UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
|
Investment Company Act file number |
811-22294 | |||||||
|
| ||||||||
|
Western Asset Investment Grade Defined Opportunity Trust Inc. | ||||||||
|
(Exact name of registrant as specified in charter) | ||||||||
|
| ||||||||
|
620 Eighth Avenue, 49th Floor, New York, NY |
|
10018 | ||||||
|
(Address of principal executive offices) |
|
(Zip code) | ||||||
|
| ||||||||
|
Robert I. Frenkel, Esq. Legg Mason & Co., LLC 100 First Stamford Place Stamford, CT 06902 | ||||||||
|
(Name and address of agent for service) | ||||||||
|
| ||||||||
|
Registrant’s telephone number, including area code: |
1-888-777-0102 |
| ||||||
|
| ||||||||
|
Date of fiscal year end: |
November 30 |
| ||||||
|
| ||||||||
|
Date of reporting period: |
February 29, 2012 |
| ||||||
ITEM 1. SCHEDULE OF INVESTMENTS.
WESTERN ASSET INVESTMENT GRADE
DEFINED OPPORTUNITY TRUST INC.
FORM N-Q
FEBRUARY 29, 2012
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited)
February 29, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
|
FACE |
|
VALUE |
| |
|
CORPORATE BONDS & NOTES — 91.3% |
|
|
|
|
|
|
|
|
| ||
|
CONSUMER DISCRETIONARY — 9.3% |
|
|
|
|
|
|
|
|
| ||
|
Automobiles — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Ford Motor Credit Co., LLC, Senior Notes |
|
12.000% |
|
5/15/15 |
|
$ |
1,000,000 |
|
$ |
1,264,943 |
|
|
Hotels, Restaurants & Leisure — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
Caesars Entertainment Operating Co. Inc., Senior Secured Notes |
|
11.250% |
|
6/1/17 |
|
1,250,000 |
|
1,375,000 |
| ||
|
NCL Corp. Ltd., Senior Secured Notes |
|
11.750% |
|
11/15/16 |
|
320,000 |
|
372,800 |
| ||
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
1,747,800 |
| ||
|
Media — 6.9% |
|
|
|
|
|
|
|
|
| ||
|
Comcast Corp., Bonds |
|
6.400% |
|
5/15/38 |
|
2,500,000 |
|
3,119,972 |
| ||
|
Comcast Corp., Senior Notes |
|
5.700% |
|
7/1/19 |
|
1,500,000 |
|
1,788,089 |
| ||
|
DISH DBS Corp., Senior Notes |
|
7.875% |
|
9/1/19 |
|
1,250,000 |
|
1,475,000 |
| ||
|
Globo Communicacoes e Participacoes SA, Bonds |
|
7.250% |
|
4/26/22 |
|
1,000,000 |
|
1,060,000 |
(a) | ||
|
Interpublic Group of Cos. Inc., Senior Notes |
|
4.000% |
|
3/15/22 |
|
270,000 |
|
269,068 |
| ||
|
News America Inc., Senior Notes |
|
6.650% |
|
11/15/37 |
|
2,400,000 |
|
2,934,331 |
| ||
|
Nielsen Finance LLC/Nielsen Finance Co., Senior Notes |
|
11.500% |
|
5/1/16 |
|
340,000 |
|
395,250 |
| ||
|
Time Warner Cable Inc., Debentures |
|
7.300% |
|
7/1/38 |
|
500,000 |
|
644,679 |
| ||
|
Time Warner Cable Inc., Senior Notes |
|
8.750% |
|
2/14/19 |
|
1,100,000 |
|
1,456,965 |
| ||
|
United Business Media Ltd., Notes |
|
5.750% |
|
11/3/20 |
|
830,000 |
|
821,464 |
(a) | ||
|
WPP Finance 2010, Senior Notes |
|
4.750% |
|
11/21/21 |
|
870,000 |
|
929,112 |
(a) | ||
|
WPP Finance UK, Senior Notes |
|
8.000% |
|
9/15/14 |
|
1,000,000 |
|
1,155,601 |
| ||
|
Total Media |
|
|
|
|
|
|
|
16,049,531 |
| ||
|
Specialty Retail — 0.7% |
|
|
|
|
|
|
|
|
| ||
|
American Greetings Corp., Senior Notes |
|
7.375% |
|
12/1/21 |
|
280,000 |
|
290,500 |
| ||
|
Gap Inc., Senior Notes |
|
5.950% |
|
4/12/21 |
|
1,240,000 |
|
1,245,791 |
| ||
|
Total Specialty Retail |
|
|
|
|
|
|
|
1,536,291 |
| ||
|
Textiles, Apparel & Luxury Goods — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Oxford Industries Inc., Senior Secured Notes |
|
11.375% |
|
7/15/15 |
|
1,000,000 |
|
1,093,750 |
| ||
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
21,692,315 |
| ||
|
CONSUMER STAPLES — 4.9% |
|
|
|
|
|
|
|
|
| ||
|
Beverages — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
Anheuser-Busch InBev Worldwide Inc., Senior Notes |
|
7.750% |
|
1/15/19 |
|
450,000 |
|
593,357 |
| ||
|
Pernod-Ricard SA, Senior Bonds |
|
5.750% |
|
4/7/21 |
|
890,000 |
|
1,013,345 |
(a) | ||
|
Pernod-Ricard SA, Senior Notes |
|
5.500% |
|
1/15/42 |
|
1,180,000 |
|
1,263,819 |
(a) | ||
|
Total Beverages |
|
|
|
|
|
|
|
2,870,521 |
| ||
|
Food & Staples Retailing — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
CVS Caremark Corp., Senior Notes |
|
6.600% |
|
3/15/19 |
|
600,000 |
|
753,154 |
| ||
|
Food Products — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
Kraft Foods Inc., Senior Notes |
|
5.375% |
|
2/10/20 |
|
1,030,000 |
|
1,202,913 |
| ||
|
Smithfield Foods Inc., Senior Secured Notes |
|
10.000% |
|
7/15/14 |
|
801,000 |
|
943,178 |
| ||
|
Total Food Products |
|
|
|
|
|
|
|
2,146,091 |
| ||
|
Tobacco — 2.4% |
|
|
|
|
|
|
|
|
| ||
|
Altria Group Inc., Senior Notes |
|
9.250% |
|
8/6/19 |
|
1,000,000 |
|
1,369,517 |
| ||
|
Lorillard Tobacco Co., Senior Notes |
|
8.125% |
|
6/23/19 |
|
540,000 |
|
676,964 |
| ||
|
Lorillard Tobacco Co., Senior Notes |
|
8.125% |
|
5/1/40 |
|
470,000 |
|
578,207 |
| ||
|
Lorillard Tobacco Co., Senior Notes |
|
7.000% |
|
8/4/41 |
|
510,000 |
|
568,057 |
| ||
|
Reynolds American Inc., Senior Secured Notes |
|
7.625% |
|
6/1/16 |
|
2,000,000 |
|
2,414,194 |
| ||
|
Total Tobacco |
|
|
|
|
|
|
|
5,606,939 |
| ||
|
TOTAL CONSUMER STAPLES |
|
|
|
|
|
|
|
11,376,705 |
| ||
|
ENERGY — 12.7% |
|
|
|
|
|
|
|
|
| ||
|
Oil, Gas & Consumable Fuels — 12.7% |
|
|
|
|
|
|
|
|
| ||
|
Anadarko Petroleum Corp., Senior Notes |
|
5.950% |
|
9/15/16 |
|
340,000 |
|
394,023 |
| ||
|
Apache Corp., Senior Notes |
|
5.100% |
|
9/1/40 |
|
140,000 |
|
164,266 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
February 29, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
|
FACE |
|
VALUE |
| |
|
Oil, Gas & Consumable Fuels — continued |
|
|
|
|
|
|
|
|
| ||
|
Apache Corp., Senior Notes |
|
5.250% |
|
2/1/42 |
|
$ |
160,000 |
|
$ |
191,945 |
|
|
Arch Coal Inc., Senior Notes |
|
7.000% |
|
6/15/19 |
|
440,000 |
|
442,200 |
(a) | ||
|
ConocoPhillips, Notes |
|
6.500% |
|
2/1/39 |
|
1,500,000 |
|
2,128,012 |
| ||
|
DCP Midstream LLC, Senior Notes |
|
9.750% |
|
3/15/19 |
|
1,000,000 |
|
1,299,118 |
(a) | ||
|
Devon Financing Corp. ULC, Debentures |
|
7.875% |
|
9/30/31 |
|
1,080,000 |
|
1,558,622 |
| ||
|
Enterprise Products Operating LP, Senior Notes |
|
9.750% |
|
1/31/14 |
|
2,000,000 |
|
2,301,110 |
| ||
|
EOG Resources Inc., Senior Notes |
|
6.875% |
|
10/1/18 |
|
800,000 |
|
1,002,624 |
| ||
|
Hess Corp., Notes |
|
8.125% |
|
2/15/19 |
|
1,400,000 |
|
1,825,200 |
| ||
|
Hess Corp., Notes |
|
7.875% |
|
10/1/29 |
|
440,000 |
|
609,274 |
| ||
|
Hess Corp., Senior Bonds |
|
6.000% |
|
1/15/40 |
|
520,000 |
|
632,995 |
| ||
|
Kerr-McGee Corp., Notes |
|
6.950% |
|
7/1/24 |
|
1,320,000 |
|
1,631,449 |
| ||
|
Kerr-McGee Corp., Notes |
|
7.875% |
|
9/15/31 |
|
830,000 |
|
1,106,819 |
| ||
|
Kinder Morgan Energy Partners LP, Senior Notes |
|
5.950% |
|
2/15/18 |
|
800,000 |
|
953,515 |
| ||
|
Noble Energy Inc., Senior Notes |
|
6.000% |
|
3/1/41 |
|
660,000 |
|
788,316 |
| ||
|
Pemex Project Funding Master Trust, Senior Bonds |
|
6.625% |
|
6/15/35 |
|
1,000,000 |
|
1,150,000 |
| ||
|
Petrobras International Finance Co., Senior Notes |
|
5.750% |
|
1/20/20 |
|
1,109,000 |
|
1,225,445 |
| ||
|
Petrobras International Finance Co., Senior Notes |
|
6.750% |
|
1/27/41 |
|
2,490,000 |
|
2,905,158 |
| ||
|
Petroleos Mexicanos, Senior Notes |
|
5.500% |
|
1/21/21 |
|
250,000 |
|
275,450 |
| ||
|
Quicksilver Resources Inc., Senior Notes |
|
11.750% |
|
1/1/16 |
|
1,000,000 |
|
1,070,000 |
| ||
|
Shell International Finance BV, Senior Notes |
|
6.375% |
|
12/15/38 |
|
1,500,000 |
|
2,108,049 |
| ||
|
TNK-BP Finance SA, Senior Notes |
|
7.500% |
|
3/13/13 |
|
870,000 |
|
920,460 |
(a) | ||
|
Transcontinental Gas Pipe Line Co. LLC, Senior Notes |
|
5.400% |
|
8/15/41 |
|
10,000 |
|
10,929 |
(a) | ||
|
Valero Energy Corp., Senior Notes |
|
9.375% |
|
3/15/19 |
|
700,000 |
|
931,964 |
| ||
|
Williams Cos. Inc., Notes |
|
7.875% |
|
9/1/21 |
|
952,000 |
|
1,204,503 |
| ||
|
Williams Cos. Inc., Senior Notes |
|
7.750% |
|
6/15/31 |
|
62,000 |
|
75,855 |
| ||
|
Williams Cos. Inc., Senior Notes |
|
8.750% |
|
3/15/32 |
|
148,000 |
|
198,093 |
| ||
|
Williams Partners LP, Senior Notes |
|
5.250% |
|
3/15/20 |
|
460,000 |
|
520,310 |
| ||
|
TOTAL ENERGY |
|
|
|
|
|
|
|
29,625,704 |
| ||
|
FINANCIALS — 32.2% |
|
|
|
|
|
|
|
|
| ||
|
Capital Markets — 8.2% |
|
|
|
|
|
|
|
|
| ||
|
Bear Stearns Cos. LLC, Senior Notes |
|
7.250% |
|
2/1/18 |
|
1,570,000 |
|
1,900,125 |
| ||
|
Credit Suisse New York, Senior Notes |
|
5.300% |
|
8/13/19 |
|
560,000 |
|
597,812 |
| ||
|
GFI Group Inc., Senior Notes |
|
8.375% |
|
7/19/18 |
|
810,000 |
|
771,525 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
5.950% |
|
1/18/18 |
|
4,250,000 |
|
4,598,661 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
7.500% |
|
2/15/19 |
|
500,000 |
|
569,981 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
5.375% |
|
3/15/20 |
|
470,000 |
|
482,404 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
5.250% |
|
7/27/21 |
|
870,000 |
|
873,024 |
| ||
|
Goldman Sachs Group Inc., Senior Notes |
|
6.250% |
|
2/1/41 |
|
2,550,000 |
|
2,641,481 |
| ||
|
Merrill Lynch & Co. Inc., Notes |
|
6.875% |
|
4/25/18 |
|
990,000 |
|
1,078,825 |
| ||
|
Morgan Stanley, Medium-Term Notes |
|
6.625% |
|
4/1/18 |
|
1,750,000 |
|
1,857,784 |
| ||
|
Morgan Stanley, Senior Notes |
|
5.500% |
|
1/26/20 |
|
1,950,000 |
|
1,915,417 |
| ||
|
Morgan Stanley, Senior Notes |
|
5.500% |
|
7/24/20 |
|
200,000 |
|
197,323 |
| ||
|
State Street Corp., Junior Subordinated Notes |
|
4.956% |
|
3/15/18 |
|
1,330,000 |
|
1,415,510 |
| ||
|
UBS AG Stamford CT, Senior Notes |
|
4.875% |
|
8/4/20 |
|
250,000 |
|
260,193 |
| ||
|
Total Capital Markets |
|
|
|
|
|
|
|
19,160,065 |
| ||
|
Commercial Banks — 7.0% |
|
|
|
|
|
|
|
|
| ||
|
BankAmerica Institutional Capital A, Junior Subordinated Bonds |
|
8.070% |
|
12/31/26 |
|
240,000 |
|
242,100 |
(a) | ||
|
BankAmerica Institutional Capital B, Junior Subordinated Bonds |
|
7.700% |
|
12/31/26 |
|
250,000 |
|
244,063 |
(a) | ||
|
BBVA US Senior SAU, Senior Notes |
|
3.250% |
|
5/16/14 |
|
400,000 |
|
393,932 |
| ||
|
CIT Group Inc., Secured Notes |
|
5.250% |
|
4/1/14 |
|
630,000 |
|
647,325 |
(a) | ||
|
CIT Group Inc., Secured Notes |
|
6.625% |
|
4/1/18 |
|
480,000 |
|
520,800 |
(a) | ||
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, Senior Notes |
|
5.250% |
|
5/24/41 |
|
310,000 |
|
328,888 |
| ||
|
ING Bank NV, Notes |
|
3.750% |
|
3/7/17 |
|
600,000 |
|
596,916 |
(a) | ||
|
Intesa Sanpaolo SpA, Senior Notes |
|
3.625% |
|
8/12/15 |
|
2,020,000 |
|
1,927,423 |
(a) | ||
|
Intesa Sanpaolo SpA, Senior Notes |
|
6.500% |
|
2/24/21 |
|
330,000 |
|
313,541 |
(a) | ||
|
Lloyds TSB Bank PLC, Senior Notes |
|
6.375% |
|
1/21/21 |
|
80,000 |
|
87,133 |
| ||
|
NB Capital Trust IV, Junior Subordinated Notes |
|
8.250% |
|
4/15/27 |
|
1,030,000 |
|
1,049,313 |
| ||
|
Nordea Bank AB, Subordinated Notes |
|
4.875% |
|
5/13/21 |
|
870,000 |
|
838,286 |
(a) | ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
February 29, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
|
FACE |
|
VALUE |
| |
|
Commercial Banks — continued |
|
|
|
|
|
|
|
|
| ||
|
Royal Bank of Scotland Group PLC, Senior Notes |
|
6.400% |
|
10/21/19 |
|
$ |
1,170,000 |
|
$ |
1,229,438 |
|
|
Royal Bank of Scotland Group PLC, Subordinated Notes |
|
5.000% |
|
11/12/13 |
|
120,000 |
|
119,964 |
| ||
|
Royal Bank of Scotland Group PLC, Subordinated Notes |
|
5.000% |
|
10/1/14 |
|
870,000 |
|
854,036 |
| ||
|
Santander US Debt SA Unipersonal, Senior Notes |
|
3.724% |
|
1/20/15 |
|
700,000 |
|
679,127 |
(a) | ||
|
Societe Generale, Senior Notes |
|
5.200% |
|
4/15/21 |
|
430,000 |
|
416,624 |
(a) | ||
|
U.S. Bancorp, Senior Notes |
|
3.000% |
|
3/15/22 |
|
360,000 |
|
361,480 |
| ||
|
Wachovia Capital Trust III, Junior Subordinated Bonds |
|
5.570% |
|
4/20/12 |
|
270,000 |
|
248,400 |
(b)(c) | ||
|
Wachovia Corp., Senior Notes |
|
5.750% |
|
2/1/18 |
|
4,400,000 |
|
5,112,272 |
| ||
|
Total Commercial Banks |
|
|
|
|
|
|
|
16,211,061 |
| ||
|
Consumer Finance — 3.7% |
|
|
|
|
|
|
|
|
| ||
|
Ally Financial Inc., Senior Notes |
|
8.000% |
|
3/15/20 |
|
1,500,000 |
|
1,702,500 |
| ||
|
American Express Co., Senior Notes |
|
8.125% |
|
5/20/19 |
|
2,760,000 |
|
3,659,639 |
| ||
|
HSBC Finance Corp., Senior Notes |
|
6.676% |
|
1/15/21 |
|
1,620,000 |
|
1,736,574 |
| ||
|
SLM Corp., Senior Notes |
|
7.250% |
|
1/25/22 |
|
1,430,000 |
|
1,513,114 |
| ||
|
Total Consumer Finance |
|
|
|
|
|
|
|
8,611,827 |
| ||
|
Diversified Financial Services — 9.7% |
|
|
|
|
|
|
|
|
| ||
|
Bank of America Corp., Senior Notes |
|
7.625% |
|
6/1/19 |
|
2,760,000 |
|
3,125,016 |
| ||
|
Bank of America Corp., Senior Notes |
|
5.625% |
|
7/1/20 |
|
180,000 |
|
187,047 |
| ||
|
Bank of America Corp., Senior Notes |
|
5.875% |
|
2/7/42 |
|
810,000 |
|
810,863 |
| ||
|
Citigroup Inc., Senior Notes |
|
6.375% |
|
8/12/14 |
|
300,000 |
|
325,626 |
| ||
|
Citigroup Inc., Senior Notes |
|
6.000% |
|
8/15/17 |
|
2,250,000 |
|
2,508,885 |
| ||
|
Citigroup Inc., Senior Notes |
|
8.500% |
|
5/22/19 |
|
500,000 |
|
621,217 |
| ||
|
Citigroup Inc., Senior Notes |
|
6.875% |
|
3/5/38 |
|
2,000,000 |
|
2,354,108 |
| ||
|
Citigroup Inc., Senior Notes |
|
8.125% |
|
7/15/39 |
|
1,350,000 |
|
1,769,388 |
| ||
|
Citigroup Inc., Senior Notes |
|
5.875% |
|
1/30/42 |
|
410,000 |
|
438,258 |
| ||
|
General Electric Capital Corp., Notes |
|
5.300% |
|
2/11/21 |
|
890,000 |
|
982,356 |
| ||
|
General Electric Capital Corp., Senior Notes |
|
6.000% |
|
8/7/19 |
|
790,000 |
|
923,038 |
| ||
|
General Electric Capital Corp., Senior Notes |
|
6.875% |
|
1/10/39 |
|
2,540,000 |
|
3,145,930 |
| ||
|
International Lease Finance Corp., Senior Notes |
|
8.875% |
|
9/1/17 |
|
810,000 |
|
921,375 |
| ||
|
International Lease Finance Corp., Senior Notes |
|
6.250% |
|
5/15/19 |
|
220,000 |
|
223,370 |
| ||
|
International Lease Finance Corp., Senior Notes |
|
8.250% |
|
12/15/20 |
|
330,000 |
|
368,779 |
| ||
|
International Lease Finance Corp., Senior Secured Notes |
|
6.500% |
|
9/1/14 |
|
130,000 |
|
139,100 |
(a) | ||
|
International Lease Finance Corp., Senior Secured Notes |
|
6.750% |
|
9/1/16 |
|
670,000 |
|
735,325 |
(a) | ||
|
International Lease Finance Corp., Senior Secured Notes |
|
7.125% |
|
9/1/18 |
|
1,030,000 |
|
1,158,750 |
(a) | ||
|
JPMorgan Chase & Co., Senior Notes |
|
6.400% |
|
5/15/38 |
|
1,500,000 |
|
1,802,919 |
| ||
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
22,541,350 |
| ||
|
Insurance — 3.1% |
|
|
|
|
|
|
|
|
| ||
|
American International Group Inc., Senior Notes |
|
4.875% |
|
9/15/16 |
|
600,000 |
|
631,693 |
| ||
|
American International Group Inc., Senior Notes |
|
6.400% |
|
12/15/20 |
|
1,500,000 |
|
1,675,604 |
| ||
|
Delphi Financial Group Inc., Senior Notes |
|
7.875% |
|
1/31/20 |
|
290,000 |
|
344,862 |
| ||
|
ING Capital Funding Trust III, Junior Subordinated Bonds |
|
4.179% |
|
6/30/12 |
|
410,000 |
|
345,912 |
(b)(c) | ||
|
MetLife Inc., Senior Notes |
|
6.817% |
|
8/15/18 |
|
1,300,000 |
|
1,593,046 |
| ||
|
Nationwide Mutual Insurance Co., Notes |
|
9.375% |
|
8/15/39 |
|
520,000 |
|
669,146 |
(a) | ||
|
Teachers Insurance & Annuity Association of America - College Retirement Equity Fund, Notes |
|
6.850% |
|
12/16/39 |
|
1,050,000 |
|
1,376,894 |
(a) | ||
|
Travelers Cos. Inc., Senior Notes |
|
6.250% |
|
6/15/37 |
|
400,000 |
|
515,298 |
| ||
|
Total Insurance |
|
|
|
|
|
|
|
7,152,455 |
| ||
|
Real Estate Investment Trusts (REITs) — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Ventas Realty LP/Ventas Capital Corp., Senior Notes |
|
4.250% |
|
3/1/22 |
|
250,000 |
|
248,940 |
| ||
|
WEA Finance LLC/WT Finance Aust Pty. Ltd., Senior Notes |
|
6.750% |
|
9/2/19 |
|
580,000 |
|
680,241 |
(a) | ||
|
Total Real Estate Investment Trusts (REITs) |
|
|
|
|
|
|
|
929,181 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
February 29, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
|
FACE |
|
VALUE |
| ||
|
Thrifts & Mortgage Finance — 0.1% |
|
|
|
|
|
|
|
|
| |||
|
Santander Holdings USA Inc., Senior Notes |
|
4.625% |
|
4/19/16 |
|
$ |
270,000 |
|
$ |
267,741 |
| |
|
TOTAL FINANCIALS |
|
|
|
|
|
|
|
74,873,680 |
| |||
|
HEALTH CARE — 5.2% |
|
|
|
|
|
|
|
|
| |||
|
Biotechnology — 0.7% |
|
|
|
|
|
|
|
|
| |||
|
Amgen Inc., Senior Notes |
|
5.150% |
|
11/15/41 |
|
1,020,000 |
|
1,071,614 |
| |||
|
Gilead Sciences Inc., Senior Notes |
|
5.650% |
|
12/1/41 |
|
600,000 |
|
668,796 |
| |||
|
Total Biotechnology |
|
|
|
|
|
|
|
1,740,410 |
| |||
|
Health Care Equipment & Supplies — 0.5% |
|
|
|
|
|
|
|
|
| |||
|
Biomet Inc., Senior Toggle Notes |
|
10.375% |
|
10/15/17 |
|
1,000,000 |
|
1,093,750 |
(d) | |||
|
Health Care Providers & Services — 3.0% |
|
|
|
|
|
|
|
|
| |||
|
CIGNA Corp., Senior Notes |
|
4.500% |
|
3/15/21 |
|
470,000 |
|
498,926 |
| |||
|
Highmark Inc., Senior Notes |
|
4.750% |
|
5/15/21 |
|
570,000 |
|
584,398 |
(a) | |||
|
Humana Inc., Senior Notes |
|
6.450% |
|
6/1/16 |
|
1,000,000 |
|
1,134,177 |
| |||
|
Humana Inc., Senior Notes |
|
7.200% |
|
6/15/18 |
|
1,000,000 |
|
1,208,092 |
| |||
|
InVentiv Health Inc., Senior Notes |
|
10.000% |
|
8/15/18 |
|
580,000 |
|
530,700 |
(a) | |||
|
Tenet Healthcare Corp., Senior Secured Notes |
|
10.000% |
|
5/1/18 |
|
1,000,000 |
|
1,170,000 |
| |||
|
Tenet Healthcare Corp., Senior Secured Notes |
|
8.875% |
|
7/1/19 |
|
430,000 |
|
492,350 |
| |||
|
WellPoint Inc., Notes |
|
5.250% |
|
1/15/16 |
|
1,200,000 |
|
1,357,082 |
| |||
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
6,975,725 |
| |||
|
Pharmaceuticals — 1.0% |
|
|
|
|
|
|
|
|
| |||
|
Pfizer Inc., Senior Notes |
|
7.200% |
|
3/15/39 |
|
560,000 |
|
847,313 |
| |||
|
Wyeth, Notes |
|
5.950% |
|
4/1/37 |
|
1,100,000 |
|
1,444,457 |
| |||
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
2,291,770 |
| |||
|
TOTAL HEALTH CARE |
|
|
|
|
|
|
|
12,101,655 |
| |||
|
INDUSTRIALS — 4.4% |
|
|
|
|
|
|
|
|
| |||
|
Aerospace & Defense — 0.8% |
|
|
|
|
|
|
|
|
| |||
|
Exelis Inc., Senior Notes |
|
5.550% |
|
10/1/21 |
|
1,635,000 |
|
1,711,284 |
(a) | |||
|
L-3 Communications Corp., Senior Subordinated Notes |
|
6.375% |
|
10/15/15 |
|
217,000 |
|
222,425 |
| |||
|
Total Aerospace & Defense |
|
|
|
|
|
|
|
1,933,709 |
| |||
|
Air Freight & Logistics — 0.4% |
|
|
|
|
|
|
|
|
| |||
|
United Parcel Service Inc., Senior Notes |
|
6.200% |
|
1/15/38 |
|
700,000 |
|
955,517 |
| |||
|
Airlines — 1.7% |
|
|
|
|
|
|
|
|
| |||
|
Continental Airlines Inc., Pass-Through Certificates |
|
9.250% |
|
5/10/17 |
|
368,819 |
|
390,948 |
| |||
|
Continental Airlines Inc., Pass-Through Certificates |
|
6.545% |
|
2/2/19 |
|
226,989 |
|
243,446 |
| |||
|
Continental Airlines Inc., Pass-Through Certificates, Senior Secured Notes |
|
7.250% |
|
11/10/19 |
|
750,756 |
|
833,339 |
| |||
|
Delta Air Lines, Pass-Through Trust, Senior Secured Notes |
|
7.750% |
|
12/17/19 |
|
728,114 |
|
822,768 |
| |||
|
Delta Air Lines Inc., Pass-Through Certificates, Secured Notes |
|
8.021% |
|
8/10/22 |
|
190,229 |
|
193,082 |
| |||
|
United Air Lines Inc., Senior Secured Notes |
|
9.875% |
|
8/1/13 |
|
480,000 |
|
507,600 |
(a) | |||
|
United Air Lines Inc., Senior Secured Notes |
|
12.000% |
|
11/1/13 |
|
570,000 |
|
607,050 |
(a) | |||
|
United Airlines, Pass-Through Trust, Pass-Through Certificates, Secured Notes |
|
9.750% |
|
1/15/17 |
|
208,722 |
|
238,986 |
| |||
|
United Airlines, Pass-Through Trust, Senior Secured Notes |
|
10.400% |
|
11/1/16 |
|
168,928 |
|
192,579 |
| |||
|
Total Airlines |
|
|
|
|
|
|
|
4,029,798 |
| |||
|
Commercial Services & Supplies — 0.6% |
|
|
|
|
|
|
|
|
| |||
|
Republic Services Inc., Senior Notes |
|
5.500% |
|
9/15/19 |
|
220,000 |
|
254,374 |
| |||
|
RSC Equipment Rental Inc./RSC Holdings III LLC, Senior Secured Notes |
|
10.000% |
|
7/15/17 |
|
1,000,000 |
|
1,165,000 |
(a) | |||
|
Total Commercial Services & Supplies |
|
|
|
|
|
|
|
1,419,374 |
| |||
|
Machinery — 0.1% |
|
|
|
|
|
|
|
|
| |||
|
Valmont Industries Inc., Senior Notes |
|
6.625% |
|
4/20/20 |
|
180,000 |
|
210,423 |
| |||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
February 29, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
|
FACE |
|
VALUE |
| |
|
Road & Rail — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Burlington Northern Santa Fe LLC, Senior Notes |
|
4.400% |
|
3/15/42 |
|
$ |
1,010,000 |
|
$ |
1,000,499 |
|
|
Kansas City Southern de Mexico, Senior Notes |
|
12.500% |
|
4/1/16 |
|
650,000 |
|
760,500 |
| ||
|
Total Road & Rail |
|
|
|
|
|
|
|
1,760,999 |
| ||
|
TOTAL INDUSTRIALS |
|
|
|
|
|
|
|
10,309,820 |
| ||
|
INFORMATION TECHNOLOGY — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
IT Services — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Mantech International Corp., Senior Notes |
|
7.250% |
|
4/15/18 |
|
540,000 |
|
565,650 |
| ||
|
Semiconductors & Semiconductor Equipment — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
National Semiconductor Corp., Senior Notes |
|
6.600% |
|
6/15/17 |
|
360,000 |
|
446,618 |
| ||
|
TOTAL INFORMATION TECHNOLOGY |
|
|
|
|
|
|
|
1,012,268 |
| ||
|
MATERIALS — 7.9% |
|
|
|
|
|
|
|
|
| ||
|
Chemicals — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Ecolab Inc., Senior Notes |
|
5.500% |
|
12/8/41 |
|
260,000 |
|
307,811 |
| ||
|
Potash Corp. of Saskatchewan Inc., Senior Notes |
|
5.625% |
|
12/1/40 |
|
530,000 |
|
667,055 |
| ||
|
Total Chemicals |
|
|
|
|
|
|
|
974,866 |
| ||
|
Containers & Packaging — 1.3% |
|
|
|
|
|
|
|
|
| ||
|
Ball Corp., Senior Notes |
|
6.625% |
|
3/15/18 |
|
180,000 |
|
185,400 |
| ||
|
Rock-Tenn Co., Senior Notes |
|
4.450% |
|
3/1/19 |
|
810,000 |
|
824,393 |
(a) | ||
|
Rock-Tenn Co., Senior Notes |
|
4.900% |
|
3/1/22 |
|
640,000 |
|
652,545 |
(a) | ||
|
Solo Cup Co., Senior Secured Notes |
|
10.500% |
|
11/1/13 |
|
1,300,000 |
|
1,321,125 |
| ||
|
Total Containers & Packaging |
|
|
|
|
|
|
|
2,983,463 |
| ||
|
Metals & Mining — 5.1% |
|
|
|
|
|
|
|
|
| ||
|
Cliffs Natural Resources Inc., Senior Notes |
|
4.875% |
|
4/1/21 |
|
620,000 |
|
663,256 |
| ||
|
Cliffs Natural Resources Inc., Senior Notes |
|
6.250% |
|
10/1/40 |
|
160,000 |
|
174,561 |
| ||
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes |
|
8.375% |
|
4/1/17 |
|
2,360,000 |
|
2,470,451 |
| ||
|
Freeport-McMoRan Copper & Gold Inc., Senior Notes |
|
3.550% |
|
3/1/22 |
|
750,000 |
|
747,974 |
| ||
|
Rio Tinto Finance USA Ltd., Senior Notes |
|
9.000% |
|
5/1/19 |
|
2,000,000 |
|
2,762,480 |
| ||
|
Southern Copper Corp., Senior Notes |
|
5.375% |
|
4/16/20 |
|
260,000 |
|
289,862 |
| ||
|
Vale Overseas Ltd., Notes |
|
6.875% |
|
11/21/36 |
|
2,100,000 |
|
2,585,692 |
| ||
|
Xstrata Canada Financial Corp., Senior Notes |
|
4.950% |
|
11/15/21 |
|
620,000 |
|
670,951 |
(a) | ||
|
Xstrata Finance Canada Ltd., Senior Bonds |
|
5.800% |
|
11/15/16 |
|
1,200,000 |
|
1,357,278 |
(a) | ||
|
Total Metals & Mining |
|
|
|
|
|
|
|
11,722,505 |
| ||
|
Paper & Forest Products — 1.1% |
|
|
|
|
|
|
|
|
| ||
|
NewPage Corp., Senior Secured Notes |
|
11.375% |
|
12/31/14 |
|
500,000 |
|
303,750 |
(e) | ||
|
PE Paper Escrow GmbH, Senior Secured Notes |
|
12.000% |
|
8/1/14 |
|
1,030,000 |
|
1,127,850 |
(a) | ||
|
Verso Paper Holdings LLC, Senior Secured Notes |
|
11.500% |
|
7/1/14 |
|
1,170,000 |
|
1,199,250 |
| ||
|
Total Paper & Forest Products |
|
|
|
|
|
|
|
2,630,850 |
| ||
|
TOTAL MATERIALS |
|
|
|
|
|
|
|
18,311,684 |
| ||
|
TELECOMMUNICATION SERVICES — 7.3% |
|
|
|
|
|
|
|
|
| ||
|
Diversified Telecommunication Services — 4.7% |
|
|
|
|
|
|
|
|
| ||
|
AT&T Inc., Global Notes |
|
5.600% |
|
5/15/18 |
|
1,500,000 |
|
1,793,775 |
| ||
|
AT&T Inc., Global Notes |
|
6.550% |
|
2/15/39 |
|
250,000 |
|
319,932 |
| ||
|
AT&T Inc., Senior Notes |
|
5.550% |
|
8/15/41 |
|
1,060,000 |
|
1,248,924 |
| ||
|
British Telecommunications PLC, Bonds |
|
9.875% |
|
12/15/30 |
|
2,000,000 |
|
3,050,294 |
| ||
|
Deutsche Telekom International Finance BV, Notes |
|
4.875% |
|
3/6/42 |
|
400,000 |
|
394,906 |
(a) | ||
|
Embarq Corp., Notes |
|
7.995% |
|
6/1/36 |
|
1,500,000 |
|
1,607,234 |
| ||
|
Koninklijke KPN NV, Senior Notes |
|
8.375% |
|
10/1/30 |
|
330,000 |
|
434,553 |
| ||
|
Telecom Italia Capital SA, Senior Notes |
|
7.721% |
|
6/4/38 |
|
1,000,000 |
|
950,000 |
| ||
|
Telefonica Emisiones SAU, Senior Notes |
|
5.877% |
|
7/15/19 |
|
400,000 |
|
417,550 |
| ||
|
Verizon Communications Inc., Senior Notes |
|
8.950% |
|
3/1/39 |
|
430,000 |
|
683,984 |
| ||
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
10,901,152 |
| ||
|
Wireless Telecommunication Services — 2.6% |
|
|
|
|
|
|
|
|
| ||
|
America Movil SAB de CV, Senior Notes |
|
6.125% |
|
3/30/40 |
|
1,400,000 |
|
1,697,841 |
| ||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
February 29, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
Wireless Telecommunication Services — continued |
|
|
|
|
|
|
|
|
|
|
|
|
Cellco Partnership/Verizon Wireless Capital LLC, Senior Notes |
|
8.500% |
|
11/15/18 |
|
$ |
2,000,000 |
|
$ |
2,780,238 |
|
|
Rogers Communications Inc., Senior Notes |
|
6.800% |
|
8/15/18 |
|
1,000,000 |
|
1,265,345 |
| ||
|
Sprint Nextel Corp., Senior Notes |
|
9.000% |
|
11/15/18 |
|
280,000 |
|
312,900 |
(a) | ||
|
Total Wireless Telecommunication Services |
|
|
|
|
|
|
|
6,056,324 |
| ||
|
TOTAL TELECOMMUNICATION SERVICES |
|
|
|
|
|
|
|
16,957,476 |
| ||
|
UTILITIES — 7.0% |
|
|
|
|
|
|
|
|
| ||
|
Electric Utilities — 5.3% |
|
|
|
|
|
|
|
|
| ||
|
Commonwealth Edison Co., First Mortgage Bonds |
|
5.800% |
|
3/15/18 |
|
600,000 |
|
711,995 |
| ||
|
Commonwealth Edison Co., First Mortgage Bonds |
|
6.450% |
|
1/15/38 |
|
600,000 |
|
810,860 |
| ||
|
FirstEnergy Corp., Notes |
|
7.375% |
|
11/15/31 |
|
2,230,000 |
|
2,853,267 |
| ||
|
IPALCO Enterprises Inc., Senior Secured Notes |
|
7.250% |
|
4/1/16 |
|
1,030,000 |
|
1,148,450 |
(a) | ||
|
MidAmerican Energy Holdings Co., Bonds |
|
6.125% |
|
4/1/36 |
|
1,000,000 |
|
1,244,687 |
| ||
|
MidAmerican Energy Holdings Co., Senior Notes |
|
5.750% |
|
4/1/18 |
|
1,000,000 |
|
1,188,223 |
| ||
|
Pacific Gas & Electric Co., Senior Notes |
|
8.250% |
|
10/15/18 |
|
600,000 |
|
798,215 |
| ||
|
Pacific Gas & Electric Co., Senior Notes |
|
5.800% |
|
3/1/37 |
|
820,000 |
|
1,013,477 |
| ||
|
Reliant Energy Mid-Atlantic Power Holdings LLC, Senior Notes |
|
9.681% |
|
7/2/26 |
|
2,000,000 |
|
1,865,000 |
| ||
|
Virginia Electric and Power Co., Senior Notes |
|
8.875% |
|
11/15/38 |
|
500,000 |
|
831,419 |
| ||
|
Total Electric Utilities |
|
|
|
|
|
|
|
12,465,593 |
| ||
|
Gas Utilities — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Southern Natural Gas Co., Senior Notes |
|
8.000% |
|
3/1/32 |
|
1,500,000 |
|
1,888,371 |
| ||
|
Independent Power Producers & Energy Traders — 0.6% |
|
|
|
|
|
|
| ||||
|
AES Corp., Senior Notes |
|
8.000% |
|
6/1/20 |
|
1,100,000 |
|
1,295,250 |
| ||
|
Multi-Utilities — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Dominion Resources Inc., Senior Notes |
|
8.875% |
|
1/15/19 |
|
500,000 |
|
675,284 |
| ||
|
TOTAL UTILITIES |
|
|
|
|
|
|
|
16,324,498 |
| ||
|
TOTAL CORPORATE BONDS & NOTES (Cost — $186,375,478) |
|
|
|
|
|
212,585,805 |
| ||||
|
COLLATERALIZED SENIOR LOANS — 2.2% |
|
|
|
|
|
|
|
|
| ||
|
CONSUMER DISCRETIONARY — 0.8% |
|
|
|
|
|
|
|
|
| ||
|
Hotels, Restaurants & Leisure — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
CCM Merger Inc., New Term Loan B |
|
7.000% |
|
3/1/17 |
|
910,295 |
|
912,855 |
(f) | ||
|
Media — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Cengage Learning Acquisitions Inc., Term Loan |
|
2.490% |
|
7/3/14 |
|
974,555 |
|
906,269 |
(f) | ||
|
TOTAL CONSUMER DISCRETIONARY |
|
|
|
|
|
|
|
1,819,124 |
| ||
|
HEALTH CARE — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Health Care Equipment & Supplies — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Fenwal Inc., First Lien Term Loan |
|
2.494 - 2.739% |
|
2/28/14 |
|
968,055 |
|
949,904 |
(f) | ||
|
INDUSTRIALS — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Commercial Services & Supplies — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
Nielsen Finance LLC, Term Loan B |
|
4.007% |
|
5/2/16 |
|
972,688 |
|
970,620 |
(f) | ||
|
INFORMATION TECHNOLOGY — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
IT Services — 0.4% |
|
|
|
|
|
|
|
|
| ||
|
First Data Corp., Term Loan B |
|
4.245% |
|
3/23/18 |
|
401,246 |
|
361,039 |
(f) | ||
|
First Data Corp., Term Loan B2 |
|
2.995% |
|
9/24/14 |
|
486,648 |
|
466,665 |
(f) | ||
|
TOTAL INFORMATION TECHNOLOGY |
|
|
|
|
|
|
|
827,704 |
| ||
|
UTILITIES — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Electric Utilities — 0.2% |
|
|
|
|
|
|
|
|
| ||
|
Texas Competitive Electric Holdings Co. LLC, Term Loan |
|
4.757% |
|
10/10/17 |
|
944,308 |
|
529,206 |
(f) | ||
|
TOTAL COLLATERALIZED SENIOR LOANS (Cost — $5,087,307) |
|
|
|
5,096,558 |
| ||||||
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
February 29, 2012
|
SECURITY |
|
RATE |
|
MATURITY |
|
FACE |
|
VALUE |
| ||
|
MUNICIPAL BONDS — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Illinois — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Illinois State, GO |
|
5.665% |
|
3/1/18 |
|
$ |
530,000 |
|
$ |
580,716 |
|
|
Illinois State, GO |
|
5.877% |
|
3/1/19 |
|
530,000 |
|
587,404 |
| ||
|
TOTAL MUNICIPAL BONDS (Cost — $1,060,000) |
|
|
|
|
|
|
|
1,168,120 |
| ||
|
SOVEREIGN BONDS — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
Russia — 0.9% |
|
|
|
|
|
|
|
|
| ||
|
RSHB Capital, Loan Participation Notes, Senior Secured Notes |
|
9.000% |
|
6/11/14 |
|
1,000,000 |
|
1,110,000 |
(a) | ||
|
Russian Foreign Bond - Eurobond, Senior Bonds |
|
7.500% |
|
3/31/30 |
|
835,000 |
|
997,825 |
(a) | ||
|
TOTAL SOVEREIGN BONDS (Cost — $1,852,888) |
|
|
|
|
|
|
|
2,107,825 |
| ||
|
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 1.2% |
|
|
|
|
|
|
|
|
| ||
|
U.S. Government Obligations — 1.2% |
|
|
|
|
|
|
|
|
| ||
|
U.S. Treasury Notes |
|
0.250% |
|
1/31/14 |
|
100,000 |
|
99,926 |
| ||
|
U.S. Treasury Notes |
|
2.000% |
|
11/15/21 |
|
2,440,000 |
|
2,452,581 |
| ||
|
U.S. Treasury Notes |
|
2.000% |
|
2/15/22 |
|
340,000 |
|
340,740 |
| ||
|
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost — $2,881,386) |
|
|
|
2,893,247 |
| ||||||
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
SHARES |
|
|
| ||
|
CONVERTIBLE PREFERRED STOCKS — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
FINANCIALS — 0.3% |
|
|
|
|
|
|
|
|
| ||
|
Citigroup Inc. (Cost - $888,750) |
|
7.500% |
|
|
|
7,500 |
|
742,875 |
| ||
|
PREFERRED STOCKS — 1.6% |
|
|
|
|
|
|
|
|
| ||
|
FINANCIALS — 1.6% |
|
|
|
|
|
|
|
|
| ||
|
Commercial Banks — 0.1% |
|
|
|
|
|
|
|
|
| ||
|
Santander Finance Preferred SA Unipersonal |
|
10.500% |
|
|
|
7,725 |
|
218,231 |
| ||
|
Consumer Finance — 1.0% |
|
|
|
|
|
|
|
|
| ||
|
GMAC Capital Trust I |
|
8.125% |
|
|
|
98,600 |
|
2,315,128 |
(b) | ||
|
Diversified Financial Services — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Citigroup Capital XIII |
|
7.875% |
|
|
|
39,950 |
|
1,080,648 |
(b) | ||
|
TOTAL PREFERRED STOCKS (Cost — $3,639,635) |
|
|
|
|
|
|
|
3,614,007 |
| ||
|
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $201,785,444) |
|
228,208,437 |
| ||||||||
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
FACE |
|
|
| ||
|
SHORT-TERM INVESTMENTS — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Repurchase Agreements — 0.5% |
|
|
|
|
|
|
|
|
| ||
|
Goldman Sachs & Co. repurchase agreement dated 2/29/12; Proceeds at maturity - $1,100,005; (Fully collateralized by U.S. government agency obligations, 2.240% due 7/6/15; Market value - $1,126,150) (Cost - $1,100,000) |
|
0.150% |
|
3/1/12 |
|
$ |
1,100,000 |
|
1,100,000 |
| |
|
TOTAL INVESTMENTS — 98.5% (Cost — $202,885,444#) |
|
|
|
|
|
229,308,437 |
| ||||
|
Other Assets in Excess of Liabilities — 1.5% |
|
|
|
|
|
|
|
3,539,675 |
| ||
|
TOTAL NET ASSETS — 100.0% |
|
|
|
|
|
|
|
$ |
232,848,112 |
| |
|
(a) |
|
Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers. This security has been deemed liquid pursuant to guidelines approved by the Board of Directors, unless otherwise noted. |
|
(b) |
|
Variable rate security. Interest rate disclosed is as of the most recent information available. |
|
(c) |
|
Security has no maturity date. The date shown represents the next call date. |
|
(d) |
|
Payment-in-kind security for which part of the income earned may be paid as additional principal. |
|
(e) |
|
The coupon payment on these securities is currently in default as of February 29, 2012. |
See Notes to Schedule of Investments.
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
Schedule of investments (unaudited) (cont’d)
February 29, 2012
|
(f) |
Interest rates disclosed represent the effective rates on collateralized 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 and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of fair valuation techniques and methodologies. Short-term fixed income securities that will mature in 60 days or less are valued at amortized cost, unless it is determined that using this method would not reflect an investment’s fair value. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will normally use the currency exchange rates as of 4:00 p.m. (Eastern Time). When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Fund’s Board of Directors.
The Fund has adopted Financial Accounting Standards Board Codification Topic 820 (“ASC Topic 820”). ASC Topic 820 establishes a single definition of fair value, creates a three-tier hierarchy as a framework for measuring fair value based on inputs used to value the Fund’s investments, and requires additional disclosure about fair value. The hierarchy of inputs is summarized below.
· Level 1—quoted prices in active markets for identical investments
· Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
· Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
The following is a summary of the inputs used in valuing the Fund’s assets and liabilities carried at fair value:
|
ASSETS | ||||||||||||
|
|
|
|
|
|
|
|
|
|
| |||
|
DESCRIPTION |
|
QUOTED |
|
OTHER |
|
SIGNIFICANT |
|
TOTAL |
| |||
|
Long-term investments†: |
|
|
|
|
|
|
|
|
| |||
|
Corporate bonds & notes |
|
— |
|
$ |
212,585,805 |
|
— |
|
$ |
212,585,805 |
| |
|
Collateralized senior loans |
|
— |
|
5,096,558 |
|
— |
|
5,096,558 |
| |||
|
Municipal bonds |
|
— |
|
1,168,120 |
|
— |
|
1,168,120 |
| |||
|
Sovereign bonds |
|
— |
|
2,107,825 |
|
— |
|
2,107,825 |
| |||
|
U.S. Government & agency obligations |
|
— |
|
2,893,247 |
|
— |
|
2,893,247 |
| |||
|
Convertible preferred stocks |
|
$ |
742,875 |
|
— |
|
— |
|
742,875 |
| ||
|
Preferred stocks |
|
3,614,007 |
|
— |
|
— |
|
3,614,007 |
| |||
|
Total long-term investments |
|
$ |
4,356,882 |
|
$ |
223,851,555 |
|
— |
|
$ |
228,208,437 |
|
|
Short-term investments† |
|
— |
|
1,100,000 |
|
— |
|
1,100,000 |
| |||
|
Total investments |
|
$ |
4,356,882 |
|
$ |
224,951,555 |
|
— |
|
$ |
229,308,437 |
|
|
Other financial instruments: |
|
|
|
|
|
|
|
|
| |||
|
Futures contracts |
|
$ |
47,661 |
|
— |
|
— |
|
$ |
47,661 |
| |
|
Total |
|
$ |
4,404,543 |
|
$ |
224,951,555 |
|
— |
|
$ |
229,356,098 |
|
Notes to schedule of investments (unaudited) (continued)
|
LIABILITIES | ||||||||||||
|
|
|
|
|
|
|
|
|
|
| |||
|
DESCRIPTION |
|
QUOTED |
|
OTHER |
|
SIGNIFICANT |
|
TOTAL |
| |||
|
Other financial instruments: |
|
|
|
|
|
|
|
|
| |||
|
Futures contracts |
|
$ |
35,131 |
|
— |
|
— |
|
$ |
35,131 |
| |
|
Forward foreign currency contracts |
|
— |
|
$ |
28,227 |
|
— |
|
28,227 |
| ||
|
Total |
|
$ |
35,131 |
|
$ |
28,227 |
|
— |
|
$ |
63,358 |
|
†See Schedule of Investments for additional detailed categorizations.
(b) Repurchase agreements. The Fund may enter into repurchase agreements with institutions that its investment adviser has determined are creditworthy. Each repurchase agreement is recorded at cost. Under the terms of a typical repurchase agreement, the Fund acquires a debt security subject to an obligation of the seller to repurchase, and of the Fund to resell, the security at an agreed-upon price and time, thereby determining the yield during the Fund’s holding period. When entering into repurchase agreements, it is the Fund’s policy that its custodian or a third party custodian, acting on the Fund’s behalf, take possession of the underlying collateral securities, the market value of which, at all times, at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction maturity exceeds one business day, the value of the collateral is marked-to-market and measured against the value of the agreement in an effort to ensure the adequacy of the collateral. If the counterparty defaults, the Fund generally has the right to use the collateral to satisfy the terms of the repurchase transaction. However, if the market value of the collateral declines during the period in which the Fund seeks to assert its rights or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited.
(c) Futures contracts. The Fund uses futures contracts generally to gain exposure to, or hedge against, changes in interest rates or gain exposure to, or hedge against, changes in certain asset classes. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.
Upon entering into a futures contract, the Fund is required to deposit cash or cash equivalents with a broker in an amount equal to a certain percentage of the contract amount. This is known as the ‘‘initial margin’’ and subsequent payments (‘‘variation margin’’) are made or received by the Fund each day, depending on the daily fluctuation in the value of the contract. For certain futures, including foreign denominated futures, variation margin is not settled daily, but is recorded as a net variation margin payable or receivable. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded.
Futures contracts involve, to varying degrees, risk of loss. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(d) Forward foreign currency contracts. The Fund enters 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.
Notes to schedule of investments (unaudited) (continued)
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 contracts are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). 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 February 29, 2012, the Fund did not hold any credit default swaps to sell protection.
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.
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.
Notes to schedule of investments (unaudited) (continued)
(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 investment in securities rated below investment grade typically involves risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.
(h) Counterparty risk and credit-risk-related contingent features of derivative instruments. The Fund may invest in certain securities or engage in other transactions, where the Fund is exposed to counterparty credit risk in addition to broader market risks. The Fund may invest in securities of issuers, which may also be considered counterparties as trading partners in other transactions. This may increase the risk of loss in the event of default or bankruptcy by the counterparty or if the counterparty otherwise fails to meet its contractual obligations. The Fund’s investment manager attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. Market events and changes in overall economic conditions may impact the assessment of such counterparty risk by the investment manager. In addition, declines in the values of underlying collateral received may expose the Fund to increased risk of loss.
The Fund has entered into master agreements with certain of its derivative counterparties that provide for general obligations, representations, agreements, collateral, events of default or termination and credit related contingent features. The credit related contingent features include, but are not limited to, a percentage decrease in the Fund’s net assets or NAV over a specified period of time. If these credit related contingent features were triggered, the derivatives counterparty could terminate the positions and demand payment or require additional collateral.
As of February 29, 2012, the Fund held forward foreign currency contracts with credit related contingent features which had a liability position of $28,227. 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.
(i) Security transactions. Security transactions are accounted for on a trade date basis.
2. Investments
At February 29, 2012, the aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes were substantially as follows:
|
Gross unrealized appreciation |
|
$ |
26,546,311 |
|
|
Gross unrealized depreciation |
|
(123,318 |
) | |
|
Net unrealized appreciation |
|
$ |
26,422,993 |
|
At February 29, 2012, the Fund had the following open futures contracts:
|
|
|
NUMBER OF |
|
EXPIRATION |
|
BASIS |
|
MARKET |
|
UNREALIZED |
| |||
|
Contracts to Buy: |
|
|
|
|
|
|
|
|
|
|
| |||
|
U.S. Treasury 2-Year Notes |
|
10 |
|
6/12 |
|
$ |
2,203,158 |
|
$ |
2,202,344 |
|
$ |
(814 |
) |
|
U.S. Treasury 5-Year Notes |
|
24 |
|
6/12 |
|
2,961,265 |
|
2,956,125 |
|
(5,140 |
) | |||
|
U.S. Treasury Ultra Long-Term Bonds |
|
10 |
|
6/12 |
|
1,577,783 |
|
1,572,500 |
|
(5,283 |
) | |||
|
|
|
|
|
|
|
|
|
|
|
(11,237 |
) | |||
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
| |||
|
U.S. Treasury 10-Year Notes |
|
13 |
|
3/12 |
|
1,682,559 |
|
1,706,453 |
|
(23,894 |
) | |||
|
U.S. Treasury 10-Year Notes |
|
110 |
|
6/12 |
|
14,427,072 |
|
14,404,844 |
|
22,228 |
| |||
|
U.S. Treasury 30-Year Bonds |
|
64 |
|
6/12 |
|
9,091,433 |
|
9,066,000 |
|
25,433 |
| |||
|
|
|
|
|
|
|
|
|
|
|
23,767 |
| |||
|
Net unrealized gain on open futures contracts |
|
|
|
|
|
|
|
|
|
$ |
12,530 |
| ||
Notes to schedule of investments (unaudited) (continued)
At February 29, 2012, the Fund had the following open forward foreign currency contracts:
|
FOREIGN CURRENCY |
|
COUNTERPARTY |
|
LOCAL |
|
MARKET |
|
SETTLEMENT |
|
UNREALIZED |
| ||
|
Contracts to Sell: |
|
|
|
|
|
|
|
|
|
|
| ||
|
Euro |
|
Citibank, N.A. |
|
404,000 |
|
$ |
538,435 |
|
5/16/12 |
|
$ |
(11,397 |
) |
|
Euro |
|
Citibank, N.A. |
|
1,227,000 |
|
1,635,296 |
|
5/16/12 |
|
(16,830 |
) | ||
|
Net unrealized loss on open forward foreign currency contracts |
|
|
|
|
|
$ |
(28,227 |
) | |||||
3. Derivative instruments and hedging activities
Financial Accounting Standards Board Codification Topic 815 requires enhanced disclosure about an entity’s derivative and hedging activities.
The following is a summary of the Fund’s derivative instruments categorized by risk exposure at February 29, 2012.
|
|
|
Futures Contracts |
|
Forward Foreign |
|
|
| ||||||
|
Primary Underlying |
|
Unrealized |
|
Unrealized |
|
Unrealized |
|
Total |
| ||||
|
Interest Rate Risk |
|
$ |
47,661 |
|
$ |
(35,131 |
) |
— |
|
$ |
12,530 |
| |
|
Foreign Exchange Risk |
|
— |
|
— |
|
$ |
(28,227 |
) |
(28,227 |
) | |||
|
Total |
|
$ |
47,661 |
|
$ |
(35,131 |
) |
$ |
(28,227 |
) |
$ |
(15,697 |
) |
During the period ended February 29, 2012, the volume of derivative activity for the Fund was as follows:
|
|
|
Average Market Value |
| |
|
Futures contracts (to buy) |
|
$ |
5,990,896 |
|
|
Futures contracts (to sell) |
|
25,724,832 |
| |
|
Forward foreign currency contracts (to sell) |
|
2,152,996 |
| |
|
|
|
|
| |
|
|
|
Average Notional Balance |
| |
|
Credit default swap contracts (to sell protection)† |
|
$ |
340,000 |
|
†At February 29, 2012, there were no open positions held in this derivative.
4. Recent accounting pronouncement
In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs (“ASU No. 2011-04”). ASU No. 2011-04 establishes common requirements for measuring fair value and for disclosing information about fair value measurements. ASU No. 2011-04 is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact the adoption of ASU No. 2011-04 will have on the Fund’s financial statements and related disclosures.
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant’s principal executive officer and principal financial officer have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are likely to materially affect the registrant’s internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Western Asset Investment Grade Defined Opportunity Trust Inc.
|
By |
/s/ R. Jay Gerken |
|
|
|
R. Jay Gerken |
|
|
|
Chief Executive Officer |
|
|
|
| |
|
|
| |
|
Date: April 25, 2012 |
| |
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, 2012 |
| |
|
|
| |
|
|
| |
|
By |
/s/ Richard F. Sennett |
|
|
|
Richard F. Sennett |
|
|
|
Principal Financial Officer |
|
|
|
| |
|
Date: April 25, 2012 |
| |