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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-22294

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

(Exact name of registrant as specified in charter)

 

 

620 Eighth Avenue, 47th Floor, New York, NY 10018

(Address of principal executive offices) (Zip code)

 

 

George P. Hoyt

Franklin Templeton

100 First Stamford Place

Stamford, CT 06902

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (888) 777-0102

Date of fiscal year end: November 30

Date of reporting period: November 30, 2021

 

 

 


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ITEM 1.

REPORT TO STOCKHOLDERS.

The Annual Report to Stockholders is filed herewith.


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LOGO

 

Annual Report   November 30, 2021

WESTERN ASSET

INVESTMENT GRADE DEFINED OPPORTUNITY TRUST INC. (IGI)

 

 

 

 

LOGO

 

INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE


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What’s inside      
Letter from the chairman     III  
Fund overview     1  
Fund at a glance     7  
Fund performance     8  
Schedule of investments     10  
Statement of assets and liabilities     30  
Statement of operations     31  
Statements of changes in net assets     32  
Financial highlights     33  
Notes to financial statements     34  
Report of independent registered public accounting firm     48  
Additional information     49  
Annual chief executive officer and principal financial officer certifications     55  
Other shareholder communications regarding accounting matters     56  
Summary of information regarding the Fund     57  
Dividend reinvestment plan     72  
Important tax information     74  

Fund objectives

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.

 

II    Western Asset Investment Grade Defined Opportunity Trust Inc.


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Letter from the chairman

 

LOGO

 

Dear Shareholder,

We are pleased to provide the annual report of Western Asset Investment Grade Defined Opportunity Trust Inc. for the twelve-month reporting period ended November 30, 2021. Please read on for a detailed look at prevailing economic and market conditions during the Fund’s reporting period and to learn how those conditions have affected Fund performance.

As always, we remain committed to providing you with excellent service and a full spectrum of investment choices. We also remain committed to supplementing the support you receive from your financial advisor. One way we accomplish this is through our website, www.franklintempleton.com. Here you can gain immediate access to market and investment information, including:

 

 

Fund prices and performance,

 

 

Market insights and commentaries from our portfolio managers, and

 

 

A host of educational resources.

We look forward to helping you meet your financial goals.

Sincerely,

 

LOGO

Jane Trust, CFA

Chairman, President and Chief Executive Officer

December 31, 2021

 

Western Asset Investment Grade Defined Opportunity Trust Inc.   III


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Fund overview

 

Q. What is the Fund’s investment strategy?

A. 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 Fund may invest up to 20% of its net assets in corporate fixed income securities of below investment grade quality (commonly known as “high yield” or “junk” bonds) at the time of investment and other securities, including obligations of the U.S. government, its agencies or instrumentalities, common stocks, warrants and depositary receipts. While the Fund may invest up to 20% of its net assets in below investment grade securities, the Fund will, under normal market conditions, maintain a portfolio with an overall dollar-weighted average of investment grade credit quality. The Fund may invest up to 20% of its net assets in securities of foreign issuers located anywhere in the world, including issuers located in emerging market countries. Additionally, the Fund may invest up to 20% of its net assets in non-U.S. dollar denominated securities.

The Fund may invest in derivative instruments, such as options contracts, futures contracts, options on futures contracts, indexed securities, credit default swaps and other swap agreements, provided that the Fund’s exposure to derivative instruments, as measured by the total notional amount of all such instruments, will not exceed 20% of its net assets.

In purchasing securities and other investments for the Fund, we may take full advantage of the entire range of maturities and durations offered by corporate fixed income securities and may adjust the average maturity or duration of the Fund’s portfolio from time to time, depending on our assessment of the relative yields available on securities of different maturities and durations and our expectations of future changes in interest rates.

The Fund may take on leveraging risk by utilizing certain management techniques, whereby it will segregate liquid assets, enter into offsetting transactions or own positions covering its obligations. To the extent the Fund covers its commitment under such a portfolio management technique, such instrument will not be considered a senior security for the purposes of the Investment Company Act of 1940. However, as a fundamental policy, the Fund will not leverage its capital structure by issuing senior securities such as preferred shares or debt instruments.

At Western Asset Management Company, LLC (“Western Asset”), the Fund’s subadviser, we utilize a fixed income team approach, with decisions derived from interaction among various investment management sector specialists. The sector teams are comprised of Western Asset’s senior portfolio management personnel, research analysts and an in-house economist. Under this team approach, management of client fixed income portfolios will reflect a consensus of interdisciplinary views within the Western Asset organization. The

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       1  


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Fund overview (cont’d)

 

individuals responsible for development of investment strategy, day-to-day portfolio management, oversight and coordination of the Fund are S. Kenneth Leech, Michael C. Buchanan, Ryan K. Brist, Blanton Keh, Kurt Halvorson and Dan Alexander.

Q. What were the overall market conditions during the Fund’s reporting period?

A. Fixed income markets experienced periods of volatility and, overall, declined over the twelve-month reporting period ended November 30, 2021. Volatility was driven by a number of factors, including the repercussions from the COVID-19 pandemic, sharply falling and then rising global growth, inflation concerns, rising interest rates and shifting central bank monetary policy. Most spread sectors (non-Treasuries) outperformed similar duration Treasuries. This was driven by monetary policy accommodation from the Federal Reserve Board (the “Fed”) and the rollout of several COVID-19 vaccines which triggered increased investor risk appetite.

Short-term U.S. Treasury yields moved sharply higher as economic conditions improved. The yield for the two-year Treasury note began the reporting period at 0.16% and ended the reporting period at 0.52%. The low of 0.09% occurred on February 5, 2021, and the high of 0.63% took place on November 22, 2021. Long-term U.S. Treasury yields also moved higher, as positive economic data triggered inflationary concerns and the Fed began removing its monetary policy accommodations. The yield for the ten-year Treasury began the reporting period at 0.84% (the low for the period) and ended the period at 1.43%. The high of 1.74% took place on March 19 and March 31, 2021.

All told, the Bloomberg U.S. Aggregate Indexi returned -1.15% for the twelve months ended November 30, 2021. Comparatively, the Bloomberg U.S. Credit Indexii returned -0.55% over the same period and the Bloomberg U.S. Corporate High Yield — 2% Issuer Cap Indexiii returned 5.27%.

Q. How did we respond to these changing market conditions?

A. We reduced the Fund’s duration during the reporting period. We pared the Fund’s high-yield bond allocation, mainly in the financials sector. In contrast, we increased the Fund’s exposures to bank loans and emerging markets.

During the reporting period, U.S. Treasury futures were used to manage the Fund’s duration and yield curve positioning. They contributed to performance. Corporate investment grade index swaps, which were used for credit hedging purposes, modestly contributed to results. Currency forwards, which were used to manage the Fund’s currency exposure, detracted from performance.

Performance review

For the twelve months ended November 30, 2021, Western Asset Investment Grade Defined Opportunity Trust Inc. returned 0.83% based on its net asset value (“NAV”)iv and 6.70% based on its New York Stock Exchange (“NYSE”) market price per share. The Fund’s unmanaged benchmark, the Bloomberg U.S. Credit Index, returned -0.55% for the same

 

2     Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report


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period. The Lipper Corporate Debt BBB-Rated Closed-End Funds Category Averagev returned 0.55% over the same time frame. Please note that Lipper performance returns are based on each fund’s NAV.

The Fund has a practice of seeking to maintain a relatively stable level of distributions to shareholders. This practice has no impact on the Fund’s investment strategy and may reduce the Fund’s NAV. The Fund’s manager believes the practice helps maintain the Fund’s competitiveness and may benefit the Fund’s market price and premium/discount to the Fund’s NAV.

During the twelve-month period, the Fund made distributions to shareholders totaling $0.80 per share.* The performance table shows the Fund’s twelve-month total return based on its NAV and market price as of November 30, 2021. Past performance is no guarantee of future results.

 

Performance Snapshot as of November 30, 2021       
Price Per Share   

12-Month

Total Return**

 
$ 21.47 (NAV)      0.83 %† 
$ 22.03 (Market Price)      6.70 %‡ 

All figures represent past performance and are not a guarantee of future results.

** Total returns are based on changes in NAV or market price, respectively. Returns reflect the deduction of all Fund expenses, including management fees, operating expenses, and other Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors may pay on distributions or the sale of shares.

† Total return assumes the reinvestment of all distributions at NAV.

‡ Total return assumes the reinvestment of all distributions in additional shares in accordance with the Fund’s Dividend Reinvestment Plan.

Q. What were the leading contributors to performance?

A. The largest contributor to the Fund’s relative performance during the reporting period was its quality biases. In particular, an overweight to lower-quality securities contributed to results. They outperformed higher quality investment grade bonds as investors looked to generate incremental yield. From a sector positioning perspective, overweights to energy and financials were positive for returns.

Looking at security selection, the Fund’s European bank exposure, led by an overweight to Barclays, added to performance. Within the energy sector, an overweight to Western Midstream Partners was beneficial, as it was supported by rising oil prices. Finally, within the transportation sector, an overweight to Delta Airlines contributed to performance, as it rebounded off its COVID-19 pandemic low.

 

*

For the tax character of distributions paid during the fiscal year ended November 30, 2021, please refer to page 46 of this report.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       3  


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Fund overview (cont’d)

 

Q. What were the leading detractors from performance?

A. The largest detractor from the Fund’s relative results during the reporting period was its tactical duration positioning. Elsewhere, the Fund’s sector positioning, led by an underweight to real estate investment trusts, was a headwind for performance.

Looking for additional information?

The Fund is traded under the symbol “IGI” and its closing market price is available in most newspapers under the NYSE listings. The daily NAV is available online under the symbol “XIGIX” on most financial websites. Barron’s and The Wall Street Journal’s Monday edition both carry closed-end fund tables that provide additional information. In addition, the Fund issues a quarterly press release that can be found on most major financial websites as well as www.franklintempleton.com.

In a continuing effort to provide information concerning the Fund, shareholders may call 1-888-777-0102 (toll free), Monday through Friday from 8:00 a.m. to 5:30 p.m. Eastern Time, for the Fund’s current NAV, market price and other information.

 

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Thank you for your investment in Western Asset Investment Grade Defined Opportunity Trust Inc. As always, we appreciate that you have chosen us to manage your assets and we remain focused on achieving the Fund’s investment goals.

Sincerely,

Western Asset Management Company, LLC

December 16, 2021

RISKS: The Fund is a non-diversified, limited term, closed-end management investment company designed primarily as a long-term investment and not as a trading vehicle. The Fund is not intended to be a complete investment program and, due to the uncertainty inherent in all investments, there can be no assurance that the Fund will achieve its investment objectives. The Fund’s common stock is traded on the New York Stock Exchange. Similar to stocks, the Fund’s share price will fluctuate with market conditions and, at the time of sale, may be worth more or less than the original investment. Shares of closed-end funds often trade at a discount to their net asset value. Because the Fund is non-diversified, it may be more susceptible to economic, political or regulatory events than a diversified fund. The Fund’s investments are subject to a number of risks, including credit risk, inflation risk and interest rate risk. As interest rates rise, bond prices fall, reducing the value of the Fund’s holdings. The Fund may invest in lower-rated high-yield bonds or “junk bonds”, which are subject to greater liquidity and credit risk (risk of default) than higher-rated obligations. The Fund may use derivatives, such as options and futures, which can be illiquid, may disproportionately increase losses and have a potentially large impact on Fund performance. The Fund may invest in securities or engage in transactions that have the economic effects of leverage which can increase the risk and volatility of the Fund. The Fund may also invest in money market funds, including funds affiliated with the Fund’s manager and subadvisers. For more information on Fund risks, see Summary of information regarding the Fund — Principal Risk Factors in this report.

Portfolio holdings and breakdowns are as of November 30, 2021 and are subject to change and may not be representative of the portfolio managers’ current or future investments. Please refer to pages 10 through 29 for a list and percentage breakdown of the Fund’s holdings.

The mention of sector breakdowns is for informational purposes only and should not be construed as a recommendation to purchase or sell any securities. The information provided regarding such sectors is not a sufficient basis upon which to make an investment decision. Investors seeking financial advice regarding the appropriateness of investing in any securities or investment strategies discussed should consult their financial professional. The Fund’s top five sector holdings (as a percentage of net assets) as of November 30, 2021 were: financials (29.7%), energy (14.6%), health care (12.1%), communication services (10.1%) and industrials (9.7%). The Fund’s portfolio composition is subject to change at any time.

All investments are subject to risk including the possible loss of principal. Past performance is no guarantee of future results. All index performance reflects no deduction for fees, expenses or taxes. Please note that an investor cannot invest directly in an index.

The information provided is not intended to be a forecast of future events, a guarantee of future results or investment advice. Views expressed may differ from those of the firm as a whole.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       5  


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Fund overview (cont’d)

 

    

i

The Bloomberg U.S. Aggregate Index is a broad-based bond index comprised of government, corporate, mortgage- and asset-backed issues, rated investment grade or higher, and having at least one year to maturity.

 

ii

The Bloomberg U.S. Credit Index is an index composed of corporate and non-corporate debt issues that are investment grade (rated Baa3/BBB or higher).

 

iii

The Bloomberg U.S. Corporate High Yield — 2% Issuer Cap Index is an index of the 2% Issuer Cap component of the Bloomberg U.S. Corporate High Yield Index, which covers the U.S. dollar-denominated, non-investment grade, fixed-rate, taxable corporate bond market.

 

iv

Net asset value (“NAV”) is calculated by subtracting total liabilities, including liabilities associated with financial leverage (if any), from the closing value of all securities held by the Fund (plus all other assets) and dividing the result (total net assets) by the total number of the common shares outstanding. The NAV fluctuates with changes in the market prices of securities in which the Fund has invested. However, the price at which an investor may buy or sell shares of the Fund is the Fund’s market price as determined by supply of and demand for the Fund’s shares.

 

v

Lipper, Inc., a wholly-owned subsidiary of Refinitiv, provides independent insight on global collective investments. Returns are based on the twelve-month period ended November 30, 2021, including the reinvestment of all distributions, including returns of capital, if any, calculated among the 6 funds in the Fund’s Lipper category.

 

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Fund at a glance (unaudited)

 

Investment breakdown (%) as a percent of total investments

 

 

LOGO

 

The bar graph above represents the composition of the Fund’s investments as of November 30, 2021 and November 30, 2020 and does not include derivatives, such as futures contracts, forward foreign currency contracts and swap contracts. The Fund is actively managed. As a result, the composition of the Fund’s investments is subject to change at any time.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report

      7  


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Fund performance (unaudited)

 

Net Asset Value       
Average annual total returns1        
Twelve Months Ended 11/30/21      0.83
Five Years Ended 11/30/21      5.92  
Ten Years Ended 11/30/21      5.94  
Cumulative total returns1        
11/30/11 through 11/30/21      78.10

 

Market Price       
Average annual total returns2        
Twelve Months Ended 11/30/21      6.70
Five Years Ended 11/30/21      6.71  
Ten Years Ended 11/30/21      5.85  
Cumulative total returns2        
11/30/11 through 11/30/21      76.57

All figures represent past performance and are not a guarantee of future results. Returns reflect the deduction of all Fund expenses, including management fees, operating expenses, and other Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors may pay on distributions or the sale of shares.

 

1

Assumes the reinvestment of all distributions, including returns of capital, if any, at net asset value.

 

2

Assumes the reinvestment of all distributions, including returns of capital, if any, in additional shares in accordance with the Fund’s Dividend Reinvestment Plan.

 

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Historical performance

Value of $10,000 invested in

Western Asset Investment Grade Defined Opportunity Trust Inc. vs. Bloomberg U.S. Credit Index† — November 2011 - November 2021

 

LOGO

All figures represent past performance and are not a guarantee of future results. Returns reflect the deduction of all Fund expenses, including management fees, operating expenses, and other Fund expenses. Returns do not reflect the deduction of brokerage commissions or taxes that investors may pay on distributions or the sale of shares.

 

Hypothetical illustration of $10,000 invested in Western Asset Investment Grade Defined Opportunity Trust Inc. on November 30, 2011, assuming the reinvestment of all distributions, including returns of capital, if any, at net asset value and also assuming the reinvestment of all distributions, including returns of capital, if any, in additional shares in accordance with the Fund’s Dividend Reinvestment Plan through November 30, 2021. The hypothetical illustration also assumes a $10,000 investment in the Bloomberg U.S. Credit Index. The Bloomberg U.S. Credit Index (the “Index”) is an index composed of corporate and non-corporate debt issues that are investment grade. The Index is unmanaged. Please note that an investor cannot invest directly in an index.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       9  


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Schedule of investments

November 30, 2021

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate    

Maturity

Date

   

Face

Amount†

    Value  
Corporate Bonds & Notes — 95.2%                                
Communication Services — 10.1%                                

Diversified Telecommunication Services — 3.1%

                               

AT&T Inc., Senior Notes

    4.500     5/15/35       370,000     $ 427,222  

AT&T Inc., Senior Notes

    4.900     6/15/42       250,000       304,604  

AT&T Inc., Senior Notes

    3.100     2/1/43       320,000       309,552  

AT&T Inc., Senior Notes

    4.800     6/15/44       290,000       349,367  

AT&T Inc., Senior Notes

    4.500     3/9/48       422,000       499,205  

AT&T Inc., Senior Notes

    3.500     9/15/53       90,000       91,075  

AT&T Inc., Senior Notes

    3.800     12/1/57       150,000       156,935  

AT&T Inc., Senior Notes

    3.500     2/1/61       260,000       256,952  

British Telecommunications PLC, Senior Notes

    9.625     12/15/30       1,550,000       2,312,115  

Corning Inc., Senior Notes

    3.900     11/15/49       210,000       243,484  

Telefonica Emisiones SA, Senior Notes

    7.045     6/20/36       140,000       201,175  

Verizon Communications Inc., Senior Notes

    4.329     9/21/28       218,000       248,533  

Verizon Communications Inc., Senior Notes

    5.500     3/16/47       1,130,000       1,615,169  

Verizon Communications Inc., Senior Notes

    3.700     3/22/61       100,000       110,695  

Total Diversified Telecommunication Services

                            7,126,083  

Entertainment — 1.5%

                               

Walt Disney Co., Senior Notes

    6.650     11/15/37       2,400,000       3,590,236  

Media — 4.6%

                               

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

    4.500     5/1/32       910,000       907,557  

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

    6.384     10/23/35       180,000       233,589  

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

    3.500     3/1/42       120,000       116,360  

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

    6.484     10/23/45       420,000       575,001  

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

    5.375     5/1/47       560,000       672,995  

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

    3.950     6/30/62       120,000       116,783  

Comcast Corp., Senior Notes

    6.400     5/15/38       2,500,000       3,617,249  

DISH DBS Corp., Senior Secured Notes

    5.750     12/1/28       250,000       246,801  (a) 

Fox Corp., Senior Notes

    5.476     1/25/39       810,000       1,048,648  

 

See Notes to Financial Statements.

 

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Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Media — continued

                               

Time Warner Cable LLC, Senior Secured Notes

    6.550     5/1/37       370,000     $ 496,212  

Time Warner Cable LLC, Senior Secured Notes

    7.300     7/1/38       330,000       474,119  

Time Warner Cable LLC, Senior Secured Notes

    6.750     6/15/39       20,000       27,462  

Time Warner Cable LLC, Senior Secured Notes

    5.500     9/1/41       200,000       245,434  

Time Warner Entertainment Co. LP, Senior Secured Notes

    8.375     3/15/23       1,170,000       1,282,321  

Time Warner Entertainment Co. LP, Senior Secured Notes

    8.375     7/15/33       370,000       546,074  

ViacomCBS Inc., Senior Notes

    5.250     4/1/44       80,000       101,082  

Total Media

                            10,707,687  

Wireless Telecommunication Services — 0.9%

                               

Sprint Corp., Senior Notes

    7.875     9/15/23       120,000       132,004  

Telefonica Europe BV, Senior Notes

    8.250     9/15/30       390,000       556,339  

T-Mobile USA Inc., Senior Notes

    2.625     2/15/29       170,000       164,269  

T-Mobile USA Inc., Senior Notes

    2.875     2/15/31       120,000       116,326  

T-Mobile USA Inc., Senior Secured Notes

    4.375     4/15/40       100,000       113,692  

T-Mobile USA Inc., Senior Secured Notes

    3.000     2/15/41       100,000       95,565  

T-Mobile USA Inc., Senior Secured Notes

    4.500     4/15/50       330,000       386,558  

Vodafone Group PLC, Senior Notes

    5.250     5/30/48       320,000       416,912  

Vodafone Group PLC, Senior Notes

    4.250     9/17/50       20,000       23,078  

Total Wireless Telecommunication Services

                            2,004,743  

Total Communication Services

                            23,428,749  
Consumer Discretionary — 4.6%                                

Automobiles — 1.2%

                               

Ford Motor Co., Senior Notes

    3.250     2/12/32       470,000       470,771  

Ford Motor Credit Co. LLC, Senior Notes

    2.700     8/10/26       630,000       626,220  

General Motors Co., Senior Notes

    5.400     10/2/23       200,000       215,534  

General Motors Co., Senior Notes

    6.125     10/1/25       300,000       346,309  

General Motors Co., Senior Notes

    6.600     4/1/36       290,000       390,110  

General Motors Co., Senior Notes

    6.750     4/1/46       580,000       840,453  

Total Automobiles

                            2,889,397  

Hotels, Restaurants & Leisure — 1.9%

                               

Genting New York LLC/GENNY Capital Inc., Senior Notes

    3.300     2/15/26       740,000       732,024  (a) 

Marriott International Inc., Senior Notes

    3.600     4/15/24       320,000       336,315  

McDonald’s Corp., Senior Notes

    4.700     12/9/35       260,000       321,925  

McDonald’s Corp., Senior Notes

    4.875     12/9/45       370,000       480,756  

Melco Resorts Finance Ltd., Senior Notes

    5.375     12/4/29       590,000       577,017  (a) 

Sands China Ltd., Senior Notes

    5.125     8/8/25       690,000       726,404  

 

See Notes to Financial Statements.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       11  


Table of Contents

Schedule of investments (cont’d)

November 30, 2021

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Hotels, Restaurants & Leisure — continued

                               

Sands China Ltd., Senior Notes

    5.400     8/8/28       200,000     $ 215,100  

Sands China Ltd., Senior Notes

    4.375     6/18/30       220,000       227,186  

Sands China Ltd., Senior Notes

    3.250     8/8/31       510,000       485,051  (a) 

Wynn Macau Ltd., Senior Notes

    5.500     10/1/27       370,000       343,406  (a) 

Total Hotels, Restaurants & Leisure

                            4,445,184  

Household Durables — 0.5%

                               

Lennar Corp., Senior Notes

    5.000     6/15/27       390,000       445,507  

MDC Holdings Inc., Senior Notes

    2.500     1/15/31       300,000       289,494  

MDC Holdings Inc., Senior Notes

    6.000     1/15/43       310,000       390,606  

Total Household Durables

                            1,125,607  

Internet & Direct Marketing Retail — 0.2%

                               

Amazon.com Inc., Senior Notes

    3.875     8/22/37       410,000       483,012  

Specialty Retail — 0.8%

                               

Home Depot Inc., Senior Notes

    3.900     12/6/28       930,000       1,053,372  

Home Depot Inc., Senior Notes

    3.300     4/15/40       100,000       108,443  

Home Depot Inc., Senior Notes

    3.350     4/15/50       80,000       89,106  

Lithia Motors Inc., Senior Notes

    4.625     12/15/27       170,000       177,567  (a) 

Lithia Motors Inc., Senior Notes

    3.875     6/1/29       300,000       304,074  (a) 

Lowe’s Cos. Inc., Senior Notes

    2.800     9/15/41       140,000       137,137  

Total Specialty Retail

                            1,869,699  

Total Consumer Discretionary

                            10,812,899  
Consumer Staples — 3.0%                                

Beverages — 1.2%

                               

Anheuser-Busch InBev Worldwide Inc., Senior Notes

    4.600     4/15/48       1,730,000       2,123,042  

Coca-Cola Co., Senior Notes

    4.125     3/25/40       290,000       350,876  

Coca-Cola Co., Senior Notes

    4.200     3/25/50       160,000       207,129  

Constellation Brands Inc., Senior Notes

    4.250     5/1/23       100,000       104,722  

Total Beverages

                            2,785,769  

Food Products — 0.2%

                               

Kraft Heinz Foods Co., Senior Notes

    5.000     6/4/42       160,000       195,620  

Mars Inc., Senior Notes

    3.200     4/1/30       220,000       236,488  (a) 

Total Food Products

                            432,108  

Tobacco — 1.6%

                               

Altria Group Inc., Senior Notes

    3.800     2/14/24       290,000       306,740  

Altria Group Inc., Senior Notes

    4.400     2/14/26       500,000       549,122  

Altria Group Inc., Senior Notes

    4.800     2/14/29       1,360,000       1,541,361  

Altria Group Inc., Senior Notes

    3.875     9/16/46       80,000       78,422  

 

See Notes to Financial Statements.

 

12     Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report


Table of Contents

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Tobacco — continued

                               

Reynolds American Inc., Senior Notes

    8.125     5/1/40       470,000     $ 694,216  

Reynolds American Inc., Senior Notes

    7.000     8/4/41       510,000       686,590  

Total Tobacco

                            3,856,451  

Total Consumer Staples

                            7,074,328  
Energy — 14.6%                                

Energy Equipment & Services — 0.5%

                               

Halliburton Co., Senior Notes

    2.920     3/1/30       60,000       61,466  

Halliburton Co., Senior Notes

    5.000     11/15/45       930,000       1,139,787  

Total Energy Equipment & Services

                            1,201,253  

Oil, Gas & Consumable Fuels — 14.1%

                               

Apache Corp., Senior Notes

    6.000     1/15/37       84,000       101,606  

Apache Corp., Senior Notes

    5.100     9/1/40       60,000       65,187  

Apache Corp., Senior Notes

    5.250     2/1/42       160,000       177,767  

Apache Corp., Senior Notes

    4.750     4/15/43       670,000       715,292  

BP Capital Markets America Inc., Senior Notes

    3.000     2/24/50       710,000       695,662  

Cameron LNG LLC, Senior Secured Notes

    3.302     1/15/35       40,000       42,294  (a) 

Cameron LNG LLC, Senior Secured Notes

    3.701     1/15/39       50,000       54,954  (a) 

Cheniere Energy Partners LP, Senior Notes

    3.250     1/31/32       360,000       350,266  (a) 

Chevron USA Inc., Senior Notes

    5.250     11/15/43       240,000       335,073  

Chevron USA Inc., Senior Notes

    2.343     8/12/50       210,000       195,066  

ConocoPhillips, Senior Notes

    3.750     10/1/27       110,000       120,279  (a) 

ConocoPhillips, Senior Notes

    6.500     2/1/39       1,500,000       2,194,376  

Continental Resources Inc., Senior Notes

    4.500     4/15/23       510,000       527,294  

Continental Resources Inc., Senior Notes

    2.268     11/15/26       130,000       128,595  (a) 

Continental Resources Inc., Senior Notes

    4.375     1/15/28       430,000       463,696  

Continental Resources Inc., Senior Notes

    2.875     4/1/32       180,000       174,603  (a) 

Continental Resources Inc., Senior Notes

    4.900     6/1/44       140,000       155,532  

Coterra Energy Inc., Senior Notes

    4.375     6/1/24       960,000       1,020,880  (a) 

Coterra Energy Inc., Senior Notes

    3.900     5/15/27       250,000       271,316  (a) 

Devon Energy Corp., Senior Notes

    5.850     12/15/25       560,000       642,439  

Devon Energy Corp., Senior Notes

    4.500     1/15/30       116,000       124,652  (a) 

Devon Energy Corp., Senior Notes

    5.600     7/15/41       20,000       25,207  

Devon Energy Corp., Senior Notes

    5.000     6/15/45       210,000       253,646  

Ecopetrol SA, Senior Notes

    5.875     5/28/45       404,000       377,352  

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       337,013  (b)(c) 

 

See Notes to Financial Statements.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       13  


Table of Contents

Schedule of investments (cont’d)

November 30, 2021

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

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     $ 901,560  (b)(c) 

Energy Transfer LP, Senior Notes

    4.200     9/15/23       510,000       534,642  

Energy Transfer LP, Senior Notes

    3.900     7/15/26       630,000       677,956  

Energy Transfer LP, Senior Notes

    5.250     4/15/29       20,000       22,898  

Energy Transfer LP, Senior Notes

    6.625     10/15/36       20,000       25,835  

Energy Transfer LP, Senior Notes

    5.800     6/15/38       60,000       73,094  

Enterprise Products Operating LLC, Senior Notes

    4.250     2/15/48       400,000       453,277  

Enterprise Products Operating LLC, Senior Notes

    3.300     2/15/53       230,000       230,039  

Enterprise Products Operating LLC, Senior Notes

    3.950     1/31/60       210,000       226,644  

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       580,010  (c) 

EOG Resources Inc., Senior Notes

    4.375     4/15/30       370,000       426,238  

Exxon Mobil Corp., Senior Notes

    3.482     3/19/30       320,000       351,626  

Exxon Mobil Corp., Senior Notes

    2.995     8/16/39       190,000       196,166  

Exxon Mobil Corp., Senior Notes

    4.227     3/19/40       220,000       262,532  

Florida Gas Transmission Co. LLC, Senior Notes

    2.300     10/1/31       820,000       808,904  (a) 

KazMunayGas National Co. JSC, Senior Notes

    3.500     4/14/33       240,000       244,753  (a) 

Kinder Morgan Inc., Senior Notes

    7.800     8/1/31       900,000       1,262,276  

MPLX LP, Senior Notes

    4.500     4/15/38       600,000       666,883  

Occidental Petroleum Corp., Senior Notes

    2.700     8/15/22       1,150,000       1,162,776  

Occidental Petroleum Corp., Senior Notes

    2.700     2/15/23       10,000       10,069  

Occidental Petroleum Corp., Senior Notes

    7.875     9/15/31       710,000       926,688  

Occidental Petroleum Corp., Senior Notes

    4.400     4/15/46       10,000       9,851  

Parsley Energy LLC/Parsley Finance Corp., Senior Notes

    5.625     10/15/27       180,000       188,857  (a) 

Parsley Energy LLC/Parsley Finance Corp., Senior Notes

    4.125     2/15/28       330,000       337,945  (a) 

Petrobras Global Finance BV, Senior Notes

    7.375     1/17/27       530,000       610,056  

Petrobras Global Finance BV, Senior Notes

    5.500     6/10/51       160,000       142,242  

Petroleos Mexicanos, Senior Notes

    6.875     8/4/26       730,000       775,508  

Petroleos Mexicanos, Senior Notes

    6.625     6/15/35       460,000       422,673  

Pioneer Natural Resources Co., Senior Notes

    2.150     1/15/31       480,000       461,558  

Range Resources Corp., Senior Notes

    9.250     2/1/26       730,000       785,214  

Southern Natural Gas Co. LLC, Senior Notes

    8.000     3/1/32       1,500,000       2,108,576  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

    7.850     2/1/26       760,000       932,994  

 

See Notes to Financial Statements.

 

14     Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report


Table of Contents

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security    Rate      Maturity
Date
     Face
Amount†
     Value  

Oil, Gas & Consumable Fuels — continued

                                   

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     7.250      12/1/26        180,000      $ 221,384  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     3.250      5/15/30        230,000        242,876  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     5.400      8/15/41        10,000        12,925  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     4.450      8/1/42        860,000        1,009,097  

Transcontinental Gas Pipe Line Co. LLC, Senior Notes

     3.950      5/15/50        30,000        34,033  

Western Midstream Operating LP, Senior Notes

     4.650      7/1/26        1,560,000        1,668,412  

Western Midstream Operating LP, Senior Notes

     4.750      8/15/28        890,000        970,954  

Western Midstream Operating LP, Senior Notes

     5.300      2/1/30        140,000        150,892  

Western Midstream Operating LP, Senior Notes

     5.450      4/1/44        120,000        138,916  

Western Midstream Operating LP, Senior Notes

     6.500      2/1/50        430,000        491,978  

Williams Cos. Inc., Senior Notes

     4.550      6/24/24        1,130,000        1,214,630  

Williams Cos. Inc., Senior Notes

     7.750      6/15/31        62,000        85,316  

Williams Cos. Inc., Senior Notes

     8.750      3/15/32        148,000        222,226  

Williams Cos. Inc., Senior Notes

     3.500      10/15/51        70,000        71,308  

Total Oil, Gas & Consumable Fuels

                                32,905,334  

Total Energy

                                34,106,587  
Financials — 29.6%                                    

Banks — 17.8%

                                   

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        214,027  (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        428,800  (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        229,500  (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        636,135  (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        933,350  (b)(c) 

 

See Notes to Financial Statements.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       15  


Table of Contents

Schedule of investments (cont’d)

November 30, 2021

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Banks — continued

                               

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     $ 434,600  (b)(c) 

Bank of America Corp., Senior Notes

    5.875     2/7/42       1,340,000       1,911,812  

Bank of America Corp., Senior Notes (2.572% to 10/20/31 then SOFR + 1.210%)

    2.572     10/20/32       430,000       432,149  (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       115,262  (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       305,619  (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       774,546  (c) 

Bank of America Corp., Subordinated Notes

    7.750     5/14/38       670,000       1,051,895  

Barclays Bank PLC, Subordinated Notes

    7.625     11/21/22       430,000       454,812  

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       1,780,865  (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       344,000  (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       568,920  (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       1,723,186  (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       1,237,654  (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       1,412,438  (b)(c) 

Citigroup Inc., Senior Notes

    8.125     7/15/39       752,000       1,287,902  

Citigroup Inc., Senior Notes

    4.650     7/23/48       420,000       552,053  

Citigroup Inc., Senior Notes (2.904% to 11/3/41 then SOFR + 1.379%)

    2.904     11/3/42       470,000       468,150  (c) 

Citigroup Inc., Subordinated Notes

    4.600     3/9/26       490,000       541,795  

Citigroup Inc., Subordinated Notes

    4.125     7/25/28       1,990,000       2,187,664  

Citigroup Inc., Subordinated Notes

    6.675     9/13/43       630,000       960,128  

Cooperatieve Rabobank UA, Senior Notes

    5.750     12/1/43       250,000       353,828  

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       1,617,243  (a)(b)(c) 

Danske Bank A/S, Senior Notes

    5.000     1/12/22       740,000       743,680  (a) 

 

See Notes to Financial Statements.

 

16     Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report


Table of Contents

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Banks — continued

                               

Danske Bank A/S, Senior Notes

    5.375     1/12/24       530,000     $ 572,934  (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       852,000  (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       504,677  (b)(c) 

HSBC Holdings PLC, Senior Notes

    4.950     3/31/30       200,000       235,469  

Intesa Sanpaolo SpA, Senior Notes

    4.700     9/23/49       200,000       242,647  (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       200,757  (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       444,663  (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       721,962  (b)(c) 

JPMorgan Chase & Co., Senior Notes

    6.400     5/15/38       1,500,000       2,178,002  

JPMorgan Chase & Co., Subordinated Notes

    5.625     8/16/43       760,000       1,067,090  

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       247,206  (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       674,123  (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       534,213  (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       1,033,004  (b)(c) 

NatWest Group PLC, Subordinated Notes

    6.100     6/10/23       840,000       900,252  

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       440,136  (c) 

NatWest Markets NV, Subordinated Notes

    7.750     5/15/23       820,000       895,549  

PNC Bank NA, Subordinated Notes

    4.050     7/26/28       650,000       735,284  

UniCredit SpA, Senior Notes

    6.572     1/14/22       570,000       573,697  (a) 

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       1,922,164  (a)(c) 

 

See Notes to Financial Statements.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       17  


Table of Contents

Schedule of investments (cont’d)

November 30, 2021

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Banks — continued

                               

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     $ 761,892  (c) 

Wells Fargo & Co., Senior Notes (5.013% to 4/4/50 then SOFR + 4.502%)

    5.013     4/4/51       410,000       567,954  (c) 

Wells Fargo & Co., Subordinated Notes

    4.400     6/14/46       420,000       503,641  

Wells Fargo & Co., Subordinated Notes

    4.750     12/7/46       530,000       671,118  

Westpac Banking Corp., Subordinated Notes

    4.421     7/24/39       170,000       201,959  

Total Banks

                            41,384,406  

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       495,625  (b)(c) 

Charles Schwab Corp., Senior Notes

    3.850     5/21/25       230,000       249,152  

CI Financial Corp., Senior Notes

    4.100     6/15/51       250,000       278,189  

CME Group Inc., Senior Notes

    5.300     9/15/43       750,000       1,056,412  

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       1,689,050  (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       440,211  (a)(c) 

Credit Suisse USA Inc., Senior Notes

    7.125     7/15/32       70,000       100,086  

Goldman Sachs Group Inc., Senior Notes

    6.250     2/1/41       2,550,000       3,706,868  

Goldman Sachs Group Inc., Senior Notes (2.650% to 10/21/31 then SOFR + 1.264%)

    2.650     10/21/32       630,000       631,955  (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       1,111,793  (c) 

Goldman Sachs Group Inc., Subordinated Notes

    5.150     5/22/45       70,000       91,690  

KKR Group Finance Co. III LLC, Senior Notes

    5.125     6/1/44       1,300,000       1,684,271  (a) 

KKR Group Finance Co. VI LLC, Senior Notes

    3.750     7/1/29       110,000       121,976  (a) 

Morgan Stanley, Senior Notes

    6.375     7/24/42       140,000       213,224  

Morgan Stanley, Senior Notes (2.511% to 10/20/31 then SOFR + 1.200%)

    2.511     10/20/32       370,000       371,522  (c) 

Raymond James Financial Inc., Senior Notes

    4.650     4/1/30       120,000       139,916  

Raymond James Financial Inc., Senior Notes

    4.950     7/15/46       150,000       197,283  

UBS AG Stamford, CT, Subordinated Notes

    7.625     8/17/22       330,000       344,743  

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       988,637  (a)(b)(c) 

Total Capital Markets

                            13,912,603  

 

See Notes to Financial Statements.

 

18     Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report


Table of Contents

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Consumer Finance — 0.2%

                               

Navient Corp., Senior Notes

    6.125     3/25/24       480,000     $ 504,141  

Diversified Financial Services — 1.4%

                               

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

    4.500     9/15/23       530,000       558,510  

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

    3.850     10/29/41       530,000       547,580  

Carlyle Finance LLC, Senior Notes

    5.650     9/15/48       170,000       238,980  (a) 

Carlyle Finance Subsidiary LLC, Senior Notes

    3.500     9/19/29       230,000       249,559  (a) 

Carlyle Holdings II Finance LLC, Senior Notes

    5.625     3/30/43       360,000       476,016  (a) 

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

    6.500     9/15/24       429,525       417,269  (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%)

    3.460     12/21/65       800,000       658,000  (a)(c) 

Total Diversified Financial Services

                            3,145,914  

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       197,060  (a)(b)(c) 

American International Group Inc., Senior Notes

    4.750     4/1/48       80,000       105,025  

Americo Life Inc., Senior Notes

    3.450     4/15/31       120,000       117,492  (a) 

Arthur J Gallagher & Co., Senior Notes

    3.500     5/20/51       120,000       129,475  

Everest Reinsurance Holdings Inc., Senior Notes

    3.500     10/15/50       220,000       234,552  

Fidelity & Guaranty Life Holdings Inc., Senior Notes

    5.500     5/1/25       360,000       404,860  (a) 

Liberty Mutual Insurance Co., Subordinated Notes

    7.875     10/15/26       840,000       1,056,442  (a) 

Massachusetts Mutual Life Insurance Co., Subordinated Notes

    3.375     4/15/50       130,000       139,649  (a) 

Massachusetts Mutual Life Insurance Co., Subordinated Notes

    4.900     4/1/77       420,000       562,785  (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       1,241,922  (b)(c) 

Nationwide Mutual Insurance Co., Subordinated Notes

    9.375     8/15/39       520,000       918,090  (a) 

New York Life Insurance Co., Subordinated Notes

    4.450     5/15/69       140,000       184,374  (a) 

Northwestern Mutual Life Insurance Co., Subordinated Notes

    3.625     9/30/59       180,000       203,072  (a) 

Teachers Insurance & Annuity Association of America, Subordinated Notes

    6.850     12/16/39       1,050,000       1,581,698  (a) 

 

See Notes to Financial Statements.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       19  


Table of Contents

Schedule of investments (cont’d)

November 30, 2021

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Insurance — continued

                               

Teachers Insurance & Annuity Association of America, Subordinated Notes

    4.900     9/15/44       660,000     $ 870,162  (a) 

Teachers Insurance & Annuity Association of America, Subordinated Notes

    3.300     5/15/50       330,000       348,327  (a) 

Travelers Cos. Inc., Senior Notes

    6.250     6/15/37       400,000       581,688  

Total Insurance

                            8,876,673  

Mortgage Real Estate Investment Trusts (REITs) — 0.2%

                               

AFC Gamma Inc., Senior Notes

    5.750     5/1/27       550,000       544,649  (a) 

Thrifts & Mortgage Finance — 0.2%

                               

Rocket Mortgage LLC/Rocket Mortgage

                               

Co-Issuer Inc., Senior Notes

    2.875     10/15/26       230,000       224,574  (a) 

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc., Senior Notes

    4.000     10/15/33       220,000       215,981  (a) 

Total Thrifts & Mortgage Finance

                            440,555  

Total Financials

                            68,808,941  
Health Care — 12.0%                                

Biotechnology — 1.5%

                               

AbbVie Inc., Senior Notes

    3.200     11/21/29       990,000       1,051,864  

AbbVie Inc., Senior Notes

    4.550     3/15/35       200,000       239,143  

AbbVie Inc., Senior Notes

    4.050     11/21/39       1,160,000       1,329,150  

Gilead Sciences Inc., Senior Notes

    5.650     12/1/41       100,000       138,088  

Gilead Sciences Inc., Senior Notes

    4.500     2/1/45       500,000       615,143  

Gilead Sciences Inc., Senior Notes

    4.750     3/1/46       100,000       127,203  

Total Biotechnology

                            3,500,591  

Health Care Equipment & Supplies — 0.9%

                               

Abbott Laboratories, Senior Notes

    4.900     11/30/46       200,000       278,781  

Becton Dickinson and Co., Senior Notes

    4.685     12/15/44       910,000       1,138,214  

Becton Dickinson and Co., Senior Notes

    4.669     6/6/47       450,000       570,921  

Total Health Care Equipment & Supplies

                            1,987,916  

Health Care Providers & Services — 7.4%

                               

Anthem Inc., Senior Notes

    4.375     12/1/47       230,000       284,289  

Centene Corp., Senior Notes

    4.250     12/15/27       160,000       166,193  

Centene Corp., Senior Notes

    4.625     12/15/29       560,000       600,020  

Centene Corp., Senior Notes

    3.375     2/15/30       790,000       796,666  

Centene Corp., Senior Notes

    3.000     10/15/30       120,000       119,962  

Cigna Corp., Senior Notes

    4.125     11/15/25       540,000       589,914  

Cigna Corp., Senior Notes

    4.800     8/15/38       540,000       662,845  

Cigna Corp., Senior Notes

    3.200     3/15/40       220,000       226,564  

CommonSpirit Health, Secured Notes

    4.350     11/1/42       60,000       70,125  

 

See Notes to Financial Statements.

 

20     Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report


Table of Contents

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Health Care Providers & Services — continued

                               

CVS Health Corp., Senior Notes

    4.100     3/25/25       1,460,000     $ 1,579,015  

CVS Health Corp., Senior Notes

    4.300     3/25/28       1,610,000       1,814,638  

CVS Health Corp., Senior Notes

    2.125     9/15/31       310,000       302,279  

CVS Health Corp., Senior Notes

    4.780     3/25/38       2,060,000       2,511,782  

CVS Health Corp., Senior Notes

    5.125     7/20/45       540,000       707,461  

CVS Health Corp., Senior Notes

    5.050     3/25/48       930,000       1,230,577  

Dartmouth-Hitchcock Health, Secured Bonds

    4.178     8/1/48       150,000       183,544  

HCA Inc., Senior Secured Notes

    4.125     6/15/29       340,000       374,093  

HCA Inc., Senior Secured Notes

    5.125     6/15/39       170,000       210,022  

HCA Inc., Senior Secured Notes

    5.500     6/15/47       350,000       461,693  

HCA Inc., Senior Secured Notes

    5.250     6/15/49       530,000       688,162  

Humana Inc., Senior Notes

    4.800     3/15/47       360,000       465,876  

Kaiser Foundation Hospitals, Senior Notes

    2.810     6/1/41       120,000       122,758  

Kaiser Foundation Hospitals, Senior Notes

    3.002     6/1/51       130,000       137,331  

Magellan Health Inc., Senior Notes

    4.900     9/22/24       1,070,000       1,152,401  

Orlando Health Obligated Group, Senior Notes

    4.089     10/1/48       270,000       336,055  

UnitedHealth Group Inc., Senior Notes

    3.700     12/15/25       250,000       273,108  

UnitedHealth Group Inc., Senior Notes

    3.850     6/15/28       540,000       603,671  

UnitedHealth Group Inc., Senior Notes

    3.500     8/15/39       220,000       242,569  

UnitedHealth Group Inc., Senior Notes

    4.750     7/15/45       220,000       290,502  

Total Health Care Providers & Services

                            17,204,115  

Pharmaceuticals — 2.2%

                               

Bausch Health Cos. Inc., Senior Notes

    5.000     1/30/28       130,000       115,933  (a) 

Bausch Health Cos. Inc., Senior Notes

    5.250     1/30/30       130,000       111,699  (a) 

Bristol-Myers Squibb Co., Senior Notes

    3.400     7/26/29       1,530,000       1,677,736  

Bristol-Myers Squibb Co., Senior Notes

    5.000     8/15/45       400,000       538,926  

Pfizer Inc., Senior Notes

    7.200     3/15/39       560,000       908,453  

Teva Pharmaceutical Finance Netherlands III BV, Senior Notes

    7.125     1/31/25       200,000       213,944  

Wyeth LLC, Senior Notes

    5.950     4/1/37       1,100,000       1,563,000  

Zoetis Inc., Senior Notes

    4.700     2/1/43       40,000       51,112  

Total Pharmaceuticals

                            5,180,803  

Total Health Care

                            27,873,425  
Industrials — 9.4%                                

Aerospace & Defense — 4.5%

                               

Avolon Holdings Funding Ltd., Senior Notes

    5.125     10/1/23       820,000       868,346  (a) 

Avolon Holdings Funding Ltd., Senior Notes

    4.250     4/15/26       640,000       683,802  (a) 

Boeing Co., Senior Notes

    2.800     3/1/24       500,000       516,531  

Boeing Co., Senior Notes

    2.196     2/4/26       590,000       589,103  

 

See Notes to Financial Statements.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       21  


Table of Contents

Schedule of investments (cont’d)

November 30, 2021

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Aerospace & Defense — continued

                               

Boeing Co., Senior Notes

    3.100     5/1/26       2,190,000     $ 2,280,069  

Boeing Co., Senior Notes

    3.250     2/1/28       580,000       602,923  

Boeing Co., Senior Notes

    5.705     5/1/40       330,000       421,935  

Boeing Co., Senior Notes

    5.805     5/1/50       220,000       297,175  

Hexcel Corp., Senior Notes

    4.200     2/15/27       1,000,000       1,066,898  

Huntington Ingalls Industries Inc., Senior Notes

    3.483     12/1/27       320,000       341,332  

L3Harris Technologies Inc., Senior Notes

    4.854     4/27/35       430,000       526,681  

Lockheed Martin Corp., Senior Notes

    4.500     5/15/36       50,000       61,484  

Lockheed Martin Corp., Senior Notes

    4.700     5/15/46       200,000       264,218  

Northrop Grumman Corp., Senior Notes

    7.875     3/1/26       1,390,000       1,733,750  (a) 

Raytheon Technologies Corp., Senior Notes

    4.625     11/16/48       180,000       232,795  

Total Aerospace & Defense

                            10,487,042  

Air Freight & Logistics — 0.4%

                               

United Parcel Service Inc., Senior Notes

    6.200     1/15/38       700,000       1,022,878  

Airlines — 1.7%

                               

American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes

    5.500     4/20/26       170,000       173,980  (a) 

American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes

    5.750     4/20/29       170,000       177,650  (a) 

Delta Air Lines Inc., Senior Notes

    2.900     10/28/24       840,000       846,901  

Delta Air Lines Inc., Senior Notes

    3.750     10/28/29       230,000       226,311  

Delta Air Lines Inc., Senior Secured Notes

    7.000     5/1/25       420,000       482,845  (a) 

Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes

    4.500     10/20/25       290,000       304,161  (a) 

Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes

    4.750     10/20/28       210,000       230,331  (a) 

Southwest Airlines Co., Senior Notes

    4.750     5/4/23       810,000       850,529  

Southwest Airlines Co., Senior Notes

    5.125     6/15/27       290,000       330,611  

United Airlines Pass-Through Trust

    4.875     1/15/26       287,360       301,570  

Total Airlines

                            3,924,889  

Building Products — 0.3%

                               

Carrier Global Corp., Senior Notes

    2.722     2/15/30       570,000       582,206  

Carrier Global Corp., Senior Notes

    3.577     4/5/50       160,000       170,345  

Total Building Products

                            752,551  

Commercial Services & Supplies — 0.5%

                               

California Institute of Technology, Senior Notes

    3.650     9/1/2119       180,000       217,840  

Waste Connections Inc., Senior Notes

    4.250     12/1/28       750,000       849,505  

Total Commercial Services & Supplies

                            1,067,345  

 

See Notes to Financial Statements.

 

22     Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report


Table of Contents

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Industrial Conglomerates — 0.3%

                               

General Electric Co., Senior Notes

    6.750     3/15/32       330,000     $ 457,092  

General Electric Co., Senior Notes

    6.875     1/10/39       143,000       223,721  

Total Industrial Conglomerates

                            680,813  

Machinery — 0.2%

                               

Caterpillar Inc., Senior Notes

    4.750     5/15/64       360,000       529,882  

Professional Services — 0.4%

                               

Equifax Inc., Senior Notes

    2.350     9/15/31       970,000       955,902  

Road & Rail — 0.3%

                               

Union Pacific Corp., Senior Notes

    4.375     11/15/65       530,000       642,791  

Union Pacific Corp., Senior Notes

    3.750     2/5/70       30,000       35,014  

Total Road & Rail

                            677,805  

Trading Companies & Distributors — 0.8%

                               

Aircastle Ltd., Senior Notes

    5.250     8/11/25       1,000,000       1,103,369  (a) 

Aviation Capital Group LLC, Senior Notes

    5.500     12/15/24       250,000       275,389  (a) 

Aviation Capital Group LLC, Senior Notes

    4.125     8/1/25       340,000       362,511  (a) 

Total Trading Companies & Distributors

                            1,741,269  

Total Industrials

                            21,840,376  
Information Technology — 3.6%                                

Electronic Equipment, Instruments & Components — 0.3%

                               

TD SYNNEX Corp., Senior Notes

    1.250     8/9/24       800,000       794,007   (a) 

IT Services — 0.3%

                               

International Business Machines Corp., Senior Notes

    3.500     5/15/29       200,000       217,586  

Kyndryl Holdings Inc., Senior Notes

    4.100     10/15/41       450,000       438,497  (a) 

S&P Global Inc., Senior Notes

    3.250     12/1/49       110,000       122,226  

S&P Global Inc., Senior Notes

    2.300     8/15/60       40,000       35,532  

Total IT Services

                            813,841  

Semiconductors & Semiconductor Equipment — 1.4%

                               

Broadcom Inc., Senior Notes

    4.150     11/15/30       418,000       457,404  

Broadcom Inc., Senior Notes

    4.300     11/15/32       580,000       647,819  

Broadcom Inc., Senior Notes

    3.187     11/15/36       22,000       21,685  (a) 

Intel Corp., Senior Notes

    4.900     7/29/45       220,000       294,675  

Intel Corp., Senior Notes

    4.750     3/25/50       20,000       27,086  

Intel Corp., Senior Notes

    4.950     3/25/60       100,000       141,683  

Intel Corp., Senior Notes

    3.200     8/12/61       180,000       187,326  

Micron Technology Inc., Senior Notes

    2.703     4/15/32       210,000       211,199  

Micron Technology Inc., Senior Notes

    3.366     11/1/41       40,000       40,355  

NVIDIA Corp., Senior Notes

    3.500     4/1/40       100,000       113,288  

NVIDIA Corp., Senior Notes

    3.500     4/1/50       300,000       347,344  

 

See Notes to Financial Statements.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       23  


Table of Contents

Schedule of investments (cont’d)

November 30, 2021

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Semiconductors & Semiconductor Equipment — continued

 

                       

NVIDIA Corp., Senior Notes

    3.700     4/1/60       120,000     $ 143,823  

QUALCOMM Inc., Senior Notes

    4.300     5/20/47       70,000       89,180  

Texas Instruments Inc., Senior Notes

    3.875     3/15/39       430,000       515,849  

Total Semiconductors & Semiconductor Equipment

 

            3,238,716  

Software — 1.4%

                               

Microsoft Corp., Senior Notes

    4.250     2/6/47       1,520,000       1,997,860  

Oracle Corp., Senior Notes

    3.950     3/25/51       490,000       528,851  

Oracle Corp., Senior Notes

    4.100     3/25/61       580,000       635,076  

Total Software

                            3,161,787  

Technology Hardware, Storage & Peripherals — 0.2%

                               

Dell International LLC/EMC Corp., Senior Secured Notes

    8.100     7/15/36       200,000       304,887  

Dell International LLC/EMC Corp., Senior Secured Notes

    8.350     7/15/46       60,000       100,289  

Total Technology Hardware, Storage & Peripherals

 

            405,176  

Total Information Technology

                            8,413,527  
Materials — 2.0%                                

Chemicals — 0.3%

                               

Ecolab Inc., Senior Notes

    4.800     3/24/30       130,000       156,918  

OCP SA, Senior Notes

    3.750     6/23/31       200,000       193,380  (a) 

Sociedad Quimica y Minera de Chile SA, Senior Notes

    3.500     9/10/51       410,000       397,848  (a) 

Total Chemicals

                            748,146  

Metals & Mining — 1.5%

                               

ArcelorMittal SA, Senior Notes

    4.550     3/11/26       330,000       360,560  

Barrick Gold Corp., Senior Notes

    5.250     4/1/42       350,000       460,154  

First Quantum Minerals Ltd., Senior Notes

    7.250     4/1/23       600,000       612,009  (a) 

First Quantum Minerals Ltd., Senior Notes

    6.875     10/15/27       400,000       423,496  (a) 

Glencore Funding LLC, Senior Notes

    4.125     3/12/24       300,000       316,808  (a) 

Glencore Funding LLC, Senior Notes

    4.000     3/27/27       590,000       635,822  (a) 

Glencore Funding LLC, Senior Notes

    3.375     9/23/51       100,000       96,963  (a) 

Yamana Gold Inc., Senior Notes

    4.625     12/15/27       550,000       606,489  

Total Metals & Mining

                            3,512,301  

Paper & Forest Products — 0.2%

                               

Suzano Austria GmbH, Senior Notes

    3.125     1/15/32       350,000       326,786  

Total Materials

                            4,587,233  
Real Estate — 1.6%                                

Equity Real Estate Investment Trusts (REITs) — 1.3%

                               

Diversified Healthcare Trust, Senior Notes

    4.750     5/1/24       190,000       194,461  

 

See Notes to Financial Statements.

 

24     Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report


Table of Contents

 

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  

Equity Real Estate Investment Trusts (REITs) — continued

                               

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

    5.000     10/15/27       400,000     $ 418,046  

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

    4.625     8/1/29       270,000       282,270  

Ventas Realty LP, Senior Notes

    4.400     1/15/29       540,000       609,491  

Vornado Realty LP, Senior Notes

    3.500     1/15/25       1,000,000       1,049,320  

Welltower Inc., Senior Notes

    4.125     3/15/29       510,000       569,082  

Total Equity Real Estate Investment Trusts (REITs)

 

            3,122,670  

Real Estate Management & Development — 0.3%

                               

Security Capital Group Inc., Senior Notes

    7.700     6/15/28       460,000       630,770  

Total Real Estate

                            3,753,440  
Utilities — 4.7%                                

Electric Utilities — 4.7%

                               

Berkshire Hathaway Energy Co., Senior Notes

    6.125     4/1/36       1,000,000       1,368,239  

CenterPoint Energy Houston Electric LLC, Senior Secured Bonds

    4.500     4/1/44       530,000       678,198  

Comision Federal de Electricidad, Senior Notes

    3.348     2/9/31       200,000       191,704  (a) 

Comision Federal de Electricidad, Senior Notes

    4.677     2/9/51       200,000       186,155  (a) 

Commonwealth Edison Co., First Mortgage Bonds

    6.450     1/15/38       600,000       881,074  

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       160,720  (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       236,900  (b)(c) 

Exelon Corp., Senior Notes

    4.050     4/15/30       190,000       213,260  

FirstEnergy Corp., Senior Notes

    4.400     7/15/27       480,000       513,629  

FirstEnergy Corp., Senior Notes

    7.375     11/15/31       3,040,000       4,073,326  

Jersey Central Power & Light Co., Senior Notes

    4.300     1/15/26       170,000       185,380  (a) 

MidAmerican Energy Co., First Mortgage Bonds

    3.650     4/15/29       240,000       264,360  

Pacific Gas and Electric Co., Secured Bonds

    4.250     8/1/23       160,000       165,758  

Pacific Gas and Electric Co., Secured Bonds

    2.500     2/1/31       130,000       124,329  

Pacific Gas and Electric Co., Secured Bonds

    3.300     8/1/40       30,000       28,575  

Pacific Gas and Electric Co., Secured Bonds

    4.950     7/1/50       190,000       213,593  

Southern California Edison Co., First Mortgage Bonds

    4.125     3/1/48       480,000       547,215  

Virginia Electric & Power Co., Senior Notes

    8.875     11/15/38       500,000       896,410  

Total Utilities

                            10,928,825  

Total Corporate Bonds & Notes (Cost — $191,114,783)

 

            221,628,330  

 

See Notes to Financial Statements.

 

Western Asset Investment Grade Defined Opportunity Trust Inc. 2021 Annual Report       25  


Table of Contents

Schedule of investments (cont’d)

November 30, 2021

 

Western Asset Investment Grade Defined Opportunity Trust Inc.

 

(Percentages shown based on Fund net assets)

 

Security   Rate     Maturity
Date
    Face
Amount†
    Value  
Sovereign Bonds — 1.0%                                

Argentina — 0.4%

                               

Argentine Republic Government International Bond, Senior Notes

    1.000     7/9/29       11,447     $ 3,815  

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       51,519  

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       838,676  (a) 

Total Argentina

                            894,010  

Ghana — 0.1%

                               

Ghana Government International Bond, Senior Notes

    8.950     3/26/51       300,000       232,263  (a) 

Mexico — 0.3%

                               

Mexican Bonos, Senior Notes

    8.500     11/18/38       8,780,000  MXN      428,198  

Mexico Government International Bond, Senior Notes

    4.280     8/14/41       230,000       237,330  

Total Mexico

                            665,528  

Qatar — 0.2%

                               

Qatar Government International Bond, Senior Notes

    4.817     3/14/49       410,000       530,835  (a) 

Total Sovereign Bonds (Cost — $2,495,096)

                            2,322,636  
U.S. Government & Agency Obligations — 1.0%                                

U.S. Government Obligations — 1.0%

                               

U.S. Treasury Bonds

    1.625     11/15/50       70,000       67,142  

U.S. Treasury Bonds

    1.875     2/15/51       820,000       833,966  

U.S. Treasury Bonds

    2.375     5/15/51       510,000       578,611  

U.S. Treasury Notes

    1.250     11/30/26       710,000       713,245  

Total U.S. Government & Agency Obligations (Cost — $2,077,300)

 

            2,192,964  
Municipal Bonds — 0.7%                                

California — 0.3%

                               

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