NPORT-EX 1 WA_Inv_GradeDefOppTrust.htm HTML

WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
CORPORATE BONDS & NOTES - 94.6%           
COMMUNICATION SERVICES - 11.4%           

Diversified Telecommunication Services - 4.1%

          

AT&T Inc., Senior Notes

     4.500     5/15/35        370,000      $ 412,274  

AT&T Inc., Senior Notes

     4.900     6/15/42        250,000        283,705  

AT&T Inc., Senior Notes

     4.800     6/15/44        290,000        324,510  

AT&T Inc., Senior Notes

     4.500     3/9/48        422,000        463,292  

AT&T Inc., Senior Notes (3 mo. USD LIBOR + 1.180%)

     3.616     6/12/24        760,000        772,321 (a)  

British Telecommunications PLC, Senior Notes

     9.625     12/15/30        1,550,000        2,375,063  

Telefonica Emisiones SAU, Senior Notes

     7.045     6/20/36        140,000        191,057  

Verizon Communications Inc., Senior Notes

     5.150     9/15/23        2,460,000        2,766,448  

Verizon Communications Inc., Senior Notes

     4.329     9/21/28        218,000        250,421  

Verizon Communications Inc., Senior Notes

     5.500     3/16/47        1,130,000        1,518,256  
          

 

 

 

Total Diversified Telecommunication Services

             9,357,347  
          

 

 

 

Entertainment - 1.6%

          

Walt Disney Co., Senior Notes

     6.650     11/15/37        2,400,000        3,633,120 (b) 
          

 

 

 

Media - 4.7%

          

Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes

     6.384     10/23/35        180,000        219,972  

Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes

     6.484     10/23/45        420,000        519,920  

Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes

     5.375     5/1/47        560,000        622,718  

Comcast Corp., Senior Notes

     6.400     5/15/38        2,500,000        3,604,050  

Discovery Communications LLC, Senior Notes

     4.125     5/15/29        160,000        171,287  

Discovery Communications LLC, Senior Notes

     5.300     5/15/49        80,000        91,429  

DISH DBS Corp., Senior Notes

     7.875     9/1/19        690,000        690,000  

Fox Corp., Senior Notes

     5.476     1/25/39        810,000        1,015,656 (b) 

Time Warner Cable LLC, Senior Secured Notes

     6.550     5/1/37        370,000        448,521  

Time Warner Cable LLC, Senior Secured Notes

     7.300     7/1/38        330,000        423,797  

Time Warner Cable LLC, Senior Secured Notes

     6.750     6/15/39        20,000        24,634  

Time Warner Cable LLC, Senior Secured Notes

     5.500     9/1/41        200,000        218,746  

Time Warner Entertainment Co. LP, Senior Secured Notes

     8.375     3/15/23        1,170,000        1,389,852  

Time Warner Entertainment Co. LP, Senior Secured Notes

     8.375     7/15/33        370,000        519,357  

 

See Notes to Schedule of Investments.

 

1


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Media - (continued)

          

UBM PLC, Senior Notes

     5.750     11/3/20        740,000      $ 763,803 (b)  

Viacom Inc., Senior Notes

     5.250     4/1/44        80,000        93,819  
          

 

 

 

Total Media

             10,817,561  
          

 

 

 

Wireless Telecommunication Services - 1.0%

          

Sprint Corp., Senior Notes

     7.250     9/15/21        1,170,000        1,261,494  

Sprint Corp., Senior Notes

     7.875     9/15/23        120,000        135,300  

Telefonica Europe BV, Senior Notes

     8.250     9/15/30        390,000        568,934  

Vodafone Group PLC, Senior Notes

     5.250     5/30/48        400,000        479,376  
          

 

 

 

Total Wireless Telecommunication Services

             2,445,104  
          

 

 

 

TOTAL COMMUNICATION SERVICES

             26,253,132  
          

 

 

 
CONSUMER DISCRETIONARY - 3.2%           

Automobiles - 1.0%

          

Ford Motor Co., Senior Notes

     9.215     9/15/21        640,000        717,844  

Ford Motor Credit Co. LLC, Senior Notes

     5.113     5/3/29        420,000        434,193  

General Motors Co., Senior Notes

     6.600     4/1/36        290,000        337,139  

General Motors Co., Senior Notes

     6.750     4/1/46        580,000        691,129  
          

 

 

 

Total Automobiles

             2,180,305  
          

 

 

 

Hotels, Restaurants & Leisure - 1.0%

          

Marriott International Inc., Senior Notes

     3.600     4/15/24        320,000        337,916  

McDonald’s Corp., Senior Notes

     4.700     12/9/35        260,000        314,400  

McDonald’s Corp., Senior Notes

     4.875     12/9/45        370,000        458,573  

MGM China Holdings Ltd., Senior Notes

     5.875     5/15/26        200,000        208,500 (b)  

Sands China Ltd., Senior Notes

     5.125     8/8/25        690,000        765,969  

Sands China Ltd., Senior Notes

     5.400     8/8/28        200,000        231,321  
          

 

 

 

Total Hotels, Restaurants & Leisure

             2,316,679  
          

 

 

 

Household Durables - 0.3%

          

Lennar Corp., Senior Notes

     5.000     6/15/27        390,000        419,738  

MDC Holdings Inc., Senior Notes

     6.000     1/15/43        250,000        257,500  
          

 

 

 

Total Household Durables

             677,238  
          

 

 

 

Internet & Direct Marketing Retail - 0.2%

          

Amazon.com Inc., Senior Notes

     3.875     8/22/37        410,000        479,001  
          

 

 

 

Specialty Retail - 0.7%

          

Home Depot Inc., Senior Notes

     3.900     12/6/28        930,000        1,060,813  

Target Corp., Senior Notes

     3.375     4/15/29        540,000        592,578  
          

 

 

 

Total Specialty Retail

             1,653,391  
          

 

 

 

TOTAL CONSUMER DISCRETIONARY

             7,306,614  
          

 

 

 

 

See Notes to Schedule of Investments.

 

2


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
CONSUMER STAPLES - 4.1%           

Beverages - 1.1%

          

Anheuser-Busch InBev Worldwide Inc., Senior Notes

     4.600     4/15/48        1,730,000      $ 2,013,600  

Constellation Brands Inc., Senior Notes

     4.250     5/1/23        100,000        107,194  

PepsiCo Inc., Senior Notes

     2.625     7/29/29        300,000        312,075  
          

 

 

 

Total Beverages

             2,432,869  
          

 

 

 

Food & Staples Retailing - 0.4%

          

Kroger Co., Senior Notes

     4.650     1/15/48        50,000        53,732  

Walgreen Co., Senior Notes

     3.100     9/15/22        400,000        410,845  

Walmart Inc., Senior Notes

     4.050     6/29/48        360,000        448,707  
          

 

 

 

Total Food & Staples Retailing

             913,284  
          

 

 

 

Food Products - 0.3%

          

Kraft Heinz Foods Co., Senior Notes

     5.000     6/4/42        210,000        216,995  

Kraft Heinz Foods Co., Senior Notes

     5.200     7/15/45        20,000        21,127  

Mars Inc., Senior Notes

     2.700     4/1/25        220,000        227,657 (b)  

Mars Inc., Senior Notes

     3.200     4/1/30        220,000        234,889 (b)  
          

 

 

 

Total Food Products

             700,668  
          

 

 

 

Tobacco - 2.3%

          

Altria Group Inc., Senior Notes

     3.800     2/14/24        290,000        307,332  

Altria Group Inc., Senior Notes

     4.400     2/14/26        500,000        548,550  

Altria Group Inc., Senior Notes

     4.800     2/14/29        1,360,000        1,538,395  

Altria Group Inc., Senior Notes

     3.875     9/16/46        80,000        78,697  

Philip Morris International Inc., Senior Notes

     2.875     5/1/24        1,550,000        1,591,711  

Reynolds American Inc., Senior Notes

     8.125     5/1/40        470,000        650,722  

Reynolds American Inc., Senior Notes

     7.000     8/4/41        510,000        644,927  
          

 

 

 

Total Tobacco

             5,360,334  
          

 

 

 

TOTAL CONSUMER STAPLES

             9,407,155  
          

 

 

 
ENERGY - 14.8%           

Energy Equipment & Services - 0.5%

          

Halliburton Co., Senior Notes

     5.000     11/15/45        930,000        1,042,748  
          

 

 

 

Oil, Gas & Consumable Fuels - 14.3%

          

Anadarko Petroleum Corp., Senior Notes

     4.850     3/15/21        598,000        618,355  

Anadarko Petroleum Corp., Senior Notes

     5.550     3/15/26        750,000        849,960  

Andeavor Logistics LP/Tesoro Logistics Finance Corp., Senior Notes

     5.250     1/15/25        500,000        525,917  

Andeavor Logistics LP/Tesoro Logistics Finance Corp., Senior Notes

     4.250     12/1/27        500,000        529,893  

Apache Corp., Senior Notes

     6.000     1/15/37        84,000        95,256  

Apache Corp., Senior Notes

     5.100     9/1/40        280,000        283,705  

 

See Notes to Schedule of Investments.

 

3


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Oil, Gas & Consumable Fuels - (continued)

          

Apache Corp., Senior Notes

     5.250     2/1/42        160,000      $ 165,258  

Apache Corp., Senior Notes

     4.750     4/15/43        670,000        648,743  

Cimarex Energy Co., Senior Notes

     4.375     6/1/24        960,000        1,012,837  

Cimarex Energy Co., Senior Notes

     3.900     5/15/27        250,000        255,960  

Concho Resources Inc., Senior Notes

     3.750     10/1/27        110,000        114,571  

Concho Resources Inc., Senior Notes

     4.300     8/15/28        280,000        304,946  

ConocoPhillips, Senior Notes

     6.500     2/1/39        1,500,000        2,206,178  

Continental Resources Inc., Senior Notes

     4.500     4/15/23        880,000        911,845  

Continental Resources Inc., Senior Notes

     4.375     1/15/28        430,000        441,678  

Devon Energy Corp., Senior Notes

     5.850     12/15/25        560,000        671,165  

Devon Energy Corp., Senior Notes

     5.600     7/15/41        20,000        24,678  

Devon Energy Corp., Senior Notes

     5.000     6/15/45        210,000        247,213  

Ecopetrol SA, Senior Notes

     5.875     5/28/45        404,000        476,219  

Energy Transfer Operating LP, Senior Notes

     7.500     10/15/20        420,000        442,771  

Energy Transfer Operating LP, Senior Notes

     4.200     9/15/23        510,000        539,511  

Energy Transfer Operating LP, Senior Notes

     5.250     4/15/29        20,000        22,907  

Energy Transfer Operating LP, Senior Notes

     6.625     10/15/36        20,000        24,558  

Energy Transfer Operating LP, Senior Notes

     5.800     6/15/38        60,000        69,964  

Enterprise Products Operating LLC, Senior Notes

     4.250     2/15/48        400,000        435,445  

Enterprise Products Operating LLC, Senior Notes (5.375% to 2/15/28 then 3 mo. USD LIBOR + 2.570%)

     5.375     2/15/78        570,000        556,274 (a)  

Exxon Mobil Corp., Senior Notes

     2.440     8/16/29        110,000        112,693  

Exxon Mobil Corp., Senior Notes

     2.995     8/16/39        190,000        195,821  

Kerr-McGee Corp., Senior Notes

     6.950     7/1/24        1,320,000        1,561,873  

Kerr-McGee Corp., Senior Notes

     7.875     9/15/31        710,000        979,104  

Kinder Morgan Inc., Senior Notes

     7.800     8/1/31        900,000        1,251,590  

MEG Energy Corp., Senior Notes

     6.375     1/30/23        280,000        265,650 (b)  

MEG Energy Corp., Senior Notes

     7.000     3/31/24        620,000        592,875 (b)  

MPLX LP, Senior Notes

     4.800     2/15/29        660,000        734,554  

MPLX LP, Senior Notes

     4.500     4/15/38        600,000        619,788  

NGPL PipeCo LLC, Senior Notes

     4.875     8/15/27        60,000        63,920 (b)  

Noble Energy Inc., Senior Notes

     6.000     3/1/41        660,000        783,534  

Noble Energy Inc., Senior Notes

     5.250     11/15/43        240,000        272,399  

Occidental Petroleum Corp., Senior Notes

     3.200     8/15/26        250,000        252,884  

Occidental Petroleum Corp., Senior Notes

     3.500     8/15/29        250,000        254,808  

Occidental Petroleum Corp., Senior Notes

     4.400     4/15/46        30,000        30,673  

Petrobras Global Finance BV, Senior Notes

     7.375     1/17/27        530,000        630,228  

Petroleos Mexicanos, Senior Notes

     6.875     8/4/26        730,000        767,230  

 

See Notes to Schedule of Investments.

 

4


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Oil, Gas & Consumable Fuels - (continued)

          

Petroleos Mexicanos, Senior Notes

     6.625     6/15/35        460,000      $ 449,650  

Southern Natural Gas Co. LLC, Senior Notes

     8.000     3/1/32        1,500,000        2,149,280  

Sunoco Logistics Partners Operations LP, Senior Notes

     3.900     7/15/26        630,000        652,250  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     7.850     2/1/26        760,000        973,505  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     7.250     12/1/26        180,000        225,177  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     5.400     8/15/41        10,000        12,094  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     4.450     8/1/42        860,000        954,408  

Western Midstream Operating LP, Senior Notes

     4.650     7/1/26        1,560,000        1,589,693  

Western Midstream Operating LP, Senior Notes

     4.750     8/15/28        890,000        902,015  

Western Midstream Operating LP, Senior Notes

     5.450     4/1/44        120,000        111,646  

Williams Cos. Inc., Senior Notes

     5.250     3/15/20        460,000        466,903  

Williams Cos. Inc., Senior Notes

     7.875     9/1/21        952,000        1,051,484  

Williams Cos. Inc., Senior Notes

     4.550     6/24/24        1,130,000        1,224,468  

Williams Cos. Inc., Senior Notes

     7.750     6/15/31        62,000        84,047  

Williams Cos. Inc., Senior Notes

     8.750     3/15/32        148,000        215,987  
          

 

 

 

Total Oil, Gas & Consumable Fuels

             32,908,038  
          

 

 

 

TOTAL ENERGY

             33,950,786  
          

 

 

 
FINANCIALS - 30.2%           

Banks - 17.7%

          

Banco Mercantil del Norte SA, Junior Subordinated Notes (7.500% to 6/27/29 then 10 year Treasury Constant Maturity Rate + 5.470%)

     7.500     6/27/29        200,000        200,252 (a)(b)(c) 

Banco Mercantil del Norte SA, Junior Subordinated Notes (7.625% to 1/10/28 then 10 year Treasury Constant Maturity Rate + 5.353%)

     7.625     1/10/28        400,000        401,620 (a)(b)(c) 

Bank of America Corp., Junior Subordinated Notes (6.100% to 3/17/25 then 3 mo. USD LIBOR + 3.898%)

     6.100     3/17/25        590,000        643,522 (a)(c) 

Bank of America Corp., Junior Subordinated Notes (6.250% to 9/5/24 then 3 mo. USD LIBOR + 3.705%)

     6.250     9/5/24        880,000        959,829 (a)(c) 

Bank of America Corp., Junior Subordinated Notes (6.500% to 10/23/24 then 3 mo. USD LIBOR + 4.174%)

     6.500     10/23/24        400,000        448,286 (a)(c) 

Bank of America Corp., Senior Notes

     5.875     2/7/42        1,340,000        1,923,335  

 

See Notes to Schedule of Investments.

 

5


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Banks - (continued)

          

Bank of America Corp., Senior Notes (3.458% to 3/15/24 then 3 mo. USD LIBOR + 0.970%)

     3.458     3/15/25        110,000      $ 115,631 (a) 

Bank of America Corp., Senior Notes (4.271% to 7/23/28 then 3 mo. USD LIBOR + 1.310%)

     4.271     7/23/29        690,000        779,201 (a)  

Bank of America Corp., Subordinated Notes

     7.750     5/14/38        670,000        1,047,047  

Barclays Bank PLC, Subordinated Notes

     7.625     11/21/22        430,000        474,382  

Barclays PLC, Junior Subordinated Notes (7.750% to 9/15/23 then USD 5 year ICE Swap Rate + 4.842%)

     7.750     9/15/23        320,000        327,029 (a)(c) 

Barclays PLC, Junior Subordinated Notes (8.000% to 6/15/24 then 5 year Treasury Constant Maturity Rate + 5.672%)

     8.000     6/15/24        250,000        260,191 (a)(c) 

Barclays PLC, Subordinated Notes (5.088% to 6/20/29 then 3 mo. USD LIBOR + 3.054%)

     5.088     6/20/30        500,000        519,830 (a)  

BNP Paribas SA, Junior Subordinated Notes (7.375% to 8/19/25 then USD 5 year ICE Swap Rate + 5.150%)

     7.375     8/19/25        1,520,000        1,690,400 (a)(b)(c) 

BNP Paribas SA, Junior Subordinated Notes (7.625% to 3/30/21 then USD 5 year ICE Swap Rate + 6.314%)

     7.625     3/30/21        240,000        253,884 (a)(b)(c) 

Citigroup Inc., Junior Subordinated Bonds (6.250% to 8/15/26 then 3 mo. USD LIBOR + 4.517%)

     6.250     8/15/26        1,100,000        1,232,941 (a)(c) 

Citigroup Inc., Junior Subordinated Notes (6.300% to 5/15/24 then 3 mo. USD LIBOR + 3.423%)

     6.300     5/15/24        1,350,000        1,433,990 (a)(c) 

Citigroup Inc., Senior Notes

     8.125     7/15/39        752,000        1,258,320  

Citigroup Inc., Senior Notes

     4.650     7/23/48        420,000        528,792  

Citigroup Inc., Subordinated Notes

     4.600     3/9/26        490,000        539,586  

Citigroup Inc., Subordinated Notes

     4.125     7/25/28        2,290,000        2,499,234  

Citigroup Inc., Subordinated Notes

     6.675     9/13/43        630,000        934,924  

Cooperatieve Rabobank UA, Senior Notes

     5.750     12/1/43        250,000        343,179  

Credit Agricole SA, Junior Subordinated Notes (8.125% to 12/23/25 then USD 5 year ICE Swap Rate + 6.185%)

     8.125     12/23/25        1,370,000        1,601,751 (a)(b)(c) 

Credit Agricole SA, Junior Subordinated Notes (8.375% to 10/13/19 then 3 mo. USD LIBOR + 6.982%)

     8.375     10/13/19        500,000        505,400 (a)(b)(c) 

Danske Bank A/S, Senior Notes

     5.000     1/12/22        740,000        780,719 (b)  

Danske Bank A/S, Senior Notes

     5.375     1/12/24        530,000        584,815 (b)  

 

See Notes to Schedule of Investments.

 

6


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Banks - (continued)

          

HSBC Holdings PLC, Junior Subordinated Notes (6.375% to 9/17/24 then USD 5 year ICE Swap Rate + 3.705%)

     6.375     9/17/24        800,000      $ 820,076 (a)(c) 

HSBC Holdings PLC, Junior Subordinated Notes (6.500% to 3/23/28 then USD 5 year ICE Swap Rate + 3.606%)

     6.500     3/23/28        460,000        473,156 (a)(c) 

Intesa Sanpaolo SpA, Subordinated Notes

     5.710     1/15/26        1,470,000        1,552,027 (b) 

JPMorgan Chase & Co., Junior Subordinated Notes (6.000% to 8/1/23 then 3 mo. USD LIBOR + 3.300%)

     6.000     8/1/23        700,000        746,001 (a)(c) 

JPMorgan Chase & Co., Senior Notes

     6.400     5/15/38        1,500,000        2,188,711  

JPMorgan Chase & Co., Subordinated Notes

     5.625     8/16/43        760,000        1,042,483  

Lloyds Banking Group PLC, Junior Subordinated Notes (6.750% to 6/27/26 then 5 year Treasury Constant Maturity Rate + 4.815%)

     6.750     6/27/26        220,000        223,300 (a)(c) 

Lloyds Banking Group PLC, Junior Subordinated Notes (7.500% to 6/27/24 then USD 5 year ICE Swap Rate + 4.760%)

     7.500     6/27/24        620,000        642,475 (a)(c) 

Lloyds Banking Group PLC, Junior Subordinated Notes (7.500% to 9/27/25 then USD 5 year ICE Swap Rate + 4.496%)

     7.500     9/27/25        470,000        486,852 (a)(c) 

NatWest Markets NV, Subordinated Notes

     7.750     5/15/23        820,000        942,533  

PNC Bank NA, Subordinated Notes

     4.050     7/26/28        650,000        728,155  

Royal Bank of Scotland Group PLC, Junior Subordinated Notes (7.648% to 9/30/31 then 3 mo. USD LIBOR + 2.500%)

     7.648     9/30/31        710,000        954,950 (a)(c) 

Royal Bank of Scotland Group PLC, Junior Subordinated Notes (8.625% to 8/15/21 then USD 5 year ICE Swap Rate + 7.598%)

     8.625     8/15/21        950,000        1,008,188 (a)(c) 

Royal Bank of Scotland Group PLC, Subordinated Notes

     6.100     6/10/23        840,000        911,474  

U.S. Bancorp, Subordinated Notes

     3.000     7/30/29        250,000        261,742  

UniCredit SpA, Senior Notes

     6.572     1/14/22        570,000        613,122 (b)  

UniCredit SpA, Subordinated Notes (7.296% to 4/2/29 then USD 5 year ICE Swap Rate + 4.914%)

     7.296     4/2/34        1,610,000        1,820,024 (a)(b) 

Wachovia Capital Trust III Ltd., Junior Subordinated Bonds (the greater of 3 mo. USD LIBOR + 0.930% or 5.570%)

     5.570     9/30/19        410,000        410,623 (a)(c) 

Wells Fargo & Co., Senior Notes (3.196% to 6/17/26 then 3 mo. USD LIBOR + 1.170%)

     3.196     6/17/27        1,150,000        1,198,787 (a) 

Wells Fargo & Co., Subordinated Notes

     4.400     6/14/46        420,000        488,258  

 

See Notes to Schedule of Investments.

 

7


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Banks - (continued)

          

Wells Fargo & Co., Subordinated Notes

     4.750     12/7/46        530,000      $ 650,263  

Westpac Banking Corp., Subordinated Notes

     4.421     7/24/39        170,000        190,850  
          

 

 

 

Total Banks

             40,642,140  
          

 

 

 

Capital Markets - 5.5%

          

Charles Schwab Corp., Senior Notes

     3.850     5/21/25        230,000        249,528  

CME Group Inc., Senior Notes

     5.300     9/15/43        750,000        1,043,550  

Credit Suisse USA Inc., Senior Notes

     7.125     7/15/32        70,000        103,804  

Goldman Sachs Group Inc., Senior Notes

     6.250     2/1/41        2,550,000        3,623,428  

Goldman Sachs Group Inc., Senior Notes (2.908% to 6/5/22 then 3 mo. USD LIBOR + 1.053%)

     2.908     6/5/23        1,100,000        1,119,826 (a) 

Goldman Sachs Group Inc., Subordinated Notes

     5.150     5/22/45        70,000        85,058  

Intercontinental Exchange Inc., Senior Notes

     3.750     9/21/28        1,000,000        1,116,120  

KKR Group Finance Co. III LLC, Senior Notes

     5.125     6/1/44        1,300,000        1,549,052 (b)  

KKR Group Finance Co. VI LLC, Senior Notes

     3.750     7/1/29        120,000        127,705 (b)  

Morgan Stanley, Senior Notes

     5.500     1/26/20        1,950,000        1,974,718  

Morgan Stanley, Senior Notes

     6.375     7/24/42        140,000        207,516  

Raymond James Financial Inc., Senior Notes

     4.950     7/15/46        150,000        183,845  

UBS AG Stamford, CT, Subordinated Notes

     7.625     8/17/22        330,000        372,618  

UBS Group Funding Switzerland AG, Junior Subordinated Notes (7.000% to 1/31/24 then USD 5 year ICE Swap Rate + 4.344%)

     7.000     1/31/24        920,000        976,350 (a)(b)(c) 
          

 

 

 

Total Capital Markets

             12,733,118  
          

 

 

 

Consumer Finance - 1.7%

          

American Express Co., Senior Notes

     2.500     7/30/24        1,240,000        1,264,784  

Navient Corp., Senior Notes

     7.250     1/25/22        1,430,000        1,573,000  

Navient Corp., Senior Notes

     6.125     3/25/24        480,000        511,800  

Synchrony Financial, Senior Notes

     2.850     7/25/22        520,000        527,229  
          

 

 

 

Total Consumer Finance

             3,876,813  
          

 

 

 

Diversified Financial Services - 0.8%

          

Carlyle Finance LLC, Senior Notes

     5.650     9/15/48        170,000        207,399 (b)  

Carlyle Holdings II Finance LLC, Senior Notes

     5.625     3/30/43        360,000        431,657 (b)  

DAE Funding LLC, Senior Notes

     5.000     8/1/24        240,000        251,760 (b)  

Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK)

     6.500     9/15/24        70,000        69,825 (b)(d)  

ILFC E-Capital Trust I, Ltd. GTD ((Highest of 3 mo. USD LIBOR, 10 year U.S. Treasury Constant Maturity Rate and 30 year U.S. Treasury Constant Maturity Rate) + 1.550%)

     4.090     12/21/65        800,000        561,216 (a)(b)  

International Lease Finance Corp., Senior Notes

     8.250     12/15/20        330,000        354,208  
          

 

 

 

Total Diversified Financial Services

             1,876,065  
          

 

 

 

 

See Notes to Schedule of Investments.

 

8


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Insurance - 4.1%

          

American International Group Inc., Senior Notes

     6.400     12/15/20        1,000,000      $ 1,054,059  

American International Group Inc., Senior Notes

     4.750     4/1/48        80,000        95,460  

Delphi Financial Group Inc., Senior Notes

     7.875     1/31/20        290,000        296,322  

Fidelity & Guaranty Life Holdings Inc., Senior Notes

     5.500     5/1/25        360,000        383,400 (b)  

Liberty Mutual Insurance Co., Subordinated Notes

     7.875     10/15/26        840,000        1,072,568 (b)  

Massachusetts Mutual Life Insurance Co., Subordinated Notes

     4.900     4/1/77        420,000        552,200 (b)  

MetLife Inc., Junior Subordinated Notes (6.400% to 12/15/36 then 3 mo. USD LIBOR + 2.205%)

     6.400     12/15/66        1,000,000        1,168,405 (a) 

Nationwide Mutual Insurance Co., Subordinated Notes

     9.375     8/15/39        520,000        901,284 (b)  

New York Life Insurance Co., Subordinated Notes

     4.450     5/15/69        140,000        171,146 (b)  

Teachers Insurance & Annuity Association of America, Subordinated Notes

     6.850     12/16/39        1,050,000        1,585,964 (b)  

Teachers Insurance & Annuity Association of America, Subordinated Notes

     4.900     9/15/44        660,000        831,491 (b)  

Travelers Cos. Inc., Senior Notes

     6.250     6/15/37        400,000        580,448  

Trinity Acquisition PLC, Senior Notes

     3.500     9/15/21        626,000        639,354  
          

 

 

 

Total Insurance

             9,332,101  
          

 

 

 

Thrifts & Mortgage Finance - 0.4%

          

Quicken Loans Inc., Senior Notes

     5.750     5/1/25        770,000        806,575 (b)  
          

 

 

 

TOTAL FINANCIALS

             69,266,812  
          

 

 

 
HEALTH CARE - 11.5%           

Biotechnology - 1.1%

          

Celgene Corp., Senior Notes

     2.750     2/15/23        1,100,000        1,124,074  

Celgene Corp., Senior Notes

     5.000     8/15/45        400,000        507,971  

Gilead Sciences Inc., Senior Notes

     5.650     12/1/41        100,000        132,657  

Gilead Sciences Inc., Senior Notes

     4.500     2/1/45        500,000        583,899  

Gilead Sciences Inc., Senior Notes

     4.750     3/1/46        100,000        121,771  
          

 

 

 

Total Biotechnology

             2,470,372  
          

 

 

 

Health Care Equipment & Supplies - 1.1%

          

Abbott Laboratories, Senior Notes

     2.900     11/30/21        460,000        469,196  

Abbott Laboratories, Senior Notes

     4.900     11/30/46        200,000        267,630  

Becton Dickinson and Co., Senior Notes

     4.685     12/15/44        1,110,000        1,321,744  

Becton Dickinson and Co., Senior Notes

     4.669     6/6/47        450,000        544,983  
          

 

 

 

Total Health Care Equipment & Supplies

             2,603,553  
          

 

 

 

 

See Notes to Schedule of Investments.

 

9


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Health Care Providers & Services - 7.4%

          

Anthem Inc., Senior Notes

     4.375     12/1/47        630,000      $ 707,626  

Cigna Corp., Senior Notes

     4.125     11/15/25        540,000        587,856  

Cigna Corp., Senior Notes

     4.800     8/15/38        540,000        625,310  

CommonSpirit Health, Secured Notes

     4.350     11/1/42        60,000        65,494  

CVS Health Corp., Senior Notes

     2.625     8/15/24        690,000        695,613  

CVS Health Corp., Senior Notes

     4.100     3/25/25        1,460,000        1,563,883  

CVS Health Corp., Senior Notes

     4.300     3/25/28        1,610,000        1,757,121  

CVS Health Corp., Senior Notes

     4.780     3/25/38        2,060,000        2,308,194  

CVS Health Corp., Senior Notes

     5.125     7/20/45        540,000        628,435  

CVS Health Corp., Senior Notes

     5.050     3/25/48        930,000        1,084,899  

Dartmouth-Hitchcock Health, Secured Bonds

     4.178     8/1/48        150,000        182,203  

HCA Inc., Senior Secured Notes

     4.125     6/15/29        340,000        362,472  

HCA Inc., Senior Secured Notes

     5.125     6/15/39        170,000        188,288  

HCA Inc., Senior Secured Notes

     5.500     6/15/47        350,000        402,620  

HCA Inc., Senior Secured Notes

     5.250     6/15/49        530,000        594,010  

Humana Inc., Senior Notes

     3.125     8/15/29        450,000        455,483  

Humana Inc., Senior Notes

     4.800     3/15/47        420,000        494,190  

Magellan Health Inc., Senior Notes

     4.900     9/22/24        1,140,000        1,143,990  

Orlando Health Obligated Group, Senior Notes

     4.089     10/1/48        270,000        322,999  

UnitedHealth Group Inc., Senior Notes

     2.375     8/15/24        880,000        894,420  

UnitedHealth Group Inc., Senior Notes

     3.700     12/15/25        250,000        272,480  

UnitedHealth Group Inc., Senior Notes

     3.850     6/15/28        540,000        601,311  

UnitedHealth Group Inc., Senior Notes

     2.875     8/15/29        450,000        469,468  

UnitedHealth Group Inc., Senior Notes

     3.500     8/15/39        220,000        235,236  

UnitedHealth Group Inc., Senior Notes

     4.750     7/15/45        220,000        274,993  
          

 

 

 

Total Health Care Providers & Services

             16,918,594  
          

 

 

 

Pharmaceuticals - 1.9%

          

Allergan Funding SCS, Senior Notes

     4.550     3/15/35        200,000        215,432  

Bristol-Myers Squibb Co., Senior Notes

     3.400     7/26/29        1,530,000        1,657,568 (b)  

Pfizer Inc., Senior Notes

     7.200     3/15/39        560,000        892,007  

Wyeth LLC, Senior Notes

     5.950     4/1/37        1,100,000        1,535,845  

Zoetis Inc., Senior Notes

     4.700     2/1/43        40,000        48,753  
          

 

 

 

Total Pharmaceuticals

             4,349,605  
          

 

 

 

TOTAL HEALTH CARE

             26,342,124  
          

 

 

 
INDUSTRIALS - 7.0%           

Aerospace & Defense - 3.4%

          

Avolon Holdings Funding Ltd., Senior Notes

     5.125     10/1/23        330,000        351,186 (b)  

Avolon Holdings Funding Ltd., Senior Notes

     3.950     7/1/24        90,000        92,741 (b)  

Boeing Co., Senior Notes

     2.800     3/1/24        500,000        515,748  

Boeing Co., Senior Notes

     3.100     5/1/26        2,190,000        2,315,868  

 

See Notes to Schedule of Investments.

 

10


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  

Aerospace & Defense - (continued)

          

Hexcel Corp., Senior Notes

     3.950     2/15/27        1,000,000      $ 1,058,987  

Huntington Ingalls Industries Inc., Senior Notes

     3.483     12/1/27        320,000        337,856  

L3Harris Technologies Inc., Senior Notes

     4.400     6/15/28        700,000        792,505 (b)  

Lockheed Martin Corp., Senior Notes

     4.500     5/15/36        50,000        60,721  

Lockheed Martin Corp., Senior Notes

     4.700     5/15/46        200,000        261,008  

Northrop Grumman Systems Corp., Senior Notes

     7.875     3/1/26        1,390,000        1,819,069  

United Technologies Corp., Senior Notes

     4.625     11/16/48        180,000        227,586  
          

 

 

 

Total Aerospace & Defense

             7,833,275  
          

 

 

 

Air Freight & Logistics - 0.4%

          

United Parcel Service Inc., Senior Notes

     6.200     1/15/38        700,000        981,024  
          

 

 

 

Airlines - 0.6%

          

American Airlines Pass-Through Trust

     5.600     7/15/20        211,592        215,443 (b)  

Continental Airlines Pass-Through Trust

     7.250     11/10/19        459,890        463,339  

Continental Airlines Pass-Through Trust

     6.250     4/11/20        113,646        115,328  

Delta Air Lines Pass-Through Certificates Trust

     8.021     8/10/22        68,999        76,937  

Delta Air Lines Pass-Through Certificates Trust, Senior Secured Notes

     7.750     12/17/19        163,170        165,533  

US Airways Pass-Through Trust, Senior Secured Notes

     5.900     10/1/24        377,948        421,979  
          

 

 

 

Total Airlines

             1,458,559  
          

 

 

 

Commercial Services & Supplies - 1.1%

          

Republic Services Inc., Senior Notes

     5.500     9/15/19        220,000        220,196  

Republic Services Inc., Senior Notes

     2.500     8/15/24        700,000        712,063  

Waste Connections Inc., Senior Notes

     4.250     12/1/28        750,000        850,944  

Waste Management Inc., Senior Notes

     3.200     6/15/26        40,000        42,619  

Waste Management Inc., Senior Notes

     4.000     7/15/39        550,000        636,156  
          

 

 

 

Total Commercial Services & Supplies

             2,461,978  
          

 

 

 

Industrial Conglomerates - 0.8%

          

General Electric Co., Senior Notes

     6.750     3/15/32        330,000        404,895  

General Electric Co., Senior Notes

     6.875     1/10/39        1,098,000        1,401,031  
          

 

 

 

Total Industrial Conglomerates

             1,805,926  
          

 

 

 

Machinery - 0.2%

          

Caterpillar Inc., Senior Notes

     4.750     5/15/64        360,000        469,958  
          

 

 

 

Road & Rail - 0.3%

          

Union Pacific Corp., Senior Notes

     4.375     11/15/65        530,000        606,344  
          

 

 

 

Trading Companies & Distributors - 0.2%

          

Aviation Capital Group LLC, Senior Notes

     4.125     8/1/25        340,000        363,102 (b)  
          

 

 

 

TOTAL INDUSTRIALS

             15,980,166  
          

 

 

 

 

See Notes to Schedule of Investments.

 

11


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
     VALUE  
INFORMATION TECHNOLOGY - 2.8%           

Communications Equipment - 0.4%

          

Harris Corp., Senior Notes

     4.854     4/27/35        430,000      $ 515,104  

Harris Corp., Senior Notes

     5.054     4/27/45        340,000        434,226  
          

 

 

 

Total Communications Equipment

             949,330  
          

 

 

 

IT Services - 0.7%

          

Global Payments Inc., Senior Notes

     2.650     2/15/25        1,340,000        1,348,649  

International Business Machines Corp., Senior Notes

     3.500     5/15/29        200,000        217,178  
          

 

 

 

Total IT Services

             1,565,827  
          

 

 

 

Semiconductors & Semiconductor Equipment - 0.4%

          

Intel Corp., Senior Notes

     4.900     7/29/45        220,000        289,359  

QUALCOMM Inc., Senior Notes

     4.300     5/20/47        70,000        79,452  

Texas Instruments Inc., Senior Notes

     3.875     3/15/39        430,000        505,485  
          

 

 

 

Total Semiconductors & Semiconductor Equipment

             874,296  
          

 

 

 

Software - 0.9%

          

Microsoft Corp., Senior Notes

     4.250     2/6/47        1,520,000        1,943,435  

salesforce.com Inc., Senior Notes

     3.700     4/11/28        120,000        134,032  
          

 

 

 

Total Software

             2,077,467  
          

 

 

 

Technology Hardware, Storage & Peripherals - 0.4%

          

Dell International LLC/EMC Corp., Senior Secured Notes

     4.420     6/15/21        1,010,000        1,041,929 (b) 
          

 

 

 

TOTAL INFORMATION TECHNOLOGY

             6,508,849  
          

 

 

 
MATERIALS - 3.2%           

Metals & Mining - 3.2%

          

Alcoa Nederland Holding BV, Senior Notes

     6.750     9/30/24        400,000        421,000 (b)  

ArcelorMittal, Senior Notes

     4.550     3/11/26        330,000        346,147  

Barrick Gold Corp., Senior Notes

     5.250     4/1/42        350,000        436,462  

BHP Billiton Finance USA Ltd., Senior Notes (6.750% to 10/19/25; then USD 5 year ICE Swap Rate + 5.093% to 10/19/45; then USD 5 year ICE Swap Rate + 5.843%)

     6.750     10/19/75        780,000        914,722 (a)(b) 

First Quantum Minerals Ltd., Senior Notes

     7.000     2/15/21        112,000        112,210 (b)  

Freeport-McMoRan Inc., Senior Notes

     3.550     3/1/22        100,000        100,500  

Freeport-McMoRan Inc., Senior Notes

     6.875     2/15/23        950,000        1,001,870  

Glencore Funding LLC, Senior Notes

     4.125     3/12/24        300,000        316,029 (b)  

Glencore Funding LLC, Senior Notes

     4.000     3/27/27        590,000        610,364 (b)  

Hudbay Minerals Inc., Senior Notes

     7.250     1/15/23        60,000        62,166 (b)  

Northwest Acquisitions ULC/Dominion Finco Inc., Secured Notes

     7.125     11/1/22        600,000        376,500 (b)  

 

See Notes to Schedule of Investments.

 

12


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Metals & Mining - (continued)

         

Vale Overseas Ltd., Senior Notes

     4.375     1/11/22        2,100,000     $ 2,181,375  

Yamana Gold Inc., Senior Notes

     4.625     12/15/27        550,000       584,828  
         

 

 

 

TOTAL MATERIALS

            7,464,173  
         

 

 

 
REAL ESTATE - 2.0%          

Equity Real Estate Investment Trusts (REITs) - 1.8%

         

MPT Operating Partnership LP/MPT Finance Corp., Senior Notes

     5.000     10/15/27        400,000       428,000  

MPT Operating Partnership LP/MPT Finance Corp., Senior Notes

     4.625     8/1/29        270,000       281,306  

Ventas Realty LP, Senior Notes

     4.400     1/15/29        540,000       607,114  

Vornado Realty LP, Senior Notes

     3.500     1/15/25        1,000,000       1,035,242  

Welltower Inc., Senior Notes

     3.950     9/1/23        1,050,000       1,119,201  

Welltower Inc., Senior Notes

     4.125     3/15/29        510,000       562,958  
         

 

 

 

Total Equity Real Estate Investment Trusts (REITs)

            4,033,821  
         

 

 

 

Real Estate Management & Development - 0.2%

         

Security Capital Group Inc., Senior Notes

     7.700     6/15/28        460,000       574,203  
         

 

 

 

TOTAL REAL ESTATE

            4,608,024  
         

 

 

 
UTILITIES - 4.4%          

Electric Utilities - 4.2%

         

Berkshire Hathaway Energy Co., Senior Notes

     6.125     4/1/36        1,000,000       1,415,683  

CenterPoint Energy Houston Electric LLC, Senior Secured Bonds

     4.500     4/1/44        530,000       661,625  

Commonwealth Edison Co., First Mortgage Bonds

     6.450     1/15/38        600,000       885,879  

FirstEnergy Corp., Senior Notes

     3.900     7/15/27        480,000       516,426  

FirstEnergy Corp., Senior Notes

     7.375     11/15/31        3,040,000       4,360,700  

Jersey Central Power & Light Co., Senior Notes

     4.300     1/15/26        170,000       186,327 (b)  

MidAmerican Energy Co.

     3.650     4/15/29        240,000       268,787  

Southern California Edison Co., First Mortgage Bonds

     4.125     3/1/48        480,000       537,535  

Virginia Electric & Power Co., Senior Notes

     8.875     11/15/38        500,000       863,353  
         

 

 

 

Total Electric Utilities

            9,696,315  
         

 

 

 

Independent Power and Renewable Electricity Producers - 0.2%

         

NRG Energy Inc., Senior Secured Notes

     3.750     6/15/24        320,000       331,375 (b)  
         

 

 

 

TOTAL UTILITIES

            10,027,690  
         

 

 

 

TOTAL CORPORATE BONDS & NOTES
(Cost - $189,205,924)

            217,115,525  
         

 

 

 
SOVEREIGN BONDS - 1.9%          

Argentina - 0.8%

         

Argentina POM Politica Monetaria, Bonds (Argentina Central Bank 7 Day Repo Reference Rate)

     66.777     6/21/20        8,960,000 ARS      43,325 (a)  

 

See Notes to Schedule of Investments.

 

13


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT†
    VALUE  

Argentina - (continued)

         

Argentine Bonos del Tesoro, Bonds

     18.200     10/3/21        650,000 ARS    $ 3,759  

Argentine Republic Government International Bond, Senior Notes

     5.875     1/11/28        930,000       353,400  

Argentine Republic Government International Bond, Senior Notes

     7.625     4/22/46        150,000       58,500  

Argentine Republic Government International Bond, Senior Notes

     6.875     1/11/48        260,000       100,493  

Provincia de Buenos Aires, Senior Notes

     9.125     3/16/24        1,930,000       636,900 (b)  

Provincia de Cordoba, Senior Notes

     7.450     9/1/24        1,200,000       564,000 (b)  
         

 

 

 

Total Argentina

            1,760,377  
         

 

 

 

Ecuador - 0.3%

         

Ecuador Government International Bond, Senior Notes

     10.750     3/28/22        310,000       338,678 (b)  

Ecuador Government International Bond, Senior Notes

     10.750     1/31/29        400,000       431,850 (b)  
         

 

 

 

Total Ecuador

            770,528  
         

 

 

 

Egypt - 0.4%

         

Egypt Government International Bond, Senior Notes

     7.600     3/1/29        400,000       432,631 (b)  

Egypt Government International Bond, Senior Notes

     8.700     3/1/49        360,000       395,289 (b)  
         

 

 

 

Total Egypt

            827,920  
         

 

 

 

Ghana - 0.1%

         

Ghana Government International Bond, Senior Notes

     8.950     3/26/51        300,000       295,845 (b)  
         

 

 

 

Nigeria - 0.1%

         

Nigeria Government International Bond, Senior Notes

     7.696     2/23/38        220,000       220,183 (b)  
         

 

 

 

Qatar - 0.2%

         

Qatar Government International Bond, Senior Notes

     4.817     3/14/49        410,000       528,509 (b)  
         

 

 

 

TOTAL SOVEREIGN BONDS
(Cost - $7,540,494)

            4,403,362  
         

 

 

 
                  SHARES        
PREFERRED STOCKS - 1.2%          
FINANCIALS - 1.2%          

Banks - 1.0%

         

GMAC Capital Trust I (3 mo. USD LIBOR + 5.785%)

     7.943        85,800       2,247,960 (a) 
         

 

 

 

 

See Notes to Schedule of Investments.

 

14


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

SECURITY

   RATE            SHARES      VALUE  

Diversified Financial Services - 0.1%

          

Citigroup Capital XIII (3 mo. USD LIBOR + 6.370%)

     8.636        8,075      $ 220,770 (a)  
          

 

 

 

Insurance - 0.1%

          

Delphi Financial Group Inc. (3 mo. USD LIBOR + 3.190%)

     5.348        9,325        212,144 (a)  
          

 

 

 

TOTAL PREFERRED STOCKS
(Cost - $2,511,574)

             2,680,874  
          

 

 

 
           MATURITY
DATE
     FACE
AMOUNT†
        
MUNICIPAL BONDS - 0.7%           

California - 0.3%

          

Morongo Band of Mission Indians, CA, Revenue, Tribal Economic Development, Series A

     7.000     10/1/39        500,000        587,300 (b)  
          

 

 

 

Florida - 0.1%

          

Sumter Landing, FL, Community Development District Recreational Revenue, Taxable Community Development District

     4.172     10/1/47        260,000        313,524  
          

 

 

 

Illinois - 0.3%

          

Illinois State, GO, Taxable, Build America Bonds, Series 2010-3

     6.725     4/1/35        530,000        629,661  
          

 

 

 

TOTAL MUNICIPAL BONDS
(Cost - $1,356,415)

             1,530,485  
          

 

 

 
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.6%           

U.S. Government Obligations - 0.6%

          

U.S. Treasury Bonds

     3.000     2/15/49        690,000        849,953  

U.S. Treasury Bonds

     2.875     5/15/49        360,000        433,723  

U.S. Treasury Notes

     1.750     7/31/24        130,000        132,176  
          

 

 

 

TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS
(Cost - $1,269,049)

             1,415,852  
          

 

 

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $201,883,456)

             227,146,098  
          

 

 

 
                  SHARES         
SHORT-TERM INVESTMENTS - 0.1%           

Dreyfus Government Cash Management, Institutional Shares
(Cost - $124,799)

     2.006        124,799        124,799  
          

 

 

 

TOTAL INVESTMENTS - 99.1%
(Cost - $202,008,255)

             227,270,897  

Other Assets in Excess of Liabilities - 0.9%

             2,152,307  
          

 

 

 

TOTAL NET ASSETS - 100.0%

           $ 229,423,204  
          

 

 

 

 

See Notes to Schedule of Investments.

 

15


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2019

 

Face amount denominated in U.S. dollars, unless otherwise noted.

 

(a)

Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

 

(b)

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.

 

(c)

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

 

(d)

Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional securities.

Abbreviations used in this schedule:

 

ARS   — Argentine Peso
GO   — General Obligation
GTD   — Guaranteed
ICE   — Intercontinental Exchange
LIBOR   — London Interbank Offered Rate
PIK   Payment-In-Kind
USD   — United States Dollar

At August 31, 2019, the Fund had the following open futures contracts:

 

     Number of
Contracts
     Expiration
Date
     Notional
Amount
     Market
Value
     Unrealized
Appreciation
(Depreciation)
 
Contracts to Buy:               

U.S. Treasury 2-Year Notes

     59        12/19      $ 12,740,242      $ 12,750,914      $ 10,672  
              

 

 

 
Contracts to Sell:               

U.S. Treasury 10-Year Notes

     106        12/19        13,905,101        13,962,188        (57,087

U.S. Treasury Long-Term Bonds

     57        12/19        9,383,348        9,419,250        (35,902
              

 

 

 
                 (92,989
              

 

 

 
Net unrealized depreciation on open futures contracts                $ (82,317
              

 

 

 

At August 31, 2019, the Fund had the following open forward foreign currency contracts:

 

Currency
Purchased
     Currency
Sold
    

Counterparty

   Settlement
Date
     Unrealized
Depreciation
 
GBP      1,215,000        USD        1,527,036      Barclays Bank PLC      10/17/19      $ (45,655

Abbreviations used in this table:

 

GBP    — British Pound
USD    — United States Dollar

This Schedule of Investments is unaudited and is intended to provide information about the Fund’s investments as of the date of the schedule. Other information regarding the Fund is available in the Fund’s most recent annual or semi-annual shareholder report.

 

See Notes to Schedule of Investments.

 

16


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, limited term, 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 Fund seeks to achieve its investment objectives by investing, under normal market conditions, at least 80% of its net assets in investment grade corporate fixed-income securities of varying maturities.

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. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. 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 Atlantic 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,

 

17


Notes to Schedule of Investments (unaudited) (continued)

 

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:

 

   

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)

 

18


Notes to Schedule of Investments (unaudited) (continued)

 

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

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

 

ASSETS

 

DESCRIPTION

   QUOTED PRICES
(LEVEL 1)
     OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)
     SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
     TOTAL  

Long-Term Investments†:

           

Corporate Bonds & Notes

     —        $ 217,115,525        —        $ 217,115,525  

Sovereign Bonds

     —          4,403,362        —          4,403,362  

Preferred Stocks:

           

Financials

   $ 2,468,730        212,144        —          2,680,874  

Municipal Bonds

     —          1,530,485        —          1,530,485  

U.S. Government & Agency Obligations

     —          1,415,852        —          1,415,852  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Long-Term Investments

     2,468,730        224,677,368        —          227,146,098  
  

 

 

    

 

 

    

 

 

    

 

 

 

Short-Term Investments†

     124,799        —          —          124,799  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 2,593,529      $ 224,677,368        —        $ 227,270,897  
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments:

           

Futures Contracts

   $ 10,672        —          —        $ 10,672  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,604,201      $ 224,677,368        —        $ 227,281,569  
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

 

DESCRIPTION

   QUOTED PRICES
(LEVEL 1)
     OTHER SIGNIFICANT
OBSERVABLE INPUTS
(LEVEL 2)
     SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
     TOTAL  

Other Financial Instruments:

           

Futures Contracts

   $ 92,989        —          —        $ 92,989  

Forward Foreign Currency Contracts

     —        $ 45,655        —          45,655  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 92,989      $ 45,655        —        $ 138,644  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

See Schedule of Investments for additional detailed categorizations.    

 

19