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WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  
CORPORATE BONDS & NOTES - 95.8%           
COMMUNICATION SERVICES - 11.8%           

Diversified Telecommunication Services - 4.3%

          

AT&T Inc., Senior Notes

     4.500     5/15/35      $ 370,000      $ 443,810  

AT&T Inc., Senior Notes

     4.900     6/15/42        250,000        305,631  

AT&T Inc., Senior Notes

     3.100     2/1/43        320,000        320,221  

AT&T Inc., Senior Notes

     4.800     6/15/44        290,000        350,465  

AT&T Inc., Senior Notes

     4.500     3/9/48        422,000        498,037  

AT&T Inc., Senior Notes

     3.500     2/1/61        260,000        259,043  

British Telecommunications PLC, Senior Notes

     9.625     12/15/30        1,550,000        2,528,231  

British Telecommunications PLC, Senior Notes

     4.250     11/8/49        200,000        233,612 (a)  

Corning Inc., Senior Notes

     3.900     11/15/49        210,000        242,805  

Telefonica Emisiones SA, Senior Notes

     7.045     6/20/36        140,000        204,171  

Verizon Communications Inc., Senior Notes

     5.150     9/15/23        2,460,000        2,800,153  

Verizon Communications Inc., Senior Notes

     4.329     9/21/28        218,000        264,154  

Verizon Communications Inc., Senior Notes

     5.500     3/16/47        1,130,000        1,659,706  
          

 

 

 

Total Diversified Telecommunication Services

             10,110,039  
          

 

 

 

Entertainment - 1.7%

          

Activision Blizzard Inc., Senior Notes

     1.350     9/15/30        90,000        88,384  

Activision Blizzard Inc., Senior Notes

     2.500     9/15/50        220,000        206,517  

Walt Disney Co., Senior Notes

     6.650     11/15/37        2,400,000        3,647,367  
          

 

 

 

Total Entertainment

             3,942,268  
          

 

 

 

Media - 4.5%

          

CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes

     4.500     5/1/32        910,000        965,638 (a)  

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

     6.384     10/23/35        180,000        249,762  

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

     6.484     10/23/45        420,000        575,028  

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

     5.375     5/1/47        560,000        671,011  

Comcast Corp., Senior Notes

     6.400     5/15/38        2,500,000        3,772,514  

Fox Corp., Senior Notes

     5.476     1/25/39        810,000        1,075,511  

Time Warner Cable LLC, Senior Secured Notes

     6.550     5/1/37        370,000        498,911  

Time Warner Cable LLC, Senior Secured Notes

     7.300     7/1/38        330,000        472,974  

Time Warner Cable LLC, Senior Secured Notes

     6.750     6/15/39        20,000        27,890  

Time Warner Cable LLC, Senior Secured Notes

     5.500     9/1/41        200,000        246,477  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report    

 

 

 

1


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Media - (continued)

          

Time Warner Entertainment Co. LP, Senior Secured Notes

     8.375     3/15/23      $ 1,170,000      $ 1,392,185  

Time Warner Entertainment Co. LP, Senior Secured Notes

     8.375     7/15/33        370,000        576,533  

Viacom Inc., Senior Notes

     5.250     4/1/44        80,000        93,713  
          

 

 

 

Total Media

             10,618,147  
          

 

 

 

Wireless Telecommunication Services - 1.3%

          

Sprint Corp., Senior Notes

     7.250     9/15/21        1,170,000        1,235,929  

Sprint Corp., Senior Notes

     7.875     9/15/23        120,000        139,725  

Telefonica Europe BV, Senior Notes

     8.250     9/15/30        390,000        594,430  

T-Mobile USA Inc., Senior Secured Notes

     4.375     4/15/40        100,000        119,782 (a)  

T-Mobile USA Inc., Senior Secured Notes

     4.500     4/15/50        330,000        403,593 (a)  

Vodafone Group PLC, Senior Notes

     5.250     5/30/48        320,000        420,565  

Vodafone Group PLC, Senior Notes

     4.250     9/17/50        20,000        23,425  
          

 

 

 

Total Wireless Telecommunication Services

             2,937,449  
          

 

 

 

TOTAL COMMUNICATION SERVICES

             27,607,903  
          

 

 

 
CONSUMER DISCRETIONARY - 3.4%           

Automobiles - 1.0%

          

Ford Motor Co., Senior Notes

     9.215     9/15/21        640,000        689,120  

General Motors Co., Senior Notes

     5.400     10/2/23        200,000        221,951  

General Motors Co., Senior Notes

     6.125     10/1/25        300,000        352,500  

General Motors Co., Senior Notes

     6.600     4/1/36        290,000        348,688  

General Motors Co., Senior Notes

     6.750     4/1/46        580,000        705,891  
          

 

 

 

Total Automobiles

             2,318,150  
          

 

 

 

Hotels, Restaurants & Leisure - 1.3%

          

Marriott International Inc., Senior Notes

     3.600     4/15/24        320,000        331,429  

McDonald’s Corp., Senior Notes

     4.700     12/9/35        260,000        332,900  

McDonald’s Corp., Senior Notes

     4.875     12/9/45        370,000        483,796  

Melco Resorts Finance Ltd., Senior Notes

     5.375     12/4/29        590,000        607,700 (a)  

Sands China Ltd., Senior Notes

     5.125     8/8/25        690,000        766,248  

Sands China Ltd., Senior Notes

     5.400     8/8/28        200,000        227,312  

Sands China Ltd., Senior Notes

     4.375     6/18/30        220,000        237,928 (a)  
          

 

 

 

Total Hotels, Restaurants & Leisure

             2,987,313  
          

 

 

 

Household Durables - 0.3%

          

Lennar Corp., Senior Notes

     5.000     6/15/27        390,000        445,014  

MDC Holdings Inc., Senior Notes

     6.000     1/15/43        310,000        360,288  
          

 

 

 

Total Household Durables

             805,302  
          

 

 

 

Internet & Direct Marketing Retail - 0.2%

          

Amazon.com Inc., Senior Notes

     3.875     8/22/37        410,000        513,278  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

 

2

 

    Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Specialty Retail - 0.6%

          

Home Depot Inc., Senior Notes

     3.900     12/6/28      $ 930,000      $ 1,112,640  

Home Depot Inc., Senior Notes

     3.300     4/15/40        100,000        114,570  

Home Depot Inc., Senior Notes

     3.350     4/15/50        80,000        91,827  
          

 

 

 

Total Specialty Retail

             1,319,037  
          

 

 

 

TOTAL CONSUMER DISCRETIONARY

             7,943,080  
          

 

 

 
CONSUMER STAPLES - 3.2%           

Beverages - 1.1%

          

Anheuser-Busch InBev Worldwide Inc., Senior Notes

     4.600     4/15/48        1,730,000        2,065,780  

Coca-Cola Co., Senior Notes

     4.125     3/25/40        290,000        373,871  

Coca-Cola Co., Senior Notes

     4.200     3/25/50        160,000        212,148  

Constellation Brands Inc., Senior Notes

     4.250     5/1/23        100,000        109,528  
          

 

 

 

Total Beverages

             2,761,327  
          

 

 

 

Food & Staples Retailing - 0.2%

          

Walmart Inc., Senior Notes

     4.050     6/29/48        360,000        468,645  
          

 

 

 

Food Products - 0.2%

          

Kraft Heinz Foods Co., Senior Notes

     5.000     6/4/42        160,000        177,415  

Mars Inc., Senior Notes

     3.200     4/1/30        220,000        251,995 (a)  
          

 

 

 

Total Food Products

             429,410  
          

 

 

 

Tobacco - 1.7%

          

Altria Group Inc., Senior Notes

     3.800     2/14/24        290,000        318,340  

Altria Group Inc., Senior Notes

     4.400     2/14/26        500,000        579,941  

Altria Group Inc., Senior Notes

     4.800     2/14/29        1,360,000        1,627,137  

Altria Group Inc., Senior Notes

     3.875     9/16/46        80,000        83,653  

Reynolds American Inc., Senior Notes

     8.125     5/1/40        470,000        653,951  

Reynolds American Inc., Senior Notes

     7.000     8/4/41        510,000        691,228  
          

 

 

 

Total Tobacco

             3,954,250  
          

 

 

 

TOTAL CONSUMER STAPLES

             7,613,632  
          

 

 

 
ENERGY - 15.0%           

Energy Equipment & Services - 0.5%

          

Halliburton Co., Senior Notes

     2.920     3/1/30        200,000        203,405  

Halliburton Co., Senior Notes

     5.000     11/15/45        930,000        1,024,807  
          

 

 

 

Total Energy Equipment & Services

             1,228,212  
          

 

 

 

Oil, Gas & Consumable Fuels - 14.5%

          

Apache Corp., Senior Notes

     6.000     1/15/37        84,000        88,803  

Apache Corp., Senior Notes

     5.100     9/1/40        60,000        58,314  

Apache Corp., Senior Notes

     5.250     2/1/42        160,000        157,184  

Apache Corp., Senior Notes

     4.750     4/15/43        670,000        631,475  

BP Capital Markets America Inc., Senior Notes

     3.000     2/24/50        710,000        701,287  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report    

 

 

 

3


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Oil, Gas & Consumable Fuels - (continued)

          

Cameron LNG LLC, Senior Secured Notes

     3.302     1/15/35      $ 40,000      $ 45,204 (a)  

Cameron LNG LLC, Senior Secured Notes

     3.701     1/15/39        50,000        56,186 (a)  

Chevron USA Inc., Senior Notes

     2.343     8/12/50        210,000        200,867  

Cimarex Energy Co., Senior Notes

     4.375     6/1/24        960,000        1,034,081  

Cimarex Energy Co., Senior Notes

     3.900     5/15/27        250,000        257,807  

Concho Resources Inc., Senior Notes

     3.750     10/1/27        110,000        120,843  

ConocoPhillips, Senior Notes

     6.500     2/1/39        1,500,000        2,274,637  

Continental Resources Inc., Senior Notes

     4.500     4/15/23        510,000        515,715  

Continental Resources Inc., Senior Notes

     4.375     1/15/28        430,000        410,345  

Devon Energy Corp., Senior Notes

     5.850     12/15/25        560,000        642,964  

Devon Energy Corp., Senior Notes

     5.600     7/15/41        20,000        21,192  

Devon Energy Corp., Senior Notes

     5.000     6/15/45        210,000        210,663  

Ecopetrol SA, Senior Notes

     5.875     5/28/45        404,000        459,217  

Energy Transfer Operating LP, Junior Subordinated Notes (6.750% to 5/15/25 then 5 year Treasury Constant Maturity Rate + 5.134%)

     6.750     5/15/25        330,000        274,725 (b)(c) 

Energy Transfer Operating LP, Junior Subordinated Notes (7.125% to 5/15/30 then 5 year Treasury Constant Maturity Rate + 5.306%)

     7.125     5/15/30        880,000        769,252 (b)(c) 

Energy Transfer Operating LP, Senior Notes

     4.200     9/15/23        510,000        541,624  

Energy Transfer Operating LP, Senior Notes

     5.250     4/15/29        20,000        21,930  

Energy Transfer Operating LP, Senior Notes

     6.625     10/15/36        20,000        21,776  

Energy Transfer Operating LP, Senior Notes

     5.800     6/15/38        60,000        60,917  

Enterprise Products Operating LLC, Senior Notes

     4.250     2/15/48        400,000        436,845  

Enterprise Products Operating LLC, Senior Notes

     3.950     1/31/60        210,000        214,614  

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        520,555 (c)  

EOG Resources Inc., Senior Notes

     4.375     4/15/30        370,000        444,140  

Exxon Mobil Corp., Senior Notes

     3.482     3/19/30        320,000        372,597  

Exxon Mobil Corp., Senior Notes

     2.995     8/16/39        190,000        204,295  

Exxon Mobil Corp., Senior Notes

     4.227     3/19/40        220,000        272,807  

Kinder Morgan Inc., Senior Notes

     7.800     8/1/31        900,000        1,261,242  

MEG Energy Corp., Senior Notes

     7.000     3/31/24        372,000        370,179 (a)  

MPLX LP, Senior Notes

     5.250     1/15/25        500,000        521,277  

MPLX LP, Senior Notes

     4.500     4/15/38        600,000        638,237  

Noble Energy Inc., Senior Notes

     6.000     3/1/41        660,000        916,084  

Noble Energy Inc., Senior Notes

     5.250     11/15/43        240,000        320,448  

Occidental Petroleum Corp., Senior Notes

     2.600     8/13/21        430,000        432,419  

Occidental Petroleum Corp., Senior Notes

     2.700     8/15/22        1,150,000        1,133,526  

 

See Notes to Schedule of Investments.

 

 

 

4

 

    Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Oil, Gas & Consumable Fuels - (continued)

          

Occidental Petroleum Corp., Senior Notes

     2.700     2/15/23      $ 20,000      $ 19,292  

Occidental Petroleum Corp., Senior Notes

     3.200     8/15/26        250,000        219,720  

Occidental Petroleum Corp., Senior Notes

     7.875     9/15/31        710,000        762,806  

Occidental Petroleum Corp., Senior Notes

     4.400     4/15/46        10,000        8,005  

Occidental Petroleum Corp., Senior Notes (3 mo. USD LIBOR + 0.950%)

     1.193     2/8/21        640,000        632,916 (c)  

Occidental Petroleum Corp., Senior Notes (3 mo. USD LIBOR + 1.450%)

     1.730     8/15/22        120,000        113,473 (c)  

Parsley Energy LLC/Parsley Finance Corp., Senior Notes

     5.625     10/15/27        180,000        186,638 (a)  

Parsley Energy LLC/Parsley Finance Corp., Senior Notes

     4.125     2/15/28        330,000        320,067 (a)  

Petrobras Global Finance BV, Senior Notes

     7.375     1/17/27        530,000        628,977  

Petroleos Mexicanos, Senior Notes

     6.875     8/4/26        730,000        746,312  

Petroleos Mexicanos, Senior Notes

     6.625     6/15/35        460,000        407,100  

Range Resources Corp., Senior Notes

     9.250     2/1/26        730,000        769,946 (a)  

Southern Natural Gas Co. LLC, Senior Notes

     8.000     3/1/32        1,500,000        2,145,632  

Sunoco Logistics Partners Operations LP, Senior Notes

     3.900     7/15/26        630,000        661,436  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     7.850     2/1/26        760,000        994,849  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     7.250     12/1/26        180,000        230,244  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     3.250     5/15/30        230,000        250,718 (a)  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     5.400     8/15/41        10,000        12,115  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     4.450     8/1/42        860,000        974,645  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     3.950     5/15/50        30,000        32,850 (a)  

Western Midstream Operating LP, Senior Notes

     5.375     6/1/21        180,000        182,700  

Western Midstream Operating LP, Senior Notes

     4.650     7/1/26        1,560,000        1,599,000  

Western Midstream Operating LP, Senior Notes

     4.750     8/15/28        890,000        898,900  

Western Midstream Operating LP, Senior Notes

     5.050     2/1/30        140,000        143,512  

Western Midstream Operating LP, Senior Notes

     5.450     4/1/44        120,000        111,263  

Western Midstream Operating LP, Senior Notes

     6.250     2/1/50        430,000        431,380  

Williams Cos. Inc., Senior Notes

     7.875     9/1/21        952,000        1,020,232  

Williams Cos. Inc., Senior Notes

     4.550     6/24/24        1,130,000        1,270,135  

Williams Cos. Inc., Senior Notes

     7.750     6/15/31        62,000        82,289  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report    

 

 

 

5


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Oil, Gas & Consumable Fuels - (continued)

          

Williams Cos. Inc., Senior Notes

     8.750     3/15/32      $ 148,000      $ 213,824  

WPX Energy Inc., Senior Notes

     4.500     1/15/30        180,000        172,232  
          

 

 

 

Total Oil, Gas & Consumable Fuels

             33,879,481  
          

 

 

 

TOTAL ENERGY

             35,107,693  
          

 

 

 
FINANCIALS - 30.4%           

Banks - 18.4%

          

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        201,688 (a)(b)(c) 

Banco Mercantil del Norte SA, Junior Subordinated Notes (7.625% to 1/6/28 then 10 year Treasury Constant Maturity Rate + 5.353%)

     7.625     1/10/28        400,000        408,000 (a)(b)(c) 

Banco Mercantil del Norte SA, Junior Subordinated Notes (8.375% to 10/14/30 then 10 year Treasury Constant Maturity Rate + 7.760%)

     8.375     10/14/30        200,000        211,700 (a)(b)(c) 

Banco Santander SA, Senior Notes

     3.490     5/28/30        200,000        219,825  

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        662,420 (b)(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        965,132 (b)(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        452,066 (b)(c)  

Bank of America Corp., Senior Notes

     5.875     2/7/42        1,340,000        2,006,244  

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        120,419 (c)  

Bank of America Corp., Senior Notes (4.083% to 3/20/50 then 3 mo. USD LIBOR + 3.150%)

     4.083     3/20/51        250,000        314,218 (c)  

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        816,651 (c)  

Bank of America Corp., Subordinated Notes

     7.750     5/14/38        670,000        1,115,908  

Barclays Bank PLC, Subordinated Notes

     7.625     11/21/22        430,000        478,289  

Barclays PLC, Junior Subordinated Notes (6.125% to 6/15/26 then 5 year Treasury Constant Maturity Rate + 5.867%)

     6.125     12/15/25        1,660,000        1,721,918 (b)(c) 

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        339,062 (b)(c)  

 

See Notes to Schedule of Investments.

 

 

 

6

 

    Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Banks - (continued)

          

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

     5.088     6/20/30      $ 500,000      $ 581,613 (c) 

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        1,732,944 (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        247,050 (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        1,249,418 (b)(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        1,446,997 (b)(c) 

Citigroup Inc., Senior Notes

     8.125     7/15/39        752,000        1,328,542  

Citigroup Inc., Senior Notes

     4.650     7/23/48        420,000        566,297  

Citigroup Inc., Subordinated Notes

     4.600     3/9/26        490,000        569,967  

Citigroup Inc., Subordinated Notes

     4.125     7/25/28        1,990,000        2,289,066  

Citigroup Inc., Subordinated Notes

     6.675     9/13/43        630,000        986,786  

Cooperatieve Rabobank UA, Senior Notes

     5.750     12/1/43        250,000        367,766  

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        1,629,444 (a)(b)(c) 

Danske Bank A/S, Senior Notes

     5.000     1/12/22        740,000        780,431 (a)  

Danske Bank A/S, Senior Notes

     5.375     1/12/24        530,000        600,637 (a)  

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        836,556 (b)(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        496,025 (b)(c) 

HSBC Holdings PLC, Senior Notes

     4.950     3/31/30        200,000        246,841  

HSBC Holdings PLC, Subordinated Notes

     7.625     5/17/32        110,000        152,827  

Intesa Sanpaolo SpA, Senior Notes

     4.700     9/23/49        200,000        230,780 (a)  

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        738,683 (b)(c) 

JPMorgan Chase & Co., Senior Notes

     6.400     5/15/38        1,500,000        2,326,299  

JPMorgan Chase & Co., Subordinated Notes

     5.625     8/16/43        760,000        1,112,350  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report    

 

 

 

7


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Banks - (continued)

          

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      $ 235,034 (b)(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        672,526 (b)(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        517,314 (b)(c)  

Natwest 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        1,073,676 (b)(c) 

Natwest 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        1,000,720 (b)(c) 

Natwest Group PLC, Subordinated Notes

     6.100     6/10/23        840,000        934,555  

NatWest Markets NV, Subordinated Notes

     7.750     5/15/23        820,000        931,668  

PNC Bank NA, Subordinated Notes

     4.050     7/26/28        650,000        769,578  

Royal Bank of Scotland Group PLC, Subordinated Notes (3.754% to 11/1/24 then 5 year Treasury Constant Maturity Rate + 2.100%)

     3.754     11/1/29        420,000        443,498 (c)  

UniCredit SpA, Senior Notes

     6.572     1/14/22        570,000        606,128 (a)  

UniCredit SpA, Subordinated Notes (5.459% to 6/30/30 then USD 5 year ICE Swap Rate + 4.750%)

     5.459     6/30/35        340,000        352,749 (a)(c) 

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        1,883,408 (a)(c) 

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

     5.570     10/1/20        410,000        412,776 (b)(c) 

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

     3.196     6/17/27        720,000        788,078 (c)  

Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then 3 mo. USD LIBOR + 4.240%)

     5.013     4/4/51        410,000        561,636 (c)  

Wells Fargo & Co., Subordinated Notes

     4.400     6/14/46        420,000        503,813  

Wells Fargo & Co., Subordinated Notes

     4.750     12/7/46        530,000        672,205  

Westpac Banking Corp., Subordinated Notes

     4.421     7/24/39        170,000        211,065  
          

 

 

 

Total Banks

             43,121,286  
          

 

 

 

Capital Markets - 5.4%

          

Charles Schwab Corp., Senior Notes

     3.850     5/21/25        230,000        263,841  

CME Group Inc., Senior Notes

     5.300     9/15/43        750,000        1,100,296  

 

See Notes to Schedule of Investments.

 

 

 

8

 

    Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Capital Markets - (continued)

          

Credit Suisse Group AG, Junior Subordinated Notes (5.250% to 8/11/27 then 5 year Treasury Constant Maturity Rate + 4.889%)

     5.250     2/11/27      $ 1,660,000      $ 1,695,275 (a)(b)(c) 

Credit Suisse Group AG, Senior Notes (4.194% to 4/1/30 then SOFR + 3.730%)

     4.194     4/1/31        400,000        467,214 (a)(c) 

Credit Suisse USA Inc., Senior Notes

     7.125     7/15/32        70,000        108,392  

Goldman Sachs Group Inc., Senior Notes

     6.250     2/1/41        2,550,000        3,862,588  

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        1,143,333 (c)  

Goldman Sachs Group Inc., Subordinated Notes

     5.150     5/22/45        70,000        93,418  

KKR Group Finance Co. III LLC, Senior Notes

     5.125     6/1/44        1,300,000        1,618,794 (a) 

KKR Group Finance Co. VI LLC, Senior Notes

     3.750     7/1/29        110,000        126,277 (a)  

Morgan Stanley, Senior Notes

     6.375     7/24/42        140,000        222,162  

Raymond James Financial Inc., Senior Notes

     4.650     4/1/30        120,000        146,366  

Raymond James Financial Inc., Senior Notes

     4.950     7/15/46        150,000        192,261  

S&P Global Inc., Senior Notes

     1.250     8/15/30        180,000        178,203  

S&P Global Inc., Senior Notes

     2.300     8/15/60        80,000        74,240  

UBS AG Stamford, CT, Subordinated Notes

     7.625     8/17/22        330,000        370,232  

UBS Group 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        997,689 (a)(b)(c) 
          

 

 

 

Total Capital Markets

             12,660,581  
          

 

 

 

Consumer Finance - 0.9%

          

Navient Corp., Senior Notes

     7.250     1/25/22        1,430,000        1,504,682  

Navient Corp., Senior Notes

     6.125     3/25/24        480,000        503,095  
          

 

 

 

Total Consumer Finance

             2,007,777  
          

 

 

 

Diversified Financial Services - 1.1%

          

AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes

     4.500     9/15/23        530,000        544,190  

Carlyle Finance LLC, Senior Notes

     5.650     9/15/48        170,000        219,542 (a)  

Carlyle Finance Subsidiary LLC, Senior Notes

     3.500     9/19/29        230,000        245,721 (a)  

Carlyle Holdings II Finance LLC, Senior Notes

     5.625     3/30/43        360,000        454,969 (a)  

DAE Funding LLC, Senior Notes

     5.000     8/1/24        240,000        235,947 (a)  

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

     6.500     9/15/24        400,000        234,000 (a)(d) 

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report    

 

 

 

9


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Diversified Financial Services - (continued)

          

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

     3.020     12/21/65      $ 800,000      $ 409,396 (a)(c) 

International Lease Finance Corp., Senior Notes

     8.250     12/15/20        330,000        336,431  
          

 

 

 

Total Diversified Financial Services

             2,680,196  
          

 

 

 

Insurance - 4.3%

          

American International Group Inc., Senior Notes

     6.400     12/15/20        1,000,000        1,017,052  

American International Group Inc., Senior Notes

     4.750     4/1/48        80,000        98,066  

Fidelity & Guaranty Life Holdings Inc., Senior Notes

     5.500     5/1/25        360,000        397,800 (a)  

Liberty Mutual Insurance Co., Subordinated Notes

     7.875     10/15/26        840,000        1,089,836 (a)  

Massachusetts Mutual Life Insurance Co., Subordinated Notes

     3.375     4/15/50        130,000        135,144 (a)  

Massachusetts Mutual Life Insurance Co., Subordinated Notes

     4.900     4/1/77        420,000        544,568 (a)  

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

     6.400     12/15/36        1,000,000        1,263,288  

Nationwide Mutual Insurance Co., Subordinated Notes

     9.375     8/15/39        520,000        854,954 (a)  

New York Life Insurance Co., Subordinated Notes

     4.450     5/15/69        140,000        175,758 (a)  

Nippon Life Insurance Co., Subordinated Notes (3.400% to 1/23/30 then 5 year Treasury Constant Maturity Rate + 2.612%)

     3.400     1/23/50        200,000        215,521 (a)(c) 

Northwestern Mutual Life Insurance Co., Subordinated Notes

     3.625     9/30/59        180,000        199,244 (a)  

Teachers Insurance & Annuity Association of America, Subordinated Notes

     6.850     12/16/39        1,050,000        1,587,479 (a) 

Teachers Insurance & Annuity Association of America, Subordinated Notes

     4.900     9/15/44        660,000        835,408 (a)  

Teachers Insurance & Annuity Association of America, Subordinated Notes

     3.300     5/15/50        330,000        343,190 (a)  

Travelers Cos. Inc., Senior Notes

     6.250     6/15/37        400,000        607,887  

Trinity Acquisition PLC, Senior Notes

     3.500     9/15/21        626,000        642,991  
          

 

 

 

Total Insurance

             10,008,186  
          

 

 

 

Thrifts & Mortgage Finance - 0.3%

          

Quicken Loans Inc., Senior Notes

     5.750     5/1/25        770,000        793,581 (a)  
          

 

 

 

TOTAL FINANCIALS

             71,271,607  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

 

10

 

    Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  
HEALTH CARE - 12.3%           

Biotechnology - 1.7%

          

AbbVie Inc., Senior Notes

     3.200     11/21/29      $ 1,110,000      $ 1,234,177 (a) 

AbbVie Inc., Senior Notes

     4.550     3/15/35        200,000        250,751 (a)  

AbbVie Inc., Senior Notes

     4.050     11/21/39        1,160,000        1,359,724 (a) 

Gilead Sciences Inc., Senior Notes

     5.650     12/1/41        100,000        146,380  

Gilead Sciences Inc., Senior Notes

     4.500     2/1/45        500,000        650,248  

Gilead Sciences Inc., Senior Notes

     4.750     3/1/46        100,000        134,054  

Regeneron Pharmaceuticals Inc., Senior Notes

     1.750     9/15/30        190,000        186,531  

Regeneron Pharmaceuticals Inc., Senior Notes

     2.800     9/15/50        50,000        48,061  
          

 

 

 

Total Biotechnology

             4,009,926  
          

 

 

 

Health Care Equipment & Supplies - 0.9%

          

Abbott Laboratories, Senior Notes

     4.900     11/30/46        200,000        287,354  

Becton Dickinson and Co., Senior Notes

     4.685     12/15/44        910,000        1,154,429  

Becton Dickinson and Co., Senior Notes

     4.669     6/6/47        450,000        568,862  
          

 

 

 

Total Health Care Equipment & Supplies

             2,010,645  
          

 

 

 

Health Care Providers & Services - 7.4%

          

Anthem Inc., Senior Notes

     4.375     12/1/47        230,000        290,446  

Centene Corp., Senior Notes

     4.750     1/15/25        370,000        381,100  

Centene Corp., Senior Notes

     4.250     12/15/27        160,000        167,570  

Centene Corp., Senior Notes

     4.625     12/15/29        560,000        615,174  

Centene Corp., Senior Notes

     3.375     2/15/30        790,000        823,824  

Cigna Corp., Senior Notes

     4.125     11/15/25        540,000        624,814  

Cigna Corp., Senior Notes

     4.800     8/15/38        540,000        683,176  

Cigna Corp., Senior Notes

     3.200     3/15/40        220,000        235,023  

CommonSpirit Health, Secured Notes

     4.350     11/1/42        60,000        66,385  

CVS Health Corp., Senior Notes

     4.100     3/25/25        1,460,000        1,665,935  

CVS Health Corp., Senior Notes

     4.300     3/25/28        1,610,000        1,896,586  

CVS Health Corp., Senior Notes

     4.780     3/25/38        2,060,000        2,534,435  

CVS Health Corp., Senior Notes

     5.125     7/20/45        540,000        700,281  

CVS Health Corp., Senior Notes

     5.050     3/25/48        930,000        1,214,706  

Dartmouth-Hitchcock Health, Secured Bonds

     4.178     8/1/48        150,000        181,177  

DH Europe Finance II Sarl, Senior Notes

     3.250     11/15/39        70,000        78,987  

DH Europe Finance II Sarl, Senior Notes

     3.400     11/15/49        10,000        11,648  

HCA Inc., Senior Secured Notes

     4.125     6/15/29        340,000        392,167  

HCA Inc., Senior Secured Notes

     5.125     6/15/39        170,000        211,720  

HCA Inc., Senior Secured Notes

     5.500     6/15/47        350,000        445,406  

HCA Inc., Senior Secured Notes

     5.250     6/15/49        530,000        667,674  

Humana Inc., Senior Notes

     4.800     3/15/47        420,000        559,338  

Magellan Health Inc., Senior Notes

     4.900     9/22/24        1,070,000        1,116,700  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report    

 

 

 

11


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Health Care Providers & Services - (continued)

          

Orlando Health Obligated Group, Senior Notes

     4.089     10/1/48      $ 270,000      $ 305,464  

UnitedHealth Group Inc., Senior Notes

     3.700     12/15/25        250,000        288,211  

UnitedHealth Group Inc., Senior Notes

     3.850     6/15/28        540,000        639,306  

UnitedHealth Group Inc., Senior Notes

     3.500     8/15/39        220,000        256,336  

UnitedHealth Group Inc., Senior Notes

     4.750     7/15/45        220,000        300,362  
          

 

 

 

Total Health Care Providers & Services

             17,353,951  
          

 

 

 

Pharmaceuticals - 2.3%

          

Bausch Health Cos. Inc., Senior Notes

     5.000     1/30/28        130,000        128,538 (a)  

Bausch Health Cos. Inc., Senior Notes

     5.250     1/30/30        130,000        129,364 (a)  

Bristol-Myers Squibb Co., Senior Notes

     3.400     7/26/29        1,530,000        1,788,985  

Bristol-Myers Squibb Co., Senior Notes

     5.000     8/15/45        400,000        571,323  

Pfizer Inc., Senior Notes

     7.200     3/15/39        560,000        939,941  

Teva Pharmaceutical Finance Netherlands III BV, Senior Notes

     7.125     1/31/25        200,000        216,838 (a)  

Wyeth LLC, Senior Notes

     5.950     4/1/37        1,100,000        1,632,242  

Zoetis Inc., Senior Notes

     4.700     2/1/43        40,000        53,115  
          

 

 

 

Total Pharmaceuticals

             5,460,346  
          

 

 

 

TOTAL HEALTH CARE

             28,834,868  
          

 

 

 
INDUSTRIALS - 8.0%           

Aerospace & Defense - 3.4%

          

Avolon Holdings Funding Ltd., Senior Notes

     5.125     10/1/23        820,000        798,315 (a)  

Boeing Co., Senior Notes

     2.800     3/1/24        500,000        509,770  

Boeing Co., Senior Notes

     3.100     5/1/26        2,190,000        2,195,041  

Boeing Co., Senior Notes

     5.705     5/1/40        330,000        384,412  

Boeing Co., Senior Notes

     5.805     5/1/50        220,000        264,540  

Hexcel Corp., Senior Notes

     3.950     2/15/27        1,000,000        1,075,848  

Huntington Ingalls Industries Inc., Senior Notes

     3.483     12/1/27        320,000        349,777  

Lockheed Martin Corp., Senior Notes

     4.500     5/15/36        50,000        64,794  

Lockheed Martin Corp., Senior Notes

     4.700     5/15/46        200,000        274,614  

Northrop Grumman Systems Corp., Senior Notes

     7.875     3/1/26        1,390,000        1,844,605  

United Technologies Corp., Senior Notes

     4.625     11/16/48        180,000        237,562  
          

 

 

 

Total Aerospace & Defense

             7,999,278  
          

 

 

 

Air Freight & Logistics - 0.5%

          

United Parcel Service Inc., Senior Notes

     6.200     1/15/38        700,000        1,067,522  
          

 

 

 

Airlines - 1.1%

          

Delta Air Lines Inc., Senior Notes

     2.900     10/28/24        840,000        771,818  

Delta Air Lines Inc., Senior Notes

     3.750     10/28/29        230,000        205,494  

Delta Air Lines Inc., Senior Secured Notes

     7.000     5/1/25        420,000        460,389 (a)  

Delta Air Lines Pass-Through Certificates Trust

     8.021     8/10/22        55,462        52,131  

 

See Notes to Schedule of Investments.

 

 

 

12

 

    Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Airlines - (continued)

          

Southwest Airlines Co., Senior Notes

     4.750     5/4/23      $ 810,000      $ 863,528  

Southwest Airlines Co., Senior Notes

     5.125     6/15/27        290,000        316,969  
          

 

 

 

Total Airlines

             2,670,329  
          

 

 

 

Building Products - 0.5%

          

Carrier Global Corp., Senior Notes

     2.722     2/15/30        570,000        599,293 (a)  

Carrier Global Corp., Senior Notes

     3.377     4/5/40        270,000        281,671 (a)  

Carrier Global Corp., Senior Notes

     3.577     4/5/50        320,000        340,301 (a)  
          

 

 

 

Total Building Products

             1,221,265  
          

 

 

 

Commercial Services & Supplies - 0.5%

          

California Institute of Technology, Senior Notes

     3.650     9/1/2119        180,000        201,115  

Waste Connections Inc., Senior Notes

     4.250     12/1/28        750,000        903,728  
          

 

 

 

Total Commercial Services & Supplies

             1,104,843  
          

 

 

 

Industrial Conglomerates - 0.8%

          

General Electric Co., Senior Notes

     6.750     3/15/32        330,000        413,797  

General Electric Co., Senior Notes

     6.875     1/10/39        1,098,000        1,400,859  

General Electric Co., Senior Notes

     4.250     5/1/40        110,000        111,259  
          

 

 

 

Total Industrial Conglomerates

             1,925,915  
          

 

 

 

Machinery - 0.2%

          

Caterpillar Inc., Senior Notes

     4.750     5/15/64        360,000        515,144  

Otis Worldwide Corp., Senior Notes

     3.112     2/15/40        50,000        53,793 (a)  
          

 

 

 

Total Machinery

             568,937  
          

 

 

 

Road & Rail - 0.3%

          

Union Pacific Corp., Senior Notes

     4.375     11/15/65        530,000        672,557  

Union Pacific Corp., Senior Notes

     3.750     2/5/70        30,000        34,221  
          

 

 

 

Total Road & Rail

             706,778  
          

 

 

 

Trading Companies & Distributors - 0.7%

          

Aircastle Ltd., Senior Notes

     5.250     8/11/25        1,000,000        982,171 (a)  

Aviation Capital Group LLC, Senior Notes

     5.500     12/15/24        250,000        257,412 (a)  

Aviation Capital Group LLC, Senior Notes

     4.125     8/1/25        340,000        328,533 (a)  
          

 

 

 

Total Trading Companies & Distributors

             1,568,116  
          

 

 

 

TOTAL INDUSTRIALS

             18,832,983  
          

 

 

 
INFORMATION TECHNOLOGY - 3.2%           

Communications Equipment - 0.4%

          

L3Harris Technologies Inc., Senior Notes

     4.854     4/27/35        430,000        570,802  

L3Harris Technologies Inc., Senior Notes

     5.054     4/27/45        340,000        456,107  
          

 

 

 

Total Communications Equipment

             1,026,909  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report    

 

 

 

13


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

IT Services - 0.2%

          

International Business Machines Corp., Senior Notes

     3.500     5/15/29      $ 200,000      $ 232,314  

S&P Global Inc., Senior Notes

     3.250     12/1/49        110,000        128,130  
          

 

 

 

Total IT Services

             360,444  
          

 

 

 

Semiconductors & Semiconductor Equipment - 1.3%

          

Broadcom Inc., Senior Notes

     4.150     11/15/30        440,000        497,048  

Broadcom Inc., Senior Notes

     4.300     11/15/32        580,000        669,297  

Intel Corp., Senior Notes

     4.900     7/29/45        220,000        302,720  

Intel Corp., Senior Notes

     4.750     3/25/50        20,000        27,799  

Intel Corp., Senior Notes

     4.950     3/25/60        100,000        144,666  

NVIDIA Corp., Senior Notes

     3.500     4/1/40        100,000        115,681  

NVIDIA Corp., Senior Notes

     3.500     4/1/50        300,000        341,298  

NVIDIA Corp., Senior Notes

     3.700     4/1/60        120,000        141,132  

NXP BV / NXP Funding LLC / NXP USA Inc., Senior Notes

     3.400     5/1/30        160,000        177,734 (a)  

QUALCOMM Inc., Senior Notes

     4.300     5/20/47        70,000        89,597  

Texas Instruments Inc., Senior Notes

     3.875     3/15/39        430,000        540,533  
          

 

 

 

Total Semiconductors & Semiconductor Equipment

             3,047,505  
          

 

 

 

Software - 1.0%

          

Microsoft Corp., Senior Notes

     4.250     2/6/47        1,520,000        2,054,029  

ServiceNow Inc., Senior Notes

     1.400     9/1/30        150,000        147,922  
          

 

 

 

Total Software

             2,201,951  
          

 

 

 

Technology Hardware, Storage & Peripherals - 0.3%

          

Dell International LLC/EMC Corp., Senior Secured Notes

     4.420     6/15/21        726,000        744,848 (a)  
          

 

 

 

TOTAL INFORMATION TECHNOLOGY

             7,381,657  
          

 

 

 
MATERIALS - 1.9%           

Chemicals - 0.1%

          

Ecolab Inc., Senior Notes

     4.800     3/24/30        130,000        165,148  
          

 

 

 

Metals & Mining - 1.8%

          

ArcelorMittal SA, Senior Notes

     4.550     3/11/26        330,000        361,871  

Barrick Gold Corp., Senior Notes

     5.250     4/1/42        350,000        481,409  

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        933,344 (a)(c) 

First Quantum Minerals Ltd., Senior Notes

     7.250     5/15/22        260,000        259,929 (a)  

First Quantum Minerals Ltd., Senior Notes

     7.250     4/1/23        600,000        610,665 (a)  

Glencore Funding LLC, Senior Notes

     4.125     3/12/24        300,000        326,577 (a)  

 

See Notes to Schedule of Investments.

 

 

 

14

 

    Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Metals & Mining - (continued)

          

Glencore Funding LLC, Senior Notes

     4.000     3/27/27      $ 590,000      $ 648,776 (a) 

Yamana Gold Inc., Senior Notes

     4.625     12/15/27        550,000        598,385  
          

 

 

 

Total Metals & Mining

             4,220,956  
          

 

 

 

TOTAL MATERIALS

             4,386,104  
          

 

 

 
REAL ESTATE - 2.0%           

Equity Real Estate Investment Trusts (REITs) - 1.8%

          

Host Hotels & Resorts LP, Senior Notes

     3.500     9/15/30        70,000        69,327  

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

     5.000     10/15/27        400,000        423,710  

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

     4.625     8/1/29        270,000        288,678  

Ventas Realty LP, Senior Notes

     4.400     1/15/29        540,000        606,367  

Vornado Realty LP, Senior Notes

     3.500     1/15/25        1,000,000        1,038,933  

Welltower Inc., Senior Notes

     3.950     9/1/23        1,050,000        1,137,355  

Welltower Inc., Senior Notes

     4.125     3/15/29        510,000        574,266  
          

 

 

 

Total Equity Real Estate Investment Trusts (REITs)

             4,138,636  
          

 

 

 

Real Estate Management & Development - 0.2%

          

Security Capital Group Inc., Senior Notes

     7.700     6/15/28        460,000        568,383  
          

 

 

 

TOTAL REAL ESTATE

             4,707,019  
          

 

 

 
UTILITIES - 4.6%           

Electric Utilities - 4.6%

          

Berkshire Hathaway Energy Co., Senior Notes

     6.125     4/1/36        1,000,000        1,443,620  

CenterPoint Energy Houston Electric LLC, Senior Secured Bonds

     4.500     4/1/44        530,000        703,942  

Commonwealth Edison Co., First Mortgage Bonds

     6.450     1/15/38        600,000        911,122  

Exelon Corp., Senior Notes

     4.050     4/15/30        190,000        225,591  

FirstEnergy Corp., Senior Notes

     3.900     7/15/27        480,000        527,556  

FirstEnergy Corp., Senior Notes

     7.375     11/15/31        3,040,000        4,309,327  

Jersey Central Power & Light Co., Senior Notes

     4.300     1/15/26        170,000        198,237 (a)  

MidAmerican Energy Co., First Mortgage Bonds

     3.650     4/15/29        240,000        286,577  

Pacific Gas and Electric Co., Secured Bonds

     1.750     6/16/22        140,000        140,478  

Pacific Gas and Electric Co., Secured Bonds

     4.250     8/1/23        260,000        277,809  

Pacific Gas and Electric Co., Secured Bonds

     2.100     8/1/27        200,000        194,429  

Pacific Gas and Electric Co., Secured Bonds

     2.500     2/1/31        130,000        125,196  

Pacific Gas and Electric Co., Secured Bonds

     3.300     8/1/40        30,000        28,125  

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report    

 

 

 

15


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  

Electric Utilities - (continued)

          

Southern California Edison Co., First Mortgage Bonds

     4.125     3/1/48      $ 480,000      $ 538,167  

Virginia Electric & Power Co., Senior Notes

     8.875     11/15/38        500,000        909,847  
          

 

 

 

TOTAL UTILITIES

             10,820,023  
          

 

 

 

TOTAL CORPORATE BONDS & NOTES
(Cost - $190,560,848)

             224,506,569  
          

 

 

 
SOVEREIGN BONDS - 1.1%           

Argentina - 0.4%

          

Argentine Republic Government International Bond, Senior Notes

     6.875     1/11/48        260,000        112,713 *(e)  

Provincia de Buenos Aires, Senior Notes

     9.125     3/16/24        1,930,000        916,769 *(a)(e)  
          

 

 

 

Total Argentina

             1,029,482  
          

 

 

 

Bermuda - 0.2%

          

Bermuda Government International Bond, Senior Notes

     2.375     8/20/30        470,000        480,575 (a)  
          

 

 

 

Ghana - 0.1%

          

Ghana Government International Bond, Senior Notes

     8.950     3/26/51        300,000        279,900 (a)  
          

 

 

 

Nigeria - 0.1%

          

Nigeria Government International Bond, Senior Notes

     7.696     2/23/38        220,000        214,753 (a)  
          

 

 

 

Qatar - 0.3%

          

Qatar Government International Bond, Senior Notes

     4.817     3/14/49        410,000        562,032 (a)  
          

 

 

 

TOTAL SOVEREIGN BONDS
(Cost - $3,660,980)

             2,566,742  
          

 

 

 
                  SHARES         
PREFERRED STOCKS - 1.0%           
FINANCIALS - 1.0%           

Banks - 0.9%

          

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

     6.065        85,800        2,104,674 (c)  
          

 

 

 

Insurance - 0.1%

          

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

     3.470        9,325        188,831 (c)  
          

 

 

 

TOTAL PREFERRED STOCKS
(Cost - $2,309,699)

             2,293,505  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

 

16

 

    Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report

 


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

SECURITY

   RATE     MATURITY
DATE
     FACE
AMOUNT
     VALUE  
MUNICIPAL BONDS - 0.6%           

California - 0.2%

          

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

     7.000     10/1/39      $ 500,000      $ 583,315 (a)  
          

 

 

 

Florida - 0.1%

          

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

     4.172     10/1/47        260,000        296,044  
          

 

 

 

Illinois - 0.3%

          

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

     6.725     4/1/35        530,000        594,962  
          

 

 

 

TOTAL MUNICIPAL BONDS
(Cost - $1,353,625)

             1,474,321  
          

 

 

 
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 0.1%           

U.S. Government Obligations - 0.1%

          

U.S. Treasury Notes (Cost - $208,494)

     0.625     8/15/30        210,000        208,606  
          

 

 

 
SENIOR LOANS - 0.1%           
INDUSTRIALS - 0.1%           

Airlines - 0.1%

          

Delta Air Lines Inc., Initial Term Loan (3 mo. USD LIBOR + 4.750%) (Cost - $194,515)

     5.750     4/27/23        200,000        199,906 (c)(f)(g) 
          

 

 

 

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS
(Cost - $198,288,161)

             231,249,649  
          

 

 

 
                  SHARES         
SHORT-TERM INVESTMENTS - 0.2%           

Dreyfus Government Cash Management, Institutional Shares
(Cost - $428,046)

     0.038        428,046        428,046  
          

 

 

 

TOTAL INVESTMENTS - 98.9%
(Cost - $198,716,207)

             231,677,695  

Other Assets in Excess of Liabilities - 1.1%

             2,525,520  
          

 

 

 

TOTAL NET ASSETS - 100.0%

           $ 234,203,215  
          

 

 

 

 

See Notes to Schedule of Investments.

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report    

 

 

 

17


WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.

 

Schedule of investments (unaudited) (cont’d)    August 31, 2020

 

*

Non-income producing security.

 

(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.

 

(b)

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

 

(c)

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.

 

(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.

 

(e)

The coupon payment on these securities is currently in default as of August 31, 2020.

 

(f)

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

 

(g)

Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan.

Abbreviation(s) used in this schedule:

GO    — General Obligation
GTD    — Guaranteed
ICE    — Intercontinental Exchange
LIBOR    — London Interbank Offered Rate
PIK    Payment-In-Kind
SOFR    — Secured Overnight Financing Rate
USD    — United States Dollar

At August 31, 2020, 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

     60        12/20      $ 13,253,949      $ 13,256,719      $ 2,770  

U.S. Treasury 5-Year Notes

     9        12/20        1,133,458        1,134,282        824  

U.S. Treasury 10-Year Notes

     52        12/20        7,234,727        7,241,000        6,273  

U.S. Treasury Ultra Long-Term Bonds

     9        12/20        2,008,284        1,988,156        (20,128
              

 

 

 
                 (10,261
              

 

 

 
Contracts to Sell:               

U.S. Treasury Long-Term Bonds

     111        12/20        19,722,013        19,504,781        217,232  
              

 

 

 
Net unrealized appreciation on open futures contracts

 

         $ 206,971  
              

 

 

 

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.

 

 

 

18

 

    Western Asset Investment Grade Defined Opportunity Trust Inc. 2020 Quarterly Report

 


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. On April 1, 2020, the Board of Directors of the Fund approved amendments to the Fund’s bylaws. The amended and restated bylaws were subsequently filed on Form 8-K and are available on the Securities and Exchange Commission’s website at www.sec.gov.

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.

 

   

 

 

19


Notes to Schedule of Investments (unaudited) (continued)

 

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, 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.

 

 

 

20

   


Notes to Schedule of Investments (unaudited) (continued)

 

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

 

   

Level 1 – quoted prices in active markets for identical investments

 

   

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

 

   

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

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

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

 

ASSETS

 

DESCRIPTION

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

INPUTS
(LEVEL 3)
     TOTAL  

Long-Term Investments†:

           

Corporate Bonds & Notes

     —        $ 224,506,569        —        $ 224,506,569  

Sovereign Bonds

     —          2,566,742        —          2,566,742  

Preferred Stocks:

           

Financials

   $ 2,104,674        188,831        —          2,293,505  

Municipal Bonds

     —          1,474,321        —          1,474,321  

U.S. Government & Agency Obligations

     —          208,606        —          208,606  

Senior Loans

     —          199,906        —          199,906  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Long-Term Investments

     2,104,674        229,144,975        —          231,249,649  
  

 

 

    

 

 

    

 

 

    

 

 

 

Short-Term Investments†

     428,046        —          —          428,046  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 2,532,720      $ 229,144,975        —        $ 231,677,695  
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments:

           

Futures Contracts

   $ 227,099        —          —        $ 227,099  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 2,759,819      $ 229,144,975        —        $ 231,904,794  
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

 

DESCRIPTION

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

Other Financial Instruments:

           

Futures Contracts

   $ 20,128        —          —        $ 20,128  

 

See Schedule of Investments for additional detailed categorizations.

 

   

 

 

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