WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
CORPORATE BONDS & NOTES - 93.1% | | | | | | | | | | | | | | | | |
COMMUNICATION SERVICES - 10.1% | | | | | | | | | | | | | | | | |
Diversified Telecommunication Services - 3.1% | | | | | | | | | | | | | | | | |
AT&T Inc., Senior Notes | | | 4.500 | % | | | 5/15/35 | | | | 370,000 | | | $ | 405,773 | |
AT&T Inc., Senior Notes | | | 4.900 | % | | | 6/15/42 | | | | 250,000 | | | | 277,578 | |
AT&T Inc., Senior Notes | | | 3.100 | % | | | 2/1/43 | | | | 320,000 | | | | 286,156 | |
AT&T Inc., Senior Notes | | | 4.800 | % | | | 6/15/44 | | | | 290,000 | | | | 312,015 | |
AT&T Inc., Senior Notes | | | 4.500 | % | | | 3/9/48 | | | | 422,000 | | | | 452,874 | |
AT&T Inc., Senior Notes | | | 3.300 | % | | | 2/1/52 | | | | 190,000 | | | | 169,096 | |
AT&T Inc., Senior Notes | | | 3.500 | % | | | 9/15/53 | | | | 180,000 | | | | 164,847 | |
AT&T Inc., Senior Notes | | | 3.800 | % | | | 12/1/57 | | | | 150,000 | | | | 140,958 | |
AT&T Inc., Senior Notes | | | 3.500 | % | | | 2/1/61 | | | | 260,000 | | | | 229,593 | |
British Telecommunications PLC, Senior Notes | | | 9.625 | % | | | 12/15/30 | | | | 1,550,000 | | | | 2,187,450 | |
Corning Inc., Senior Notes | | | 3.900 | % | | | 11/15/49 | | | | 210,000 | | | | 211,996 | |
Telefonica Emisiones SA, Senior Notes | | | 7.045 | % | | | 6/20/36 | | | | 140,000 | | | | 182,160 | |
Verizon Communications Inc., Senior Notes | | | 4.329 | % | | | 9/21/28 | | | | 218,000 | | | | 237,658 | |
Verizon Communications Inc., Senior Notes | | | 5.500 | % | | | 3/16/47 | | | | 1,130,000 | | | | 1,427,756 | |
Verizon Communications Inc., Senior Notes | | | 3.700 | % | | | 3/22/61 | | | | 100,000 | | | | 95,521 | |
| | | | | | | | | | | | | | | | |
Total Diversified Telecommunication Services | | | | | | | | | | | | | | | 6,781,431 | |
| | | | | | | | | | | | | | | | |
Entertainment - 1.5% | | | | | | | | | | | | | | | | |
Walt Disney Co., Senior Notes | | | 6.650 | % | | | 11/15/37 | | | | 2,400,000 | | | | 3,269,500 | |
| | | | | | | | | | | | | | | | |
Media - 4.5% | | | | | | | | | | | | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Notes | | | 4.500 | % | | | 5/1/32 | | | | 910,000 | | | | 866,006 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | | | 6.384 | % | | | 10/23/35 | | | | 180,000 | | | | 215,430 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | | | 3.500 | % | | | 3/1/42 | | | | 120,000 | | | | 103,611 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | | | 6.484 | % | | | 10/23/45 | | | | 420,000 | | | | 502,743 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | | | 5.375 | % | | | 5/1/47 | | | | 560,000 | | | | 592,047 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp., Senior Secured Notes | | | 3.950 | % | | | 6/30/62 | | | | 120,000 | | | | 100,605 | |
Comcast Corp., Senior Notes | | | 6.400 | % | | | 5/15/38 | | | | 2,500,000 | | | | 3,271,289 | |
DISH DBS Corp., Senior Secured Notes | | | 5.750 | % | | | 12/1/28 | | | | 250,000 | | | | 239,531 | (a) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | 1 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Media - continued | | | | | | | | | | | | | | | | |
Fox Corp., Senior Notes | | | 5.476 | % | | | 1/25/39 | | | | 810,000 | | | $ | 945,801 | |
Paramount Global, Senior Notes | | | 5.250 | % | | | 4/1/44 | | | | 80,000 | | | | 87,318 | |
Time Warner Cable LLC, Senior Secured Notes | | | 6.550 | % | | | 5/1/37 | | | | 370,000 | | | | 445,326 | |
Time Warner Cable LLC, Senior Secured Notes | | | 7.300 | % | | | 7/1/38 | | | | 330,000 | | | | 413,653 | |
Time Warner Cable LLC, Senior Secured Notes | | | 6.750 | % | | | 6/15/39 | | | | 20,000 | | | | 24,312 | |
Time Warner Cable LLC, Senior Secured Notes | | | 5.500 | % | | | 9/1/41 | | | | 200,000 | | | | 213,536 | |
Time Warner Entertainment Co. LP, Senior Secured Notes | | | 8.375 | % | | | 3/15/23 | | | | 1,170,000 | | | | 1,248,214 | |
Time Warner Entertainment Co. LP, Senior Secured Notes | | | 8.375 | % | | | 7/15/33 | | | | 370,000 | | | | 505,392 | |
| | | | | | | | | | | | | | | | |
Total Media | | | | | | | | | | | | | | | 9,774,814 | |
| | | | | | | | | | | | | | | | |
Wireless Telecommunication Services - 1.0% | | | | | | | | | | | | | | | | |
Sprint Corp., Senior Notes | | | 7.875 | % | | | 9/15/23 | | | | 120,000 | | | | 129,149 | |
Telefonica Europe BV, Senior Notes | | | 8.250 | % | | | 9/15/30 | | | | 390,000 | | | | 526,513 | |
T-Mobile USA Inc., Senior Notes | | | 2.625 | % | | | 2/15/29 | | | | 170,000 | | | | 159,723 | |
T-Mobile USA Inc., Senior Notes | | | 2.875 | % | | | 2/15/31 | | | | 120,000 | | | | 112,772 | |
T-Mobile USA Inc., Senior Secured Notes | | | 4.375 | % | | | 4/15/40 | | | | 100,000 | | | | 103,594 | |
T-Mobile USA Inc., Senior Secured Notes | | | 3.000 | % | | | 2/15/41 | | | | 100,000 | | | | 86,798 | |
T-Mobile USA Inc., Senior Secured Notes | | | 4.500 | % | | | 4/15/50 | | | | 330,000 | | | | 344,609 | |
T-Mobile USA Inc., Senior Secured Notes | | | 3.400 | % | | | 10/15/52 | | | | 360,000 | | | | 319,543 | (a) |
Vodafone Group PLC, Senior Notes | | | 5.250 | % | | | 5/30/48 | | | | 320,000 | | | | 367,516 | |
Vodafone Group PLC, Senior Notes | | | 4.250 | % | | | 9/17/50 | | | | 20,000 | | | | 20,521 | |
| | | | | | | | | | | | | | | | |
Total Wireless Telecommunication Services | | | | | | | | | | | | | | | 2,170,738 | |
| | | | | | | | | | | | | | | | |
TOTAL COMMUNICATION SERVICES | | | | | | | | | | | | | | | 21,996,483 | |
| | | | | | | | | | | | | | | | |
CONSUMER DISCRETIONARY - 4.6% | | | | | | | | | | | | | | | | |
Automobiles - 1.2% | | | | | | | | | | | | | | | | |
Ford Motor Co., Senior Notes | | | 3.250 | % | | | 2/12/32 | | | | 470,000 | | | | 444,202 | |
Ford Motor Credit Co. LLC, Senior Notes | | | 2.700 | % | | | 8/10/26 | | | | 630,000 | | | | 604,013 | |
General Motors Co., Senior Notes | | | 5.400 | % | | | 10/2/23 | | | | 200,000 | | | | 210,227 | |
General Motors Co., Senior Notes | | | 6.125 | % | | | 10/1/25 | | | | 300,000 | | | | 332,133 | |
General Motors Co., Senior Notes | | | 6.600 | % | | | 4/1/36 | | | | 290,000 | | | | 360,347 | |
General Motors Co., Senior Notes | | | 6.750 | % | | | 4/1/46 | | | | 580,000 | | | | 735,021 | |
| | | | | | | | | | | | | | | | |
Total Automobiles | | | | | | | | | | | | | | | 2,685,943 | |
| | | | | | | | | | | | | | | | |
Hotels, Restaurants & Leisure - 1.9% | | | | | | | | | | | | | | | | |
Genting New York LLC/GENNY Capital Inc., Senior Notes | | | 3.300 | % | | | 2/15/26 | | | | 740,000 | | | | 712,312 | (a) |
Marriott International Inc., Senior Notes | | | 3.600 | % | | | 4/15/24 | | | | 320,000 | | | | 328,727 | |
McDonald’s Corp., Senior Notes | | | 4.700 | % | | | 12/9/35 | | | | 260,000 | | | | 294,846 | |
McDonald’s Corp., Senior Notes | | | 4.875 | % | | | 12/9/45 | | | | 370,000 | | | | 420,370 | |
See Notes to Schedule of Investments.
| | | | |
2 | | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Hotels, Restaurants & Leisure - continued | | | | | | | | | | | | | | | | |
Melco Resorts Finance Ltd., Senior Notes | | | 5.375 | % | | | 12/4/29 | | | | 590,000 | | | $ | 513,064 | (a) |
Sands China Ltd., Senior Notes | | | 5.125 | % | | | 8/8/25 | | | | 690,000 | | | | 686,412 | |
Sands China Ltd., Senior Notes | | | 5.400 | % | | | 8/8/28 | | | | 200,000 | | | | 196,918 | |
Sands China Ltd., Senior Notes | | | 4.375 | % | | | 6/18/30 | | | | 220,000 | | | | 202,950 | |
Sands China Ltd., Senior Notes | | | 3.250 | % | | | 8/8/31 | | | | 510,000 | | | | 415,650 | (a) |
Wynn Macau Ltd., Senior Notes | | | 5.500 | % | | | 10/1/27 | | | | 370,000 | | | | 325,341 | (a) |
| | | | | | | | | | | | | | | | |
Total Hotels, Restaurants & Leisure | | | | | | | | | | | | | | | 4,096,590 | |
| | | | | | | | | | | | | | | | |
Household Durables - 0.5% | | | | | | | | | | | | | | | | |
Lennar Corp., Senior Notes | | | 5.000 | % | | | 6/15/27 | | | | 390,000 | | | | 423,465 | |
MDC Holdings Inc., Senior Notes | | | 2.500 | % | | | 1/15/31 | | | | 300,000 | | | | 272,579 | |
MDC Holdings Inc., Senior Notes | | | 6.000 | % | | | 1/15/43 | | | | 310,000 | | | | 336,067 | |
| | | | | | | | | | | | | | | | |
Total Household Durables | | | | | | | | | | | | | | | 1,032,111 | |
| | | | | | | | | | | | | | | | |
Internet & Direct Marketing Retail - 0.2% | | | | | | | | | | | | | | | | |
Amazon.com Inc., Senior Notes | | | 3.875 | % | | | 8/22/37 | | | | 410,000 | | | | 449,609 | |
| | | | | | | | | | | | | | | | |
Specialty Retail - 0.8% | | | | | | | | | | | | | | | | |
Home Depot Inc., Senior Notes | | | 3.900 | % | | | 12/6/28 | | | | 930,000 | | | | 1,005,626 | |
Home Depot Inc., Senior Notes | | | 3.300 | % | | | 4/15/40 | | | | 100,000 | | | | 100,225 | |
Home Depot Inc., Senior Notes | | | 3.350 | % | | | 4/15/50 | | | | 80,000 | | | | 78,418 | |
Lithia Motors Inc., Senior Notes | | | 4.625 | % | | | 12/15/27 | | | | 170,000 | | | | 174,027 | (a) |
Lithia Motors Inc., Senior Notes | | | 3.875 | % | | | 6/1/29 | | | | 300,000 | | | | 296,595 | (a) |
Lowe’s Cos. Inc., Senior Notes | | | 2.800 | % | | | 9/15/41 | | | | 140,000 | | | | 123,822 | |
| | | | | | | | | | | | | | | | |
Total Specialty Retail | | | | | | | | | | | | | | | 1,778,713 | |
| | | | | | | | | | | | | | | | |
TOTAL CONSUMER DISCRETIONARY | | | | | | | | | | | | | | | 10,042,966 | |
| | | | | | | | | | | | | | | | |
CONSUMER STAPLES - 3.0% | | | | | | | | | | | | | | | | |
Beverages - 1.2% | | | | | | | | | | | | | | | | |
Anheuser-Busch InBev Worldwide Inc., Senior Notes | | | 4.600 | % | | | 4/15/48 | | | | 1,730,000 | | | | 1,900,643 | |
Coca-Cola Co., Senior Notes | | | 4.125 | % | | | 3/25/40 | | | | 290,000 | | | | 323,880 | |
Coca-Cola Co., Senior Notes | | | 4.200 | % | | | 3/25/50 | | | | 160,000 | | | | 184,417 | |
Constellation Brands Inc., Senior Notes | | | 4.250 | % | | | 5/1/23 | | | | 100,000 | | | | 102,814 | |
| | | | | | | | | | | | | | | | |
Total Beverages | | | | | | | | | | | | | | | 2,511,754 | |
| | | | | | | | | | | | | | | | |
Food Products - 0.2% | | | | | | | | | | | | | | | | |
Kraft Heinz Foods Co., Senior Notes | | | 5.000 | % | | | 6/4/42 | | | | 160,000 | | | | 176,600 | |
Mars Inc., Senior Notes | | | 3.200 | % | | | 4/1/30 | | | | 220,000 | | | | 227,039 | (a) |
| | | | | | | | | | | | | | | | |
Total Food Products | | | | | | | | | | | | | | | 403,639 | |
| | | | | | | | | | | | | | | | |
Tobacco - 1.6% | | | | | | | | | | | | | | | | |
Altria Group Inc., Senior Notes | | | 3.800 | % | | | 2/14/24 | | | | 290,000 | | | | 298,600 | |
Altria Group Inc., Senior Notes | | | 4.400 | % | | | 2/14/26 | | | | 500,000 | | | | 531,331 | |
Altria Group Inc., Senior Notes | | | 4.800 | % | | | 2/14/29 | | | | 1,360,000 | | | | 1,470,851 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | 3 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Tobacco - continued | | | | | | | | | | | | | | | | |
Altria Group Inc., Senior Notes | | | 3.875 | % | | | 9/16/46 | | | | 80,000 | | | $ | 68,897 | |
Reynolds American Inc., Senior Notes | | | 8.125 | % | | | 5/1/40 | | | | 470,000 | | | | 615,060 | |
Reynolds American Inc., Senior Notes | | | 7.000 | % | | | 8/4/41 | | | | 510,000 | | | | 602,578 | |
| | | | | | | | | | | | | | | | |
Total Tobacco | | | | | | | | | | | | | | | 3,587,317 | |
| | | | | | | | | | | | | | | | |
TOTAL CONSUMER STAPLES | | | | | | | | | | | | | | | 6,502,710 | |
| | | | | | | | | | | | | | | | |
ENERGY - 13.9% | | | | | | | | | | | | | | | | |
Energy Equipment & Services - 0.5% | | | | | | | | | | | | | | | | |
Halliburton Co., Senior Notes | | | 2.920 | % | | | 3/1/30 | | | | 60,000 | | | | 59,053 | |
Halliburton Co., Senior Notes | | | 5.000 | % | | | 11/15/45 | | | | 930,000 | | | | 1,036,182 | |
| | | | | | | | | | | | | | | | |
Total Energy Equipment & Services | | | | | | | | | | | | | | | 1,095,235 | |
| | | | | | | | | | | | | | | | |
Oil, Gas & Consumable Fuels - 13.4% | | | | | | | | | | | | | | | | |
Apache Corp., Senior Notes | | | 6.000 | % | | | 1/15/37 | | | | 84,000 | | | | 93,588 | |
Apache Corp., Senior Notes | | | 5.100 | % | | | 9/1/40 | | | | 60,000 | | | | 60,099 | |
Apache Corp., Senior Notes | | | 5.250 | % | | | 2/1/42 | | | | 160,000 | | | | 157,852 | |
Apache Corp., Senior Notes | | | 4.750 | % | | | 4/15/43 | | | | 670,000 | | | | 639,250 | |
BP Capital Markets America Inc., Senior Notes | | | 3.000 | % | | | 2/24/50 | | | | 710,000 | | | | 608,203 | |
Cameron LNG LLC, Senior Secured Notes | | | 3.302 | % | | | 1/15/35 | | | | 40,000 | | | | 39,391 | (a) |
Cameron LNG LLC, Senior Secured Notes | | | 3.701 | % | | | 1/15/39 | | | | 50,000 | | | | 50,005 | (a) |
Cheniere Energy Partners LP, Senior Notes | | | 3.250 | % | | | 1/31/32 | | | | 360,000 | | | | 339,019 | (a) |
Chevron USA Inc., Senior Notes | | | 5.250 | % | | | 11/15/43 | | | | 240,000 | | | | 305,957 | |
Chevron USA Inc., Senior Notes | | | 2.343 | % | | | 8/12/50 | | | | 210,000 | | | | 174,895 | |
ConocoPhillips, Senior Notes | | | 3.750 | % | | | 10/1/27 | | | | 110,000 | | | | 117,544 | (a) |
ConocoPhillips, Senior Notes | | | 6.500 | % | | | 2/1/39 | | | | 1,500,000 | | | | 2,087,873 | |
Continental Resources Inc., Senior Notes | | | 4.500 | % | | | 4/15/23 | | | | 510,000 | | | | 521,671 | |
Continental Resources Inc., Senior Notes | | | 2.268 | % | | | 11/15/26 | | | | 130,000 | | | | 124,078 | (a) |
Continental Resources Inc., Senior Notes | | | 4.375 | % | | | 1/15/28 | | | | 430,000 | | | | 444,868 | |
Continental Resources Inc., Senior Notes | | | 2.875 | % | | | 4/1/32 | | | | 180,000 | | | | 164,840 | (a) |
Continental Resources Inc., Senior Notes | | | 4.900 | % | | | 6/1/44 | | | | 140,000 | | | | 141,336 | |
Coterra Energy Inc., Senior Notes | | | 4.375 | % | | | 6/1/24 | | | | 960,000 | | | | 996,231 | (a) |
Coterra Energy Inc., Senior Notes | | | 3.900 | % | | | 5/15/27 | | | | 250,000 | | | | 260,669 | (a) |
Devon Energy Corp., Senior Notes | | | 5.850 | % | | | 12/15/25 | | | | 560,000 | | | | 624,937 | |
Devon Energy Corp., Senior Notes | | | 4.500 | % | | | 1/15/30 | | | | 116,000 | | | | 121,270 | |
Devon Energy Corp., Senior Notes | | | 5.600 | % | | | 7/15/41 | | | | 20,000 | | | | 23,424 | |
Devon Energy Corp., Senior Notes | | | 5.000 | % | | | 6/15/45 | | | | 210,000 | | | | 234,522 | |
Ecopetrol SA, Senior Notes | | | 5.875 | % | | | 5/28/45 | | | | 404,000 | | | | 352,555 | |
Energy Transfer 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 | | | | 316,387 | (b)(c) |
See Notes to Schedule of Investments.
| | | | |
4 | | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Oil, Gas & Consumable Fuels - continued | | | | | | | | | | | | | | | | |
Energy Transfer 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 | | | $ | 864,600 | (b)(c) |
Energy Transfer LP, Senior Notes | | | 4.200 | % | | | 9/15/23 | | | | 510,000 | | | | 524,701 | |
Energy Transfer LP, Senior Notes | | | 3.900 | % | | | 7/15/26 | | | | 630,000 | | | | 652,994 | |
Energy Transfer LP, Senior Notes | | | 5.250 | % | | | 4/15/29 | | | | 20,000 | | | | 21,975 | |
Energy Transfer LP, Senior Notes | | | 6.625 | % | | | 10/15/36 | | | | 20,000 | | | | 23,707 | |
Energy Transfer LP, Senior Notes | | | 5.800 | % | | | 6/15/38 | | | | 60,000 | | | | 66,730 | |
Enterprise Products Operating LLC, Senior Notes | | | 4.250 | % | | | 2/15/48 | | | | 400,000 | | | | 406,568 | |
Enterprise Products Operating LLC, Senior Notes | | | 3.300 | % | | | 2/15/53 | | | | 230,000 | | | | 201,964 | |
Enterprise Products Operating LLC, Senior Notes | | | 3.950 | % | | | 1/31/60 | | | | 210,000 | | | | 197,606 | |
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 | | | | 529,848 | (c) |
EOG Resources Inc., Senior Notes | | | 4.375 | % | | | 4/15/30 | | | | 370,000 | | | | 408,931 | |
Exxon Mobil Corp., Senior Notes | | | 3.482 | % | | | 3/19/30 | | | | 320,000 | | | | 338,352 | |
Exxon Mobil Corp., Senior Notes | | | 2.995 | % | | | 8/16/39 | | | | 190,000 | | | | 182,648 | |
Exxon Mobil Corp., Senior Notes | | | 4.227 | % | | | 3/19/40 | | | | 220,000 | | | | 242,662 | |
Florida Gas Transmission Co. LLC, Senior Notes | | | 2.300 | % | | | 10/1/31 | | | | 820,000 | | | | 752,873 | (a) |
KazMunayGas National Co. JSC, Senior Notes | | | 3.500 | % | | | 4/14/33 | | | | 240,000 | | | | 218,862 | (a) |
Kinder Morgan Inc., Senior Notes | | | 7.800 | % | | | 8/1/31 | | | | 900,000 | | | | 1,182,126 | |
MPLX LP, Senior Notes | | | 4.500 | % | | | 4/15/38 | | | | 600,000 | | | | 618,404 | |
Occidental Petroleum Corp., Senior Notes | | | 2.700 | % | | | 2/15/23 | | | | 10,000 | | | | 10,011 | |
Occidental Petroleum Corp., Senior Notes | | | 7.875 | % | | | 9/15/31 | | | | 710,000 | | | | 879,271 | |
Occidental Petroleum Corp., Senior Notes | | | 4.400 | % | | | 4/15/46 | | | | 10,000 | | | | 9,516 | |
Parsley Energy LLC/Parsley Finance Corp., Senior Notes | | | 5.625 | % | | | 10/15/27 | | | | 180,000 | | | | 187,237 | (a) |
Parsley Energy LLC/Parsley Finance Corp., Senior Notes | | | 4.125 | % | | | 2/15/28 | | | | 330,000 | | | | 334,927 | (a) |
Petrobras Global Finance BV, Senior Notes | | | 7.375 | % | | | 1/17/27 | | | | 530,000 | | | | 595,842 | |
Petrobras Global Finance BV, Senior Notes | | | 5.500 | % | | | 6/10/51 | | | | 160,000 | | | | 136,734 | |
Petroleos Mexicanos, Senior Notes | | | 6.875 | % | | | 8/4/26 | | | | 730,000 | | | | 774,128 | |
Petroleos Mexicanos, Senior Notes | | | 6.625 | % | | | 6/15/35 | | | | 460,000 | | | | 417,335 | |
Pioneer Natural Resources Co., Senior Notes | | | 2.150 | % | | | 1/15/31 | | | | 480,000 | | | | 443,211 | |
Southern Natural Gas Co. LLC, Senior Notes | | | 8.000 | % | | | 3/1/32 | | | | 1,500,000 | | | | 1,991,813 | |
Southwestern Energy Co., Senior Notes | | | 4.750 | % | | | 2/1/32 | | | | 90,000 | | | | 89,636 | |
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | | | 7.850 | % | | | 2/1/26 | | | | 760,000 | | | | 896,249 | |
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | | | 7.250 | % | | | 12/1/26 | | | | 180,000 | | | | 213,532 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | 5 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Oil, Gas & Consumable Fuels - continued | | | | | | | | | | | | | | | | |
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | | | 3.250 | % | | | 5/15/30 | | | | 230,000 | | | $ | 231,885 | |
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | | | 5.400 | % | | | 8/15/41 | | | | 10,000 | | | | 11,770 | |
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | | | 4.450 | % | | | 8/1/42 | | | | 860,000 | | | | 909,620 | |
Transcontinental Gas Pipe Line Co. LLC, Senior Notes | | | 3.950 | % | | | 5/15/50 | | | | 30,000 | | | | 29,795 | |
Western Midstream Operating LP, Senior Notes | | | 4.650 | % | | | 7/1/26 | | | | 1,560,000 | | | | 1,618,282 | |
Western Midstream Operating LP, Senior Notes | | | 4.750 | % | | | 8/15/28 | | | | 890,000 | | | | 922,667 | |
Western Midstream Operating LP, Senior Notes | | | 4.550 | % | | | 2/1/30 | | | | 140,000 | | | | 144,225 | |
Western Midstream Operating LP, Senior Notes | | | 5.450 | % | | | 4/1/44 | | | | 120,000 | | | | 123,193 | |
Western Midstream Operating LP, Senior Notes | | | 5.750 | % | | | 2/1/50 | | | | 430,000 | | | | 438,164 | |
Williams Cos. Inc., Senior Notes | | | 4.550 | % | | | 6/24/24 | | | | 1,130,000 | | | | 1,184,001 | |
Williams Cos. Inc., Senior Notes | | | 7.750 | % | | | 6/15/31 | | | | 62,000 | | | | 81,254 | |
Williams Cos. Inc., Senior Notes | | | 8.750 | % | | | 3/15/32 | | | | 148,000 | | | | 207,725 | |
Williams Cos. Inc., Senior Notes | | | 3.500 | % | | | 10/15/51 | | | | 70,000 | | | | 62,225 | |
| | | | | | | | | | | | | | | | |
Total Oil, Gas & Consumable Fuels | | | | | | | | | | | | | | | 29,380,263 | |
| | | | | | | | | | | | | | | | |
TOTAL ENERGY | | | | | | | | | | | | | | | 30,475,498 | |
| | | | | | | | | | | | | | | | |
FINANCIALS - 29.1% | | | | | | | | | | | | | | | | |
Banks - 17.3% | | | | | | | | | | | | | | | | |
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 | | | | 195,780 | (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 | | | | 392,860 | (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 | | | | 209,455 | (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 | | | | 621,208 | (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 | | | | 919,600 | (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 | | | | 427,500 | (b)(c) |
Bank of America Corp., Senior Notes | | | 5.875 | % | | | 2/7/42 | | | | 1,340,000 | | | | 1,740,519 | |
See Notes to Schedule of Investments.
| | | | |
6 | | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Banks - continued | | | | | | | | | | | | | | | | |
Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%) | | | 2.572 | % | | | 10/20/32 | | | | 430,000 | | | $ | 407,496 | (c) |
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 | | | | 112,144 | (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 | | | | 268,774 | (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 | | | | 735,841 | (c) |
Bank of America Corp., Subordinated Notes | | | 7.750 | % | | | 5/14/38 | | | | 670,000 | | | | 970,343 | |
Barclays Bank PLC, Subordinated Notes | | | 7.625 | % | | | 11/21/22 | | | | 430,000 | | | | 445,906 | |
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 | | | | 1,722,250 | (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 | | | | 335,264 | (b)(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 | | | | 533,832 | (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 | | | | 1,657,856 | (a)(b)(c) |
Citigroup Inc., Junior Subordinated Notes (6.250% to 8/15/26 then 3 mo. USD LIBOR + 4.517%) | | | 6.250 | % | | | 8/15/26 | | | | 1,100,000 | | | | 1,185,250 | (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 | | | | 1,370,858 | (b)(c) |
Citigroup Inc., Senior Notes | | | 8.125 | % | | | 7/15/39 | | | | 752,000 | | | | 1,178,309 | |
Citigroup Inc., Senior Notes | | | 4.650 | % | | | 7/23/48 | | | | 420,000 | | | | 492,074 | |
Citigroup Inc., Senior Notes (2.904% to 11/3/41 then SOFR + 1.379%) | | | 2.904 | % | | | 11/3/42 | | | | 470,000 | | | | 424,319 | (c) |
Citigroup Inc., Subordinated Notes | | | 4.600 | % | | | 3/9/26 | | | | 490,000 | | | | 522,949 | |
Citigroup Inc., Subordinated Notes | | | 4.125 | % | | | 7/25/28 | | | | 1,990,000 | | | | 2,094,367 | |
Citigroup Inc., Subordinated Notes | | | 6.675 | % | | | 9/13/43 | | | | 630,000 | | | | 868,911 | |
Cooperatieve Rabobank UA, Senior Notes | | | 5.750 | % | | | 12/1/43 | | | | 250,000 | | | | 317,348 | |
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 | | | | 1,547,244 | (a)(b)(c) |
Danske Bank A/S, Senior Notes | | | 5.375 | % | | | 1/12/24 | | | | 530,000 | | | | 558,557 | (a) |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | 7 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
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 | | | $ | 826,000 | (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 | | | | 478,113 | (b)(c) |
HSBC Holdings PLC, Senior Notes | | | 4.950 | % | | | 3/31/30 | | | | 200,000 | | | | 221,512 | |
Intesa Sanpaolo SpA, Senior Notes | | | 4.700 | % | | | 9/23/49 | | | | 200,000 | | | | 204,214 | (a) |
Intesa Sanpaolo SpA, Subordinated Notes (4.198% to 6/1/31 then 1 year Treasury Constant Maturity Rate + 2.600%) | | | 4.198 | % | | | 6/1/32 | | | | 200,000 | | | | 181,087 | (a)(c) |
Intesa Sanpaolo SpA, Subordinated Notes (4.950% to 6/1/41 then 1 year Treasury Constant Maturity Rate + 2.750%) | | | 4.950 | % | | | 6/1/42 | | | | 430,000 | | | | 381,962 | (a)(c) |
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 | | | | 720,213 | (b)(c) |
JPMorgan Chase & Co., Senior Notes | | | 6.400 | % | | | 5/15/38 | | | | 1,500,000 | | | | 2,013,216 | |
JPMorgan Chase & Co., Subordinated Notes | | | 5.625 | % | | | 8/16/43 | | | | 760,000 | | | | 954,295 | |
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 | | | | 234,814 | (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 | | | | 655,669 | (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 | | | | 515,946 | (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 | | | | 1,009,517 | (b)(c) |
NatWest Group PLC, Subordinated Notes | | | 6.100 | % | | | 6/10/23 | | | | 840,000 | | | | 880,819 | |
NatWest 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 | | | | 425,018 | (c) |
NatWest Markets NV, Subordinated Notes | | | 7.750 | % | | | 5/15/23 | | | | 820,000 | | | | 864,873 | |
PNC Bank NA, Subordinated Notes | | | 4.050 | % | | | 7/26/28 | | | | 650,000 | | | | 693,810 | |
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 | | | | 1,753,093 | (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 | | | | 720,000 | | | | 731,527 | (c) |
See Notes to Schedule of Investments.
| | | | |
8 | | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Banks - continued | | | | | | | | | | | | | | | | |
Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%) | | | 5.013 | % | | | 4/4/51 | | | | 410,000 | | | $ | 506,022 | (c) |
Wells Fargo & Co., Subordinated Notes | | | 4.400 | % | | | 6/14/46 | | | | 420,000 | | | | 450,831 | |
Wells Fargo & Co., Subordinated Notes | | | 4.750 | % | | | 12/7/46 | | | | 530,000 | | | | 596,112 | |
Westpac Banking Corp., Subordinated Notes | | | 4.421 | % | | | 7/24/39 | | | | 170,000 | | | | 183,088 | |
| | | | | | | | | | | | | | | | |
Total Banks | | | | | | | | | | | | | | | 37,738,565 | |
| | | | | | | | | | | | | | | | |
Capital Markets - 6.0% | | | | | | | | | | | | | | | | |
Charles Schwab Corp., Junior Subordinated Notes (4.000% to 12/1/30 then 10 year Treasury Constant Maturity Rate + 3.079%) | | | 4.000 | % | | | 12/1/30 | | | | 500,000 | | | | 463,410 | (b)(c) |
Charles Schwab Corp., Senior Notes | | | 3.850 | % | | | 5/21/25 | | | | 230,000 | | | | 241,767 | |
CI Financial Corp., Senior Notes | | | 4.100 | % | | | 6/15/51 | | | | 250,000 | | | | 237,602 | |
CME Group Inc., Senior Notes | | | 5.300 | % | | | 9/15/43 | | | | 750,000 | | | | 956,631 | |
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 | | | | 1,582,727 | (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 | | | | 415,753 | (a)(c) |
Credit Suisse USA Inc., Senior Notes | | | 7.125 | % | | | 7/15/32 | | | | 70,000 | | | | 93,000 | |
Goldman Sachs Group Inc., Senior Notes | | | 6.250 | % | | | 2/1/41 | | | | 2,550,000 | | | | 3,350,475 | |
Goldman Sachs Group Inc., Senior Notes (2.650% to 10/21/31 then SOFR + 1.264%) | | | 2.650 | % | | | 10/21/32 | | | | 630,000 | | | | 597,954 | (c) |
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 | | | | 1,104,473 | (c) |
Goldman Sachs Group Inc., Subordinated Notes | | | 5.150 | % | | | 5/22/45 | | | | 70,000 | | | | 84,167 | |
KKR Group Finance Co. III LLC, Senior Notes | | | 5.125 | % | | | 6/1/44 | | | | 1,300,000 | | | | 1,489,578 | (a) |
KKR Group Finance Co. VI LLC, Senior Notes | | | 3.750 | % | | | 7/1/29 | | | | 110,000 | | | | 115,597 | (a) |
KKR Group Finance Co. X LLC, Senior Notes | | | 3.250 | % | | | 12/15/51 | | | | 160,000 | | | | 140,442 | (a) |
Morgan Stanley, Senior Notes | | | 6.375 | % | | | 7/24/42 | | | | 140,000 | | | | 191,301 | |
Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%) | | | 2.511 | % | | | 10/20/32 | | | | 370,000 | | | | 349,706 | (c) |
Raymond James Financial Inc., Senior Notes | | | 4.650 | % | | | 4/1/30 | | | | 120,000 | | | | 132,406 | |
Raymond James Financial Inc., Senior Notes | | | 4.950 | % | | | 7/15/46 | | | | 150,000 | | | | 172,904 | |
UBS AG Stamford, CT, Subordinated Notes | | | 7.625 | % | | | 8/17/22 | | | | 330,000 | | | | 337,952 | |
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 | | | | 958,461 | (a)(b)(c) |
| | | | | | | | | | | | | | | | |
Total Capital Markets | | | | | | | | | | | | | | | 13,016,306 | |
| | | | | | | | | | | | | | | | |
Consumer Finance - 0.2% | | | | | | | | | | | | | | | | |
Navient Corp., Senior Notes | | | 6.125 | % | | | 3/25/24 | | | | 480,000 | | | | 494,986 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | 9 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Diversified Financial Services - 1.4% | | | | | | | | | | | | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | | | 4.500 | % | | | 9/15/23 | | | | 530,000 | | | $ | 546,175 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Senior Notes | | | 3.850 | % | | | 10/29/41 | | | | 530,000 | | | | 491,761 | |
Carlyle Finance LLC, Senior Notes | | | 5.650 | % | | | 9/15/48 | | | | 170,000 | | | | 207,654 | (a) |
Carlyle Finance Subsidiary LLC, Senior Notes | | | 3.500 | % | | | 9/19/29 | | | | 230,000 | | | | 235,146 | (a) |
Carlyle Holdings II Finance LLC, Senior Notes | | | 5.625 | % | | | 3/30/43 | | | | 360,000 | | | | 429,320 | (a) |
Global Aircraft Leasing Co. Ltd., Senior Notes (6.500% Cash or 7.250% PIK) | | | 6.500 | % | | | 9/15/24 | | | | 429,525 | | | | 408,768 | (a)(d) |
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%) | | | 3.370 | % | | | 12/21/65 | | | | 800,000 | | | | 660,184 | (a)(c) |
| | | | | | | | | | | | | | | | |
Total Diversified Financial Services | | | | | | | | | | | | | | | 2,979,008 | |
| | | | | | | | | | | | | | | | |
Insurance - 3.8% | | | | | | | | | | | | | | | | |
Allianz SE, Junior Subordinated Notes (3.500% to 4/30/26 then 5 year Treasury Constant Maturity Rate + 2.973%) | | | 3.500 | % | | | 11/17/25 | | | | 200,000 | | | | 187,250 | (a)(b)(c) |
American International Group Inc., Senior Notes | | | 4.750 | % | | | 4/1/48 | | | | 80,000 | | | | 92,441 | |
Americo Life Inc., Senior Notes | | | 3.450 | % | | | 4/15/31 | | | | 120,000 | | | | 110,885 | (a) |
Arthur J Gallagher & Co., Senior Notes | | | 3.500 | % | | | 5/20/51 | | | | 120,000 | | | | 112,956 | |
Everest Reinsurance Holdings Inc., Senior Notes | | | 3.500 | % | | | 10/15/50 | | | | 220,000 | | | | 206,591 | |
Fidelity & Guaranty Life Holdings Inc., Senior Notes | | | 5.500 | % | | | 5/1/25 | | | | 360,000 | | | | 391,107 | (a) |
Liberty Mutual Insurance Co., Subordinated Notes | | | 7.875 | % | | | 10/15/26 | | | | 840,000 | | | | 1,016,842 | (a) |
Marsh & McLennan Cos. Inc., Senior Notes | | | 2.900 | % | | | 12/15/51 | | | | 170,000 | | | | 149,537 | |
Massachusetts Mutual Life Insurance Co., Subordinated Notes | | | 3.375 | % | | | 4/15/50 | | | | 130,000 | | | | 123,028 | (a) |
Massachusetts Mutual Life Insurance Co., Subordinated Notes | | | 4.900 | % | | | 4/1/77 | | | | 420,000 | | | | 488,546 | (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 | | | | 1,126,200 | |
Nationwide Mutual Insurance Co., Subordinated Notes | | | 9.375 | % | | | 8/15/39 | | | | 520,000 | | | | 835,985 | (a) |
New York Life Insurance Co., Subordinated Notes | | | 4.450 | % | | | 5/15/69 | | | | 140,000 | | | | 156,395 | (a) |
Northwestern Mutual Life Insurance Co., Subordinated Notes | | | 3.625 | % | | | 9/30/59 | | | | 180,000 | | | | 171,281 | (a) |
Teachers Insurance & Annuity Association of America, Subordinated Notes | | | 6.850 | % | | | 12/16/39 | | | | 1,050,000 | | | | 1,433,379 | (a) |
See Notes to Schedule of Investments.
| | | | |
10 | | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Insurance - continued | | | | | | | | | | | | | | | | |
Teachers Insurance & Annuity Association of America, Subordinated Notes | | | 4.900 | % | | | 9/15/44 | | | | 660,000 | | | $ | 771,543 | (a) |
Teachers Insurance & Annuity Association of America, Subordinated Notes | | | 3.300 | % | | | 5/15/50 | | | | 330,000 | | | | 310,080 | (a) |
Travelers Cos. Inc., Senior Notes | | | 6.250 | % | | | 6/15/37 | | | | 400,000 | | | | 532,331 | |
| | | | | | | | | | | | | | | | |
Total Insurance | | | | | | | | | | | | | | | 8,216,377 | |
| | | | | | | | | | | | | | | | |
Mortgage Real Estate Investment Trusts (REITs) - 0.2% | | | | | | | | | | | | | | | | |
AFC Gamma Inc., Senior Notes | | | 5.750 | % | | | 5/1/27 | | | | 550,000 | | | | 546,447 | (a) |
| | | | | | | | | | | | | | | | |
Thrifts & Mortgage Finance - 0.2% | | | | | | | | | | | | | | | | |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes | | | 2.875 | % | | | 10/15/26 | | | | 230,000 | | | | 216,467 | (a) |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes | | | 4.000 | % | | | 10/15/33 | | | | 220,000 | | | | 205,130 | (a) |
| | | | | | | | | | | | | | | | |
Total Thrifts & Mortgage Finance | | | | | | | | | | | | | | | 421,597 | |
| | | | | | | | | | | | | | | | |
TOTAL FINANCIALS | | | | | | | | | | | | | | | 63,413,286 | |
| | | | | | | | | | | | | | | | |
HEALTH CARE - 11.5% | | | | | | | | | | | | | | | | |
Biotechnology - 1.5% | | | | | | | | | | | | | | | | |
AbbVie Inc., Senior Notes | | | 3.200 | % | | | 11/21/29 | | | | 990,000 | | | | 1,003,865 | |
AbbVie Inc., Senior Notes | | | 4.550 | % | | | 3/15/35 | | | | 200,000 | | | | 220,580 | |
AbbVie Inc., Senior Notes | | | 4.050 | % | | | 11/21/39 | | | | 1,160,000 | | | | 1,219,505 | |
Gilead Sciences Inc., Senior Notes | | | 5.650 | % | | | 12/1/41 | | | | 100,000 | | | | 124,954 | |
Gilead Sciences Inc., Senior Notes | | | 4.500 | % | | | 2/1/45 | | | | 500,000 | | | | 542,138 | |
Gilead Sciences Inc., Senior Notes | | | 4.750 | % | | | 3/1/46 | | | | 100,000 | | | | 113,514 | |
| | | | | | | | | | | | | | | | |
Total Biotechnology | | | | | | | | | | | | | | | 3,224,556 | |
| | | | | | | | | | | | | | | | |
Health Care Equipment & Supplies - 0.9% | | | | | | | | | | | | | | | | |
Abbott Laboratories, Senior Notes | | | 4.900 | % | | | 11/30/46 | | | | 200,000 | | | | 247,369 | |
Becton Dickinson and Co., Senior Notes | | | 4.685 | % | | | 12/15/44 | | | | 910,000 | | | | 1,017,661 | |
Becton Dickinson and Co., Senior Notes | | | 4.669 | % | | | 6/6/47 | | | | 450,000 | | | | 505,900 | |
Danaher Corp., Senior Notes | | | 2.800 | % | | | 12/10/51 | | | | 190,000 | | | | 168,402 | |
| | | | | | | | | | | | | | | | |
Total Health Care Equipment & Supplies | | | | | | | | | | | | | | | 1,939,332 | |
| | | | | | | | | | | | | | | | |
Health Care Providers & Services - 6.8% | | | | | | | | | | | | | | | | |
Anthem Inc., Senior Notes | | | 4.375 | % | | | 12/1/47 | | | | 230,000 | | | | 253,267 | |
Centene Corp., Senior Notes | | | 4.250 | % | | | 12/15/27 | | | | 160,000 | | | | 163,980 | |
Centene Corp., Senior Notes | | | 4.625 | % | | | 12/15/29 | | | | 560,000 | | | | 577,727 | |
Centene Corp., Senior Notes | | | 3.375 | % | | | 2/15/30 | | | | 790,000 | | | | 759,178 | |
Centene Corp., Senior Notes | | | 3.000 | % | | | 10/15/30 | | | | 120,000 | | | | 114,569 | |
Cigna Corp., Senior Notes | | | 4.125 | % | | | 11/15/25 | | | | 540,000 | | | | 569,297 | |
Cigna Corp., Senior Notes | | | 4.800 | % | | | 8/15/38 | | | | 540,000 | | | | 602,602 | |
Cigna Corp., Senior Notes | | | 3.200 | % | | | 3/15/40 | | | | 220,000 | | | | 203,610 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | 11 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Health Care Providers & Services - continued | | | | | | | | | | | | | | | | |
CommonSpirit Health, Secured Notes | | | 4.350 | % | | | 11/1/42 | | | | 60,000 | | | $ | 63,397 | |
CVS Health Corp., Senior Notes | | | 4.100 | % | | | 3/25/25 | | | | 1,460,000 | | | | 1,529,704 | |
CVS Health Corp., Senior Notes | | | 4.300 | % | | | 3/25/28 | | | | 1,610,000 | | | | 1,740,004 | |
CVS Health Corp., Senior Notes | | | 2.125 | % | | | 9/15/31 | | | | 310,000 | | | | 286,671 | |
CVS Health Corp., Senior Notes | | | 4.780 | % | | | 3/25/38 | | | | 2,060,000 | | | | 2,306,478 | |
CVS Health Corp., Senior Notes | | | 5.125 | % | | | 7/20/45 | | | | 540,000 | | | | 626,400 | |
CVS Health Corp., Senior Notes | | | 5.050 | % | | | 3/25/48 | | | | 930,000 | | | | 1,087,571 | |
Dartmouth-Hitchcock Health, Secured Bonds | | | 4.178 | % | | | 8/1/48 | | | | 150,000 | | | | 162,605 | |
HCA Inc., Senior Secured Notes | | | 4.125 | % | | | 6/15/29 | | | | 340,000 | | | | 356,745 | |
HCA Inc., Senior Secured Notes | | | 5.125 | % | | | 6/15/39 | | | | 170,000 | | | | 189,804 | |
HCA Inc., Senior Secured Notes | | | 5.500 | % | | | 6/15/47 | | | | 350,000 | | | | 410,300 | |
HCA Inc., Senior Secured Notes | | | 5.250 | % | | | 6/15/49 | | | | 530,000 | | | | 604,201 | |
Humana Inc., Senior Notes | | | 4.800 | % | | | 3/15/47 | | | | 360,000 | | | | 415,001 | |
Kaiser Foundation Hospitals, Senior Notes | | | 2.810 | % | | | 6/1/41 | | | | 120,000 | | | | 111,121 | |
Kaiser Foundation Hospitals, Senior Notes | | | 3.002 | % | | | 6/1/51 | | | | 120,000 | | | | 111,493 | |
Orlando Health Obligated Group, Senior Notes | | | 4.089 | % | | | 10/1/48 | | | | 270,000 | | | | 299,550 | |
UnitedHealth Group Inc., Senior Notes | | | 3.700 | % | | | 12/15/25 | | | | 250,000 | | | | 263,399 | |
UnitedHealth Group Inc., Senior Notes | | | 3.850 | % | | | 6/15/28 | | | | 540,000 | | | | 579,360 | |
UnitedHealth Group Inc., Senior Notes | | | 3.500 | % | | | 8/15/39 | | | | 220,000 | | | | 225,208 | |
UnitedHealth Group Inc., Senior Notes | | | 4.750 | % | | | 7/15/45 | | | | 220,000 | | | | 261,260 | |
| | | | | | | | | | | | | | | | |
Total Health Care Providers & Services | | | | | | | | | | | | | | | 14,874,502 | |
| | | | | | | | | | | | | | | | |
Pharmaceuticals - 2.3% | | | | | | | | | | | | | | | | |
Bausch Health Cos. Inc., Senior Notes | | | 5.000 | % | | | 1/30/28 | | | | 130,000 | | | | 109,097 | (a) |
Bausch Health Cos. Inc., Senior Notes | | | 5.250 | % | | | 1/30/30 | | | | 130,000 | | | | 105,031 | (a) |
Bristol-Myers Squibb Co., Senior Notes | | | 3.400 | % | | | 7/26/29 | | | | 1,530,000 | | | | 1,612,489 | |
Bristol-Myers Squibb Co., Senior Notes | | | 5.000 | % | | | 8/15/45 | | | | 400,000 | | | | 490,588 | |
Merck & Co. Inc., Senior Notes | | | 2.750 | % | | | 12/10/51 | | | | 280,000 | | | | 250,039 | |
Pfizer Inc., Senior Notes | | | 7.200 | % | | | 3/15/39 | | | | 560,000 | | | | 833,945 | |
Teva Pharmaceutical Finance Netherlands III BV, Senior Notes | | | 7.125 | % | | | 1/31/25 | | | | 200,000 | | | | 210,266 | |
Wyeth LLC, Senior Notes | | | 5.950 | % | | | 4/1/37 | | | | 1,100,000 | | | | 1,443,967 | |
Zoetis Inc., Senior Notes | | | 4.700 | % | | | 2/1/43 | | | | 40,000 | | | | 46,138 | |
| | | | | | | | | | | | | | | | |
Total Pharmaceuticals | | | | | | | | | | | | | | | 5,101,560 | |
| | | | | | | | | | | | | | | | |
TOTAL HEALTH CARE | | | | | | | | | | | | | | | 25,139,950 | |
| | | | | | | | | | | | | | | | |
INDUSTRIALS - 9.5% | | | | | | | | | | | | | | | | |
Aerospace & Defense - 4.6% | | | | | | | | | | | | | | | | |
Avolon Holdings Funding Ltd., Senior Notes | | | 5.125 | % | | | 10/1/23 | | | | 820,000 | | | | 849,372 | (a) |
Avolon Holdings Funding Ltd., Senior Notes | | | 4.250 | % | | | 4/15/26 | | | | 640,000 | | | | 658,092 | (a) |
Boeing Co., Senior Notes | | | 2.800 | % | | | 3/1/24 | | | | 500,000 | | | | 508,244 | |
See Notes to Schedule of Investments.
| | | | |
12 | | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Aerospace & Defense - continued | | | | | | | | | | | | | | | | |
Boeing Co., Senior Notes | | | 2.196 | % | | | 2/4/26 | | | | 590,000 | | | $ | 575,991 | |
Boeing Co., Senior Notes | | | 3.100 | % | | | 5/1/26 | | | | 2,190,000 | | | | 2,210,451 | |
Boeing Co., Senior Notes | | | 3.250 | % | | | 2/1/28 | | | | 580,000 | | | | 579,977 | |
Boeing Co., Senior Notes | | | 5.705 | % | | | 5/1/40 | | | | 330,000 | | | | 385,027 | |
Boeing Co., Senior Notes | | | 5.805 | % | | | 5/1/50 | | | | 220,000 | | | | 261,754 | |
Hexcel Corp., Senior Notes | | | 4.200 | % | | | 2/15/27 | | | | 1,000,000 | | | | 1,031,036 | |
Huntington Ingalls Industries Inc., Senior Notes | | | 3.483 | % | | | 12/1/27 | | | | 320,000 | | | | 328,723 | |
L3Harris Technologies Inc., Senior Notes | | | 4.854 | % | | | 4/27/35 | | | | 430,000 | | | | 491,363 | |
Lockheed Martin Corp., Senior Notes | | | 4.500 | % | | | 5/15/36 | | | | 50,000 | | | | 56,870 | |
Lockheed Martin Corp., Senior Notes | | | 4.700 | % | | | 5/15/46 | | | | 200,000 | | | | 236,816 | |
Northrop Grumman Corp., Senior Notes | | | 7.875 | % | | | 3/1/26 | | | | 1,390,000 | | | | 1,630,866 | (a) |
Raytheon Technologies Corp., Senior Notes | | | 4.625 | % | | | 11/16/48 | | | | 180,000 | | | | 208,392 | |
| | | | | | | | | | | | | | | | |
Total Aerospace & Defense | | | | | | | | | | | | | | | 10,012,974 | |
| | | | | | | | | | | | | | | | |
Air Freight & Logistics - 0.4% | | | | | | | | | | | | | | | | |
United Parcel Service Inc., Senior Notes | | | 6.200 | % | | | 1/15/38 | | | | 700,000 | | | | 949,367 | |
| | | | | | | | | | | | | | | | |
Airlines - 1.8% | | | | | | | | | | | | | | | | |
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes | | | 5.500 | % | | | 4/20/26 | | | | 170,000 | | | | 174,250 | (a) |
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes | | | 5.750 | % | | | 4/20/29 | | | | 170,000 | | | | 174,092 | (a) |
Delta Air Lines Inc., Senior Notes | | | 2.900 | % | | | 10/28/24 | | | | 840,000 | | | | 830,332 | |
Delta Air Lines Inc., Senior Notes | | | 3.750 | % | | | 10/28/29 | | | | 230,000 | | | | 219,121 | |
Delta Air Lines Inc., Senior Secured Notes | | | 7.000 | % | | | 5/1/25 | | | | 420,000 | | | | 466,854 | (a) |
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | | | 4.500 | % | | | 10/20/25 | | | | 290,000 | | | | 297,824 | (a) |
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes | | | 4.750 | % | | | 10/20/28 | | | | 210,000 | | | | 219,204 | (a) |
Southwest Airlines Co., Senior Notes | | | 4.750 | % | | | 5/4/23 | | | | 810,000 | | | | 837,563 | |
Southwest Airlines Co., Senior Notes | | | 5.125 | % | | | 6/15/27 | | | | 290,000 | | | | 321,755 | |
United Airlines Pass-Through Trust | | | 4.875 | % | | | 1/15/26 | | | | 276,480 | | | | 282,575 | |
| | | | | | | | | | | | | | | | |
Total Airlines | | | | | | | | | | | | | | | 3,823,570 | |
| | | | | | | | | | | | | | | | |
Building Products - 0.3% | | | | | | | | | | | | | | | | |
Carrier Global Corp., Senior Notes | | | 2.722 | % | | | 2/15/30 | | | | 570,000 | | | | 555,007 | |
Carrier Global Corp., Senior Notes | | | 3.577 | % | | | 4/5/50 | | | | 160,000 | | | | 152,477 | |
| | | | | | | | | | | | | | | | |
Total Building Products | | | | | | | | | | | | | | | 707,484 | |
| | | | | | | | | | | | | | | | |
Commercial Services & Supplies - 0.4% | | | | | | | | | | | | | | | | |
California Institute of Technology, Senior Notes | | | 3.650 | % | | | 9/1/2119 | | | | 180,000 | | | | 169,478 | |
Waste Connections Inc., Senior Notes | | | 4.250 | % | | | 12/1/28 | | | | 750,000 | | | | 813,456 | |
| | | | | | | | | | | | | | | | |
Total Commercial Services & Supplies | | | | | | | | | | | | | | | 982,934 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | 13 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Industrial Conglomerates - 0.3% | | | | | | | | | | | | | | | | |
General Electric Co., Senior Notes | | | 6.750 | % | | | 3/15/32 | | | | 330,000 | | | $ | 426,390 | |
General Electric Co., Senior Notes | | | 6.875 | % | | | 1/10/39 | | | | 143,000 | | | | 196,279 | |
| | | | | | | | | | | | | | | | |
Total Industrial Conglomerates | | | | | | | | | | | | | | | 622,669 | |
| | | | | | | | | | | | | | | | |
Machinery - 0.2% | | | | | | | | | | | | | | | | |
Caterpillar Inc., Senior Notes | | | 4.750 | % | | | 5/15/64 | | | | 360,000 | | | | 455,534 | |
| | | | | | | | | | | | | | | | |
Professional Services - 0.4% | | | | | | | | | | | | | | | | |
Equifax Inc., Senior Notes | | | 2.350 | % | | | 9/15/31 | | | | 970,000 | | | | 891,959 | |
| | | | | | | | | | | | | | | | |
Road & Rail - 0.3% | | | | | | | | | | | | | | | | |
Union Pacific Corp., Senior Notes | | | 4.375 | % | | | 11/15/65 | | | | 530,000 | | | | 592,231 | |
Union Pacific Corp., Senior Notes | | | 3.750 | % | | | 2/5/70 | | | | 30,000 | | | | 29,967 | |
| | | | | | | | | | | | | | | | |
Total Road & Rail | | | | | | | | | | | | | | | 622,198 | |
| | | | | | | | | | | | | | | | |
Trading Companies & Distributors - 0.8% | | | | | | | | | | | | | | | | |
Aircastle Ltd., Senior Notes | | | 5.250 | % | | | 8/11/25 | | | | 1,000,000 | | | | 1,067,954 | (a) |
Aviation Capital Group LLC, Senior Notes | | | 5.500 | % | | | 12/15/24 | | | | 250,000 | | | | 266,072 | (a) |
Aviation Capital Group LLC, Senior Notes | | | 4.125 | % | | | 8/1/25 | | | | 340,000 | | | | 347,012 | (a) |
| | | | | | | | | | | | | | | | |
Total Trading Companies & Distributors | | | | | | | | | | | | | | | 1,681,038 | |
| | | | | | | | | | | | | | | | |
TOTAL INDUSTRIALS | | | | | | | | | | | | | | | 20,749,727 | |
| | | | | | | | | | | | | | | | |
INFORMATION TECHNOLOGY - 3.5% | | | | | | | | | | | | | | | | |
Electronic Equipment, Instruments & Components - 0.3% | | | | | | | | | | | | | | | | |
TD SYNNEX Corp., Senior Notes | | | 1.250 | % | | | 8/9/24 | | | | 800,000 | | | | 777,007 | (a) |
| | | | | | | | | | | | | | | | |
IT Services - 0.3% | | | | | | | | | | | | | | | | |
International Business Machines Corp., Senior Notes | | | 3.500 | % | | | 5/15/29 | | | | 200,000 | | | | 209,897 | |
Kyndryl Holdings Inc., Senior Notes | | | 4.100 | % | | | 10/15/41 | | | | 450,000 | | | | 382,803 | (a) |
S&P Global Inc., Senior Notes | | | 3.250 | % | | | 12/1/49 | | | | 110,000 | | | | 106,528 | |
| | | | | | | | | | | | | | | | |
Total IT Services | | | | | | | | | | | | | | | 699,228 | |
| | | | | | | | | | | | | | | | |
Semiconductors & Semiconductor Equipment - 1.4% | | | | | | | | | | | | | | | | |
Broadcom Inc., Senior Notes | | | 4.150 | % | | | 11/15/30 | | | | 418,000 | | | | 438,947 | |
Broadcom Inc., Senior Notes | | | 4.300 | % | | | 11/15/32 | | | | 580,000 | | | | 611,779 | |
Broadcom Inc., Senior Notes | | | 3.187 | % | | | 11/15/36 | | | | 22,000 | | | | 20,453 | (a) |
Intel Corp., Senior Notes | | | 4.900 | % | | | 7/29/45 | | | | 220,000 | | | | 263,442 | |
Intel Corp., Senior Notes | | | 4.750 | % | | | 3/25/50 | | | | 20,000 | | | | 23,437 | |
Intel Corp., Senior Notes | | | 4.950 | % | | | 3/25/60 | | | | 100,000 | | | | 123,058 | |
Intel Corp., Senior Notes | | | 3.200 | % | | | 8/12/61 | | | | 180,000 | | | | 159,262 | |
Micron Technology Inc., Senior Notes | | | 2.703 | % | | | 4/15/32 | | | | 210,000 | | | | 196,704 | |
Micron Technology Inc., Senior Notes | | | 3.366 | % | | | 11/1/41 | | | | 40,000 | | | | 36,084 | |
NVIDIA Corp., Senior Notes | | | 3.500 | % | | | 4/1/40 | | | | 100,000 | | | | 102,887 | |
NVIDIA Corp., Senior Notes | | | 3.500 | % | | | 4/1/50 | | | | 300,000 | | | | 309,690 | |
NVIDIA Corp., Senior Notes | | | 3.700 | % | | | 4/1/60 | | | | 120,000 | | | | 125,665 | |
See Notes to Schedule of Investments.
| | | | |
14 | | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Semiconductors & Semiconductor Equipment - continued | | | | | | | | | | | | | | | | |
QUALCOMM Inc., Senior Notes | | | 4.300 | % | | | 5/20/47 | | | | 70,000 | | | $ | 79,218 | |
Texas Instruments Inc., Senior Notes | | | 3.875 | % | | | 3/15/39 | | | | 430,000 | | | | 469,094 | |
| | | | | | | | | | | | | | | | |
Total Semiconductors & Semiconductor Equipment | | | | | | | | | | | | | | | 2,959,720 | |
| | | | | | | | | | | | | | | | |
Software - 1.3% | | | | | | | | | | | | | | | | |
Microsoft Corp., Senior Notes | | | 4.250 | % | | | 2/6/47 | | | | 1,520,000 | | | | 1,793,690 | |
Oracle Corp., Senior Notes | | | 3.950 | % | | | 3/25/51 | | | | 490,000 | | | | 449,558 | |
Oracle Corp., Senior Notes | | | 4.100 | % | | | 3/25/61 | | | | 580,000 | | | | 526,944 | |
| | | | | | | | | | | | | | | | |
Total Software | | | | | | | | | | | | | | | 2,770,192 | |
| | | | | | | | | | | | | | | | |
Technology Hardware, Storage & Peripherals - 0.2% | | | | | | | | | | | | | | | | |
Dell International LLC/EMC Corp., Senior Notes | | | 8.100 | % | | | 7/15/36 | | | | 200,000 | | | | 277,365 | |
Dell International LLC/EMC Corp., Senior Notes | | | 8.350 | % | | | 7/15/46 | | | | 60,000 | | | | 91,173 | |
| | | | | | | | | | | | | | | | |
Total Technology Hardware, Storage & Peripherals | | | | | | | | | | | | | | | 368,538 | |
| | | | | | | | | | | | | | | | |
TOTAL INFORMATION TECHNOLOGY | | | | | | | | | | | | | | | 7,574,685 | |
| | | | | | | | | | | | | | | | |
MATERIALS - 1.9% | | | | | | | | | | | | | | | | |
Chemicals - 0.3% | | | | | | | | | | | | | | | | |
Ecolab Inc., Senior Notes | | | 4.800 | % | | | 3/24/30 | | | | 130,000 | | | | 148,990 | |
OCP SA, Senior Notes | | | 3.750 | % | | | 6/23/31 | | | | 200,000 | | | | 176,658 | (a) |
Sociedad Quimica y Minera de Chile SA, Senior Notes | | | 3.500 | % | | | 9/10/51 | | | | 410,000 | | | | 350,743 | (a) |
| | | | | | | | | | | | | | | | |
Total Chemicals | | | | | | | | | | | | | | | 676,391 | |
| | | | | | | | | | | | | | | | |
Metals & Mining - 1.5% | | | | | | | | | | | | | | | | |
ArcelorMittal SA, Senior Notes | | | 4.550 | % | | | 3/11/26 | | | | 330,000 | | | | 346,842 | |
Barrick Gold Corp., Senior Notes | | | 5.250 | % | | | 4/1/42 | | | | 350,000 | | | | 410,707 | |
First Quantum Minerals Ltd., Senior Notes | | | 7.250 | % | | | 4/1/23 | | | | 400,000 | | | | 400,900 | (a) |
First Quantum Minerals Ltd., Senior Notes | | | 6.875 | % | | | 10/15/27 | | | | 400,000 | | | | 425,552 | (a) |
Glencore Funding LLC, Senior Notes | | | 4.125 | % | | | 3/12/24 | | | | 300,000 | | | | 310,341 | (a) |
Glencore Funding LLC, Senior Notes | | | 4.000 | % | | | 3/27/27 | | | | 590,000 | | | | 612,091 | (a) |
Glencore Funding LLC, Senior Notes | | | 3.375 | % | | | 9/23/51 | | | | 100,000 | | | | 85,643 | (a) |
Yamana Gold Inc., Senior Notes | | | 4.625 | % | | | 12/15/27 | | | | 550,000 | | | | 576,525 | |
| | | | | | | | | | | | | | | | |
Total Metals & Mining | | | | | | | | | | | | | | | 3,168,601 | |
| | | | | | | | | | | | | | | | |
Paper & Forest Products - 0.1% | | | | | | | | | | | | | | | | |
Suzano Austria GmbH, Senior Notes | | | 3.125 | % | | | 1/15/32 | | | | 350,000 | | | | 311,166 | |
| | | | | | | | | | | | | | | | |
TOTAL MATERIALS | | | | | | | | | | | | | | | 4,156,158 | |
| | | | | | | | | | | | | | | | |
REAL ESTATE - 1.4% | | | | | | | | | | | | | | | | |
Equity Real Estate Investment Trusts (REITs) - 1.4% | | | | | | | | | | | | | | | | |
Diversified Healthcare Trust, Senior Notes | | | 4.750 | % | | | 5/1/24 | | | | 190,000 | | | | 186,421 | |
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes | | | 5.000 | % | | | 10/15/27 | | | | 400,000 | | | | 409,646 | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | 15 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Equity Real Estate Investment Trusts (REITs) - continued | | | | | | | | | | | | | | | | |
MPT Operating Partnership LP/MPT Finance Corp., Senior Notes | | | 4.625 | % | | | 8/1/29 | | | | 240,000 | | | $ | 241,321 | |
Ventas Realty LP, Senior Notes | | | 4.400 | % | | | 1/15/29 | | | | 540,000 | | | | 587,587 | |
Vornado Realty LP, Senior Notes | | | 3.500 | % | | | 1/15/25 | | | | 1,000,000 | | | | 1,028,104 | |
Welltower Inc., Senior Notes | | | 4.125 | % | | | 3/15/29 | | | | 510,000 | | | | 546,626 | |
| | | | | | | | | | | | | | | | |
TOTAL REAL ESTATE | | | | | | | | | | | | | | | 2,999,705 | |
| | | | | | | | | | | | | | | | |
UTILITIES - 4.6% | | | | | | | | | | | | | | | | |
Electric Utilities - 4.6% | | | | | | | | | | | | | | | | |
Berkshire Hathaway Energy Co., Senior Notes | | | 6.125 | % | | | 4/1/36 | | | | 1,000,000 | | | | 1,268,399 | |
CenterPoint Energy Houston Electric LLC, Senior Secured Bonds | | | 4.500 | % | | | 4/1/44 | | | | 530,000 | | | | 605,583 | |
Comision Federal de Electricidad, Senior Notes | | | 3.348 | % | | | 2/9/31 | | | | 200,000 | | | | 178,355 | (a) |
Comision Federal de Electricidad, Senior Notes | | | 4.677 | % | | | 2/9/51 | | | | 200,000 | | | | 165,831 | (a) |
Commonwealth Edison Co., First Mortgage Bonds | | | 6.450 | % | | | 1/15/38 | | | | 600,000 | | | | 806,597 | |
Edison International, Junior Subordinated Notes (5.000% to 3/15/27 then 5 year Treasury Constant Maturity Rate + 3.901%) | | | 5.000 | % | | | 12/15/26 | | | | 160,000 | | | | 153,598 | (b)(c) |
Edison International, Junior Subordinated Notes (5.375% to 3/15/26 then 5 year Treasury Constant Maturity Rate + 4.698%) | | | 5.375 | % | | | 3/15/26 | | | | 230,000 | | | | 227,412 | (b)(c) |
Exelon Corp., Senior Notes | | | 4.050 | % | | | 4/15/30 | | | | 190,000 | | | | 201,887 | |
FirstEnergy Corp., Senior Notes | | | 4.400 | % | | | 7/15/27 | | | | 480,000 | | | | 497,926 | |
FirstEnergy Corp., Senior Notes | | | 7.375 | % | | | 11/15/31 | | | | 3,040,000 | | | | 3,810,762 | |
Jersey Central Power & Light Co., Senior Notes | | | 4.300 | % | | | 1/15/26 | | | | 170,000 | | | | 178,931 | (a) |
MidAmerican Energy Co., First Mortgage Bonds | | | 3.650 | % | | | 4/15/29 | | | | 240,000 | | | | 256,071 | |
Pacific Gas and Electric Co., Secured Bonds | | | 4.250 | % | | | 8/1/23 | | | | 160,000 | | | | 163,376 | |
Pacific Gas and Electric Co., Secured Bonds | | | 2.500 | % | | | 2/1/31 | | | | 130,000 | | | | 115,870 | |
Pacific Gas and Electric Co., Secured Bonds | | | 3.300 | % | | | 8/1/40 | | | | 30,000 | | | | 25,320 | |
Pacific Gas and Electric Co., Secured Bonds | | | 4.950 | % | | | 7/1/50 | | | | 190,000 | | | | 188,520 | |
Southern California Edison Co., First Mortgage Bonds | | | 4.125 | % | | | 3/1/48 | | | | 480,000 | | | | 485,073 | |
Virginia Electric & Power Co., Senior Notes | | | 8.875 | % | | | 11/15/38 | | | | 500,000 | | | | 813,467 | |
| | | | | | | | | | | | | | | | |
TOTAL UTILITIES | | | | | | | | | | | | | | | 10,142,978 | |
| | | | | | | | | | | | | | | | |
TOTAL CORPORATE BONDS & NOTES (Cost - $187,530,703) | | | | | | | | | | | | | | | 203,194,146 | |
| | | | | | | | | | | | | | | | |
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 1.6% | | | | | | | | | | | | | | | | |
U.S. Government Obligations - 1.6% | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds | | | 1.625 | % | | | 11/15/50 | | | | 70,000 | | | | 61,354 | |
U.S. Treasury Bonds | | | 1.875 | % | | | 2/15/51 | | | | 820,000 | | | | 763,625 | |
U.S. Treasury Bonds | | | 2.375 | % | | | 5/15/51 | | | | 390,000 | | | | 406,773 | |
See Notes to Schedule of Investments.
| | | | |
16 | | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
U.S. Government Obligations - continued | | | | | | | | | | | | | | | | |
U.S. Treasury Bonds | | | 2.000 | % | | | 8/15/51 | | | | 30,000 | | | $ | 28,786 | |
U.S. Treasury Bonds | | | 1.875 | % | | | 11/15/51 | | | | 250,000 | | | | 233,320 | |
U.S. Treasury Bonds | | | 2.250 | % | | | 2/15/52 | | | | 1,210,000 | | | | 1,232,971 | |
U.S. Treasury Notes | | | 1.250 | % | | | 11/30/26 | | | | 710,000 | | | | 694,122 | |
U.S. Treasury Notes | | | 1.375 | % | | | 11/15/31 | | | | 60,000 | | | | 57,530 | |
| | | | | | | | | | | | | | | | |
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (Cost - $3,464,935) | | | | | | | | 3,478,481 | |
| | | | | | | | | | | | | | | | |
SOVEREIGN BONDS - 1.2% | | | | | | | | | | | | | | | | |
Argentina - 0.5% | | | | | | | | | | | | | | | | |
Argentine Republic Government International Bond, Senior Notes | | | 1.000 | % | | | 7/9/29 | | | | 11,447 | | | | 3,805 | |
Argentine Republic Government International Bond, Senior Notes, Step bond (1.125% to 7/9/22 then 1.500%) | | | 1.125 | % | | | 7/9/35 | | | | 182,200 | | | | 54,159 | |
Provincia de Buenos Aires, Senior Notes, Step bond (3.900% to 9/1/22 then 5.250%) | | | 3.900 | % | | | 9/1/37 | | | | 2,141,885 | | | | 912,979 | (a) |
| | | | | | | | | | | | | | | | |
Total Argentina | | | | | | | | | | | | | | | 970,943 | |
| | | | | | | | | | | | | | | | |
Ghana - 0.1% | | | | | | | | | | | | | | | | |
Ghana Government International Bond, Senior Notes | | | 8.950 | % | | | 3/26/51 | | | | 300,000 | | | | 196,282 | (a) |
| | | | | | | | | | | | | | | | |
Mexico - 0.4% | | | | | | | | | | | | | | | | |
Mexican Bonos, Senior Notes | | | 8.500 | % | | | 11/18/38 | | | | 8,780,000 | MXN | | | 445,070 | |
Mexico Government International Bond, Senior Notes | | | 3.500 | % | | | 2/12/34 | | | | 250,000 | | | | 235,752 | |
Mexico Government International Bond, Senior Notes | | | 4.280 | % | | | 8/14/41 | | | | 230,000 | | | | 216,474 | |
| | | | | | | | | | | | | | | | |
Total Mexico | | | | | | | | | | | | | | | 897,296 | |
| | | | | | | | | | | | | | | | |
Qatar - 0.2% | | | | | | | | | | | | | | | | |
Qatar Government International Bond, Senior Notes | | | 4.817 | % | | | 3/14/49 | | | | 410,000 | | | | 498,945 | (a) |
| | | | | | | | | | | | | | | | |
TOTAL SOVEREIGN BONDS (Cost - $2,751,432) | | | | | | | | | | | | | | | 2,563,466 | |
| | | | | | | | | | | | | | | | |
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 | | | | 641,026 | (a) |
| | | | | | | | | | | | | | | | |
Florida - 0.1% | | | | | | | | | | | | | | | | |
Sumter Landing, FL, Community Development District Recreational Revenue, Taxable Community Development District | | | 4.172 | % | | | 10/1/47 | | | | 260,000 | | | | 286,953 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | 17 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
(Percentages shown based on Fund net assets)
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
| | | | | | | | | | | | | | | | |
SECURITY | | RATE | | | MATURITY DATE | | | FACE AMOUNT† | | | VALUE | |
Illinois - 0.3% | | | | | | | | | | | | | | | | |
Illinois State, GO, Taxable, Build America Bonds, Series 2010-3 | | | 6.725 | % | | | 4/1/35 | | | | 530,000 | | | $ | 627,128 | |
| | | | | | | | | | | | | | | | |
TOTAL MUNICIPAL BONDS (Cost - $1,349,162) | | | | | | | | 1,555,107 | |
| | | | | | | | | | | | | | | | |
SENIOR LOANS - 0.5% | | | | | | | | | | | | | | | | |
CONSUMER DISCRETIONARY - 0.2% | | | | | | | | | | | | | | | | |
Specialty Retail - 0.2% | | | | | | | | | | | | | | | | |
Great Outdoors Group LLC, Term Loan B2 (the greater of 1 mo. USD LIBOR or 0.750% + 3.750%) | | | 4.500 | % | | | 3/6/28 | | | | 356,407 | | | | 355,159 | (c)(e)(f) |
| | | | | | | | | | | | | | | | |
HEALTH CARE - 0.2% | | | | | | | | | | | | | | | | |
Pharmaceuticals - 0.2% | | | | | | | | | | | | | | | | |
Horizon Therapeutics USA Inc., Incremental Term Loan B2 (the greater of 1 mo. USD LIBOR or 0.500% + 1.750%) | | | 2.250 | % | | | 3/15/28 | | | | 337,450 | | | | 333,443 | (c)(e)(f) |
| | | | | | | | | | | | | | | | |
INDUSTRIALS - 0.1% | | | | | | | | | | | | | | | | |
Airlines - 0.1% | | | | | | | | | | | | | | | | |
Delta Air Lines Inc., Initial Term Loan (the greater of 3 mo. USD LIBOR or 1.000% + 3.750%) | | | 4.750 | % | | | 10/20/27 | | | | 280,000 | | | | 293,423 | (c)(e)(f) |
| | | | | | | | | | | | | | | | |
MATERIALS - 0.0%†† | | | | | | | | | | | | | | | | |
Paper & Forest Products - 0.0%†† | | | | | | | | | | | | | | | | |
Schweitzer-Mauduit International Inc., Term Loan B (the greater of 1 mo. USD LIBOR or 0.750% + 3.750%) | | | 4.500 | % | | | 4/20/28 | | | | 89,550 | | | | 87,759 | (c)(e)(f)(g) |
| | | | | | | | | | | | | | | | |
TOTAL SENIOR LOANS (Cost - $1,058,200) | | | | | | | | 1,069,784 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | SHARES | | | | |
PREFERRED STOCKS - 0.1% | | | | | | | | | | | | | | | | |
FINANCIALS - 0.1% | | | | | | | | | | | | | | | | |
Insurance - 0.1% | | | | | | | | | | | | | | | | |
Delphi Financial Group Inc. (3 mo. USD LIBOR + 3.190%) (Cost - $233,032) | | | 3.696 | % | | | | | | | 9,325 | | | | 214,475 | (c) |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost - $196,387,464) | | | | | | | | 212,075,459 | |
| | | | | | | | | | | | | | | | |
SHORT-TERM INVESTMENTS - 1.9% | | | | | | | | | | | | | | | | |
Western Asset Premier Institutional Government Reserves, Premium Shares (Cost - $4,085,164) | | | 0.010 | % | | | | | | | 4,085,164 | | | | 4,085,164 | (h) |
| | | | | | | | | | | | | | | | |
TOTAL INVESTMENTS - 99.1% (Cost - $200,472,628) | | | | | | | | | | | | 216,160,623 | |
Other Assets in Excess of Liabilities - 0.9% | | | | | | | | | | | | | | | 1,951,592 | |
| | | | | | | | | | | | | | | | |
TOTAL NET ASSETS - 100.0% | | | | | | | | | | | | | | $ | 218,112,215 | |
| | | | | | | | | | | | | | | | |
See Notes to Schedule of Investments.
| | | | |
18 | | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
† | Face amount denominated in U.S. dollars, unless otherwise noted. |
†† | Represents less than 0.1%. |
(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) | Interest rates disclosed represent the effective rates on senior loans. Ranges in interest rates are attributable to multiple contracts under the same loan. |
(f) | 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. |
(g) | Security is valued using significant unobservable inputs (Note 1). |
(h) | In this instance, as defined in the Investment Company Act of 1940, an “Affiliated Company” represents Fund ownership of at least 5% of the outstanding voting securities of an issuer, or a company which is under common ownership or control with the Fund. At February 28, 2022, the total market value of investments in Affiliated Companies was $4,085,164 and the cost was $4,085,164 (Note 2). |
Abbreviation(s) used in this schedule:
| | |
GO | | — General Obligation |
GTD | | — Guaranteed |
ICE | | — Intercontinental Exchange |
JSC | | — Joint Stock Company |
LIBOR | | — London Interbank Offered Rate |
MXN | | — Mexican Peso |
PIK | | — Payment-In-Kind |
SOFR | | — Secured Overnight Financing Rate |
USD | | — United States Dollar |
See Notes to Schedule of Investments.
| | | | |
| | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 Quarterly Report | | 19 |
WESTERN ASSET INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC.
| | |
Schedule of investments (unaudited) (cont’d) | | February 28, 2022 |
At February 28, 2022, 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 | | | 54 | | | | 6/22 | | | $ | 11,597,179 | | | $ | 11,622,234 | | | $ | 25,055 | |
U.S. Treasury 5-Year Notes | | | 9 | | | | 6/22 | | | | 1,058,836 | | | | 1,064,531 | | | | 5,695 | |
U.S. Treasury 10-Year Notes | | | 49 | | | | 6/22 | | | | 6,184,421 | | | | 6,244,438 | | | | 60,017 | |
U.S. Treasury Ultra Long-Term Bonds | | | 15 | | | | 6/22 | | | | 2,756,037 | | | | 2,789,063 | | | | 33,026 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 123,793 | |
| | | | | | | | | | | | | | | | | | | | |
Contracts to Sell: | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Long-Term Bonds | | | 100 | | | | 6/22 | | | | 15,495,322 | | | | 15,668,750 | | | | (173,428 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net unrealized depreciation on open futures contracts | | | | | | | | | | | | | | | | | | $ | (49,635 | ) |
| | | | | | | | | | | | | | | | | | | | |
At February 28, 2022, the Fund had the following open forward foreign currency contracts:
| | | | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Depreciation | |
EUR | | | 1,463,000 | | | | USD | | | | 1,655,010 | | | Goldman Sachs Group Inc. | | | 4/19/22 | | | $ | (11,382 | ) |
Abbreviation(s) used in this table:
| | |
EUR | | — Euro |
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.
| | | | |
20 | | Western Asset Investment Grade Defined Opportunity Trust Inc. 2022 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.
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 typically 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 Global Fund Valuation Committee (the “Valuation Committee”). The Valuation Committee, pursuant to the policies adopted by the
Notes to Schedule of Investments (unaudited) (cont’d)
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.
Notes to Schedule of Investments (unaudited) (cont’d)
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 | | | — | | | $ | 203,194,146 | | | | — | | | $ | 203,194,146 | |
U.S. Government & Agency Obligations | | | — | | | | 3,478,481 | | | | — | | | | 3,478,481 | |
Sovereign Bonds | | | — | | | | 2,563,466 | | | | — | | | | 2,563,466 | |
Municipal Bonds | | | — | | | | 1,555,107 | | | | — | | | | 1,555,107 | |
Senior Loans: | | | | | | | | | | | | | | | | |
Materials | | | — | | | | — | | | $ | 87,759 | | | | 87,759 | |
Other Senior Loans | | | — | | | | 982,025 | | | | — | | | | 982,025 | |
Preferred Stocks | | | — | | | | 214,475 | | | | — | | | | 214,475 | |
| | | | | | | | | | | | | | | | |
Total Long-Term Investments | | | — | | | | 211,987,700 | | | | 87,759 | | | | 212,075,459 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments† | | $ | 4,085,164 | | | | — | | | | — | | | | 4,085,164 | |
| | | | | | | | | | | | | | | | |
Total Investments | | $ | 4,085,164 | | | $ | 211,987,700 | | | $ | 87,759 | | | $ | 216,160,623 | |
| | | | | | | | | | | | | | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Futures Contracts†† | | $ | 123,793 | | | | — | | | | — | | | $ | 123,793 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 4,208,957 | | | $ | 211,987,700 | | | $ | 87,759 | | | $ | 216,284,416 | |
| | | | | | | | | | | | | | | | |
Notes to Schedule of Investments (unaudited) (cont’d)
| | | | | | | | | | | | | | | | |
LIABILITIES | |
DESCRIPTION | | QUOTED PRICES (LEVEL 1) | | | OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) | | | SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) | | | TOTAL | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Futures Contracts†† | | $ | 173,428 | | | | — | | | | — | | | $ | 173,428 | |
Forward Foreign Currency Contracts†† | | | — | | | $ | 11,382 | | | | — | | | | 11,382 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 173,428 | | | $ | 11,382 | | | | — | | | $ | 184,810 | |
| | | | | | | | | | | | | | | | |
† | See Schedule of Investments for additional detailed categorizations. |
†† | Reflects the unrealized appreciation (depreciation) of the instruments. |
2. Transactions with affiliated company
As defined by the 1940 Act, an affiliated company is one in which the Fund owns 5% or more of the outstanding voting securities, or a company which is under common ownership or control with the Fund. The following company was considered an affiliated company for all or some portion of the period ended February 28, 2022. The following transactions were effected in such company for the period ended February 28, 2022.
| | | | | | | | | | | | | | | | | | | | |
| | Affiliate Value at November 30, 2021 | | | Purchased | | | Sold | |
| | Cost | | | Shares | | | Cost | | | Shares | |
Western Asset Premier Institutional Government Reserves, Premium Shares | | $ | 2,391,042 | | | $ | 7,050,485 | | | | 7,050,485 | | | $ | 5,356,363 | | | | 5,356,363 | |
| | | | | |
(cont’d) | | Realized Gain (Loss) | | | Dividend Income | | | | | | Net Increase (Decrease) in Unrealized Appreciation (Depreciation) | | | Affiliate Value at February 28, 2022 | |
Western Asset Premier Institutional Government Reserves, Premium Shares | | | — | | | $ | 76 | | | | | | | | — | | | $ | 4,085,164 | |