Travelers Cos. Inc., Senior Notes |
|
6.250% |
|
6/15/37 |
|
400,000 |
|
488,172 |
| ||
|
Total Insurance |
|
|
|
|
|
|
|
7,653,750 |
| ||
|
Real Estate Investment Trusts (REITs) — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
WEA Finance LLC/WT Finance Aust Pty. Ltd., Senior Notes |
|
6.750% |
|
9/2/19 |
|
580,000 |
|
685,817 |
(a) | ||
|
Thrifts & Mortgage Finance — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Santander Holdings USA Inc., Senior Notes |
|
4.625% |
|
4/19/16 |
|
270,000 |
|
283,918 |
| ||
|
Santander Holdings USA Inc., Senior Notes |
|
3.450% |
|
8/27/18 |
|
450,000 |
|
456,328 |
| ||
|
Total Thrifts & Mortgage Finance |
|
|
|
|
|
|
|
740,246 |
| ||
|
TOTAL FINANCIALS |
|
|
|
|
|
|
|
81,836,516 |
| ||
|
HEALTH CARE — 4.9% |
|
|
|
|
|
|
|
|
| ||
|
Biotechnology — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Amgen Inc., Senior Notes |
|
5.150% |
|
11/15/41 |
|
1,020,000 |
|
996,199 |
| ||
|
Gilead Sciences Inc., Senior Notes |
|
5.650% |
|
12/1/41 |
|
480,000 |
|
532,684 |
| ||
|
Total Biotechnology |
|
|
|
|
|
|
|
1,528,883 |
| ||
|
Health Care Providers & Services — 2.4% |
|
|
|
|
|
|
|
|
| ||
|
Catholic Health Initiatives, Secured Bonds |
|
4.350% |
|
11/1/42 |
|
60,000 |
|
54,082 |
| ||
|
Highmark Inc., Senior Notes |
|
4.750% |
|
5/15/21 |
|
570,000 |
|
535,110 |
(a) | ||
|
Humana Inc., Senior Notes |
|
6.450% |
|
6/1/16 |
|
1,000,000 |
|
1,124,220 |
| ||
|
Humana Inc., Senior Notes |
|
7.200% |
|
6/15/18 |
|
1,000,000 |
|
1,187,918 |
| ||
|
Tenet Healthcare Corp., Senior Secured Notes |
|
4.500% |
|
4/1/21 |
|
770,000 |
|
710,325 |
(a) | ||
|
UnitedHealth Group Inc., Senior Notes |
|
4.250% |
|
3/15/43 |
|
600,000 |
|
545,546 |
| ||
|
WellPoint Inc., Notes |
|
5.250% |
|
1/15/16 |
|
1,200,000 |
|
1,309,506 |
| ||
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
5,466,707 |
| ||
|
Pharmaceuticals — 1.8% |
|
|
|
|
|
|
|
|
| ||
|
AbbVie Inc., Senior Notes |
|
4.400% |
|
11/6/42 |
|
450,000 |
|
421,875 |
| ||
|
Mallinckrodt International Finance SA, Senior Notes |
|
4.750% |
|
4/15/23 |
|
1,479,000 |
|
1,404,998 |
(a) | ||
|
Pfizer Inc., Senior Notes |
|
7.200% |
|
3/15/39 |
|
560,000 |
|
766,873 |
| ||
|
Wyeth, Notes |
|
5.950% |
|
4/1/37 |
|
1,100,000 |
|
1,306,953 |
| ||
|
Zoetis Inc., Senior Notes |
|
4.700% |
|
2/1/43 |
|
270,000 |
|
255,199 |
(a) | ||
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
4,155,898 |
| ||
|
TOTAL HEALTH CARE |
|
|
|
|
|
|
|
11,151,488 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2013
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
INDUSTRIALS — 4.5% |
|
|
|
|
|
|
|
|
| ||
|
Aerospace & Defense — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Exelis Inc., Senior Notes |
|
5.550% |
|
10/1/21 |
|
$ |
885,000 |
|
$ |
883,586 |
|
|
Air Freight & Logistics — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
United Parcel Service Inc., Senior Notes |
|
6.200% |
|
1/15/38 |
|
700,000 |
|
865,393 |
| ||
|
Airlines — 2.4% |
|
|
|
|
|
|
|
|
| ||
|
Air Canada, Pass-Through Trust, Secured Notes |
|
6.625% |
|
5/15/18 |
|
480,000 |
|
480,768 |
(a) | ||
|
American Airlines, Pass-Through Trust, Senior Secured Notes |
|
4.950% |
|
1/15/23 |
|
700,000 |
|
693,000 |
(a) | ||
|
British Airways PLC, Secured Notes |
|
5.625% |
|
6/20/20 |
|
310,000 |
|
314,650 |
(a) | ||
|
Delta Air Lines Inc., Pass-Through Certificates, Secured Notes |
|
8.021% |
|
8/10/22 |
|
164,146 |
|
178,920 |
| ||
|
Delta Air Lines Inc., Pass-Through Certificates, Senior Secured Notes |
|
7.750% |
|
12/17/19 |
|
592,805 |
|
695,064 |
| ||
|
United Airlines Inc., Pass Through Certificates, Secured Bond |
|
5.375% |
|
8/15/21 |
|
400,000 |
|
397,000 |
| ||
|
United Airlines Inc., Pass-Through Certificates |
|
6.545% |
|
2/2/19 |
|
203,045 |
|
219,288 |
| ||
|
United Airlines Inc., Pass-Through Certificates, Secured Notes |
|
9.750% |
|
1/15/17 |
|
164,491 |
|
187,109 |
| ||
|
United Airlines Inc., Pass-Through Certificates, Secured Notes |
|
9.250% |
|
5/10/17 |
|
293,841 |
|
321,755 |
| ||
|
United Airlines Inc., Pass-Through Certificates, Secured Notes |
|
6.250% |
|
4/11/20 |
|
290,000 |
|
297,975 |
| ||
|
United Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
|
10.400% |
|
11/1/16 |
|
120,524 |
|
135,143 |
| ||
|
United Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
|
6.125% |
|
4/29/18 |
|
240,000 |
|
243,480 |
| ||
|
United Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
|
7.250% |
|
11/10/19 |
|
689,600 |
|
779,248 |
| ||
|
US Airways, Pass-Through Trust, Senior Secured Bonds |
|
5.900% |
|
10/1/24 |
|
608,901 |
|
636,302 |
| ||
|
Total Airlines |
|
|
|
|
|
|
|
5,579,702 |
| ||
|
Commercial Services & Supplies — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Republic Services Inc., Senior Notes |
|
5.500% |
|
9/15/19 |
|
220,000 |
|
247,762 |
| ||
|
Waste Management Inc., Senior Notes |
|
7.750% |
|
5/15/32 |
|
500,000 |
|
659,860 |
| ||
|
Total Commercial Services & Supplies |
|
|
|
|
|
|
|
907,622 |
| ||
|
Electrical Equipment — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Eaton Corp., Senior Notes |
|
4.150% |
|
11/2/42 |
|
1,030,000 |
|
913,643 |
(a) | ||
|
Machinery — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Valmont Industries Inc., Senior Notes |
|
6.625% |
|
4/20/20 |
|
180,000 |
|
201,974 |
| ||
|
Marine — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Horizon Lines LLC, Senior Secured Notes |
|
11.000% |
|
10/15/16 |
|
497,000 |
|
500,106 |
| ||
|
Road & Rail — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Kansas City Southern Railway, Senior Notes |
|
4.300% |
|
5/15/43 |
|
460,000 |
|
408,475 |
(a) | ||
|
TOTAL INDUSTRIALS |
|
|
|
|
|
|
|
10,260,501 |
| ||
|
INFORMATION TECHNOLOGY — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Computers & Peripherals — 0.0% |
|
|
|
|
|
|
|
|
| ||
|
Hewlett-Packard Co., Senior Notes |
|
1.250% |
|
9/13/13 |
|
50,000 |
|
50,001 |
| ||
|
Internet Software & Services — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
VeriSign Inc., Senior Notes |
|
4.625% |
|
5/1/23 |
|
260,000 |
|
244,400 |
(a) | ||
|
IT Services — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
First Data Corp., Senior Secured Notes |
|
6.750% |
|
11/1/20 |
|
140,000 |
|
143,850 |
(a) | ||
|
Semiconductors & Semiconductor Equipment — 0.2% |
|
|
|
|
|
|
| ||||
|
National Semiconductor Corp., Senior Notes |
|
6.600% |
|
6/15/17 |
|
360,000 |
|
420,346 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2013
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Software — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Interface Security Systems Holdings Inc./Interface Security Systems LLC, Senior Secured Notes |
|
9.250% |
|
1/15/18 |
|
$ |
340,000 |
|
$ |
352,750 |
(a) |
|
TOTAL INFORMATION TECHNOLOGY |
|
|
|
|
|
|
|
1,211,347 |
| ||
|
MATERIALS — 6.8% |
|
|
|
|
|
|
|
|
| ||
|
Chemicals — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Dow Chemical Co., Senior Notes |
|
4.375% |
|
11/15/42 |
|
330,000 |
|
291,573 |
| ||
|
Ecolab Inc., Senior Notes |
|
5.500% |
|
12/8/41 |
|
260,000 |
|
280,366 |
| ||
|
LYB International Finance BV, Senior Notes |
|
4.000% |
|
7/15/23 |
|
430,000 |
|
424,665 |
| ||
|
Potash Corp. of Saskatchewan Inc., Senior Notes |
|
5.625% |
|
12/1/40 |
|
250,000 |
|
263,857 |
| ||
|
Total Chemicals |
|
|
|
|
|
|
|
1,260,461 |
| ||
|
Containers & Packaging — 0.6% |
|
|
|
|
|
|
|
|
| ||
|
Rock-Tenn Co., Senior Notes |
|
4.900% |
|
3/1/22 |
|
790,000 |
|
812,980 |
| ||
|
Rock-Tenn Co., Senior Notes |
|
4.000% |
|
3/1/23 |
|
560,000 |
|
537,974 |
| ||
|
Total Containers & Packaging |
|
|
|
|
|
|
|
1,350,954 |
| ||
|
Metals & Mining — 5.7% |
|
|
|
|
|
|
|
|
| ||
|
AngloGold Ashanti Holdings PLC, Senior Notes |
|
8.500% |
|
7/30/20 |
|
1,040,000 |
|
1,038,960 |
| ||
|
Barrick Gold Corp., Notes |
|
4.100% |
|
5/1/23 |
|
100,000 |
|
88,074 |
(a) | ||
|
Barrick Gold Corp., Senior Notes |
|
5.250% |
|
4/1/42 |
|
1,650,000 |
|
1,343,587 |
| ||
|
Cliffs Natural Resources Inc., Senior Notes |
|
3.950% |
|
1/15/18 |
|
180,000 |
|
176,303 |
| ||
|
Cliffs Natural Resources Inc., Senior Notes |
|
4.800% |
|
10/1/20 |
|
500,000 |
|
466,516 |
| ||
|
Cliffs Natural Resources Inc., Senior Notes |
|
4.875% |
|
4/1/21 |
|
660,000 |
|
611,363 |
| ||
|
FMG Resources (August 2006) Pty Ltd., Senior Notes |
|
7.000% |
|
11/1/15 |
|
1,260,000 |
|
1,304,100 |
(a) | ||
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes |
|
2.375% |
|
3/15/18 |
|
20,000 |
|
18,710 |
(a) | ||
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes |
|
5.450% |
|
3/15/43 |
|
210,000 |
|
181,693 |
(a) | ||
|
Glencore Funding LLC, Senior Notes |
|
2.500% |
|
1/15/19 |
|
750,000 |
|
682,496 |
(a) | ||
|
Nucor Corp., Senior Notes |
|
4.000% |
|
8/1/23 |
|
580,000 |
|
566,790 |
| ||
|
Rio Tinto Finance USA Ltd., Senior Notes |
|
9.000% |
|
5/1/19 |
|
2,000,000 |
|
2,566,634 |
| ||
|
Southern Copper Corp., Senior Notes |
|
5.375% |
|
4/16/20 |
|
260,000 |
|
274,300 |
| ||
|
Steel Dynamics Inc., Senior Notes |
|
6.125% |
|
8/15/19 |
|
240,000 |
|
253,200 |
| ||
|
Vale Overseas Ltd., Notes |
|
6.875% |
|
11/21/36 |
|
2,100,000 |
|
2,044,087 |
| ||
|
Xstrata Finance Canada Ltd., Senior Bonds |
|
5.800% |
|
11/15/16 |
|
1,200,000 |
|
1,303,033 |
(a) | ||
|
Total Metals & Mining |
|
|
|
|
|
|
|
12,919,846 |
| ||
|
TOTAL MATERIALS |
|
|
|
|
|
|
|
15,531,261 |
| ||
|
TELECOMMUNICATION SERVICES — 7.6% |
|
|
|
|
|
|
|
|
| ||
|
Diversified Telecommunication Services — 4.5% |
|
|
|
|
|
|
|
|
| ||
|
AT&T Inc., Global Notes |
|
5.600% |
|
5/15/18 |
|
1,500,000 |
|
1,721,721 |
| ||
|
AT&T Inc., Senior Notes |
|
5.550% |
|
8/15/41 |
|
1,330,000 |
|
1,366,349 |
| ||
|
British Telecommunications PLC, Bonds |
|
9.625% |
|
12/15/30 |
|
2,000,000 |
|
3,030,872 |
| ||
|
Embarq Corp., Notes |
|
7.995% |
|
6/1/36 |
|
1,500,000 |
|
1,543,608 |
| ||
|
Koninklijke KPN NV, Senior Notes |
|
8.375% |
|
10/1/30 |
|
330,000 |
|
425,945 |
| ||
|
Telecom Italia Capital SA, Senior Notes |
|
7.175% |
|
6/18/19 |
|
200,000 |
|
218,651 |
| ||
|
Telecom Italia Capital SA, Senior Notes |
|
7.721% |
|
6/4/38 |
|
1,000,000 |
|
990,292 |
| ||
|
Telefonica Emisiones SAU, Senior Notes |
|
5.877% |
|
7/15/19 |
|
400,000 |
|
427,432 |
| ||
|
Telefonica Emisiones SAU, Senior Notes |
|
5.134% |
|
4/27/20 |
|
410,000 |
|
415,246 |
| ||
|
Telefonica Emisiones SAU, Senior Notes |
|
7.045% |
|
6/20/36 |
|
210,000 |
|
224,402 |
| ||
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
10,364,518 |
| ||
|
Wireless Telecommunication Services — 3.1% |
|
|
|
|
|
|
|
|
| ||
|
America Movil SAB de CV, Senior Notes |
|
6.125% |
|
3/30/40 |
|
1,400,000 |
|
1,464,557 |
| ||
|
Cellco Partnership/Verizon Wireless Capital LLC, Senior Notes |
|
8.500% |
|
11/15/18 |
|
2,000,000 |
|
2,532,746 |
| ||
|
Rogers Communications Inc., Senior Notes |
|
6.800% |
|
8/15/18 |
|
1,000,000 |
|
1,185,891 |
| ||
|
SoftBank Corp., Senior Notes |
|
4.500% |
|
4/15/20 |
|
1,050,000 |
|
992,974 |
(a) | ||
|
Sprint Communications Inc., Senior Notes |
|
9.000% |
|
11/15/18 |
|
280,000 |
|
327,600 |
(a) | ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2013
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Wireless Telecommunication Services — continued |
|
|
|
|
|
|
|
| |||
|
Telefonica Europe BV, Senior Notes |
|
8.250% |
|
9/15/30 |
|
$ |
390,000 |
|
$ |
461,383 |
|
|
Total Wireless Telecommunication Services |
|
|
|
|
|
|
|
6,965,151 |
| ||
|
TOTAL TELECOMMUNICATION SERVICES |
|
|
|
|
|
|
|
17,329,669 |
| ||
|
UTILITIES — 7.0% |
|
|
|
|
|
|
|
|
| ||
|
Electric Utilities — 5.3% |
|
|
|
|
|
|
|
|
| ||
|
Commonwealth Edison Co., First Mortgage Bonds |
|
5.800% |
|
3/15/18 |
|
600,000 |
|
695,897 |
| ||
|
Commonwealth Edison Co., First Mortgage Bonds |
|
6.450% |
|
1/15/38 |
|
600,000 |
|
753,354 |
| ||
|
FirstEnergy Corp., Notes |
|
7.375% |
|
11/15/31 |
|
3,360,000 |
|
3,408,360 |
| ||
|
FirstEnergy Corp., Senior Notes |
|
4.250% |
|
3/15/23 |
|
120,000 |
|
109,204 |
| ||
|
GenOn REMA LLC, Pass-Through Certificates |
|
9.681% |
|
7/2/26 |
|
2,000,000 |
|
2,120,000 |
| ||
|
IPALCO Enterprises Inc., Senior Secured Notes |
|
7.250% |
|
4/1/16 |
|
1,030,000 |
|
1,130,425 |
(a) | ||
|
MidAmerican Energy Holdings Co., Bonds |
|
6.125% |
|
4/1/36 |
|
1,000,000 |
|
1,142,300 |
| ||
|
MidAmerican Energy Holdings Co., Senior Notes |
|
5.750% |
|
4/1/18 |
|
1,000,000 |
|
1,153,478 |
| ||
|
Pacific Gas & Electric Co., Senior Notes |
|
8.250% |
|
10/15/18 |
|
600,000 |
|
764,792 |
| ||
|
Virginia Electric and Power Co., Senior Notes |
|
8.875% |
|
11/15/38 |
|
500,000 |
|
787,779 |
| ||
|
Total Electric Utilities |
|
|
|
|
|
|
|
12,065,589 |
| ||
|
Gas Utilities — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
Southern Natural Gas Co., Senior Notes |
|
8.000% |
|
3/1/32 |
|
1,500,000 |
|
1,948,580 |
| ||
|
Independent Power Producers & Energy Traders — 0.5% |
|
|
|
|
|
|
| ||||
|
AES Corp., Senior Notes |
|
8.000% |
|
6/1/20 |
|
1,100,000 |
|
1,254,000 |
| ||
|
Multi-Utilities — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Dominion Resources Inc., Senior Notes |
|
8.875% |
|
1/15/19 |
|
500,000 |
|
645,805 |
| ||
|
TOTAL UTILITIES |
|
|
|
|
|
|
|
15,913,974 |
| ||
|
TOTAL CORPORATE BONDS & NOTES (Cost — $196,427,638) |
|
|
|
212,572,871 |
| ||||||
|
MUNICIPAL BONDS — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
California — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
University of California Revenue |
|
4.062% |
|
5/15/33 |
|
220,000 |
|
197,637 |
| ||
|
Illinois — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Chicago, IL, GO, Taxable Project |
|
7.781% |
|
1/1/35 |
|
40,000 |
|
44,477 |
| ||
|
Illinois State, GO, Build America Bonds-Taxable |
|
6.725% |
|
4/1/35 |
|
530,000 |
|
528,193 |
| ||
|
Total Illinois |
|
|
|
|
|
|
|
572,670 |
| ||
|
Pennsylvania — 0.0% |
|
|
|
|
|
|
|
|
| ||
|
Philadelphia, PA, Authority for Industrial Development, City Service Agreement Revenue, Taxable |
|
3.964% |
|
4/15/26 |
|
100,000 |
|
89,352 |
| ||
|
TOTAL MUNICIPAL BONDS (Cost — $981,489) |
|
|
|
|
|
|
|
859,659 |
| ||
|
SENIOR LOANS — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
CONSUMER DISCRETIONARY — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Hotels, Restaurants & Leisure — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
CCM Merger Inc., New Term Loan B |
|
5.000% |
|
3/1/17 |
|
815,894 |
|
822,693 |
(d) | ||
|
INDUSTRIALS — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Commercial Services & Supplies — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Nielsen Finance LLC, Term Loan E |
|
2.935% |
|
5/2/16 |
|
976,803 |
|
982,420 |
(d) | ||
|
INFORMATION TECHNOLOGY — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
IT Services — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
First Data Corp., Extended 2018 Term Loan B |
|
4.184% |
|
3/23/18 |
|
401,246 |
|
398,425 |
(d) | ||
|
TOTAL SENIOR LOANS (Cost — $2,105,646) |
|
|
|
|
|
|
|
2,203,538 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
August 31, 2013
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
SOVEREIGN BONDS — 1.2% |
|
|
|
|
|
|
|
|
| ||
|
Russia — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
RSHB Capital, Loan Participation Notes, Senior Notes |
|
9.000% |
|
6/11/14 |
|
$ |
1,000,000 |
|
$ |
1,055,650 |
(a) |
|
Russian Foreign Bond - Eurobond, Senior Bonds |
|
7.500% |
|
3/31/30 |
|
745,000 |
|
860,706 |
(a) | ||
|
Total Russia |
|
|
|
|
|
|
|
1,916,356 |
| ||
|
Turkey — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Republic of Turkey, Notes |
|
6.000% |
|
1/14/41 |
|
500,000 |
|
448,750 |
| ||
|
Republic of Turkey, Notes |
|
4.875% |
|
4/16/43 |
|
480,000 |
|
375,720 |
| ||
|
Total Turkey |
|
|
|
|
|
|
|
824,470 |
| ||
|
TOTAL SOVEREIGN BONDS (Cost — $2,821,245) |
|
|
|
|
|
2,740,826 |
| ||||
|
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 1.0% |
|
|
|
|
|
|
| ||||
|
U.S. Government Obligations — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
U.S. Treasury Bonds |
|
2.875% |
|
5/15/43 |
|
1,693,000 |
|
1,441,430 |
| ||
|
U.S. Treasury Notes |
|
2.000% |
|
7/31/20 |
|
10,000 |
|
9,880 |
| ||
|
U.S. Treasury Notes |
|
1.750% |
|
5/15/23 |
|
10,000 |
|
9,147 |
| ||
|
U.S. Treasury Notes |
|
2.500% |
|
8/15/23 |
|
920,000 |
|
900,235 |
| ||
|
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $2,338,041) |
|
2,360,692 |
| ||||||||
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
SHARES |
|
|
| ||
|
COMMON STOCKS — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
FINANCIALS — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Diversified Financial Services — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Citigroup Inc. (Cost - $888,750) |
|
|
|
|
|
20,943 |
|
1,012,175 |
| ||
|
|
|
|
|
|
|
|
|
|
| ||
|
PREFERRED STOCKS — 1.5% |
|
|
|
|
|
|
|
|
| ||
|
FINANCIALS — 1.5% |
|
|
|
|
|
|
|
|
| ||
|
Commercial Banks — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
U.S. Bancorp |
|
5.150% |
|
|
|
7,285 |
|
161,217 |
| ||
|
Consumer Finance — 1.2% |
|
|
|
|
|
|
|
|
| ||
|
GMAC Capital Trust I |
|
8.125% |
|
|
|
105,800 |
|
2,804,758 |
(b) | ||
|
Diversified Financial Services — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Citigroup Capital XIII |
|
7.875% |
|
|
|
17,525 |
|
481,938 |
(b) | ||
|
TOTAL PREFERRED STOCKS (Cost — $3,200,158) |
|
|
3,447,913 |
| |||||||
|
TOTAL INVESTMENTS — 98.8% (Cost — $208,762,967#) |
|
|
225,197,674 |
| |||||||
|
Other Assets in Excess of Liabilities — 1.2% |
|
|
|
|
|
|
|
2,790,051 |
| ||
|
TOTAL NET ASSETS — 100.0% |
|
|
|
|
|
|
|
$ |
227,987,725 |
| |
|
(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 senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
|
# |
Aggregate cost for federal income tax purposes is substantially the same. |
|
|
|
|
|
Abbreviation used in this schedule: |
|
|
GO - General Obligation |
See Notes to Schedule of Investments.
Notes to schedule of investments (unaudited)
1. Organization and significant accounting policies
Western Asset Investment Grade Defined Opportunity Trust Inc. (the “Fund”) was incorporated in Maryland on April 24, 2009 and is registered as a non-diversified, closed-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund’s primary investment objective is to provide current income and then to liquidate and distribute substantially all of the Fund’s net assets to stockholders on or about December 2, 2024. As a secondary investment objective, the Fund will seek capital appreciation. There can be no assurance the Fund will achieve its investment objectives.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (“GAAP”).
(a) Investment valuation. The valuations for fixed income securities (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. 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:
Notes to schedule of investments (unaudited) (continued)
· 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 |
|
Other Significant |
|
Significant |
|
Total |
| |||
|
Long-term investments†: |
|
|
|
|
|
|
|
|
| |||
|
Corporate bonds & notes |
|
— |
|
$ |
212,572,871 |
|
— |
|
$ |
212,572,871 |
| |
|
Municipal bonds |
|
— |
|
859,659 |
|
— |
|
859,659 |
| |||
|
Senior loans |
|
— |
|
2,203,538 |
|
— |
|
2,203,538 |
| |||
|
Sovereign bonds |
|
— |
|
2,740,826 |
|
— |
|
2,740,826 |
| |||
|
U.S. government & agency obligations |
|
— |
|
2,360,692 |
|
— |
|
2,360,692 |
| |||
|
Common stocks |
|
$ |
1,012,175 |
|
— |
|
— |
|
1,012,175 |
| ||
|
Preferred stocks |
|
3,447,913 |
|
— |
|
— |
|
3,447,913 |
| |||
|
Total investments |
|
$ |
4,460,088 |
|
$ |
220,737,586 |
|
— |
|
$ |
225,197,674 |
|
|
Other financial instruments: |
|
|
|
|
|
|
|
|
| |||
|
Futures contracts |
|
$ |
8,883 |
|
— |
|
— |
|
$ |
8,883 |
| |
|
Forward foreign currency contracts |
|
— |
|
$ |
28,245 |
|
— |
|
28,245 |
| ||
|
Total other financial instruments |
|
$ |
8,883 |
|
$ |
28,245 |
|
— |
|
$ |
37,128 |
|
|
Total |
|
$ |
4,468,971 |
|
$ |
220,765,831 |
|
— |
|
$ |
225,234,802 |
|
LIABILITIES
|
Description |
|
Quoted Prices |
|
Other Significant |
|
Significant |
|
Total |
| |||
|
Other financial instruments: |
|
|
|
|
|
|
|
|
| |||
|
Futures contracts |
|
$ |
113,750 |
|
— |
|
— |
|
$ |
113,750 |
| |
|
Forward foreign currency contracts |
|
— |
|
$ |
65,119 |
|
— |
|
65,119 |
| ||
|
Total |
|
$ |
113,750 |
|
$ |
65,119 |
|
— |
|
$ |
178,869 |
|
† 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.
Notes to schedule of investments (unaudited) (continued)
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) Swap agreements. The Fund invests in swaps for the purpose of managing its exposure to interest rate, credit or market risk, or for other purposes, including to increase the Fund’s return. The use of swaps involves risks that are different from those associated with other portfolio transactions. Swap agreements are privately negotiated in the over-the-counter market (“OTC Swaps”) or may be executed on a registered exchange (“Centrally Cleared Swaps”). Unlike Centrally Cleared Swaps, the Fund has credit exposure to the counterparties of OTC Swaps.
Swap contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). The daily change in valuation of Centrally Cleared Swaps, if any, is recorded as a receivable or payable for variation margin. Gains or losses are realized upon termination of the swap agreement. Collateral, in the form of restricted cash or securities, may be required to be held in segregated accounts with the Fund’s custodian in compliance with the terms of the swap contracts. Securities posted as collateral for swap contracts are identified in the Schedule of Investments.
The Fund’s maximum exposure in the event of a defined credit event on a credit default swap to sell protection is the notional amount. As of August 31, 2013, the Fund did not hold any credit default swaps to sell protection.
For average notional amounts of swaps held during the period ended August 31, 2013, see Note 3.
Credit default swaps
The Fund enters into credit default swap (“CDS”) contracts for investment purposes, to manage its credit risk or to add leverage. CDS agreements involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party, typically corporate or sovereign issuers, on a specified obligation, or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index. The Fund may use a CDS to provide protection against defaults of the issuers (i.e., to reduce risk where the Fund has exposure to an issuer) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. As a seller of protection, the Fund generally receives an upfront payment or a stream of payments throughout the term of the swap provided that there is no credit event. If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the maximum potential amount of future payments (undiscounted) that the Fund could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. These amounts of potential payments will be partially offset by any recovery of values from the respective referenced obligations. As a seller of protection, the Fund effectively adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. As a buyer of protection, the Fund generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied spreads are the theoretical prices a lender receives for credit default protection. When spreads rise, market perceived credit risk rises and when spreads fall, market perceived credit risk falls. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads and decreasing market values, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
Credit spreads utilized in determining the period end market value of credit default swap agreements on corporate or sovereign issues are disclosed in the Notes to the Schedule of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for credit derivatives. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values, particularly in relation to the notional amount of the contract as well as the annual payment rate, serve as an indication of the current status of the payment /performance risk.
Notes to schedule of investments (unaudited) (continued)
The Fund’s maximum risk of loss from counterparty risk, as the protection buyer, is the fair value of the contract (this risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty). As the protection seller, the Fund’s maximum risk is the notional amount of the contract. Credit default swaps are considered to have credit risk-related contingent features since they require payment by the protection seller to the protection buyer upon the occurrence of a defined credit event.
Entering into a CDS agreement involves, to varying degrees, elements of credit, market and documentation risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreement, and that there will be unfavorable changes in net interest rates.
(f) 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.
(g) 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 involves risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.
(h) 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.
(i) 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.
Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives while collateral terms are contract specific for over-the-counter traded derivatives. Securities pledged as collateral, if any, to cover the obligations of the Fund under derivative contracts, are noted in the Schedule of Investments.
Notes to schedule of investments (unaudited) (continued)
As of August 31, 2013, the Fund held forward foreign currency contracts with credit related contingent features which had a liability position of $65,119. 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.
(j) 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.
(k) Security transactions. Security transactions are accounted for on a trade date basis.
2. Investments
At August 31, 2013, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
Gross unrealized appreciation |
|
$ |
19,990,030 |
|
|
Gross unrealized depreciation |
|
(3,555,323 |
) | |
|
Net unrealized appreciation |
|
$ |
16,434,707 |
|
At August 31, 2013, the Fund had the following open futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
|
|
NUMBER OF |
|
EXPIRATION |
|
BASIS |
|
MARKET |
|
UNREALIZED |
| |||
|
Contracts to Buy: |
|
|
|
|
|
|
|
|
|
|
| |||
|
U.S. Treasury 2-Year Notes |
|
3 |
|
12/13 |
|
$ |
659,213 |
|
$ |
659,250 |
|
$ |
37 |
|
|
U.S. Treasury 5-Year Notes |
|
4 |
|
9/13 |
|
491,958 |
|
482,281 |
|
(9,677 |
) | |||
|
U.S. Treasury 5-Year Notes |
|
30 |
|
12/13 |
|
3,590,277 |
|
3,590,390 |
|
113 |
| |||
|
U.S. Treasury Ultra Long-Term Bonds |
|
8 |
|
12/13 |
|
1,129,276 |
|
1,135,000 |
|
5,724 |
| |||
|
|
|
|
|
|
|
|
|
|
|
(3,803 |
) | |||
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
| |||
|
U.S. Treasury 10-Year Notes |
|
103 |
|
12/13 |
|
12,803,978 |
|
12,800,969 |
|
3,009 |
| |||
|
U.S. Treasury 30-Year Bonds |
|
73 |
|
12/13 |
|
9,525,083 |
|
9,629,156 |
|
(104,073 |
) | |||
|
|
|
|
|
|
|
|
|
|
|
(101,064 |
) | |||
|
Net unrealized loss on open futures contracts |
|
|
|
|
|
|
|
$ |
(104,867 |
) | ||||
At August 31, 2013, the Fund had the following open forward foreign currency contracts:
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
FOREIGN CURRENCY |
|
COUNTERPARTY |
|
LOCAL |
|
MARKET |
|
SETTLEMENT |
|
UNREALIZED |
| ||
|
Contracts to Buy: |
|
|
|
|
|
|
|
|
|
|
| ||
|
Euro |
|
Citibank, N.A. |
|
1,336,145 |
|
$ |
1,766,382 |
|
11/15/13 |
|
$ |
(11,012 |
) |
|
Japanese Yen |
|
Bank of America N.A. |
|
106,500,000 |
|
1,084,950 |
|
10/25/13 |
|
(1,075 |
) | ||
|
Japanese Yen |
|
Citibank, N.A. |
|
14,700,000 |
|
149,754 |
|
10/25/13 |
|
(133 |
) | ||
|
|
|
|
|
|
|
|
|
|
|
(12,220 |
) | ||
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
| ||
|
Euro |
|
Citibank, N.A. |
|
1,336,145 |
|
1,766,382 |
|
11/15/13 |
|
6,529 |
| ||
|
Japanese Yen |
|
Citibank, N.A. |
|
402,600,000 |
|
4,101,417 |
|
10/25/13 |
|
(52,899 |
) | ||
|
Japanese Yen |
|
Bank of America N.A. |
|
106,500,000 |
|
1,084,950 |
|
10/25/13 |
|
21,716 |
| ||
|
|
|
|
|
|
|
|
|
|
|
(24,654 |
) | ||
|
Net unrealized loss on open forward foreign currency contracts |
|
|
|
|
|
$ |
(36,874 |
) | |||||
Notes to schedule of investments (unaudited) (continued)
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 August 31, 2013.
|
|
|
Futures Contracts |
|
Forward Foreign Currency Contracts |
|
|
| |||||||||
|
Primary Underlying |
|
Unrealized |
|
Unrealized |
|
Unrealized |
|
Unrealized |
|
Total |
| |||||
|
Interest Rate Risk |
|
$ |
8,883 |
|
$ |
(113,750 |
) |
— |
|
— |
|
$ |
(104,867 |
) | ||
|
Foreign Exchange Risk |
|
— |
|
— |
|
$ |
28,245 |
|
$ |
(65,119 |
) |
(36,874 |
) | |||
|
Total |
|
$ |
8,883 |
|
$ |
(113,750 |
) |
$ |
28,245 |
|
$ |
(65,119 |
) |
$ |
(141,741 |
) |
During the period ended August 31, 2013, the volume of derivative activity for the Fund was as follows:
|
|
|
Average market |
| |
|
Futures contracts (to buy) |
|
$ |
5,214,510 |
|
|
Futures contracts (to sell) |
|
30,664,891 |
| |
|
Forward foreign currency contracts (to buy) |
|
3,318,011 |
| |
|
Forward foreign currency contracts (to sell) |
|
9,301,575 |
| |
|
|
|
Average notional |
| |
|
Credit default swap contracts (to buy protection) † |
|
$ |
8,759 |
|
†At August 31, 2013 there were no open positions held in this derivative.
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/ Kenneth D. Fuller |
|
|
|
Kenneth D. Fuller |
|
|
|
Chief Executive Officer |
|
Date: October 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/ Kenneth D. Fuller |
|
|
|
Kenneth D. Fuller |
|
|
|
Chief Executive Officer |
|
Date: October 25, 2013
|
By |
/s/ Richard F. Sennett |
|
|
|
Richard F. Sennett |
|
|
|
Principal Financial Officer |
|
Date: October 25, 2013